QuanTAlib/docs/indicators.md

Coverage

⭐= Calculation is validated against several TA libraries

✔️= Validation tests passed

❌= Wrong implementation

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	✔️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		✔️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_Series	❌CMO	❌GetCmo	❌cmo	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	TRIX	GetTrix	trix
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