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macos dev update

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Miha
2024-10-26 23:54:55 -07:00
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docs/indicators/averages/jma/calc.md
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# JMA Calculation
### Initial Parameters:
$\beta = factor \cdot \frac{period - 1}{factor \cdot (period - 1) + 2}$
$len1 = \frac{\ln(\sqrt{period - 1})}{\ln(2)} + 2$
$pow1 = \max(len1 - 2, 0.5)$
$phase \in [0.5, 2.5]$ (clamped to $(phase \cdot 0.01) + 1.5$)
### Volatility Calculations:
$del1_t = price_t - upperBand_{t-1}$
$del2_t = price_t - lowerBand_{t-1}$
$volty_t = \max(|del1_t|, |del2_t|)$
$vSum_t = \frac{\sum_{i=t-buffer+1}^t volty_i}{buffer}$
$avgVolty_t = \text{mean}(vSum_{t-64:t})$
$rVolty_t = \text{clamp}(\frac{volty_t}{avgVolty_t}, 1, len1^{1/pow1})$
### Band Calculations:
$pow2_t = rVolty_t^{pow1}$
$K_v = \beta^{\sqrt{pow2_t}}$
$upperBand_t = price_t - K_v \cdot del1_t$
$\alpha_t = \beta^{pow2_t}$
$ma1_t = price_t + \alpha_t(ma1_{t-1} - price_t)$
$det0_t = price_t + \beta(det0_{t-1} - price_t + ma1_t) - ma1_t$
$ma2_t = ma1_t + phase \cdot det0_t$
$det1_t = (ma2_t - jma_{t-1})(1-\alpha_t)^2 + \alpha_t^2 \cdot det1_{t-1}$
$jma_t = jma_{t-1} + det1_t$
docs/indicators/indicators.md
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✔️= Validation tests passed<br>
❌= Issue
|**MOMENTUM INDICATORS**|**QuanTALib**|Skender.Stock|TALib.NETCore|
|**MOMENTUM INDICATORS**|**Class Name**|Skender.Stock|TALib.NETCore|
|--|:--:|:--:|:--:|
|*DMI - Directional Movement Index|`?`|GetDmi||
|*DMX - Jurik Directional Movement Index|`?`|||
|*MOM - Momentum|`?`|||
|*VEL - Jurik Signal Velocity|`?`|||
|DMI - Directional Movement Index|`?`|GetDmi||
|DMX - Jurik Directional Movement Index|`?`|||
|MOM - Momentum|`?`|||
|VEL - Jurik Signal Velocity|`?`|||
|ADX - Average Directional Movement Index|`?`|GetAdx|Adx|
|ADXR - Average Directional Movement Index|`?`|Rating|Adxr|
|APO - Absolute Price Oscillator|`?`|Apo||
|DPO - Detrended Price Oscillator|`?`|GetDpo||
|MACD - Movign Average Convergence/Divergence|`?`|||
|MACD - Moving Average Convergence/Divergence|`?`|||
|PO - Price Oscillator|`?`|||
|PPO - Percentage Price Oscillator|`?`|||
|PMO - Price Momentum Oscillator|`?`|GetPmo||
@@ -23,161 +23,161 @@
|TRIX - 1-day ROC of TEMA|`?`|GetTrix||
|VORTEX - Vortex Indicator|`?`|||
<br>
|**VOLATILITY INDICATORS**|**QuanTALib**|Skender.Stock|TALib.NETCore|
|ADR - Average Daily Range||||
|ANDREW - Andrew's Pitchfork||||
|**VOLATILITY INDICATORS**|**Class Name**|Skender.Stock|TALib.NETCore|
|ADR - Average Daily Range|`?`|||
