cs

How do you compare members of a list with each other on one bar? Pass the array request.each returns to a cs.* function: it ranks, standardises, scales or trims the values across members and returns an array in the same order. Each one skips na cells and reads na in them, so a member with no data never moves the others.

indicator("Momentum z-score of the top 20")
array<string> m = request.universe(20)
array<float> mom = request.each(m, ta.roc(close, 20))
// Each member's distance from the list's mean, in standard deviations,
// then winsorised at 5% each end.
array<float> z = cs.winsor(cs.zscore(mom), 0.05)
plot(array.max(z), "Strongest")

Arrays also do arithmetic cell by cell in AmenoScript, so cs.row_sum(pair) + own and mom > array.median(mom) are ordinary expressions. See cs.

cs.rank

AmenoScript only

cs.rank(source) → array<float>

Each cell's percentile among the cells, from 0 to 1, with ties sharing their average.

Fewer than two values, or all of them equal, read na.

Parameter	Description
source array<float>	The values, one per member.

cs.zscore

AmenoScript only

cs.zscore(source) → array<float>

Each cell's distance from the cells' mean, in sample standard deviations.

Parameter	Description
source array<float>	The values, one per member.

cs.scale

AmenoScript only

cs.scale(source) → array<float>

The cells scaled so that their absolute values sum to 1.

Parameter	Description
source array<float>	The values, one per member.

cs.winsor

AmenoScript only

cs.winsor(source, pct) → array<float>

The cells with the lowest and highest pct of them moved to the nearest value kept.

At the default, 0.05 of 50 cells moves the two at each end. It never moves more than half the cells.

Parameter	Default	Description
source array<float>		The values, one per member.
pct series float	0.05	The share of cells to move at each end.

cs.demean

AmenoScript only

cs.demean(source, group) → array<float>

The cells less their mean, or less the mean of the cells sharing a label when group is given.

A cell whose label is na reads na. A label is a value, so the string "1" and the number 1 are different groups.

Parameter	Description
source array<float>	The values, one per member.
group array<string>	One label per member, such as a sector. Left out, one group.

cs.residual

AmenoScript only

cs.residual(y, x) → array<float>

What's left of y after a straight-line fit on x across the members.

Parameter	Description
y array<float>	The values to explain.
x array<float>	The values to fit on, one per member.

cs.top

AmenoScript only

cs.top(source, n) → array<bool>

An array<bool> that is true on the n largest cells.

A tie goes to the earlier cell, so on a list in rank order, to the better rank.

Parameter	Description
source array<float>	The values, one per member.
n series int	How many to mark.

cs.row_sum

AmenoScript only

cs.row_sum(id) → array<float>

One sum per row of a matrix, skipping na. A row with nothing in it reads na, not 0, so a member with no pairs yet doesn't look average.

Parameter	Description
id matrix<float>	The matrix, such as request.pairs' result.

See also

• The cross-section
• request.each and request.pairs
• book