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QuanTAlib/docs/indicators.md
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Quantower adaptation
2022-12-21 07:24:21 -08:00
# Coverage
⭐= Calculation is validated against several TA libraries
✔️= Validation tests passed
❌= Wrong implementation
| **BASIC TRANSFORMS** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** | **Tulip** |
|--|:--:|:--:|:--:|:--:|:--:|
| OC2 - (Open+Close)/2 |️ `.OC2` || CandlePart.OC2 ||
| HL2 - Median Price | `.HL2` | MEDPRICE | CandlePart.HL2 | hl2 |
| HLC3 - Typical Price | `.HLC3` | TYPPRICE | CandlePart.HLC3 | hlc3 |
| OHL3 - (Open+High+Low)/3 | `.OHL3` || CandlePart.OHL3 ||
| OHLC4 - Average Price | `.OHLC4` | AVGPRICE |️ CandlePart.OHLC4 | ohlc4 | avgprice |
| HLCC4 - Weighted Price | `.HLCC4` | WCLPRICE | CandlePart.HLCC4 ||
| MIDPOINT - Midpoint value | `MIDPOINT_Series` | MIDPOINT || midpoint |
| MIDPRICE - Midpoint price | `MIDPRICE_Series` | MIDPRICE || midprice |
| MAX - Max value | `MAX_Series` | MAX ||| max |
| MIN - Min value | `MIN_Series` | MIN ||| min |
| SUM - Summation | `SUM_Series` | SUM ||| sum |
| ADD - Addition | `ADD_Series` | ADD ||| add |
| SUB - Subtraction | `SUB_Series` | SUB ||| sub |
| MUL - Multiplication | `MUL_Series` | MUL ||| mul |
| DIV - Division | `DIV_Series` | DIV ||| div |
|||||
| **STATISTICS & NUMERICAL ANALYSIS** |
||||||
| ⭐BIAS - Bias | `BIAS_Series` ||| ✔️bias |
| CORR - Pearson's Correlation Coefficient | `CORR_Series` | CORREL | GetCorrelation ||
| COVAR - Covariance | `COVAR_Series` || GetCorrelation ||
| DECAY - Linear Decay ||||| decay |
| EDECAY - Exponential Decay ||||| edecay |
| ENTROPY - Entropy | `ENTROPY_Series` ||| entropy |
| KURTOSIS - Kurtosis | `KURT_Series` ||| kurtosis |
| LINREG - Linear Regression | `LINREG_Series` || GetSlope ||
| MAD - Mean Absolute Deviation | `MAD_Series` || GetSma | mad |
| MAPE - Mean Absolute Percent Error | `MAPE_Series` || GetSma ||
| MED - Median value | `MED_Series` ||| median |
| MSE - Mean Squared Error | `MSE_Series` || GetSma ||
| SKEW - Skewness |||| skew |
| SDEV - Standard Deviation (Volatility) | `SDEV_Series` | STDDEV | GetStdDev | stdev |
| SSDEV - Sample Standard Deviation | `SSDEV_Series` ||| stdev |
| SMAPE - Symmetric Mean Absolute Percent Error | `SMAPE_Series` ||||
| VAR - Population Variance | `VAR_Series` | VAR || variance |
| SVAR - Sample Variance | `SVAR_Series` ||| variance |
| QUANTILE - Quantile |||| quantile |
| WMAPE - Weighted Mean Absolute Percent Error | `WMAPE_Series` ||||
| ZSCORE - Number of standard deviations from mean | `ZSCORE_Series` || GetStdDev | zscore |
||||||
| **TREND INDICATORS & AVERAGES** |
||||||
| AFIRMA - Autoregressive Finite Impulse Response Moving Average |||||
| ALMA - Arnaud Legoux Moving Average | `ALMA_Series` || GetAlma | alma |
| ARIMA - Autoregressive Integrated Moving Average |||||
