QuanTAlib - quantitative technical indicators for Quantower and other C#-based trading platorms

Quantitative TA Library (QuanTAlib) is an easy-to-use C# library for quantitative technical analysis with base algorithms, charts, signals and strategies useful for trading securities with Quantower and other C#-based trading platforms.

QuanTAlib is written with some specific design criteria in mind - some reasons why there is 'yet another C# TA library':

• Written in native C# - no code conversion from TA-LIB or other imported/converted TA libraries
• Supports both historical data analysis (working on bulk of historical arrays) and real-time analysis (adding one data item at the time without the need to re-calculate the whole history)
• Calculate early data right - no hiding of incomplete calculations with NaN values (unless explicitly requested with useNan: true), data is as valid as mathematically possible from the first value
• Usage of events - each data series is an event publisher, each indicator is a subscriber - this allows seamless data flow between indicators)
• Seamlessly integrates with Polyglot notebooks (.NET Interactive) and used in Jupyter notebooks - see the examples and documentation.

QuanTAlib does not focus on sources of OHLCV quotes. There are some basic data feeds available to use in learning and strategy exploration: RND_Feed and GBM_Feed for random data feed, Yahoo_Feed and Alphavantage_Feed for quick grab of basic daily data of US stock market.

See Getting Started .NET interactive notebook to get a feel how library works. Developers can use QuanTAlib in .NET interactive or in console apps, but the best usage of the library is withing C#-enabled trading platforms - see QuanTower_Charts folder for Quantower examples.

Coverage

⭐= Calculation is validated against other TA libraries

✔️= Calculation exists but has no cross-validation tests

⛔= Not implemented (yet)

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_Series	SMA	GetSma	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	GetAdl	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	GetCmo		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	GetTrix
⛔ 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