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**TAIEX.ML.s13_Normality_Test.常態分配檢定

cy.lu

• 2 min read
**TAIEX.ML.s13_Normality_Test.常態分配檢定
Photo by OH WOMAN® / Unsplash

正常性檢驗結果顯示所有變數的 p 值均為 0，表明數據顯著偏離正態分佈。

這是正常的結果，因為股票市場數據通常不遵循正態分佈。

  • P 值 (p-value)：在統計檢驗中，P 值用於衡量觀察結果與零假設（通常是數據符合某種分佈，比如正態分佈）的偏離程度。當 P 值小於某個顯著性水平（如 0.05）時，我們通常拒絕零假設。
  • 正常性檢驗：常見的正態性檢驗方法包括 Shapiro-Wilk 檢驗。在這種檢驗中，零假設是數據來自正態分佈。

在我們的檢驗中，所有變數的 P 值均為 0（或極小），這意味著我們有足夠的證據拒絕數據來自正態分佈的假設。這在股票市場數據中是正常現象，因為這些數據往往具有尖峰厚尾（leptokurtic）或偏態（skewness），不符合正態分佈。

# Sample data
sampled_data = data.sample(n=1000, random_state=42)

# Plot pairwise relationships
sns.pairplot(sampled_data)
plt.suptitle('Scatter Plot of Variables', y=1.02)
plt.show()

Normality Test:
Open: Statistics=0.44388264417648315, p=0.0
High: Statistics=0.44386327266693115, p=0.0
Low: Statistics=0.44448310136795044, p=0.0
Close_MSCI: Statistics=0.44464701414108276, p=0.0
Adj_Close: Statistics=0.44800859689712524, p=0.0
Volume: Statistics=0.616114616394043, p=0.0
MA7: Statistics=0.4454984664916992, p=0.0
MA21: Statistics=0.4475475549697876, p=0.0
MA50: Statistics=0.4513601064682007, p=0.0
MA100: Statistics=0.45628875494003296, p=0.0
Middle Band: Statistics=0.44740188121795654, p=0.0
Upper Band: Statistics=0.44556015729904175, p=0.0
Lower Band: Statistics=0.44893014430999756, p=0.0
Band Width: Statistics=0.37196314334869385, p=0.0
Aroon Up: Statistics=0.8953447341918945, p=0.0
Aroon Down: Statistics=0.8862640261650085, p=0.0
CCI20: Statistics=0.9935651421546936, p=1.4978255776941871e-34
CMO14: Statistics=0.9970583319664001, p=4.02672471348255e-24
MACD Line: Statistics=0.4291476607322693, p=0.0
Signal Line: Statistics=0.4337118864059448, p=0.0
MACD Histogram: Statistics=0.4151105284690857, p=0.0
RSI7: Statistics=0.9972341656684875, p=1.9062553984236165e-23
RSI14: Statistics=0.9991347789764404, p=1.0700896765913903e-11
RSI21: Statistics=0.998984158039093, p=5.296772677583494e-13
%K: Statistics=0.9418363571166992, p=0.0
%D: Statistics=0.9411165714263916, p=0.0
WILLR14: Statistics=0.9418363571166992, p=0.0
Market Return: Statistics=0.9587656259536743, p=0.0
Stock Return: Statistics=0.9099488854408264, p=0.0
Beta_60: Statistics=0.9558936357498169, p=0.0
Beta_120: Statistics=0.9457791447639465, p=0.0
Close_TAIEX: Statistics=0.9737288951873779, p=0.0
OBV: Statistics=0.9423521161079407, p=0.0