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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
27 KiB
27 KiB
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Core concepts
-
Core
-
Trends (FIR)
- Overview
- ALMA - Arnaud Legoux MA
- BLMA - Blackman Window MA
- BWMA - Bessel-Weighted MA
- CONV - Convolution MA
- CRMA - Cubic Regression MA
- DWMA - Double Weighted MA
- FWMA - Fibonacci Weighted MA
- GWMA - Gaussian Weighted MA
- HAMMA - Hamming MA
- HANMA - Hanning MA
- HEND - Henderson Moving Average
- HMA - Hull MA
- ILRS - Integral of LinReg Slope
- KAISER - Kaiser Window MA
- LANCZOS - Lanczos (sinc) Window MA
- LSMA - Least Squares MA
- NLMA - Non-Lag MA
- NYQMA - Nyquist MA
- PARZEN - Parzen Window MA
- PMA - Predictive Moving Average
- PWMA - Pascal Weighted MA
- QRMA - Quadratic Regression MA
- RAIN - Rainbow MA
- RWMA - Range Weighted MA
- SGMA - Savitzky-Golay MA
- SINEMA - Sine Weighted MA
- SMA - Simple MA
- SP15 - Spencer's 15-Point MA
- SWMA - Symmetric Weighted MA
- TRIMA - Triangular MA
- TSF - Time Series Forecast
- TUKEY_W - Tukey (Tapered Cosine) Window MA
- WMA - Weighted MA
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Trends (IIR)
- Overview
- ADXVMA - ADX Variable MA
- AHRENS - Ahrens MA
- CORAL - Coral Trend Filter
- DECYCLER - Ehlers Decycler
- DEMA - Double Exponential MA
- DSMA - Deviation-Scaled MA
- EMA - Exponential MA
- FRAMA - Ehlers Fractal Adaptive MA
- GDEMA - Generalized DEMA
- HEMA - Hull Exponential MA
- HOLT - Holt Exponential Smoothing
- HTIT - Ehlers Hilbert Transform Instant Trendline (also known as HT_TRENDLINE)
- HWMA - Holt-Winters MA
- JMA - Jurik MA
- KAMA - Kaufman Adaptive MA
- LEMA - Leader EMA
- LTMA - Linear Trend MA
- MAMA - Ehlers MESA Adaptive MA
- MAVP - Moving Average Variable Period
- MCNMA - McNicholl EMA
- MGDI - McGinley Dynamic
- MMA - Modified MA
- NMA - Natural Moving Average
- QEMA - Quadruple Exponential MA
- REMA - Regularized Exponential MA
- RGMA - Recursive Gaussian MA
- RMA - wildeR MA
- T3 - Tillson T3 MA
- TEMA - Triple Exponential MA
- TRAMA - Trend Regularity Adaptive MA
- VAMA - Volatility Adjusted MA
- VIDYA - Variable Index Dynamic Average
- YZVAMA - Yang-Zhang Volatility Adjusted MA
- ZLDEMA - Zero-Lag Double Exponential MA
- ZLEMA - Zero-Lag Exponential MA
- ZLTEMA - Zero-Lag Triple Exponential MA
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Filters
- Overview
- AGC - Ehlers Automatic Gain Control
- ALAGUERRE - Ehlers Adaptive Laguerre Filter
- BAXTERKING - Baxter-King Band-Pass Filter
- BESSEL - Bessel Filter
- BILATERAL - Bilateral Filter
- BPF - Bandpass Filter
- BUTTER2 - Ehlers 2-Pole Butterworth Filter
- BUTTER3 - Ehlers 3-Pole Butterworth Filter
- CFITZ - Christiano-Fitzgerald Filter
- CHEBY1 - Chebyshev Type I
- CHEBY2 - Chebyshev Type II
- EDCF - Ehlers Distance Coefficient Filter
- ELLIPTIC - Elliptic Filter
- GAUSS - Gaussian Filter
- HANN - Hann Filter
- HP - Hodrick-Prescott Filter
- HPF - Ehlers Highpass Filter
- KALMAN - Kalman Filter
- LAGUERRE - Ehlers Laguerre Filter
- LMS - Least Mean Squares
- LOESS - LOESS Smoothing
- MODF - Modular Filter
- NOTCH - Notch Filter
- NW - Nadaraya-Watson Estimator
- ONEEURO - One Euro Filter
- RLS - Recursive Least Squares
- RMED - Ehlers Recursive Median Filter
- ROOFING - Ehlers Roofing Filter
- SAK - Ehlers Swiss Army Knife
- SGF - Savitzky-Golay Filter
