gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-16 09:38:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

Adr, Ap, Atrp, Atrs, Vp, Vwap, Vwma

Browse Source
This commit is contained in:
Miha Kralj
2024-11-01 18:36:01 -07:00
parent 7c6b698c9a
commit f519594371
14 changed files with 1035 additions and 120 deletions
Download Patch File Download Diff File Expand all files Collapse all files
docs/indicators/indicators.md
+75 -90
View File
@@ -1,30 +1,27 @@
# Indicators in QuanTAlib
\* = Returns multiple values
| **Category** | **Status** | **Completion** |
|--------------|:----------:|:--------------:|
| Basic Transforms | 6 of 6 | 100% |
| Averages & Trends | 33 of 33 | 100% |
| Momentum | 17 of 17 | 100% |
| Oscillators | 12 of 29 | 41% |
| Volatility | 15 of 35 | 43% |
| Volume | 19 of 19 | 100% |
| Numerical Analysis | 13 of 20 | 65% |
| Errors | 16 of 16 | 100% |
| **Total** | **131 of 175** | **75%** |
**Implementation Status:**
- Basic Transforms: 6 of 6 complete
- Averages & Trends: 33 of 33 complete
- Momentum: 17 of 17 complete
- Oscillators: 11 of 29 complete
- Volatility: 11 of 35 complete
- Volume: 15 of 19 complete
- Numerical Analysis: 13 of 20 complete
- Errors: 16 of 16 complete
- Total: 122 of 175 indicators implemented (70%)
|**BASIC TRANSFORMS**|**Class Name**|
|---|:--:|
|Technical Indicator Name| Class Name|
|-----------|:----------:|
|**BASIC TRANSFORMS**||
|OC2 - Midpoint price|`.OC2`|
|HL2 - Median Price|`.HL2`|
|HLC3 - Typical Price|`.HLC3`|
|OHL3 - Mean Price|`.OHL3`|
|OHLC4 - Average Price|`.OHLC4`|
|HLCC4 - Weighted Price|`.HLCC4`|
|**AVERAGES & TRENDS**|**Class Name**|
|--|:--:|
|**AVERAGES & TRENDS**||
|AFIRMA - Adaptive FIR Moving Average|`Afirma`|
|ALMA - Arnaud Legoux Moving Average|`Alma`|
|DEMA - Double Exponential Moving Average|`Dema`|
@@ -58,9 +55,7 @@
|VIDYA - Variable Index Dynamic Average|`Vidya`|
|WMA - Weighted Moving Average|`Wma`|
|ZLEMA - Zero-Lag Exponential Moving Average|`Zlema`|
|**MOMENTUM INDICATORS**|**Class Name**|
|--|:--:|
|**MOMENTUM INDICATORS**||
|ADX - Average Directional Movement Index|`Adx`|
|ADXR - Average Directional Movement Index Rating|`Adxr`|
|APO - Absolute Price Oscillator|`Apo`|
@@ -78,79 +73,73 @@
|TRIX - 1-day ROC of TEMA|`Trix`|
|VEL - Jurik Signal Velocity|`Vel`|
|VORTEX* - Vortex Indicator (VI+, VI-)|`Vortex`|
|**OSCILLATORS**|**Class Name**|
|--|:--:|
|**OSCILLATORS**||
|AC - Acceleration Oscillator|`Ac`|
|AO - Awesome Oscillator|`Ao`|
|AROON* - Aroon oscillator (Up, Down)|`Aroon`|
|🚧 BOP - Balance of Power|`Bop`|
|BOP - Balance of Power|`Bop`|
|CCI - Commodity Channel Index|`Cci`|
|CFO - Chande Forcast Oscillator|`Cfo`|
|CMO - Chande Momentum Oscillator|`Cmo`|
|CHOP - Choppiness Index|`Chop`|
|COG - Ehler's Center of Gravity|`Cog`|
|🚧 COPPOCK - Coppock Curve|`Coppock`|
|🚧 CRSI - Connor RSI|`Crsi`|
|🚧 CTI - Ehler's Correlation Trend Indicator|`Cti`|
|🚧 DOSC - Derivative Oscillator|`Dosc`|
|🚧 EFI - Elder Ray's Force Index|`Efi`|
|🚧 FISHER - Fisher Transform|`Fisher`|
