mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
203 lines
12 KiB
Markdown
203 lines
12 KiB
Markdown
# QuanTAlib - quantitative technical indicators for Quantower and other C#-based trading platorms
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[](https://sonarcloud.io/summary/overall?id=mihakralj_QuanTAlib)
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[](https://app.codacy.com/gh/mihakralj/QuanTAlib/dashboard)
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[](https://codecov.io/gh/mihakralj/QuanTAlib)
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[](https://sonarcloud.io/summary/new_code?id=mihakralj_QuanTAlib)
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[](https://www.codefactor.io/repository/github/mihakralj/quantalib/overview/main)
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[](https://www.nuget.org/packages/QuanTAlib/)
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[](https://www.nuget.org/packages/QuanTAlib/)
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[](https://github.com/mihakralj/QuanTAlib/watchers)
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[](https://dotnet.microsoft.com/en-us/download/dotnet/7.0)
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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](https://www.quantower.com/) and other C#-based trading platforms.
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**QuanTAlib** is written with some specific design criteria in mind - some reasons why there is '_yet another C# TA library_':
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- Written in native C# - no code conversion from TA-LIB or other imported/converted TA libraries
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- 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)
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- 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
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- Usage of events - each data series is an event publisher, each indicator is a subscriber - this allows seamless data flow between indicators)
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- Seamlessly integrates with **Polyglot notebooks** (.NET Interactive) and used in Jupyter notebooks - see the examples and documentation.
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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.
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See [Getting Started](https://github.com/mihakralj/QuanTAlib/blob/main/Docs/getting_started.ipynb) .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.
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## Coverage
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⭐= Calculation is validated against other TA libraries
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✔️= Calculation exists but has no cross-validation tests
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⛔= Not implemented (yet)
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| **BASIC TRANSFORMS** | **QuanTAlib** | **TA-LIB** | **Skender** | **Pandas TA** | **Tulip** |
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|--|:--:|:--:|:--:|:--:|:--:|
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| ⭐ OC2 - (Open+Close)/2 |️ `.OC2` || CandlePart.OC2 ||
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| ⭐ HL2 - Median Price | `.HL2` | MEDPRICE | CandlePart.HL2 | hl2 |
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| ⭐ HLC3 - Typical Price | `.HLC3` | TYPPRICE | CandlePart.HLC3 | hlc3 |
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| ⭐ OHL3 - (Open+High+Low)/3 | `.OHL3` || CandlePart.OHL3 ||
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| ⭐ OHLC4 - Average Price | `.OHLC4` | AVGPRICE |️ CandlePart.OHLC4 | ohlc4 | avgprice |
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| ⭐ HLCC4 - Weighted Price | `.HLCC4` | WCLPRICE | CandlePart.HLCC4 ||
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| ⭐ MIDPOINT - Midpoint value | `MIDPOINT_Series` | MIDPOINT || midpoint |
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| ⭐ MIDPRICE - Midpoint price | `MIDPRICE_Series` | MIDPRICE || midprice |
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| ⭐ MAX - Max value | `MAX_Series` | MAX ||| max |
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| ⭐ MIN - Min value | `MIN_Series` | MIN ||| min |
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| ⭐ SUM - Summation | `SUM_Series` | SUM ||| sum |
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| ⭐ ADD - Addition | `ADD_Series` | ADD ||| add |
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| ⭐ SUB - Subtraction | `SUB_Series` | SUB ||| sub |
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| ⭐ MUL - Multiplication | `MUL_Series` | MUL ||| mul |
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| ⭐ DIV - Division | `DIV_Series` | DIV ||| div |
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| **STATISTICS & NUMERICAL ANALYSIS** |
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| ⭐ BIAS - Bias | `BIAS_Series` ||| bias |
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| ⭐ CORR - Pearson's Correlation Coefficient | `CORR_Series` | CORREL | GetCorrelation ||
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| ⭐ COVAR - Covariance | `COVAR_Series` || GetCorrelation ||
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| ⛔ DECAY - Linear Decay ||||| decay |
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| ⛔ EDECAY - Exponential Decay ||||| edecay |
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| ⭐ ENTROPY - Entropy | `ENTROPY_Series` ||| entropy |
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| ⭐ KURTOSIS - Kurtosis | `KURT_Series` ||| kurtosis |
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| ⭐ LINREG - Linear Regression | `LINREG_Series` || GetSlope ||
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| ⭐ MAD - Mean Absolute Deviation | `MAD_Series` || GetSma | mad |
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| ⭐ MAPE - Mean Absolute Percent Error | `MAPE_Series` || GetSma ||
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| ⭐ MED - Median value | `MED_Series` ||| median |
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| ⭐ MSE - Mean Squared Error | `MSE_Series` || GetSma ||
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| ⛔ SKEW - Skewness |||| skew |
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| ⭐ SDEV - Standard Deviation (Volatility) | `SDEV_Series` | STDDEV | GetStdDev | stdev |
