kingchenc
80850c81f7
Deepens the **Ehlers / Cycle (DSP)** family (B10) with ten indicators (452 -> 462): - **HighpassFilter**, **Reflex**, **Trendflex**, **CorrelationTrendIndicator**, **AdaptiveRsi**, **UniversalOscillator** — scalar (f64) Ehlers filters/oscillators. - **AdaptiveCci** — efficiency-ratio-adaptive CCI on typical price (Candle input). - **BandpassFilter**, **EvenBetterSinewave**, **AutocorrelationPeriodogram** — multi-arg scalar (hand-written bindings; the wasm variadic scalar macro covers wasm). Verified locally: 3755 core lib + 420 doc tests, clippy clean, 537 node tests, 881 pytest, counter 462.
1009 lines
18 KiB
Python
1009 lines
18 KiB
Python
"""Wickra: streaming-first technical indicators.
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Every indicator is available both in streaming mode (call ``update(value)`` per
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new data point) and batch mode (call ``batch(numpy_array)`` over a full series).
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Warmup positions in batch output are returned as ``NaN`` so the shape always
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matches the input.
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Example::
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import numpy as np
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import wickra as ta
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prices = np.linspace(100, 200, 1000)
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rsi = ta.RSI(14)
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values = rsi.batch(prices) # numpy array, NaN during warmup
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# Or streaming:
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rsi = ta.RSI(14)
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for p in prices:
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v = rsi.update(p) # None during warmup, then float
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"""
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from __future__ import annotations
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from ._wickra import (
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__version__,
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AUTOCORRPGRAM,
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EVENBETTERSINE,
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BANDPASS,
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ADAPTIVECCI,
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UNIVERSALOSC,
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ADAPTIVERSI,
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CTI,
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TRENDFLEX,
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REFLEX,
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HIGHPASS,
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SAMPLEENT,
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SHANNONENT,
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ROLLINGMINMAX,
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JARQUEBERA,
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TimeBasedStop,
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ProjectionOscillator,
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VolatilityCone,
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VolatilityRatio,
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BipowerVariation,
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VolatilityOfVolatility,
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Garch11,
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EwmaVolatility,
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PpoHistogram,
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MacdHistogram,
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TsfOscillator,
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Qstick,
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GatorOscillator,
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KasePermissionStochastic,
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WAVE_PM,
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POLARIZED_FRACTAL_EFFICIENCY,
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TREND_STRENGTH_INDEX,
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TTM_TREND,
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QQE,
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IMI,
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ElderRay,
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DerivativeOscillator,
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RMI,
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StochasticCCI,
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DynamicMomentumIndex,
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RSX,
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FisherRSI,
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DisparityIndex,
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HoltWinters,
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GD,
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AdaptiveLaguerre,
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MedianMA,
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EHMA,
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GMA,
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SWMA,
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Expectancy,
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WinRate,
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RegimeLabel,
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JumpIndicator,
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TrendLabel,
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HighLowRange,
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WickRatio,
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BodySizePct,
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CloseVsOpen,
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RollingQuantile,
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RollingPercentileRank,
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RollingIqr,
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RealizedVolatility,
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LogReturn,
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TSF,
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LINEARREG_INTERCEPT,
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ROCR100,
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ROCR,
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ROCP,
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AVGPRICE,
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MIDPOINT,
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MIDPRICE,
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DX,
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MINUS_DI,
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PLUS_DI,
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# Trend
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SMA,
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EMA,
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WMA,
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DEMA,
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TEMA,
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HMA,
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KAMA,
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SMMA,
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TRIMA,
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ZLEMA,
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T3,
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VWMA,
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ALMA,
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McGinleyDynamic,
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FRAMA,
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VIDYA,
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JMA,
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Alligator,
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EVWMA,
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# Momentum
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RSI,
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AnchoredRSI,
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MACD,
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MACDFIX,
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MACDEXT,
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Stochastic,
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CCI,
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ROC,
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WilliamsR,
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ADX,
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ADXR,
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PLUS_DM,
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MINUS_DM,
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MFI,