- SPBF - Ehlers Super Passband Filter
- SSF2 - Ehlers 2-Pole Super Smoother Filter
- SSF3 - Ehlers 3-Pole Super Smoother Filter
- USF - Ehlers Ultimate Smoother Filter
- VOSS - Ehlers Voss Predictive Filter
- WAVELET - Wavelet Denoising Filter
- WIENER - Wiener Filter
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Oscillators
- Overview
- AC - Acceleration Oscillator
- AO - Awesome Oscillator
- APO - Absolute Price Oscillator
- BBB - Bollinger %B
- BBI - Bulls Bears Index
- BBS - Bollinger Band Squeeze
- BRAR - Bull-Bear Power Ratio
- CFO - Chande Forecast Oscillator
- COPPOCK - Coppock Curve
- CRSI - Connors RSI
- CTI - Correlation Trend Indicator
- DECO - Ehlers Decycler Oscillator
- DEM - DeMarker Oscillator
- DOSC - Derivative Oscillator
- DPO - Detrended Price Oscillator
- DYMOI - Dynamic Momentum Index
- ER - Efficiency Ratio
- ERI - Elder Ray Index
- FI - Force Index
- FISHER - Ehlers Fisher Transform
- FISHER04 - Ehlers Fisher Transform (2004)
- GATOR - Williams Gator Oscillator
- IMI - Intraday Momentum Index
- INERTIA - Inertia
- KDJ - KDJ Indicator
- KRI - Kairi Relative Index
- KST - Know Sure Thing Oscillator
- LRSI - Ehlers Laguerre RSI
- MARKETFI - Market Facilitation Index
- MSTOCH - Ehlers MESA Stochastic
- PGO - Pretty Good Oscillator
- PSL - Psychological Line
- QQE - Quantitative Qualitative Estimation
- REFLEX - Ehlers Reflex
- REVERSEEMA - Ehlers Reverse EMA
- RVGI - Relative Vigor Index
- SMI - Stochastic Momentum Index
- SQUEEZE - Squeeze Momentum
- STC - Schaff Trend Cycle
- STOCH - Stochastic Oscillator
- STOCHF - Stochastic Fast
- STOCHRSI - Stochastic RSI
- TD_SEQ - TD Sequential
- TRENDFLEX - Ehlers Trendflex
- TRIX - Triple Exponential Average
- TTM_WAVE - TTM Wave
- ULTOSC - Ultimate Oscillator
- WILLR - Williams %R
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Dynamics
- Overview
- ADX - Average Directional Index
- ADXR - Average Directional Movement Rating
- ALLIGATOR - Williams Alligator
- AMAT - Archer Moving Averages Trends
- AROON - Aroon
- AROONOSC - Aroon Oscillator
- CHOP - Choppiness Index
- DMX - Jurik Directional Movement Index
- DX - Directional Movement Index
- MINUS_DI - Minus Directional Indicator
- MINUS_DM - Minus Directional Movement
- GHLA - Gann High-Low Activator
- HT_TRENDMODE - Ehlers Hilbert Transform Trend vs Cycle Mode
- ICHIMOKU - Ichimoku Cloud
- IMPULSE - Elder Impulse System
- PFE - Polarized Fractal Efficiency
- PLUS_DI - Plus Directional Indicator
- PLUS_DM - Plus Directional Movement
- QSTICK - Qstick Indicator
- RAVI - Chande Range Action Verification Index
- SUPER - SuperTrend
- TTM_SQUEEZE - TTM Squeeze
- TTM_TREND - TTM Trend
- VHF - Vertical Horizontal Filter
- VORTEX - Vortex Indicator
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Momentum
- Overview
- ASI - Accumulation Swing Index
- BIAS - Bias / Disparity Index
- BOP - Balance of Power
- CCI - Commodity Channel Index
- CFB - Jurik Composite Fractal Behavior
- CMO - Chande Momentum Oscillator
- MACD - Moving Average Convergence Divergence
- MOM - Momentum
- PMO - Price Momentum Oscillator
- PPO - Percentage Price Oscillator
- PRS - Price Relative Strength
- ROC - Rate of Change
- ROCP - Rate of Change Percentage
- ROCR - Rate of Change Ratio
- RSI - Relative Strength Index
- RSX - Jurik Relative Strength X
- SAM - Smoothed Adaptive Momentum
- TSI - True Strength Index
- VEL - Jurik Velocity
