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Miha Kralj 2193c4e6ea Fix MAMA phase discriminator, NATR test bug, tolerance unification, ROC naming, add 12 validation files

- MAMA: replace atan2+angle-wrapping with Ehlers/TA-Lib's atan(Q/I) signed-delta
  discriminator for both phase and period calculations. Was diverging from
  TA-Lib/Skender by up to 11%; now matches within 0.01 absolute tolerance.
- NATR: fix TA-Lib validation test dividing ATR by a close price ~14 bars
  misaligned (TA-Lib's output array is offset-compact, not absolute-indexed).
  Now passes at 1e-9 instead of masking the bug with a 0.10 tolerance.
- ValidationHelper: tighten default tolerances to match AGENTS.md (1e-9 for
  Skender/TALib/Tulip, 1e-6 for Ooples, was 1e-7 uniformly). Added documented
  per-test tolerance overrides where large-window/large-magnitude sums
  (WMA/HMA/TRIMA/DWMA period=100, rolling StdDev/Variance, AD cumulative sum,
  linear regression) genuinely exceed 1e-9 due to floating-point accumulation
  order, not algorithmic divergence.
- ROC/ROCP/ROCR: old Roc (Price-Price[N]) was an exact duplicate of Mom;
  removed. Old Rocp (100*(P-P[N])/P[N]) was actually TA-Lib's ROC formula;
  renamed to Roc. New Rocp created with TA-Lib's real ROCP formula
  ((P-P[N])/P[N], no *100). Updated C#, Quantower, Python bindings, and
  pandas-ta parity tests accordingly.
- Added Validation.Tests.cs for 12 previously-unvalidated indicators: Sarext
  (TA-Lib SarExt), Minindex/Maxindex (TA-Lib MinIndex/MaxIndex, exact match),
  Convexity (Skender GetBeta BetaType.All), Vwmacd (Vwma+Ema composition),
  and independent formula re-derivations for Usi, Eeo, Net, Pta, Amfm, Hwc
  (no external library implements these Ehlers indicators). Lpf validated
  structurally (documented invariants) given its 5-stage adaptive algorithm.
- Updated docs/validation.md, Roc.md/Rocp.md/Mom.md/Mama.md accordingly.

2026-09-23 14:47:41 +02:00

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Momentum

Momentum indicators measure the velocity and acceleration of price changes. Unlike trend indicators (which answer "where is price going?"), momentum indicators answer "how fast?" and "is it slowing down?". This distinction matters: a strong trend can have weakening momentum (divergence), and a ranging market can show momentum spikes (false breakouts).

Indicators

Indicator	Full Name	Description
ASI	Accumulation Swing Index	Wilder's cumulative swing index. Breakout confirmation.
BIAS	Bias (also known as Disparity Index)	Percentage deviation from moving average. Measures overextension.
BOP	Balance of Power	Measures buyer/seller strength by comparing close to open relative to range.
CCI	Commodity Channel Index	Measures price deviation from statistical mean, identifies cyclical turns.
CFB	Composite Fractal Behavior	Measures trend duration and quality via fractal efficiency across 96 time scales.
CMO	Chande Momentum Oscillator	Momentum using both up and down changes, bounded but not clamped like RSI.
MACD	Moving Average Convergence Divergence	Relationship between two EMAs, identifies momentum and trend direction.
MOM	Momentum	Raw price change over specified period.
PMO	Price Momentum Oscillator	Double-smoothed ROC oscillator.
PPO	Percentage Price Oscillator	MACD expressed as percentage for cross-instrument comparison.
ROC	Rate of Change	Percentage price change over N periods.
ROCP	Rate of Change (Fractional)	Decimal fractional price change over N periods.
ROCR	Rate of Change Ratio	Price ratio over N periods.
RS	Price Relative Strength	Performance ratio between two assets.
RSI	Relative Strength Index	Speed and change of price movements, bounded 0-100.
RSX	Relative Strength Quality Index	Noise-free RSI using cascaded IIR filters, zero lag at turning points.
SAM	Ehlers Smoothed Adaptive Momentum	Ehlers. Hilbert Transform cycle detection + adaptive momentum + Super Smoother output.
TSI	True Strength Index	Double-smoothed momentum oscillator.
VEL	Jurik Velocity	Market acceleration via PWMA vs WMA differential.
VWMACD	Volume-Weighted MACD	VWMA-based MACD with signal line and histogram. Volume-aware momentum.

2.6 KiB Raw Blame History

Momentum

Indicators

2.6 KiB

Raw Blame History