QuanTAlib/docs

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
• No usage of Decimal datatypes, LINQ, interface abstractions, or static classes with tons of methods (all for performance reasons)
• 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
✔️ OC2 - (Open+Close)/2	️ .OC2		️GetBaseQuote
⭐ HL2 - Median Price	.HL2	MEDPRICE	️GetBaseQuote
⭐ HLC3 - Typical Price	.HLC3	TYPPRICE
✔️ OHL3 - (Open+High+Low)/3	.OHL3
⭐ OHLC4 - Average Price	.OHLC4	AVGPRICE	️ GetBaseQuote
⭐ HLCC4 - Weighted Price	.HLCC4	WCLPRICE
✔️ ZL - De-lagged price (Zero-Lag)	ZL_Series
⭐ MAX - Max value	MAX_Series	MAX
⛔ MID - Midpoint value		MIDPOINT
⛔ MIDP - Midpoint price		MIDPRICE
⭐ MIN - Min value	MIN_Series	MIN
⭐ ADD - Addition	ADD_Series	ADD
⭐ SUB - Subtraction	SUB_Series	SUB
⭐ MUL - Multiplication	MUL_Series	MUL
⭐ DIV - Division	DIV_Series	DIV
STATISTICS & NUMERICAL ANALYSIS	QuanTAlib	TA-LIB	Skender
✔️ BIAS - Bias	BIAS_Series
⛔ CORREL - Pearson's Correlation Coefficient		CORREL	GetCorrelation
⛔ COVAR - Covariance			GetCorrelation
✔️ ENTP - Entropy	ENTP_Series
✔️ KURT - Kurtosis	KURT_Series
⭐ LINREG - Linear Regression	LINREG_Series		GetSlope
⭐ MAD - Mean Absolute Deviation	MAD_Series		GetSma
⭐ MAPE - Mean Absolute Percent Error	MAPE_Series		GetSma
✔️ MED - Median value	MED_Series
✔️ MSE - Mean Squared Error	MSE_Series		GetSma
⛔ SKEW - Skewness
⭐ SDEV - Standard Deviation (Volatility)	SDEV_Series
✔️ SSDEV - Sample Standard Deviation	SSDEV_Series
✔️ SMAPE - Symmetric Mean Absolute Percent Error	SMAPE_Series
✔️ VAR - Population Variance	VAR_Series
✔️ SVAR - Sample Variance	SVAR_Series
⛔ QUANT - Quantile
✔️ WMAPE - Weighted Mean Absolute Percent Error	WMAPE_Series
⛔ ZSCORE - Number of standard deviations from mean
TREND INDICATORS & AVERAGES	QuanTAlib	TA-LIB	Skender
⛔ AFIRMA - Autoregressive Finite Impulse Response Moving Average
⭐ ALMA - Arnaud Legoux Moving Average	ALMA_Series		GetAlma
⛔ ARIMA - Autoregressive Integrated Moving Average
⭐ DEMA - Double EMA Average	DEMA_Series	DEMA	GetDema
⭐ EMA - Exponential Moving Average	EMA_Series		GetEma
⛔ EPMA - Endpoint Moving Average			GetEpma
⛔ FWMA - Fibonacci's Weighted Moving Average
✔️ HEMA - Hull/EMA Average	HEMA_Series
⛔ Hilbert Transform Instantaneous Trendline		HT_TRENDLINE	GetHtTrendline
⭐ HMA - Hull Moving Average	HMA_Series		GetHma
⛔ HWMA - Holt-Winter Moving Average
✔️ JMA - Jurik Moving Average	JMA_Series
⭐ KAMA - Kaufman's Adaptive Moving Average	KAMA_Series	KAMA	GetKama
⛔ LSMA - Least Squares Moving Average
⭐ MACD - Moving Average Convergence/Divergence	MACD_Series	MACD	GetMacd
⛔ MAMA - MESA Adaptive Moving Average		MAMA	GetMama
⛔ MMA - Modified Moving Average
⛔ PPMA - Pivot Point Moving Average
⛔ PWMA - Pascal's Weighted Moving Average
✔️ RMA - WildeR's Moving Average	RMA__Series
⛔ SINWMA - Sine Weighted Moving Average
⭐ SMA - Simple Moving Average	SMA_Series
⭐ SMMA - Smoothed Moving Average	SMMA_Series
⛔ SSF - Ehler's Super Smoother Filter
⛔ SUP - Supertrend
