| Name | Description |
|---|---|
| AbsMove | Absolute percentage change measured against the constant value |
| AccumulationDistributionLine | The accumulation/distribution indicator (A/D) is a cumulative indicator that uses volume and price to assess whether a stock is being accumulated or distributed. The A/D measure seeks to identify divergences between the stock price and the volume flow. This provides insight into how strong a trend is. If the price is rising but the indicator is falling, then it suggests that buying or accumulation volume may not be enough to support the price rise and a price decline could be forthcoming. |
| ADX | ADX is used to quantify trend strength.ADX calculations are based on a moving average of price range expansion over a given period. |
| ArbitrageZScore | Z-score is a statistical measurement that describes a value's relationship to the mean of a group of values. Z-score is measured in terms of standard deviations from the mean. If a Z-score is 0, it indicates that the data point's score is identical to the mean score. |
| Aroon | Aroon indicator measures the time between highs and the time between lows over a time period. The idea is that strong uptrends will regularly see new highs, and strong downtrends will regularly see new lows. The indicator signals when this is happening, and when it isn't. The indicator consists of the "Aroon up" line, which measures the strength of the uptrend, and the "Aroon down" line, which measures the strength of the downtrend. |
| ATR | The true range indicator is taken as the greatest of the following: - current high less the current low; the absolute value of the current - high less the previous close; and the absolute value of the current low - less the previous close. The ATR is then a moving average, generally using 14 days, of the true ranges. |
| BandPass1048 | Filter of high-frequency noises. Calculated with 4 constant values. Constants are set according to R&D. |
| BaseAverage | Helper indicator that applies one of averaging indicators |
| Beta | Beta indicator is used to measure the volatility or risk of a stock relative to the overall risk (volatility) of the stock market. Source. |
| BollingerLower | Lower boilinger band is Sma - coef * Standart Deviation for period. |
| CandleAverage | Average value of Open, High, Low, CLose for 1 candle. |
| CandleMedian | Median value of High and Low for 1 candle. |
| CCI | The Commodity Channel Index (CCI) is a momentum-based oscillator. This technical indicator assesses the price trend's direction and strength, allowing traders to determine whether to enter or exit a trade, refrain from taking a trade, or add to an existing position. Calculated as (Typical price - average)(inverse factor * mean deviation) |
| ChaikinOscillator | To calculate the Chaikin oscillator, subtract an n-period EMA of the accumulation-distribution line from a n-period/3 EMA of the accumulation-distribution line. This measures momentum predicted by oscillations around the A/D line. |
| CMF | Chaikin Money Flow (CMF) is a volume-weighted average of A/D line over a specified period. The standard CMF period is 21 days. The principle behind the Chaikin Money Flow is the nearer the closing price is to the high, the more accumulation has taken place. Conversely, the nearer the closing price is to the low, the more distribution has taken place. |
| CMO | The formula calculates the difference between the sum of recent gains and the sum of recent losses, and then divides the result by the sum of all price movements over the same period. |
| CorrectedAverage | The strengths of the Corrected Average(CA) is that the current value of time series must exceed the current volatility-dependent threshold, so that the filter increases or falls, avoiding false signals if trend is in weak phase |
| CumulativeVWAP | |
| Difference | Difference between two indicators |
| DirectionalIndex | Helper for ADX indicator. Calculated as WilderMA/ATR * 100 |
| DirectionalMovement | Helper for ADX indicator. |
| DownCandlesDifference | DownCandlesDifference is weighted cumulative value of all falling candles for n periods. |
| DX | The directional movement index identifies the direction of price movement. The indicator does this by comparing prior highs and lows and drawing two lines: a positive directional movement line (+DI) and a negative directional movement line (-DI). When +DI is above -DI, there is more upward pressure than downward pressure in the price and vice versa. |
| EMA | Exponential moving average is a type of moving average (MA) that places a greater weight and significance on the most recent data points. |
| HeikinAshiClose | Heikin-Ashi, also sometimes spelled Heiken-Ashi, means "average bar" in Japanese. Close is calculated as the average price of the current bar. |
| HeikinAshiHigh | High is calculated as the max of open,close and high. |
| HeikinAshiLow | Low is calculated as the min of open,close and low. |
| HeikinAshiOpen | Open is calculated as the midpoint of the previous bar |
| Highest | Highest value of underlying indicator for period. |
| HighPassFilter6Db | Implementation of stohastic based on Digital Filters course. Removes - 6 dB per octave. It has less latency, but does not remove spectral extension. Single-pole filter formula. The classic high-pass filter and momentum remove the trend component of the price |
| HighPassFilter12Db | Implementation of stohastic based on Digital Filters course. Removes -12 dB per octave. Completely removes spectral broadening, but has longer latency. Single-pole filter formula. The classic high-pass filter and momentum remove the trend component of the price. |
| HLC3 | Helper for different indicators. Calculated as an average of High, Low and Close. |
| HMA | The Hull Moving Average (HMA) is an extremely fast and smooth moving average. In fact, the HMA almost eliminates lag altogether and manages to improve smoothing at the same time. |
| HMASource | Helper for the Hull Moving Average (HMA). Calculated as 2* (WMA fast - WMA slow). |
| JMA | |
| KeltnerDown | Keltner Channels are volatility-based bands that are placed on either. Keltner Channels are volatility-based bands that are placed on either side of an asset's price and can aid in determining the direction of a trend. KeltnerDown is calculated as EMA - 2*ATR |
| KeltnerUp | KeltnerUp is calculated as EMA + 2*ATR |
