mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-03 03:47:42 +00:00
Miha Kralj
b3a64f18fa
- Added Ztest class to compute the one-sample t-statistic using sample standard deviation with Bessel correction. - Implemented validation tests for Ztest to ensure accuracy against manual calculations and PineScript. - Updated documentation for Ztest, detailing its mathematical foundation, performance profile, and common pitfalls. - Adjusted NDepend badges to reflect changes in code metrics after implementation. - Updated missing indicators report to reflect the completion of statistical indicators, including ZTEST.
112 lines
7.2 KiB
Markdown
112 lines
7.2 KiB
Markdown
[](https://app.codacy.com/gh/mihakralj/QuanTAlib/dashboard?utm_source=gh&utm_medium=referral&utm_content=&utm_campaign=Badge_grade)
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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://dotnet.microsoft.com/en-us/download/dotnet)
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[](lib/_index.md)
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[](ndepend/ndependout/ndependreport.html)
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[](ndepend/ndependout/ndependreport.html)
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[](ndepend/ndependout/ndependreport.html)
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[](ndepend/ndependout/ndependreport.html)
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[](ndepend/ndependout/ndependreport.html)
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[](ndepend/ndependout/ndependreport.html)
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Static code analysis provided by [ndepend](https://www.ndepend.com/)
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# QuanTAlib - Quantitative Technical Indicators Without Compromises
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TA libraries face a fundamental choice: accept approximations for simplicity OR enforce math rigor. QuanTAlib chooses rigor.
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**Quan**titative **TA** **lib**rary (QuanTAlib) is a C# library built on the premise that you shouldn't have to choose. Modern CPUs process 4-8 FLOPS per cycle via SIMD. Modern .NET exposes memory layouts making hardware acceleration trivial. QuanTAlib exploits both. **Result:** mathematically rigorous indicators at speeds making real-time multi-symbol analysis practical on ordinary hardware.
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## Key Features
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- **Zero Allocation**: Hot paths are allocation-free. No GC pauses during trading.
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- **SIMD Accelerated**: Uses AVX2/AVX-512 for 8x throughput on modern CPUs.
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- **O(1) Streaming**: Constant time updates regardless of lookback period.
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- **Platform Agnostic**: Runs on .NET 8/9/10, compatible with Quantower, NinjaTrader, QuantConnect.
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- **Mathematically Rigorous**: Validated against original research papers and established libraries.
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## Indicators
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| Category | Count | What It Measures | Representative Indicators |
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| -------- | :---: | ---------------- | ------------------------- |
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| [**Trends (FIR)**](lib/trends_FIR/_index.md) | 17 | Finite Impulse Response moving averages | SMA, WMA, HMA, ALMA, TRIMA, LSMA, EPMA |
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| [**Trends (IIR)**](lib/trends_IIR/_index.md) | 23 | Infinite Impulse Response moving averages | EMA, DEMA, TEMA, T3, JMA, KAMA, VIDYA |
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| [**Filters**](lib/filters/_index.md) | 18 | Signal processing and noise reduction filters | Bessel, Butterworth, Gaussian, Savitzky-Golay, Ehlers Super Smoother |
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| [**Oscillators**](lib/oscillators/_index.md) | 19 | Indicators that fluctuate around a center line | RSI, MACD, Stochastic, AO, APO, CCI, Ultimate Oscillator |
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| [**Dynamics**](lib/dynamics/_index.md) | 18 | Trend strength and direction indicators | ADX, Aroon, SuperTrend, Vortex, Chop, Ichimoku |
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| [**Momentum**](lib/momentum/_index.md) | 16 | Speed and magnitude of price changes | Momentum, ROC, Velocity, RSX, Qstick, KDJ |
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| [**Volatility**](lib/volatility/_index.md) | 26 | Size and variability of price movements | ATR, Bollinger Band Width, Historical Volatility, True Range |
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| [**Volume**](lib/volume/_index.md) | 26 | Trading activity and price-volume relationships | OBV, VWAP, MFI, ADL, CMF, TVI, Force Index |
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| [**Statistics**](lib/statistics/_index.md) | 30 | Statistical measures and tests | Correlation, Variance, StdDev, Skewness, Kurtosis, Z-Score |
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| [**Channels**](lib/channels/_index.md) | 23 | Price boundaries and range definitions | Bollinger Bands, Keltner Channels, Donchian Channels |
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| [**Cycles**](lib/cycles/_index.md) | 14 | Cycle analysis and signal processing | Hilbert Transform, Homodyne, Phasor, Ehlers Sine Wave |
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| [**Reversals**](lib/reversals/_index.md) | 12 | Pattern recognition and reversal detection | Pivot Points, Fractals, Swings, Pivot Components |
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| [**Forecasts**](lib/forecasts/_index.md) | 1 | Predictive indicators and projections | Time Series Forecast, AFIRMA, Chande Forecast Oscillator |
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| [**Errors**](lib/errors/_index.md) | 26 | Error metrics and loss functions | RMSE, MAE, MAPE, SMAPE, MASE, R-Squared |
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| [**Numerics**](lib/numerics/_index.md) | 15 | Mathematical transformations | Log, Exp, Sqrt, Tanh, ReLU, Sigmoid |
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**[Browse all 284 indicators →](lib/_index.md)**
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## Quick Start
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Install from NuGet:
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```bash
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dotnet add package QuanTAlib
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```
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Calculate an SMA in real-time:
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```csharp
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using QuanTAlib;
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var sma = new Sma(period: 14);
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double price = 100.0;
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// Update with new price
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var result = sma.Update(new TValue(DateTime.UtcNow, price));
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if (result.IsHot)
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{
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Console.WriteLine($"SMA: {result.Value}");
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}
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```
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## Performance Snapshot
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QuanTAlib is designed for speed. Here is how it compares calculating a 500,000 bar SMA against other libraries:
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| Library | Mean Time | Allocations | Relative Speed |
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| ------- | --------- | ----------- | -------------- |
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| **QuanTAlib (Span)** | **318.3 μs** | **0 B** | **1.00x (baseline)** |
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| TA-Lib | 356.4 μs | 34 B | 1.12x slower |
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| Tulip Indicators | 359.3 μs | 0 B | 1.13x slower |
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| Skender Indicators | 71,277 μs | 50.8 MB | 224x slower |
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*See [Benchmarks](docs/benchmarks.md) for full details and methodology.*
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## Documentation
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### Core Concepts
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- [**Architecture**](docs/architecture.md): Learn about SoA layout, SIMD, and design philosophy.
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- [**API Reference**](docs/api.md): Deep dive into the Tri-Modal Architecture (Batch, Streaming, Priming).
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- [**Indicators**](docs/indicators.md): Full catalog of available indicators and their mathematical families.
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- [**Usage Guides**](docs/usage.md): Detailed patterns for Span, Streaming, Batch, and Eventing modes.
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- [**Integration**](docs/integration.md): Setup guides for Quantower, NinjaTrader, and QuantConnect.
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### Analysis & Validation
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- [**Benchmarks**](docs/benchmarks.md): Detailed performance evidence and test methodology.
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- [**Error Metrics**](docs/errors.md): Implementation details for 20+ error metrics and loss functions.
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- [**Trend Comparison**](docs/trendcomparison.md): Comparative analysis of lag, smoothness, and accuracy.
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- [**MA Qualities**](docs/ma-qualities.md): Theoretical framework for evaluating moving averages.
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- [**Validation**](docs/validation.md): Verification matrices against TA-Lib, Skender, and other libraries.
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- [**Glossary**](docs/glossary.md): Definitions of core QuanTAlib concepts, types, and terminology.
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