⛔ SWMA - Symmetric Weighted Moving Average
⛔ T3 - Tillson T3 Moving Average
⭐ TEMA - Triple EMA Average	TEMA_Series
⛔ TRIMA - Triangular Moving Average
⛔ VIDYA - Variable Index Dynamic Average
⭐ WMA - Weighted Moving Average	WMA_Series
✔️ ZLEMA - Zero Lag EMA Average	ZLEMA_Series
VOLATILITY INDICATORS	QuanTAlib	TA-LIB	Skender
⭐ ADL - Chaikin Accumulation Distribution Line	ADL_Series	AD	GetAdl
⭐ ADOSC - Chaikin Accumulation Distribution Oscillator	ADOSC_Series	ADOSC	GetAdl
⭐ ATR - Average True Range	ATR_Series	ATR	GetAtr
⭐ ATRP - Average True Range Percent	ATRP_Series		GetAtr
✔️ BETA - Beta coefficient		BETA	GetBeta
⭐ BBANDS - Bollinger Bands®	BBANDS_Series	BBANDS	GetBollingerBands
⛔ CRSI - Connor RSI			GetConnorsRsi
⛔ DON - Donchian Channels			GetDonchian
⛔ FCB - Fractal Chaos Bands			GetFcb
⛔ HV - Historical Volatility
⛔ ICH - Ichimoku			GetIchimoku
⛔ KEL - Keltner Channels			GetKeltner
⛔ NATR - Normalized Average True Range		NATR	GetAtr
⭐ RSI - Relative Strength Index	RSI_Series
⛔ SAR - Parabolic Stop and Reverse		SAR	GetParabolicSar
⛔ SRSI - Stochastic RSI
⛔ STARC - Starc Bands
⭐ TR - True Range	TR_Series
⛔ UI - Ulcer Index
⛔ VSTOP - Volatility Stop
MOMENTUM INDICATORS & OSCILLATORS	QuanTAlib	TA-LIB	Skender
⛔ AC - Acceleration Oscillator
⛔ ADX - Average Directional Movement Index		ADX	GetAdx
⛔ ADXR - Average Directional Movement Index Rating		ADXR	GetAdx
⛔ AO - Awesome Oscillator			GetAwesome
⛔ APO - Absolute Price Oscillator		APO
⛔ AROON - Aroon oscillator		AROON	GetAroon
⛔ BOP - Balance of Power		BOP	GetBop
⭐ CCI - Commodity Channel Index	CCI_Series	CCI	GetCci
⛔ CFO - Chande Forcast Oscillator
⛔ CMF - Chaikin Money Flow
⛔ CMO - Chande Momentum Oscillator		CMO	GetCmo
⛔ COG - Center of Gravity
⛔ CTI - Ehler's Correlation Trend Indicator
⛔ DPO - Detrended Price Oscillator			GetDpo
⛔ DMI - Directional Movement Index		DX	GetAdx
⛔ EFI - Elder Ray's Force Index			GetElderRay
⛔ GAT - Alligator oscillator			GetGator
⛔ HURST - Hurst Exponent			GetHurst
⛔ KRI - Kairi Relative Index
⛔ KVO - Klinger Volume Oscillator
⛔ MFI - Money Flow Index		MFI	GetMfi
⛔ ROC - Rate of Change (Momentum)		MOM	GetRoc
⛔ NVI - Negative Volume Index
⛔ PO - Price Oscillator
⛔ PPO - Percentage Price Oscillator		PPO
⛔ PMO - Price Momentum Oscillator
⛔ PVI - Positive Volume Index
⛔ RVGI - Relative Vigor Index
⛔ SMI - Stochastic Momentum Index
⛔ STOCH - Stochastic Oscillator
⛔ TRIX - 1-day ROC of TEMA
⛔ TSI - True Strength Index
⛔ UO - Ultimate Oscillator
⛔ WGAT - Williams Alligator
VOLUME INDICATORS	QuanTAlib	TA-LIB	Skender
⛔ AOBV - Archer On-Balance Volume
⛔ OBV - On-Balance Volume		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
Unsorted	QuanTAlib	TA-LIB	Skender
⛔ CHN - Price Channel
⛔ COPPOCK - Coppock Curve
⛔ EOM - Ease of Movement
⛔ HILO - Gann High-Low Activator
⛔ HT - HT Trendline
⛔ MCGD - McGinley Dynamic
⛔ STC - Schaff Trend Cycle
⛔ WILLR - Larry Williams' %R
⛔ VOR - Vortex Indicator
⛔ PVT - Pivot Points
⛔ KDJ - KDJ Index
⛔ CHAND - Chandelier Exit