|ANDREW - Andrew's Pitchfork|`?`|||
|ATR - Average True Range|`Atr`|GetAtr|Atr|
|ATRP - Average True Range Percent||||
|ATRSTOP - ATR Trailing Stop ||GetAtrStop||
|BBANDS - Bollinger Bands®||BollingerBands||
|CHAND - Chandelier Exit||GetChandelier||
|CVI - Chaikins Volatility||||
|DON - Donchian Channels||GetDonchian||
|FCB - Fractal Chaos Bands||GetFcb||
|HV - Historical Volatility||||
|ICH - Ichimoku Cloud||GetIchimoku||
|KEL - Keltner Channels||GetKeltner||
|NATR - Normalized Average True Range||GetAtr||
|CHN - Price Channel Indicator||||
|SAR - Parabolic Stop and Reverse||GetParabolicSar||
|STARC - Starc Bands||GetStarcBands||
|TR - True Range||||
|UI - Ulcer Index||GetUlcerIndex||
|VSTOP - Volatility Stop||GetVolatilityStop||
|ATRP - Average True Range Percent|`?`|||
|ATRSTOP - ATR Trailing Stop|`?`|GetAtrStop||
|BBANDS - Bollinger Bands®|`?`|BollingerBands||
|CHAND - Chandelier Exit|`?`|GetChandelier||
|CVI - Chaikins Volatility|`?`|||
|DON - Donchian Channels|`?`|GetDonchian||
|FCB - Fractal Chaos Bands|`?`|GetFcb||
|HV - Historical Volatility|`Hv`|||
|ICH - Ichimoku Cloud|`?`|GetIchimoku||
|KEL - Keltner Channels|`?`|GetKeltner||
|NATR - Normalized Average True Range|`?`|GetAtr||
|CHN - Price Channel Indicator|`?`|||
|SAR - Parabolic Stop and Reverse|`?`|GetParabolicSar||
|STARC - Starc Bands|`?`|GetStarcBands||
|TR - True Range|`?`|||
|UI - Ulcer Index|`?`|GetUlcerIndex||
|VSTOP - Volatility Stop|`?`|GetVolatilityStop||
<br>
|**OSCILLATORS**|**QuanTALib**|Skender.Stock|TALib.NETCore|
|**OSCILLATORS**|**Class Name**|Skender.Stock|TALib.NETCore|
|RSI - Relative Strength Index|`Rsi`|GetRsi||
|RSX - Jurik Trend Strength Index|`Rsx`|||
|AC - Acceleration Oscillator|||||
|AO - Awesome Oscillator||GetAwesome|||
|AROON - Aroon oscillator||GetAroon|Aroon||
|BOP - Balance of Power||GetBop|Bop||
|CCI - Commodity Channel Index||GetCci|Cci||
|CFO - Chande Forcast Oscillator|||||
|CMO - Chande Momentum Oscillator||GetCmo|Cmo||
|CHOP - Choppiness Index||GetChop|||
|COG - Ehler's Center of Gravity|||||
|COPPOCK - Coppock Curve|||||
|CRSI - Connor RSI||GetConnorsRsi|||
|CTI - Ehler's Correlation Trend Indicator|||||
|DOSC - Derivative Oscillator|||||
|EFI - Elder Ray's Force Index||GetElderRay|||
|FISHER - Fisher Transform|||||
|FOSC - Forecast Oscillator||||||
|GATOR - Williams Alliator Oscillator||GetGator|||
|KDJ - KDJ Indicator (trend reversal)|||||
|KRI - Kairi Relative Index|||||
|RVGI - Relative Vigor Index|||||
|SMI - Stochastic Momentum Index||GetSmi|||
|SRSI - Stochastic RSI||GetStochRsi|||
|STC - Schaff Trend Cycle||GetStc|||
|STOCH - Stochastic Oscillator||`GetStoch|||