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Volatility
- Overview
- ADR - Average Daily Range
- ATR - Average True Range
- ATRN - ATR Normalized
- BBW - Bollinger Band Width
- BBWN - Bollinger Band Width Normalized
- BBWP - Bollinger Band Width Percentile
- CCV - Close-to-Close Volatility
- CV - Coefficient of Variation
- CVI - Chaikin's Volatility
- ETHERM - Elder's Thermometer
- EWMA - Exponential Weighted MA Volatility
- GKV - Garman-Klass Volatility
- HLV - High-Low Volatility
- HV - Historical Volatility
- JVOLTY - Jurik Volatility
- JVOLTYN - Jurik Volatility Normalized
- MASSI - Mass Index
- NATR - Normalized ATR
- RSV - Rogers-Satchell Volatility
- RV - Realized Volatility
- RVI - Relative Volatility Index
- TR - True Range
- UI - Ulcer Index
- VOV - Volatility of Volatility
- VR - Volatility Ratio
- YZV - Yang-Zhang Volatility
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Volume
- Overview
- ADL - Accumulation/Distribution Line
- ADOSC - Chaikin A/D Oscillator
- AOBV - Archer On-Balance Volume
- CMF - Chaikin Money Flow
- EFI - Elder's Force Index
- EOM - Ease of Movement
- EVWMA - Elastic Volume Weighted MA
- III - Intraday Intensity Index
- KVO - Klinger Volume Oscillator
- MFI - Money Flow Index
- NVI - Negative Volume Index
- OBV - On Balance Volume
- PVD - Price Volume Divergence
- PVI - Positive Volume Index
- PVO - Percentage Volume Oscillator
- PVR - Price Volume Rank
- PVT - Price Volume Trend
- TVI - Trade Volume Index
- TWAP - Time Weighted Average Price
- VA - Volume Accumulation
- VF - Volume Force
- VO - Volume Oscillator
- VROC - Volume Rate of Change
- VWAD - Volume Weighted A/D
- VWAP - Volume Weighted Average Price
- VWMA - Volume Weighted MA
- WAD - Williams A/D
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Channels
- Overview
- ABERR - Aberration Bands
- ACCBANDS - Acceleration Bands
- APCHANNEL - Andrews' Pitchfork
- APZ - Adaptive Price Zone
- ATRBANDS - ATR Bands
- BBANDS - Bollinger Bands
- DCHANNEL - Donchian Channels
- DECAYCHANNEL - Decay Min-Max Channel
- FCB - Fractal Chaos Bands
- JBANDS - Jurik Volatility Bands
- KCHANNEL - Keltner Channel
- MAENV - Moving Average Envelope
- MMCHANNEL - Min-Max Channel
- PCHANNEL - Price Channel
- REGCHANNEL - Regression Channels
- SDCHANNEL - Standard Deviation Channel
- STARCHANNEL - Stoller Average Range Channel
- STBANDS - Super Trend Bands
- TTM_LRC - TTM Linear Regression Channel
- UBANDS - Ehlers Ultimate Bands
- UCHANNEL - Ehlers Ultimate Channel
- VWAPBANDS - VWAP Bands
- VWAPSD - VWAP with Standard Deviation Bands
-
Statistics
- Overview
- ACF - Autocorrelation Function
- BETA - Beta Coefficient
- CMA - Cumulative MA
- COINTEGRATION - Cointegration
- CORRELATION - Correlation
- COVARIANCE - Covariance
- ENTROPY - Shannon Entropy
- GEOMEAN - Geometric Mean
- GRANGER - Granger Causality
- HARMEAN - Harmonic Mean
- HURST - Hurst Exponent
- IQR - Interquartile Range
- JB - Jarque-Bera Test
- KENDALL - Kendall Rank Correlation
- KURTOSIS - Kurtosis
- LINREG - Linear Regression Curve
- MEDIAN - Rolling Median
- MODE - Mode
- PACF - Partial Autocorrelation Function
- PERCENTILE - Percentile
- POLYFIT - Polynomial Fitting
- QUANTILE - Quantile
- SKEW - Skewness
- SPEARMAN - Spearman Rank Correlation
- STDDEV - Standard Deviation
- SUM - Rolling Sum
- THEIL - Theil Index
- TRIM - Trimmed Mean MA