|🚧 FOSC - Forecast Oscillator|`Fosc`|
|🚧 GATOR* - Williams Alliator Oscillator (Upper Jaw, Lower Jaw, Teeth)|`Gator`|
|🚧 KDJ* - KDJ Indicator (K, D, J lines)|`Kdj`|
|🚧 KRI - Kairi Relative Index|`Kri`|
|🚧 COPPOCK - Coppock Curve|`Coppock`|
|🚧 CRSI - Connor RSI|`Crsi`|
|🚧 CTI - Ehler's Correlation Trend Indicator|`Cti`|
|🚧 DOSC - Derivative Oscillator|`Dosc`|
|🚧 EFI - Elder Ray's Force Index|`Efi`|
|🚧 FISHER - Fisher Transform|`Fisher`|
|🚧 FOSC - Forecast Oscillator|`Fosc`|
|🚧 GATOR* - Williams Alliator Oscillator (Upper Jaw, Lower Jaw, Teeth)|`Gator`|
|🚧 KDJ* - KDJ Indicator (K, D, J lines)|`Kdj`|
|🚧 KRI - Kairi Relative Index|`Kri`|
|RSI - Relative Strength Index|`Rsi`|
|RSX - Jurik Trend Strength Index|`Rsx`|
|🚧 RVGI* - Relative Vigor Index (RVGI, Signal)|`Rvgi`|
|🚧 SMI - Stochastic Momentum Index|`Smi`|
|🚧 SRSI* - Stochastic RSI (SRSI, Signal)|`Srsi`|
|🚧 STC - Schaff Trend Cycle|`Stc`|
|🚧 STOCH* - Stochastic Oscillator (%K, %D)|`Stoch`|
|🚧 TSI - True Strength Index|`Tsi`|
|🚧 UO - Ultimate Oscillator|`Uo`|
|🚧 WILLR - Larry Williams' %R|`Willr`|
|**VOLATILITY INDICATORS**|**Class Name**|
|--|:--:|
|🚧 ADR - Average Daily Range|`Adr`|
|🚧 AP - Andrew's Pitchfork|`Ap`|
|🚧 RVGI* - Relative Vigor Index (RVGI, Signal)|`Rvgi`|
|🚧 SMI - Stochastic Momentum Index|`Smi`|
|🚧 SRSI* - Stochastic RSI (SRSI, Signal)|`Srsi`|
|🚧 STC - Schaff Trend Cycle|`Stc`|
|🚧 STOCH* - Stochastic Oscillator (%K, %D)|`Stoch`|
|🚧 TSI - True Strength Index|`Tsi`|
|🚧 UO - Ultimate Oscillator|`Uo`|
|🚧 WILLR - Larry Williams' %R|`Willr`|
|**VOLATILITY INDICATORS**||
|ADR - Average Daily Range|`Adr`|
|AP - Andrew's Pitchfork|`Ap`|
|ATR - Average True Range|`Atr`|
|🚧 ATRP - Average True Range Percent|`Atrp`|
|🚧 ATRS - ATR Trailing Stop|`Atrs`|
|🚧 BB* - Bollinger Bands® (Upper, Middle, Lower)|`Bb`|
|🚧 CCV - Close-to-Close Volatility|`Ccv`|
|🚧 CE - Chandelier Exit|`Ce`|
|🚧 CV - Conditional Volatility (ARCH/GARCH)|`Cv`|
|🚧 CVI - Chaikin's Volatility|`Cvi`|
|🚧 DC* - Donchian Channels (Upper, Middle, Lower)|`Dc`|
|🚧 EWMA - Exponential Weighted Moving Average Volatility|`Ewma`|
|🚧 FCB - Fractal Chaos Bands|`Fcb`|
|🚧 GKV - Garman-Klass Volatility|`Gkv`|
|🚧 HLV - High-Low Volatility|`Hlv`|
|ATRP - Average True Range Percent|`Atrp`|
|ATRS - ATR Trailing Stop|`Atrs`|
|🚧 BB* - Bollinger Bands® (Upper, Middle, Lower)|`Bb`|
|🚧 CCV - Close-to-Close Volatility|`Ccv`|
|🚧 CE - Chandelier Exit|`Ce`|
|🚧 CV - Conditional Volatility (ARCH/GARCH)|`Cv`|
|🚧 CVI - Chaikin's Volatility|`Cvi`|
|🚧 DC* - Donchian Channels (Upper, Middle, Lower)|`Dc`|
|🚧 EWMA - Exponential Weighted Moving Average Volatility|`Ewma`|
|🚧 FCB - Fractal Chaos Bands|`Fcb`|
|🚧 GKV - Garman-Klass Volatility|`Gkv`|
|🚧 HLV - High-Low Volatility|`Hlv`|
|HV - Historical Volatility|`Hv`|
|🚧 ICH* - Ichimoku Cloud (Conversion, Base, Leading Span A, Leading Span B, Lagging Span)|`Ich`|
|🚧 ICH* - Ichimoku Cloud (Conversion, Base, Leading Span A, Leading Span B, Lagging Span)|`Ich`|
|JVOLTY - Jurik Volatility|`Jvolty`|
|🚧 KC* - Keltner Channels (Upper, Middle, Lower)|`Kc`|