| ⭐DEMA - Double EMA Average | `DEMA_Series` | ✔️DEMA | ✔️GetDema | ✔️dema | ✔️dema |
| ⭐EMA - Exponential Moving Average | `EMA_Series` | ✔️EMA | ✔️GetEma | ✔️ema | ✔️ema |
| EPMA - Endpoint Moving Average ||| GetEpma ||
| FRAMA - Fractal Adaptive Moving Average |||||
| FWMA - Fibonacci's Weighted Moving Average |||| fwma |
| HILO - Gann High-Low Activator |||| hilo |
| HEMA - Hull/EMA Average | `HEMA_Series` ||||
| Hilbert Transform Instantaneous Trendline || HT_TRENDLINE | GetHtTrendline ||
| ⭐HMA - Hull Moving Average | `HMA_Series` || ✔️GetHma | ✔️hma | ✔️hma |
| HWMA - Holt-Winter Moving Average |||| hwma |
| JMA - Jurik Moving Average | `JMA_Series` ||| jma ||
| KAMA - Kaufman's Adaptive Moving Average | `KAMA_Series` | KAMA | GetKama | kama | kama |
| KDJ - KDJ Indicator (trend reversal) |||| kdj |
| LSMA - Least Squares Moving Average |||||
| MACD - Moving Average Convergence/Divergence | `MACD_Series` | MACD | GetMacd | macd |
| MAMA - MESA Adaptive Moving Average | `MAMA_Series` | MAMA | GetMama ||
| MCGD - McGinley Dynamic |||| mcgd |
| MMA - Modified Moving Average |||||
| PPMA - Pivot Point Moving Average |||||
| PWMA - Pascal's Weighted Moving Average |||| pwma |
| RMA - WildeR's Moving Average | `RMA_Series` ||| rma |
| SINWMA - Sine Weighted Moving Average |||| sinwma |
| ⭐[SMA - Simple Moving Average](SMA.md) | `SMA_Series` | ✔️SMA | ✔️GetSma | ✔️sma | ✔️sma |
| SMMA - Smoothed Moving Average | `SMMA_Series` || GetSmma ||
| SSF - Ehler's Super Smoother Filter |||| ssf |
| SUPERTREND - Supertrend |||| supertrend |
| SWMA - Symmetric Weighted Moving Average |||| swma |
| T3 - Tillson T3 Moving Average | `T3_Series` | T3 | GetT3 | t3 |
| TEMA - Triple EMA Average | `TEMA_Series` | TEMA | GetTema | tema |
| TRIMA - Triangular Moving Average | `TRIMA_Series` | TRIMA || trima |
| TSF - Time Series Forecast || TSF |||
| VIDYA - Variable Index Dynamic Average |||| vidya |
| VORTEX - Vortex Indicator |||| vortex |
| WMA - Weighted Moving Average | `WMA_Series` | WMA | GetWma | wma |
| ZLEMA - Zero Lag EMA Average | `ZLEMA_Series` ||| zlma |
||||||
| **VOLATILITY INDICATORS** |
||||||
| ⭐ADL - Chaikin Accumulation Distribution Line | `ADL_Series` | ✔️AD | ✔️GetAdl | ✔️ad | ✔️ad |
| ⭐ADOSC - Chaikin Accumulation Distribution Oscillator | `ADOSC_Series` | ✔️ADOSC| | ✔️adosc | ✔️adosc |
| ⭐ATR - Average True Range | `ATR_Series` | ✔️ATR | ✔️GetAtr | ✔️atr | ✔️atr |
| ATRP - Average True Range Percent | `ATRP_Series` || GetAtr ||
| BETA - Beta coefficient || BETA | GetBeta ||
| BBANDS - Bollinger Bands® | `BBANDS_Series` | BBANDS | GetBollingerBands || bbands |
| CHAND - Chandelier Exit ||| GetChandelier ||
| CRSI - Connor RSI ||| GetConnorsRsi ||
| CVI - Chaikins Volatility ||||| cvi |
| DON - Donchian Channels ||| GetDonchian ||
| FCB - Fractal Chaos Bands ||| GetFcb ||
| FISHER - Fisher Transform ||| GetFcb || fisher |
| HV - Historical Volatility |||||
| ICH - Ichimoku ||| GetIchimoku ||