- VARIANCE - Population and Sample Variance
- WAVG - Weighted Average
- WINS - Winsorized Mean MA
- MEANDEV - Mean Absolute Deviation
- STDERR - Standard Error of Regression
- ZSCORE - Z-score
- ZTEST - Z-Test
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Numerics
- Overview
- ACCEL - Acceleration
- BETADIST - Beta Distribution
- BINOMDIST - Binomial Distribution
- CHANGE - Percentage Change
- CWT - Continuous Wavelet Transform
- DWT - Discrete Wavelet Transform
- EXPDIST - Exponential Distribution
- EXPTRANS - Exponential Transform
- FDIST - F-Distribution
- FFT - Fast Fourier Transform
- GAMMADIST - Gamma Distribution
- HIGHEST - Rolling Maximum
- MAXINDEX - Index of Highest Value
- IFFT - Inverse Fast Fourier Transform
- JERK - Jerk
- LINEARTRANS - Linear Transform
- LOGNORMDIST - Log-Normal Distribution
- LOGTRANS - Logarithmic Transform
- LOWEST - Rolling Minimum
- MININDEX - Index of Lowest Value
- NORMDIST - Normal Distribution
- NORMALIZE - Min-Max Normalization
- POISSONDIST - Poisson Distribution
- RELU - Rectified Linear Unit
- SIGMOID - Logistic Function
- SLOPE - First Derivative
- SQRTTRANS - Square Root Transform
- TDIST - Student's t-Distribution
- WEIBULLDIST - Weibull Distribution
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Errors
- Overview
- HUBER - Huber Loss
- LOGCOSH - Log-Cosh Loss
- MAAPE - Mean Arctangent Absolute Percentage Error
- MAE - Mean Absolute Error
- MAPD - Mean Absolute Percentage Deviation
- MAPE - Mean Absolute Percentage Error
- MASE - Mean Absolute Scaled Error
- MDAE - Median Absolute Error
- MDAPE - Median Absolute Percentage Error
- ME - Mean Error
- MPE - Mean Percentage Error
- MRAE - Mean Relative Absolute Error
- MSE - Mean Squared Error
- MSLE - Mean Squared Logarithmic Error
- PSEUDOHUBER - Pseudo-Huber Loss
- QUANTILELOSS - Quantile Loss
- RAE - Relative Absolute Error
- RMSE - Root Mean Squared Error
- RMSLE - Root Mean Squared Logarithmic Error
- RSE - Relative Squared Error
- RSQUARED - Coefficient of Determination
- SMAPE - Symmetric Mean Absolute Percentage Error
- THEILU - Theil's U Statistic
- TUKEY - Tukey Biweight Loss
- WMAPE - Weighted Mean Absolute Percentage Error
- WRMSE - Weighted RMSE
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Forecasts
-
Cycles
- Overview
- CCOR - Ehlers Correlation Cycle
- CCYC - Ehlers Cyber Cycle
- CG - Ehlers Center of Gravity
- DSP - Ehlers Detrended Synthetic Price
- EACP - Ehlers Autocorrelation Periodogram
- EBSW - Ehlers Even Better Sinewave
- HOMOD - Ehlers Homodyne Discriminator
- HT_DCPERIOD - Ehlers Hilbert Transform Dominant Cycle Period
- HT_DCPHASE - Ehlers Hilbert Transform Dominant Cycle Phase
- HT_PHASOR - Ehlers Hilbert Transform Phasor Components
- HT_SINE - Ehlers Hilbert Transform SineWave (also known as SINE)
- LUNAR - Lunar Phase
- SOLAR - Solar Activity Cycle
- SSFDSP - Ehlers SSF Detrended Synthetic Price
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Reversals
- Overview
- CHANDELIER - Chandelier Exit
- CKSTOP - Chande Kroll Stop
- FRACTALS - Williams Fractals
- PIVOT - Pivot Points
- PIVOTCAM - Camarilla Pivot Points
- PIVOTDEM - DeMark Pivot Points
- PIVOTEXT - Extended Traditional Pivots
- PIVOTFIB - Fibonacci Pivot Points
- PIVOTWOOD - Woodie's Pivot Points
- PSAR - Parabolic Stop And Reverse
- SAREXT - Parabolic SAR Extended
- SWINGS - Swing High/Low Detection
- TTM_SCALPER - TTM Scalper Alert