|🚧 NATR - Normalized Average True Range|`Natr`|
|🚧 PCH - Price Channel Indicator|`Pch`|
|🚧 PSAR* - Parabolic Stop and Reverse (Value, Trend)|`Psar`|
|🚧 PV - Parkinson Volatility|`Pv`|
|🚧 RSV - Rogers-Satchell Volatility|`Rsv`|
|🚧 KC* - Keltner Channels (Upper, Middle, Lower)|`Kc`|
|🚧 NATR - Normalized Average True Range|`Natr`|
|🚧 PCH - Price Channel Indicator|`Pch`|
|🚧 PSAR* - Parabolic Stop and Reverse (Value, Trend)|`Psar`|
|🚧 PV - Parkinson Volatility|`Pv`|
|🚧 RSV - Rogers-Satchell Volatility|`Rsv`|
|RV - Realized Volatility|`Rv`|
|RVI - Relative Volatility Index|`Rvi`|
|🚧 STARC* - Starc Bands (Upper, Middle, Lower)|`Starc`|
|🚧 SV - Stochastic Volatility|`Sv`|
|🚧 STARC* - Starc Bands (Upper, Middle, Lower)|`Starc`|
|🚧 SV - Stochastic Volatility|`Sv`|
|TR - True Range|`Tr`|
|UI - Ulcer Index|`Ui`|
|VC* - Volatility Cone (Mean, Upper Bound, Lower Bound)|`Vc`|
|VOV - Volatility of Volatility|`Vov`|
|VR - Volatility Ratio|`Vr`|
|VS* - Volatility Stop (Long Stop, Short Stop)|`Vs`|
|🚧 YZV - Yang-Zhang Volatility|`Yzv`|
|**VOLUME INDICATORS**|**Class Name**|
|--|:--:|
|🚧 YZV - Yang-Zhang Volatility|`Yzv`|
|**VOLUME INDICATORS**||
|ADL - Chaikin Accumulation Distribution Line|`Adl`|
|ADOSC - Chaikin Accumulation Distribution Oscillator|`Adosc`|
|AOBV - Archer On-Balance Volume|`Aobv`|
@@ -166,36 +155,32 @@
|PVR - Price Volume Rank|`Pvr`|
|PVT - Price Volume Trend|`Pvt`|
|TVI - Trade Volume Index|`Tvi`|
|🚧 VF - Volume Force|`Vf`|
|🚧 VP - Volume Profile|`Vp`|
|🚧 VWAP - Volume Weighted Average Price|`Vwap`|
|🚧 VWMA - Volume Weighted Moving Average|`Vwma`|
|**NUMERICAL ANALYSIS**|**Class Name**|
|--|:--:|
|🚧 BETA* - Beta coefficient (Beta, R-squared)|`Beta`|
|🚧 CORR* - Correlation Coefficient (Correlation, P-value)|`Corr`|
|VF - Volume Force|`Vf`|
|VP - Volume Profile|`Vp`|
|VWAP - Volume Weighted Average Price|`Vwap`|
|VWMA - Volume Weighted Moving Average|`Vwma`|
|**NUMERICAL ANALYSIS**||
|🚧 BETA* - Beta coefficient (Beta, R-squared)|`Beta`|
|🚧 CORR* - Correlation Coefficient (Correlation, P-value)|`Corr`|
|CURVATURE - Rate of Change in Direction or Slope|`Curvature`|
|ENTROPY - Measure of Uncertainty or Disorder|`Entropy`|
|🚧 HUBER - Huber Loss|`Huber`|
|🚧 HURST - Hurst Exponent|`Hurst`|
|🚧 HUBER - Huber Loss|`Huber`|
|🚧 HURST - Hurst Exponent|`Hurst`|
|KURTOSIS - Measure of Tails/Peakedness|`Kurtosis`|
|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, Adjusted R-squared)|`Rsquared`|
|🚧 RSQUARED* - Coefficient of Determination (R-squared, Adjusted R-squared)|`Rsquared`|
|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 (U1, U2)|`Theil`|
|🚧 TSF* - Time Series Forecast (Forecast, Confidence Interval)|`Tsf`|
|🚧 THEIL* - Theil's U Statistics (U1, U2)|`Theil`|
|🚧 TSF* - Time Series Forecast (Forecast, Confidence Interval)|`Tsf`|
|VARIANCE - Average of Squared Deviations|`Variance`|
|ZSCORE - Standardized Score|`Zscore`|
|**ERRORS**|**Class Name**|
|--|:--:|
|**ERRORS**||
|HUBER - Huber Loss|`Huber`|
|MAE - Mean Absolute Error|`Mae`|
|MAPD - Mean Absolute Percentage Deviation|`Mapd`|