direction_metrics#

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Axis direction_metrics on sub-layer L5_A_metric_specification (layer l5).

Sub-layer#

L5_A_metric_specification

Axis metadata#

  • Default: []

  • Sweepable: False

  • Status: operational

Operational status summary#

  • Operational: 2 option(s)

  • Future: 0 option(s)

Options#

pesaran_timmermann_metric – operational#

Pesaran-Timmermann (1992) directional-accuracy statistic.

See pesaran_timmermann_metric function page for full documentation + parameters + standalone usage. Standalone: mf.functions.pesaran_timmermann_metric.

success_ratio – operational#

Hit-rate of correct directional forecasts – (1/N) Σ 1{sign(ŷ_t) = sign(y_t)}.

See success_ratio function page for full documentation + parameters + standalone usage. Standalone: mf.functions.success_ratio.