|TSI - True Strength Index||GetTsi|||
|UO - Ultimate Oscillator||GetUltimate|||
|WILLR - Larry Williams' %R||GetWilliamsR|||
|AC - Acceleration Oscillator|`?`|||
|AO - Awesome Oscillator|`?`|GetAwesome||
|AROON - Aroon oscillator|`?`|GetAroon|Aroon|
|BOP - Balance of Power|`?`|GetBop|Bop|
|CCI - Commodity Channel Index|`?`|GetCci|Cci|
|CFO - Chande Forcast Oscillator|`?`|||
|CMO - Chande Momentum Oscillator|`Cmo`|GetCmo|Cmo|
|CHOP - Choppiness Index|`?`|GetChop||
|COG - Ehler's Center of Gravity|`?`|||
|COPPOCK - Coppock Curve|`?`|||
|CRSI - Connor RSI|`?`|GetConnorsRsi||
|CTI - Ehler's Correlation Trend Indicator|`?`|||
|DOSC - Derivative Oscillator|`?`|||
|EFI - Elder Ray's Force Index|`?`|GetElderRay||
|FISHER - Fisher Transform|`?`|||
|FOSC - Forecast Oscillator|`?`|||
|GATOR - Williams Alliator Oscillator|`?`|GetGator||
|KDJ - KDJ Indicator (trend reversal)|`?`|||
|KRI - Kairi Relative Index|`?`|||
|RVGI - Relative Vigor Index|`?`|||
|SMI - Stochastic Momentum Index|`?`|GetSmi||
|SRSI - Stochastic RSI|`?`|GetStochRsi||
|STC - Schaff Trend Cycle|`?`|GetStc||
|STOCH - Stochastic Oscillator|`?`|GetStoch||
|TSI - True Strength Index|`?`|GetTsi||
|UO - Ultimate Oscillator|`?`|GetUltimate||
|WILLR - Larry Williams' %R|`?`|GetWilliamsR||
<br>
|**VOLUME INDICATORS**|**QuanTALib**|Skender.Stock|TALib.NETCore|
|ADL - Chaikin Accumulation Distribution Line||GetAdl|Ad||
|ADOSC - Chaikin Accumulation Distribution Oscillator||GetChaikinOsc|AdOsc||
|AOBV - Archer On-Balance Volume|||||
|CMF - Chaikin Money Flow||GetCmf|||
|EOM - Ease of Movement|||||
|KVO - Klinger Volume Oscillator||GetKvo||||
|MFI - Money Flow Index||GetMfi|||
|NVI - Negative Volume Index|||||
|OBV - On-Balance Volume||GetObv|||
|PVI - Positive Volume Index|||||
|PVOL - Price-Volume|||||
|PVO - Percentage Volume Oscillator||GetPvo|||
|PVR - Price Volume Rank|||||
|PVT - Price Volume Trend|||||
|TVI - Trade Volume Index|||||
|VP - Volume Profile|||||
|VWAP - Volume Weighted Average Price||GetVwap|||
|VWMA - Volume Weighted Moving Average||GetVwma||||
|**VOLUME INDICATORS**|**Class Name**|Skender.Stock|TALib.NETCore|
|ADL - Chaikin Accumulation Distribution Line|`?`|GetAdl|Ad|
|ADOSC - Chaikin Accumulation Distribution Oscillator|`?`|GetChaikinOsc|AdOsc|
|AOBV - Archer On-Balance Volume|`?`|||
|CMF - Chaikin Money Flow|`?`|GetCmf||
|EOM - Ease of Movement|`?`|||
|KVO - Klinger Volume Oscillator|`?`|GetKvo||
|MFI - Money Flow Index|`?`|GetMfi||
|NVI - Negative Volume Index|`?`|||
|OBV - On-Balance Volume|`?`|GetObv||
|PVI - Positive Volume Index|`?`|||
|PVOL - Price-Volume|`?`|||
|PVO - Percentage Volume Oscillator|`?`|GetPvo||