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TRIX,
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AwesomeOscillator,
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Aroon,
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MOM,
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CMO,
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TSI,
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PMO,
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TII,
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KST,
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StochRSI,
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UltimateOscillator,
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RVI,
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PGO,
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KST,
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SMI,
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LaguerreRSI,
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ConnorsRSI,
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Inertia,
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APO,
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AwesomeOscillatorHistogram,
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CFO,
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ZeroLagMACD,
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ElderImpulse,
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STC,
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PPO,
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DPO,
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Coppock,
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AroonOscillator,
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Vortex,
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RWI,
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WaveTrend,
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MassIndex,
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AcceleratorOscillator,
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BalanceOfPower,
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ChoppinessIndex,
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VerticalHorizontalFilter,
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# Volatility
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BollingerBands,
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ATR,
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Keltner,
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Donchian,
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PSAR,
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SAREXT,
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NATR,
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StdDev,
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UlcerIndex,
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HistoricalVolatility,
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BollingerBandwidth,
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PercentB,
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# Trailing Stops
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ModifiedMaStop,
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Nrtr,
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AtrRatchet,
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ElderSafeZone,
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SuperTrend,
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ChandelierExit,
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ChandeKrollStop,
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AtrTrailingStop,
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HiLoActivator,
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VoltyStop,
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YoyoExit,
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DonchianStop,
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PercentageTrailingStop,
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StepTrailingStop,
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RenkoTrailingStop,
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KaseDevStop,
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TrueRange,
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ChaikinVolatility,
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RVIVolatility,
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ParkinsonVolatility,
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GarmanKlassVolatility,
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RogersSatchellVolatility,
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YangZhangVolatility,
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# Volume
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VolumeWeightedMacd,
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BetterVolume,
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IntradayIntensity,
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TradeVolumeIndex,
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TwiggsMoneyFlow,
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Wad,
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VolumeRsi,
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OBV,
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VWAP,
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RollingVWAP,
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ADL,
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VolumePriceTrend,
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ChaikinMoneyFlow,
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ChaikinOscillator,
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ForceIndex,
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KVO,
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VolumeOscillator,
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NVI,
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PVI,
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WilliamsAD,
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AnchoredVWAP,
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DemandIndex,
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TSV,
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VZO,
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MarketFacilitationIndex,
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EaseOfMovement,
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# Statistics
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KendallTau,
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SpreadBollingerBands,
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KalmanHedgeRatio,
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GrangerCausality,
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VarianceRatio,
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BetaNeutralSpread,
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DistanceSsd,
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SpreadHurst,
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OuHalfLife,
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RollingCovariance,
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RollingCorrelation,
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TypicalPrice,
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MedianPrice,
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WeightedClose,
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LinearRegression,
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LinRegSlope,
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ZScore,
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LinRegAngle,
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Variance,
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CoefficientOfVariation,
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Skewness,
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Kurtosis,
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StandardError,
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DetrendedStdDev,
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RSquared,
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Autocorrelation,
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MedianAbsoluteDeviation,
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HurstExponent,
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PearsonCorrelation,
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Beta,
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PairwiseBeta,
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SpreadAr1Coefficient,
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PairSpreadZScore,
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LeadLagCrossCorrelation,
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Cointegration,
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RelativeStrengthAB,
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SpearmanCorrelation,
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# Ehlers / Cycle
