DazStat provides basic descriptive statistics and specific return distribution analytics.
A particular emphasis is placed on whether the distribution of the returns conforms to a Normal distribution. This is a fundamental property of return distributions that is assumed in most parametric statistical analysis and measurement of returns. Read more at: Read This
DazStat(Stat, Data, Freq, Pct, Label)
Stat: an integer indicating which DazStat result to return. Flip this switch to move between any results!
Data: a row or column range of returns, may contain blank cells at the start and end of the range .
Freq: an optional integer indicating the number of return periods in a year, default is 12.
Pct: an optional Boolean indicating if the data is in percent (0.035 or 3.50% – True) or float (3.50 – False), default is True.
Label: an optional Boolean indicating if the result is the function result or label, default is False (result).
0 Count – all returns
1 Positive – only positive returns
2 Negative – only negative returns
3 Mean – mean of all returns
4 Median – median of all returns
5 Max – maximum of all returns
6 Min – minimum of all returns
7 Standard Deviation – standard deviation of all returns
8 Skew – skew of the distribution of all returns
9 Kurtosis – excess kurtosis of all returns
10 Jarque-Bera – test for goodness of fit with Normal distribution for all returns
11 Probability Plot Correlation Coefficient – test for goodness of fit with Normal distribution for all returns
12 Kolmogorov-Smirnov – test for goodness of fit with Normal distribution for all returns
13 Anderson-Darling – test for goodness of fit with Normal distribution for all returns
14 Ljung-Box – test for independence for all returns
15 Wald-Wolfowitz – test for randomness of runs for all returns
16 Cumulative Return – cumulative returns for all returns
17 CAGR – compound annual growth rate for all returns
18 Annualized Volatility – estimated annual volatility from the standard deviation for all returns
19 Non-parametric Standard Deviation – estimate of 68.27% of all returns around the mean without assuming a Normal distribution (proprietary)
20 Non-parametric Annualized Volatility – estimated annual volatility from the non-parametric standard deviation for all returns (proprietary)
21 Inter-quartile Volatility – estimated annual volatility from the inter-quartile distribution for all returns
22 Max Drawdown – maximum cumulative drawdown for all returns
23 Max Run-up – maximum cumulative run-up for all returns
A total of 45 results are returned using the arrays
An individual result may be a label (the name of the function) or an analytical result value.
The analytical result could be a label, a value or a columnar array. For example, if the Jarque-Bera test is not significant at the 5% level, the individual result is a label “Normal” indicating that the distribution passes the test for a Gaussian Normal distribution. The same test returns an array of three values: the label, the JB statistic value and the Chi value for 5%.
DazStat can also be used as a single array, in column or row orientation, for all results at one time. This is more efficient than entering each Stat in individual cells.
Individual array results may be returned by using =Index(DazStat(function), Array Number).
The DazStat Examples worksheet contains different returns and an example of how to use DazStat simply and powerfully.
The returns may have different start and end periods and be in either rows or columns.
The results are shown in individual cells and as a single array result.
The Stat switch can be outside the function, giving you direct control of which results you see.