|PVR - Price Volume Rank|`?`|||
|PVT - Price Volume Trend|`?`|||
|TVI - Trade Volume Index|`?`|||
|VP - Volume Profile|`?`|||
|VWAP - Volume Weighted Average Price|`?`|GetVwap||
|VWMA - Volume Weighted Moving Average|`?`|GetVwma||
<br>
|**NUMERICAL ANALYSIS**|**QuanTALib**|Skender.Stock|TALib.NETCore|
|BETA - Beta coefficient|||||
|CORR - Correlation Coefficient|||||
|CURVATURE - Rate of Change in Direction or Slope|`Curvature`||||
|ENTROPY - Measure of Uncertainty or Disorder|`Entropy`||||
|KURTOSIS - Measure of Tails/Peakedness|`Kurtosis`||||
|HUBER - Huber Loss|`Huberloss`||||
|HURST - Hurst Exponent||GetHurst|||
|MAX - Maximum with exponential decay|`Max`||||
|MEDIAN - Middle value|`Median`||||
|MIN - Minimum with exponential decay|`Min`||||
|MODE - Most Frequent Value|`Mode`||||
|PERCENTILE - Rank Order|`Percentile`||||
|RSQUARED - Coefficient of Determination R-Squared|||||
|SKEW - Skewness, asymmetry of distribution|`Skew`||||
|SLOPE - Rate of Change, Linear Regression|`Slope`||||
|STDDEV - Standard Deviation, Measure of Spread|`Stddev`||||
|THEIL - Theil's U Statistics|||||
|TSF - Time Series Forecast|||`✔️`|`✔️`|
|VARIANCE - Average of Squared Deviations|`Variance`||||
|ZSCORE - Standardized Score|`Zscore`||||
|**NUMERICAL ANALYSIS**|**Class Name**|Skender.Stock|TALib.NETCore|
|BETA - Beta coefficient|`?`|||
|CORR - Correlation Coefficient|`?`|||
|CURVATURE - Rate of Change in Direction or Slope|`Curvature`|||
|ENTROPY - Measure of Uncertainty or Disorder|`Entropy`|||
|KURTOSIS - Measure of Tails/Peakedness|`Kurtosis`|||
|HUBER - Huber Loss|`Huber`|||
|HURST - Hurst Exponent|`?`|GetHurst||
|MAX - Maximum with exponential decay|`Max`|||
|MEDIAN - Middle value|`Median`|||
|MIN - Minimum with exponential decay|`Min`|||
|MODE - Most Frequent Value|`Mode`|||
|PERCENTILE - Rank Order|`Percentile`|||
|RSQUARED - Coefficient of Determination R-Squared|`?`|||
|SKEW - Skewness, asymmetry of distribution|`Skew`|||
|SLOPE - Rate of Change, Linear Regression|`Slope`|||
|STDDEV - Standard Deviation, Measure of Spread|`Stddev`|||
|THEIL - Theil's U Statistics|`?`|||
|TSF - Time Series Forecast|`?`|✔️|✔️|
|VARIANCE - Average of Squared Deviations|`Variance`|||
|ZSCORE - Standardized Score|`Zscore`|||
<br>
|**ERRORS**|**QuanTALib**|Skender.Stock|TALib.NETCore|
|MAE - Mean Absolute Error|`Mae`||||
|MAPD - Mean Absolute Percentage Deviation|`Mapd`||||
|MAPE - Mean Absolute Percentage Error|`Mape`||||
|MASE - Mean Absolute Scaled Error|`Mase`||||
|MDA - Mean Directional Accuracy|||||
|ME - Mean Error|`Me`||||
|MPE - Pean Percentage Error|`Mpe`||||
|MSE - Mean Squared Error|`Mse`||||
|MSLE - Mean Squared Logarithmic Error|`Msle`||||