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SuperSmoother,
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FisherTransform,
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InverseFisherTransform,
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Decycler,
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DecyclerOscillator,
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RoofingFilter,
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CenterOfGravity,
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CyberneticCycle,
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InstantaneousTrendline,
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EhlersStochastic,
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EmpiricalModeDecomposition,
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HilbertDominantCycle,
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HT_DCPHASE,
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HT_PHASOR,
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HT_TRENDMODE,
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AdaptiveCycle,
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SineWave,
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MAMA,
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FAMA,
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# Bands & Channels
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ProjectionBands,
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MedianChannel,
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BomarBands,
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QuartileBands,
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MaEnvelope,
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AccelerationBands,
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StarcBands,
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AtrBands,
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HurstChannel,
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LinRegChannel,
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StandardErrorBands,
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DoubleBollinger,
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TtmSqueeze,
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FractalChaosBands,
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VwapStdDevBands,
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# Pivots & S/R
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ClassicPivots,
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FibonacciPivots,
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Camarilla,
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WoodiePivots,
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DemarkPivots,
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WilliamsFractals,
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ZigZag,
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# DeMark
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TDSetup,
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TDSequential,
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TDDeMarker,
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TDREI,
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TDPressure,
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TDCombo,
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TDCountdown,
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TDLines,
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TDRangeProjection,
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TDDifferential,
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TDOpen,
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TDRiskLevel,
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# Ichimoku & alternative charts
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Ichimoku,
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HeikinAshi,
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# Market Profile
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ValueArea,
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VolumeProfile,
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TpoProfile,
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InitialBalance,
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OpeningRange,
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# Alt-Chart Bars
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RenkoBars,
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KagiBars,
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PointAndFigureBars,
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# Candlestick patterns
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Doji,
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Hammer,
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InvertedHammer,
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HangingMan,
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ShootingStar,
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Engulfing,
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Harami,
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MorningEveningStar,
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ThreeSoldiersOrCrows,
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PiercingDarkCloud,
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Marubozu,
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Tweezer,
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SpinningTop,
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ThreeInside,
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ThreeOutside,
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TwoCrows,
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UpsideGapTwoCrows,
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IdenticalThreeCrows,
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ThreeLineStrike,
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ThreeStarsInSouth,
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AbandonedBaby,
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AdvanceBlock,
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BeltHold,
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Breakaway,
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Counterattack,
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DojiStar,
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DragonflyDoji,
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GravestoneDoji,
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LongLeggedDoji,
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RickshawMan,
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EveningDojiStar,
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MorningDojiStar,
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GapSideBySideWhite,
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HighWave,
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Hikkake,
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HikkakeModified,
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HomingPigeon,
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OnNeck,
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InNeck,
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Thrusting,
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SeparatingLines,
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Kicking,
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KickingByLength,
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LadderBottom,
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MatHold,
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MatchingLow,
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LongLine,
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ShortLine,
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RisingThreeMethods,
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FallingThreeMethods,
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UpsideGapThreeMethods,
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DownsideGapThreeMethods,
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StalledPattern,
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StickSandwich,
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Takuri,
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ClosingMarubozu,
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OpeningMarubozu,
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TasukiGap,
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UniqueThreeRiver,
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ConcealingBabySwallow,
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# Chart patterns
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CupAndHandle,
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RectangleRange,
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FlagPennant,
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Wedge,
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Triangle,
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HeadAndShoulders,
