In recent updates to this series (see list below) I’ve been looking at various methodologies to identify extreme values in a time series, such as the S&P 500 Index. One motivation for this analysis is that detecting so-called outlier values offers context for deciding if the risk of trend reversion is relatively high. Let’s add another metric to the tool-kit for this task: finding the value that marks the largest difference vs the average value over a trailing period.

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