|RAE - Relative Absolute Error|`Rae`||||
|RMSE - Root Mean Squared Error|`Rmse`||||
|RSE - Relateive Squared Error|`Rse`||||
|RMSLE - Root Mean Squared Logarithmic Error|`Rmsle`||||
|SMAPE - Symmetric Mean Absolute Percentage Error|`Smape`||||
|**ERRORS**|**Class Name**|Skender.Stock|TALib.NETCore|
|MAE - Mean Absolute Error|`Mae`|||
|MAPD - Mean Absolute Percentage Deviation|`Mapd`|||
|MAPE - Mean Absolute Percentage Error|`Mape`|||
|MASE - Mean Absolute Scaled Error|`Mase`|||
|MDA - Mean Directional Accuracy|`Mda`|||
|ME - Mean Error|`Me`|||
|MPE - Mean Percentage Error|`Mpe`|||
|MSE - Mean Squared Error|`Mse`|||
|MSLE - Mean Squared Logarithmic Error|`Msle`|||
|RAE - Relative Absolute Error|`Rae`|||
|RMSE - Root Mean Squared Error|`Rmse`|||
|RSE - Relative Squared Error|`Rse`|||
|RMSLE - Root Mean Squared Logarithmic Error|`Rmsle`|||
|SMAPE - Symmetric Mean Absolute Percentage Error|`Smape`|||
<br>
|**AVERAGES & TRENDS**|**QuanTALib**|Skender.Stock|TALib.NETCore|
|AFIRMA - Autoregressive Finite Impulse Response Moving Average|`Afirma`||||
|ALMA - Arnaud Legoux Moving Average|`Alma`|`✔️`||
|DEMA - Double EMA Average|`Dema`|`✔️`|`✔️`|
|DSMA - Deviation Scaled Moving Average|`Dsma`||||
|DWMA - Double WMA Average|`Dwma`||||
|EMA - Exponential Moving Average|`Ema`|`⭐`|`⭐`|
|EPMA - Endpoint Moving Average|`Epma`|`✔️`|||
|FRAMA - Fractal Adaptive Moving Average|`Frama`||||
|FWMA - Fibonacci Weighted Moving Average|`Fwma`||||
|HILO - Gann High-Low Activator|||||
|HTIT - Hilbert Transform Instantaneous Trendline|`Htit`|`✔️`|`✔️`||
|GMA - Gaussian-Weighted Moving Average|`Gma`||||
|HMA - Hull Moving Average|`Hma`|`✔️`||`✔️`|
|HWMA - Holt-Winter Moving Average|`Hwma`||||
|JMA - Jurik Moving Average|`Jma`||||
|JORDAN - Jordan Moving Average|||||
|KAMA - Kaufman's Adaptive Moving Average|`Kama`|`✔️`|`✔️`|`✔️`|
|LTMA - Laguerre Transform Moving Average|`Ltma`||||
|MAAF - Median-Average Adaptive Filter|`Maaf`||||
|MAMA - MESA Adaptive Moving Average|`Mama`|`✔️`|`✔️`||
|MGDI - McGinley Dynamic Indicator|`Mgdi`|`✔️`|||
|MLMA - Minimal Lag Moving Average|||||
|MMA - Modified Moving Average|`Mma`||||
|PPMA - Pivot Point Moving Average|||||
|PWMA - Pascal's Weighted Moving Average|`Pwma`||||
|QEMA - Quad Exponential Moving Average|`Qema`||||
|RMA - WildeR's Moving Average|`Rma`||||
|SINEMA - Sine Weighted Moving Average|`Sinema`||||
|**AVERAGES & TRENDS**|**Class Name**|Skender.Stock|TALib.NETCore|
|AFIRMA - Autoregressive Finite Impulse Response Moving Average|`Afirma`|||
|ALMA - Arnaud Legoux Moving Average|`Alma`|✔️||
|DEMA - Double EMA Average|`Dema`|✔️|✔️|
