mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
17 KiB
17 KiB
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Core concepts
-
Trends (FIR)
- Overview
- ALMA - Arnaud Legoux MA
- BLMA - Blackman Window MA
- BWMA - Blackman-Harris MA
- CONV - Convolution
- DWMA - Double Weighted MA
- GWMA - Gaussian Weighted MA
- HAMMA - Hamming MA
- HANMA - Hanning MA
- HMA - Hull MA
- HWMA - Henderson Weighted MA
- LSMA - Least Squares MA
- PWMA - Pascal Weighted MA
- SGMA - Savitzky-Golay MA
- SINEMA - Sine Weighted MA
- SMA - Simple MA
- TRIMA - Triangular MA
- WMA - Weighted MA
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Trends (IIR)
- Overview
- DEMA - Double Exponential MA
- DSMA - Deviation-Scaled MA
- EMA - Exponential MA
- FRAMA - Fractal Adaptive MA
- HEMA - Hull Exponential MA
- HTIT - Hilbert Transform Instant Trendline
- JMA - Jurik MA
- KAMA - Kaufman Adaptive MA
- MAMA - MESA Adaptive MA
- MGDI - McGinley Dynamic
- MMA - Modified MA
- QEMA - Quadruple Exponential MA
- REMA - Regularized Exponential MA
- RGMA - Recursive Gaussian MA
- RMA - Rolling MA
- T3 - Tillson T3 MA
- TEMA - Triple Exponential MA
- VAMA - Volatility Adjusted MA
- VIDYA - Variable Index Dynamic Average
- YZVAMA - Yang-Zhang Volatility Adjusted MA
- ZLEMA - Zero-Lag Exponential MA
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Filters
- Overview
- BESSEL - Bessel Filter
- BILATERAL - Bilateral Filter
- BPF - Bandpass Filter
- BUTTER - Butterworth Filter
- CHEBY1 - Chebyshev Type I
- CHEBY2 - Chebyshev Type II
- ELLIPTIC - Elliptic Filter
- GAUSS - Gaussian Filter
- HANN - Hann Filter
- HP - Hodrick-Prescott Filter
- HPF - High Pass Filter
- KALMAN - Kalman Filter
- LOESS - LOESS Smoothing
- NOTCH - Notch Filter
- SGF - Savitzky-Golay Filter
- SSF - Ehlers Super Smooth Filter
- USF - Ehlers Ultimate Smoother Filter
- WIENER - Wiener Filter
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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
- HT_TRENDMODE - Hilbert Transform Trend Mode
- ICHIMOKU - Ichimoku Cloud
- IMI - Intraday Momentum Index
- QSTICK - Qstick Indicator
- SUPER - SuperTrend
- TTM - TTM Trend
- VORTEX - Vortex Indicator
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Oscillators
- Overview
- AC - Acceleration Oscillator
- AO - Awesome Oscillator
- APO - Absolute Price Oscillator
- BBB - Bollinger %B
- BBS - Bollinger Band Squeeze
- CFO - Chande Forecast Oscillator
- DPO - Detrended Price Oscillator
- FISHER - Fisher Transform
- INERTIA - Inertia
- KDJ - KDJ Indicator
- PGO - Pretty Good Oscillator
- SMI - Stochastic Momentum Index
- STOCH - Stochastic Oscillator
- STOCHF - Stochastic Fast
- STOCHRSI - Stochastic RSI
- TRIX - Triple Exponential Average
- ULTOSC - Ultimate Oscillator
- WILLR - Williams %R
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Momentum
- Overview
- APO - Absolute Price Oscillator
- 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
- TSI - True Strength Index
- VEL - Jurik Velocity
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Volatility
- Overview
- ADR - Average Daily Range
- ATR - Average True Range
- ATRN - ATR Normalized
- ATRP - ATR Percent
- BBW - Bollinger Band Width
- BBWN - Bollinger Band Width Normalized
- BBWP - Bollinger Band Width Percentile
- CCV - Close-to-Close Volatility
- CV - Conditional Volatility
- CVI - Chaikin's Volatility
- 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
- PV - Parkinson Volatility
- 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
- 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
- ABBER - 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
- UBANDS - Ultimate Bands
- UCHANNEL - Ultimate Channel
- VWAPBANDS - VWAP Bands
- VWAPSD - VWAP with Standard Deviation Bands
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Statistics
- Overview
- BETA - Beta Coefficient
- BIAS - Bias
- 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
- PERCENTILE - Percentile
- QUANTILE - Quantile
- SKEW - Skewness
- SPEARMAN - Spearman Rank Correlation
- STDDEV - Standard Deviation
- SUM - Rolling Sum
- THEIL - Theil Index
- VARIANCE - Population and Sample Variance
- ZSCORE - Z-score
- ZTEST - Z-Test
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Numerics
-
Errors
- Overview
- HUBER - Huber Loss
- LOGCOSH - Log-Cosh Loss
- MAE - Mean Absolute Error
- MAAPE - Mean Arctangent Absolute Percentage 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
- QUANTILE - 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
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Forecasts
-
Cycles
- Overview
- CG - Center of Gravity
- DSP - Detrended Synthetic Price
- EACP - Ehlers Autocorrelation Periodogram
- EBSW - Ehlers Even Better Sinewave
- HOMOD - Homodyne Discriminator
- HT_DCPERIOD - Hilbert Transform Dominant Cycle Period
- HT_DCPHASE - Hilbert Transform Dominant Cycle Phase
- HT_PHASOR - Hilbert Transform Phasor
- HT_SINE - Hilbert Transform SineWave
- LUNAR - Lunar Phase
- PHASOR - Phasor Analysis
- SINE - Sine Wave
- SOLAR - Solar Activity Cycle
- SSFDSP - SSF-Based Detrended Synthetic Price
- STC - Schaff Trend Cycle
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Reversals