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Miha KraljQuanTAlib - 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 |