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| ⭐ SSDEV - Sample Standard Deviation | `SSDEV_Series` ||| stdev |
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| ✔️ SMAPE - Symmetric Mean Absolute Percent Error | `SMAPE_Series` ||||
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| ⭐ VAR - Population Variance | `VAR_Series` | VAR || variance |
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| ⭐ SVAR - Sample Variance | `SVAR_Series` ||| variance |
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| ⛔ QUANTILE - Quantile |||| quantile |
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| ✔️ WMAPE - Weighted Mean Absolute Percent Error | `WMAPE_Series` ||||
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| ⭐ ZSCORE - Number of standard deviations from mean | `ZSCORE_Series` || GetStdDev | zscore |
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| **TREND INDICATORS & AVERAGES** |
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| ⛔ AFIRMA - Autoregressive Finite Impulse Response Moving Average |||||
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| ⭐ ALMA - Arnaud Legoux Moving Average | `ALMA_Series` || GetAlma | alma |
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| ⛔ ARIMA - Autoregressive Integrated Moving Average |||||
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| ⭐ DEMA - Double EMA Average | `DEMA_Series` | DEMA | GetDema | dema | dema |
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| ⭐ EMA - Exponential Moving Average | `EMA_Series` | EMA | GetEma | ema | ema |
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| ⛔ EPMA - Endpoint Moving Average ||| GetEpma ||
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| ⛔ FRAMA - Fractal Adaptive Moving Average |||||
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| ⛔ FWMA - Fibonacci's Weighted Moving Average |||| fwma |
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| ⛔ HILO - Gann High-Low Activator |||| hilo |
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| ✔️ HEMA - Hull/EMA Average | `HEMA_Series` ||||
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| ⛔ Hilbert Transform Instantaneous Trendline || HT_TRENDLINE | GetHtTrendline ||
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| ⭐ HMA - Hull Moving Average | `HMA_Series` || GetHma | hma | hma |
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| ⛔ HWMA - Holt-Winter Moving Average |||| hwma |
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| ✔️ JMA - Jurik Moving Average | `JMA_Series` ||| jma |
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| ⭐ KAMA - Kaufman's Adaptive Moving Average | `KAMA_Series` | KAMA | GetKama | kama | kama |
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| ⛔ KDJ - KDJ Indicator (trend reversal) |||| kdj |
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| ⛔ LSMA - Least Squares Moving Average |||||
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| ⭐ MACD - Moving Average Convergence/Divergence | `MACD_Series` | MACD | GetMacd | macd |
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| ⭐ MAMA - MESA Adaptive Moving Average | `MAMA_Series` | MAMA | GetMama ||
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| ⛔ MCGD - McGinley Dynamic |||| mcgd |
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| ⛔ MMA - Modified Moving Average |||||
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| ⛔ PPMA - Pivot Point Moving Average |||||
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| ⛔ PWMA - Pascal's Weighted Moving Average |||| pwma |
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| ⭐ RMA - WildeR's Moving Average | `RMA_Series` ||| rma |
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| ⛔ SINWMA - Sine Weighted Moving Average |||| sinwma |
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| ⭐ SMA - Simple Moving Average | `SMA_Series` | SMA | GetSma | sma |
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| ⭐ SMMA - Smoothed Moving Average | `SMMA_Series` || GetSmma ||
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| ⛔ SSF - Ehler's Super Smoother Filter |||| ssf |
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| ⛔ SUPERTREND - Supertrend |||| supertrend |
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| ⛔ SWMA - Symmetric Weighted Moving Average |||| swma |
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| ⭐ T3 - Tillson T3 Moving Average | `T3_Series` | T3 | GetT3 | t3 |
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| ⭐ TEMA - Triple EMA Average | `TEMA_Series` | TEMA | GetTema | tema |
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| ⭐ TRIMA - Triangular Moving Average | `TRIMA_Series` | TRIMA || trima |
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| ⛔ TSF - Time Series Forecast || TSF |||
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| ⛔ VIDYA - Variable Index Dynamic Average |||| vidya |
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| ⛔ VORTEX - Vortex Indicator |||| vortex |
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| ⭐ WMA - Weighted Moving Average | `WMA_Series` | WMA | GetWma | wma |
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| ⭐ ZLEMA - Zero Lag EMA Average | `ZLEMA_Series` ||| zlma |
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| **VOLATILITY INDICATORS** |
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| ⭐ ADL - Chaikin Accumulation Distribution Line | `ADL_Series` | AD | GetAdl | ad | ad |
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| ⭐ ADOSC - Chaikin Accumulation Distribution Oscillator | `ADOSC_Series` | ADOSC| GetAdl | adosc | adosc |
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| ⭐ ATR - Average True Range | `ATR_Series` | ATR | GetAtr | atr | atr |
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| ⭐ ATRP - Average True Range Percent | `ATRP_Series` || GetAtr ||
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| ⛔ BETA - Beta coefficient || BETA | GetBeta ||
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| ⭐ BBANDS - Bollinger Bands® | `BBANDS_Series` | BBANDS | GetBollingerBands || bbands |
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| ⛔ CHAND - Chandelier Exit ||| GetChandelier ||
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| ⛔ CRSI - Connor RSI ||| GetConnorsRsi ||
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| ⛔ CVI - Chaikins Volatility ||||| cvi |
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| ⛔ DON - Donchian Channels ||| GetDonchian ||
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| ⛔ FCB - Fractal Chaos Bands ||| GetFcb ||
