mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-13 08:08:05 +00:00
Miha Kralj
744d680435
- Implemented Vwapsd class for calculating VWAP with configurable standard deviation bands. - Added methods for updating the indicator with new bars and calculating VWAPSD using both bar series and span arrays. - Created comprehensive validation tests for VWAPSD, including checks for consistency between streaming and batch modes, mathematical correctness, and handling of edge cases such as NaN values and zero volume bars. - Ensured that the implementation adheres to performance standards with tests for large datasets and fractional numDevs values.
3.1 KiB
3.1 KiB
Channels
"In trending markets, ride the channel. In ranging markets, fade the edges." Unknown
Channels define dynamic support and resistance. Upper band shows where price tends to find resistance; lower band shows support. Width measures volatility; price position within channel measures momentum and mean-reversion potential.
Indicators
| Indicator | Full Name | Description |
|---|---|---|
| ABBER | Aberration Bands | Absolute deviation-based volatility bands. More robust than standard deviation. |
| ACCBANDS | Acceleration Bands | Volatility-based adaptive channel by Price Headley. Width adapts to momentum. |
| APCHANNEL | Adaptive Price Channel | Channel based on adaptive moving average with volatility bands. |
| APZ | Adaptive Price Zone | Double-smoothed EMA volatility channel by Lee Leibfarth. Adapts to recent volatility. |
| ATRBANDS | ATR Bands | ATR-based volatility bands around moving average. |
| BBANDS | Bollinger Bands | Standard deviation bands around SMA. Classic volatility channel. |
| DCHANNEL | Donchian Channels | Highest high and lowest low over N periods. Turtle trading foundation. |
| DECAYCHANNEL | Decay Min-Max Channel | Exponentially decaying min-max channel. Half-life decay toward midpoint. |
| FCB | Fractal Chaos Bands | Tracks fractal highs and lows. Identifies chaos-based support/resistance. |
| JBANDS | Jurik Adaptive Envelope Bands | JMA's internal adaptive envelopes. Snap to extremes, decay toward price. |
| KCHANNEL | Keltner Channel | EMA with ATR bands. Smoother than Bollinger. |
| MAENV | Moving Average Envelope | Fixed percentage bands around moving average. Simple but effective. |
| MMCHANNEL | Min-Max Channel | Rolling highest high / lowest low using O(1) monotonic deques. |
| PCHANNEL | Price Channel | Highest high and lowest low. Identical to Donchian Channels. |
| REGCHANNEL | Linear Regression Channel | Linear regression line with standard deviation bands. |
| SDCHANNEL | Standard Deviation Channel | Moving average with standard deviation bands. |
| STARCHANNEL | Stoller Average Range Channel | SMA with ATR bands. Similar to Keltner but uses SMA instead of EMA. |
| STBANDS | Super Trend Bands | ATR-based trend-following bands. Flips direction on breakout. |
| UBANDS | Ehlers Ultimate Bands | USF-based volatility channel with RMS bands. Zero-lag smoothing by Ehlers. |
| UCHANNEL | Ehlers Ultimate Channel | USF-based volatility channel with Smoothed True Range bands. Zero-lag by Ehlers. |
| VWAPBANDS | VWAP Bands | Volume-weighted average price with dual ±1σ and ±2σ standard deviation bands. |
| VWAPSD | VWAP Standard Deviation Bands | Standard deviation bands around VWAP. |