|DSMA - Deviation Scaled Moving Average|`Dsma`|||
|DWMA - Double WMA Average|`Dwma`|||
|EMA - Exponential Moving Average|`Ema`|⭐|⭐|
|EPMA - Endpoint Moving Average|`Epma`|✔️||
|FRAMA - Fractal Adaptive Moving Average|`Frama`|||
|FWMA - Fibonacci Weighted Moving Average|`Fwma`|||
|HILO - Gann High-Low Activator|`?`|||
|HTIT - Hilbert Transform Instantaneous Trendline|`Htit`|✔️|✔️|
|GMA - Gaussian-Weighted Moving Average|`Gma`|||
|HMA - Hull Moving Average|`Hma`|✔️|✔️|
|HWMA - Holt-Winter Moving Average|`Hwma`|||
|JMA - Jurik Moving Average|`Jma`|||
|JORDAN - Jordan Moving Average|`?`|||
|KAMA - Kaufman's Adaptive Moving Average|`Kama`|✔️|✔️|
|LTMA - Laguerre Transform Moving Average|`Ltma`|||
|MAAF - Median-Average Adaptive Filter|`Maaf`|||
|MAMA - MESA Adaptive Moving Average|`Mama`|✔️|✔️|
|MGDI - McGinley Dynamic Indicator|`Mgdi`|✔️||
|MLMA - Minimal Lag Moving Average|`?`|||
|MMA - Modified Moving Average|`Mma`|||
|PPMA - Pivot Point Moving Average|`?`|||
|PWMA - Pascal's Weighted Moving Average|`Pwma`|||
|QEMA - Quad Exponential Moving Average|`Qema`|||
|RMA - WildeR's Moving Average|`Rma`|||
|SINEMA - Sine Weighted Moving Average|`Sinema`|||
|SMA - Simple Moving Average|`Sma`|||
|SMMA - Smoothed Moving Average|`Smma`|`✔️`||
|SSF - Ehler's Super Smoother Filter||||
|SUPERTREND - Supertrend||`✔️`||
|T3 - Tillson T3 Moving Average|`T3`|`✔️`|`✔️`|
|TEMA - Triple EMA Average|`Tema`|`✔️`|`✔️`|
|TRIMA - Triangular Moving Average|`Trima`|`✔️`||
|SMMA - Smoothed Moving Average|`Smma`|✔️||
|SSF - Ehler's Super Smoother Filter|`?`|||
|SUPERTREND - Supertrend|`?`|✔️||
|T3 - Tillson T3 Moving Average|`T3`|✔️|✔️|
|TEMA - Triple EMA Average|`Tema`|✔️|✔️|
|TRIMA - Triangular Moving Average|`Trima`|✔️||
|VIDYA - Variable Index Dynamic Average|`Vidya`|||
|WMA - Weighted Moving Average|`Wma`|`✔️`||
|WMA - Weighted Moving Average|`Wma`|✔️||
|ZLEMA - Zero Lag EMA Average|`Zlema`|||
<br>
|**BASIC TRANSFORMS**|**QuanTALib**|Skender.Stock|TALib.NETCore|
|OC2 - Midpoint price|️`.OC2`|CandlePart.OC2|MidPoint|
|HL2 - Median Price|️`.HL2`|CandlePart.HL2|MedPrice|
|HLC3 - Typical Price|️`.HLC3`|CandlePart.HLC3|TypPrice|
|OHL3 - Mean Price|`️.OHL3`|CandlePart.OHL3|
|OHLC4 - Average Price|`️.OHLC4`|CandlePart.OHLC4|AvgPrice|
|HLCC4 - Weighted Price|`️.HLCC4`||WclPrice|
|**BASIC TRANSFORMS**|**Class Name**|Skender.Stock|TALib.NETCore|
|OC2 - Midpoint price|`.OC2`|CandlePart.OC2|MidPoint|
|HL2 - Median Price|`.HL2`|CandlePart.HL2|MedPrice|
|HLC3 - Typical Price|`.HLC3`|CandlePart.HLC3|TypPrice|
|OHL3 - Mean Price|`.OHL3`|CandlePart.OHL3||
|OHLC4 - Average Price|`.OHLC4`|CandlePart.OHLC4|AvgPrice|
|HLCC4 - Weighted Price|`.HLCC4`||WclPrice|