| Kurtosis | Kurtosis describes the "fatness" of the tails found in probability distributions. There are three kurtosis categories—mesokurtic(normal), platykurtic(less than normal), and leptokurtic(more than normal). Kurtosis risk measures how often an investment's price moves dramatically. A curve's kurtosis characteristic tells you how much kurtosis risk the investment you're evaluating has. |
| LinearRegression | Simple implementation of linear regression of underlying. |
| Log | Logarithm of an underlying indicator |
| LowerFractal | Search the Fractal with the following algorithm: if the index of min value of underlying indicator is equal to the rounded (period / 2), the LowerFractal found. |
| Lowest | Lowest value of underlying indicator for period. |
| MACD | Moving average convergence/divergence (MACD, or MAC-D) is a trend-following momentum indicator that shows the relationship between two exponential moving averages (EMAs) of a security’s price. The MACD line is calculated by subtracting the long-period EMA from the short-period EMA. |
| MeanAbsoluteDeviation | The mean absolute deviation (MAD) is a measure of variability that indicates the average distance between observations and their mean. |
| MesaStochastic | Instead of double sequential smoothing of the result through SMA, as in the original by George Lane. John Ehlers smooths the original prices using Roofing (removes trends), then smooths the result with SuperSmoother (removes noise). John Ehlers considers all periods less than 10 unsuitable for trading due to aliasing and indicator delays, because Roofing can take negative values, and the indicator is not normalized at the boundaries (may be more than 100). Similar to the slow Stochastic after the second SMA smoothing. |
| MFI | The Money Flow Index (MFI) is a technical oscillator that uses price and volume data for identifying overbought or oversold signals in an asset. It can also be used to spot divergences, which warn of a trend change in price. Unlike conventional oscillators such as the Relative Strength Index (RSI), the Money Flow Index incorporates both price and volume data, rather than just price. For this reason, some analysts refer to MFI as the volume-weighted RSI. |
| MidBodyPrice | MidBodyPrice is average of open and close. |
| Momentum | Momentum is a derivative of underlying. |
| NegativeMF | NegativeMF is Row Money Flow for only falling candles multiplied by Volume. |
| NormalizedRange | NormilizedRage is simply the absolute value of the difference between 2 underlyings. |
| OBV | On-balance volume provides a running total of an asset's trading volume and indicates whether this volume is flowing in or out of a given security or currency pair. The OBV is a cumulative total of volume (positive and negative). |
| Parabolic | The indicator uses a trailing stop and reverse method called "SAR," or stop and reverse, to identify suitable exit and entry points. Traders also refer to the indicator as to the parabolic stop and reverse, parabolic SAR, or PSAR. |
| PivotPointDown | PivotPointDown detects if current low is higher, than lowest value for n periods. |
| PivotPointUp | PivotPointUp detects if current high is higher, than highest value for n periods. |
| PositiveMF | PositiveMF is Row Money Flow for only raising candles multiplied by Volume. |
| PriceTransform | Helper class to apply some basic transformation to the price |
| RateOfChange | The Price Rate of Change (ROC) is an indicator that measures the percentage change in price between the current price and the price a certain number of periods ago. |
| RawMoneyFlow | Raw Money Flow is a part of Money Flow Index. The value is Typical price multiplied by Volume. |
| Roofing | Implementation of stohastic based on Digital Filters course. HighPassFilter6Db averaged with SuperSmoother. |
| RoofingStochastic | Implementation of stohastic based on Digital Filters course. Similar to Stochastic after averaging with SMA. |
| RSI | The Relative Strength Index (RSI) is a momentum oscillator that measures the speed and change of price movements. The RSI oscillates between zero and 100. |
| SimpleMovingAverage | Average value of underlying for n periods. |
| StDevPopulation | Implementation of standart deviation of underlying. |
| StochD | StochD is averaged StochK stochastic indicator. |
| StochK | StochK is a stochastic indicator, calculated as follows: 100 * (Close - lowest(period))/ (highest(period)-lowest(period)) |
| SuperSmoother | SuperSmoother by John Ehlers (TASC 01.2014) removes all high frequencies. John Ehlers writes that he worked with the Butterworth filter because it has a smooth frequency response. Ehlers selected the formula to minimize delay. We consider the formula as selected during the experiment. The indicator's delay is much shorter than the SMA's and comparable to the EMA's. But, unlike EMA, the indicator does not respond to HF. |
| TEMA | TEMA is calculated as follows: 3EMA - 3doubleEMA - tripleEMA |
| TRIX | Triple smoothed EMA is an underlying value. TRIX is calculated as follows: (underlying - previous underlying)/underlying * 100 |
| TrueRange | Max value of Max((High - Low), (High - previous Close)) and (previous Close - Low) |
| UpCandlesDifference | UpCandlesDifference is weighted cumulative value of all raising candles for n periods. |
| UpperFractal | Search the Fractal with the following algorithm: if the index of max value of underlying indicator is equal to the rounded (period / 2), the UpperFractal found. |
| Volatility | |
| VolumeWeighted | Underlying indicator multiplied by Volume. |
| VWAP | |
| WilderMA | Wilder’s Moving Average is calculated using Wilder’s smoothing technique, which gives greater weight to more recent data points. The calculation involves subtracting the previous average from the current price and adding the resulting difference to the previous average. This results in a faster and more responsive moving average than other traditional methods. |
| WMA | Weighted moving average. Weights are distributed in descending order. |
| ZScore | A Z-score is a statistical measurement that describes a value's relationship to the mean of a group of values. The Z-score is measured in terms of standard deviations from the mean. If a Z-score is 0, it indicates that the data point's score is identical to the mean score. |