| KEL - Keltner Channels ||| GetKeltner ||
| NATR - Normalized Average True Range || NATR | GetAtr ||
| CHN - Price Channel Indicator |||||
| RSI - Relative Strength Index | `RSI_Series` | RSI | GetRsi | rsi |
| SAR - Parabolic Stop and Reverse || SAR | GetParabolicSar ||
| SRSI - Stochastic RSI || STOCHRSI | GetStochRsi ||
| STARC - Starc Bands |||||
| TR - True Range | `TR_Series` | TRANGE | GetTr | true_range |
| UI - Ulcer Index |||||
| VSTOP - Volatility Stop |||||
||||||
| **MOMENTUM INDICATORS & OSCILLATORS** |
||||||
| AC - Acceleration Oscillator |||||
| ADX - Average Directional Movement Index || ADX | GetAdx || adx |
| ADXR - Average Directional Movement Index Rating || ADXR | GetAdx || adxr |
| AO - Awesome Oscillator ||| GetAwesome || ao |
| APO - Absolute Price Oscillator || APO ||| apo |
| AROON - Aroon oscillator || AROON | GetAroon || aroon |
| BOP - Balance of Power || BOP | GetBop || bop |
| CCI - Commodity Channel Index | `CCI_Series` | CCI | GetCci || cci |
| CFO - Chande Forcast Oscillator |||||
| CMO - Chande Momentum Oscillator | `CMO_Series` | ❌CMO | ❌GetCmo | ❌cmo | cmo |
| COG - Center of Gravity |||||
| COPPOCK - Coppock Curve |||||
| CTI - Ehler's Correlation Trend Indicator |||||
| DPO - Detrended Price Oscillator ||| GetDpo ||
| DMI - Directional Movement Index || DX | GetAdx ||
| EFI - Elder Ray's Force Index ||| GetElderRay ||
| FOSC - Forecast oscillator ||||| fosc |
| GAT - Alligator oscillator ||| GetGator ||
| HURST - Hurst Exponent ||| GetHurst ||
| KRI - Kairi Relative Index |||||
| KVO - Klinger Volume Oscillator |||||
| MFI - Money Flow Index || MFI | GetMfi ||
| MOM - Momentum || MOM |||
| NVI - Negative Volume Index |||||
| PO - Price Oscillator |||||
| PPO - Percentage Price Oscillator || PPO |||
| PMO - Price Momentum Oscillator |||||
| PVI - Positive Volume Index |||||
| ROC - Rate of Change || MOM | GetRoc ||
| RVGI - Relative Vigor Index |||||
| SMI - Stochastic Momentum Index |||||
| STC - Schaff Trend Cycle |||||
| STOCH - Stochastic Oscillator || STOCH | GetStoch ||
| TRIX - 1-day ROC of TEMA | TRIX | TRIX | GetTrix | trix |
| TSI - True Strength Index |||||
| UO - Ultimate Oscillator || ULTOSC | GetUltimate ||
| WILLR - Larry Williams' %R || WILLR | GetWilliamsR ||
| WGAT - Williams Alligator |||||
||||||
| **VOLUME INDICATORS** |
||||||
| AOBV - Archer On-Balance Volume |||||
| CMF - Chaikin Money Flow |||||
| EOM - Ease of Movement ||||| emv |
| KVO - Klinger Volume Oscilaltor ||||| kvo |
| OBV - On-Balance Volume | `OBV_Series` | OBV | GetObv ||
| PRS - Price Relative Strength ||||
| PVOL - Price-Volume |||||
| PVO - Percentage Volume Oscillator |||||
| PVR - Price Volume Rank |||||
| PVT - Price Volume Trend |||||
| VP - Volume Profile |||||
| VWAP - Volume Weighted Average Price |||||
| VWMA - Volume Weighted Moving Average |||||
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