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| ⛔ FISHER - Fisher Transform ||| GetFcb || fisher |
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| ⛔ HV - Historical Volatility |||||
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| ⛔ ICH - Ichimoku ||| GetIchimoku ||
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| ⛔ KEL - Keltner Channels ||| GetKeltner ||
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| ⛔ NATR - Normalized Average True Range || NATR | GetAtr ||
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| ⛔ CHN - Price Channel Indicator |||||
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| ⭐ RSI - Relative Strength Index | `RSI_Series` | RSI | GetRsi | rsi |
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| ⛔ SAR - Parabolic Stop and Reverse || SAR | GetParabolicSar ||
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| ⛔ SRSI - Stochastic RSI || STOCHRSI | GetStochRsi ||
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| ⛔ STARC - Starc Bands |||||
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| ⭐ TR - True Range | `TR_Series` | TRANGE | GetTr | true_range |
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| ⛔ UI - Ulcer Index |||||
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| ⛔ VSTOP - Volatility Stop |||||
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| **MOMENTUM INDICATORS & OSCILLATORS** |
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| ⛔ AC - Acceleration Oscillator |||||
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| ⛔ ADX - Average Directional Movement Index || ADX | GetAdx || adx |
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| ⛔ ADXR - Average Directional Movement Index Rating || ADXR | GetAdx || adxr |
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| ⛔ AO - Awesome Oscillator ||| GetAwesome || ao |
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| ⛔ APO - Absolute Price Oscillator || APO ||| apo |
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| ⛔ AROON - Aroon oscillator || AROON | GetAroon || aroon |
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| ⛔ BOP - Balance of Power || BOP | GetBop || bop |
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| ⭐ CCI - Commodity Channel Index | `CCI_Series` | CCI | GetCci || cci |
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| ⛔ CFO - Chande Forcast Oscillator |||||
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| ⛔ CMO - Chande Momentum Oscillator || CMO | GetCmo || cmo |
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| ⛔ COG - Center of Gravity |||||
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| ⛔ COPPOCK - Coppock Curve |||||
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| ⛔ CTI - Ehler's Correlation Trend Indicator |||||
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| ⛔ DPO - Detrended Price Oscillator ||| GetDpo ||
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| ⛔ DMI - Directional Movement Index || DX | GetAdx ||
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| ⛔ EFI - Elder Ray's Force Index ||| GetElderRay ||
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| ⛔ FOSC - Forecast oscillator ||||| fosc |
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| ⛔ GAT - Alligator oscillator ||| GetGator ||
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| ⛔ HURST - Hurst Exponent ||| GetHurst ||
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| ⛔ KRI - Kairi Relative Index |||||
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| ⛔ KVO - Klinger Volume Oscillator |||||
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| ⛔ MFI - Money Flow Index || MFI | GetMfi ||
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| ⛔ MOM - Momentum || MOM |||
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| ⛔ NVI - Negative Volume Index |||||
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| ⛔ PO - Price Oscillator |||||
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| ⛔ PPO - Percentage Price Oscillator || PPO |||
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| ⛔ PMO - Price Momentum Oscillator |||||
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| ⛔ PVI - Positive Volume Index |||||
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| ⛔ ROC - Rate of Change || MOM | GetRoc ||
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| ⛔ RVGI - Relative Vigor Index |||||
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| ⛔ SMI - Stochastic Momentum Index |||||
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| ⛔ STC - Schaff Trend Cycle |||||
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| ⛔ STOCH - Stochastic Oscillator || STOCH | GetStoch ||
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| ⛔ TRIX - 1-day ROC of TEMA || TRIX | GetTrix ||
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| ⛔ TSI - True Strength Index |||||
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| ⛔ UO - Ultimate Oscillator || ULTOSC | GetUltimate ||
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| ⛔ WILLR - Larry Williams' %R || WILLR | GetWilliamsR ||
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| ⛔ WGAT - Williams Alligator |||||
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| **VOLUME INDICATORS** |
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| ⛔ AOBV - Archer On-Balance Volume |||||
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| ⛔ CMF - Chaikin Money Flow |||||
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| ⛔ EOM - Ease of Movement ||||| emv |
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| ⛔ KVO - Klinger Volume Oscilaltor ||||| kvo |
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| ⭐ OBV - On-Balance Volume | `OBV_Series` | OBV | GetObv ||
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| ⛔ PRS - Price Relative Strength ||||
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| ⛔ PVOL - Price-Volume |||||
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| ⛔ PVO - Percentage Volume Oscillator |||||
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| ⛔ PVR - Price Volume Rank |||||
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| ⛔ PVT - Price Volume Trend |||||
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| ⛔ VP - Volume Profile |||||
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| ⛔ VWAP - Volume Weighted Average Price |||||
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| ⛔ VWMA - Volume Weighted Moving Average |||||
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