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TripleTopBottom,
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DoubleTopBottom,
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# Harmonic patterns
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ThreeDrives,
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Cypher,
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Shark,
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Crab,
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Bat,
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Butterfly,
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Gartley,
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Abcd,
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# Fibonacci
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FibTimeZones,
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FibChannel,
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FibArcs,
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FibFan,
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FibConfluence,
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GoldenPocket,
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AutoFib,
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FibProjection,
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FibExtension,
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FibRetracement,
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# Microstructure: order book
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OrderFlowImbalance,
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OrderBookImbalanceTop1,
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OrderBookImbalanceTopN,
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OrderBookImbalanceFull,
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Microprice,
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QuotedSpread,
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DepthSlope,
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# Microstructure: trade flow
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RollMeasure,
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AmihudIlliquidity,
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Vpin,
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SignedVolume,
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CumulativeVolumeDelta,
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TradeImbalance,
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# Microstructure: price impact
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EffectiveSpread,
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RealizedSpread,
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KylesLambda,
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# Microstructure: footprint
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Footprint,
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# Derivatives
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FundingRate,
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FundingRateMean,
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FundingRateZScore,
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FundingBasis,
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OpenInterestDelta,
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OIPriceDivergence,
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OIWeighted,
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LongShortRatio,
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TakerBuySellRatio,
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LiquidationFeatures,
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TermStructureBasis,
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CalendarSpread,
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# Market Breadth
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TickIndex,
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AbsoluteBreadthIndex,
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CumulativeVolumeIndex,
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BullishPercentIndex,
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UpDownVolumeRatio,
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PercentAboveMa,
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HighLowIndex,
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NewHighsNewLows,
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BreadthThrust,
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Trin,
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McClellanSummationIndex,
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McClellanOscillator,
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AdVolumeLine,
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AdvanceDeclineRatio,
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AdvanceDecline,
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# Risk / Performance
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SharpeRatio,
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SortinoRatio,
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CalmarRatio,
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OmegaRatio,
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MaxDrawdown,
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AverageDrawdown,
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DrawdownDuration,
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PainIndex,
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ValueAtRisk,
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ConditionalValueAtRisk,
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ProfitFactor,
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GainLossRatio,
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RecoveryFactor,
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KellyCriterion,
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TreynorRatio,
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InformationRatio,
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Alpha,
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# Seasonality & Session
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SessionVwap,
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SessionHighLow,
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SessionRange,
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AverageDailyRange,
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OvernightGap,
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OvernightIntradayReturn,
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TurnOfMonth,
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SeasonalZScore,
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TimeOfDayReturnProfile,
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DayOfWeekProfile,
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IntradayVolatilityProfile,
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VolumeByTimeProfile,
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)
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__all__ = [
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"AUTOCORRPGRAM",
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"EVENBETTERSINE",
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"BANDPASS",
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"ADAPTIVECCI",
|
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"UNIVERSALOSC",
|
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"ADAPTIVERSI",
|
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"CTI",
|
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"TRENDFLEX",
|
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"REFLEX",
|
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"HIGHPASS",
|
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"SAMPLEENT",
|
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"SHANNONENT",
|
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"ROLLINGMINMAX",
|
|
"JARQUEBERA",
|
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"TimeBasedStop",
|
|
"ProjectionOscillator",
|
|
"VolatilityCone",
|
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"VolatilityRatio",
|
|
"BipowerVariation",
|
|
"VolatilityOfVolatility",
|
|
"Garch11",
|
|
"EwmaVolatility",
|
|
"PpoHistogram",
|
|
"MacdHistogram",
|
|
"TsfOscillator",
|
|
"Qstick",
|
|
"GatorOscillator",
|
|
"KasePermissionStochastic",
|
|
"WAVE_PM",
|
|
"POLARIZED_FRACTAL_EFFICIENCY",
|
|
"TREND_STRENGTH_INDEX",
|
|
"TTM_TREND",
|
|
"QQE",
|
|
"IMI",
|
|
"ElderRay",
|
|
"DerivativeOscillator",
|
|
"RMI",
|
|
"StochasticCCI",
|
|
"DynamicMomentumIndex",
|
|
"RSX",
|
|
"FisherRSI",
|
|
"DisparityIndex",
|
|
"HoltWinters",
|
|
"GD",
|
|
"AdaptiveLaguerre",
|
|
"MedianMA",
|
|
"EHMA",
|
|
"GMA",
|
|
"SWMA",
|
|
"Expectancy",
|
|
"WinRate",
|
|
"RegimeLabel",
|
|
"JumpIndicator",
|
|
"TrendLabel",
|
|
"HighLowRange",
|
|
"WickRatio",
|
|
"BodySizePct",
|
|
"CloseVsOpen",
|
|
"RollingQuantile",
|
|
"RollingPercentileRank",
|
|
"RollingIqr",
|
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"RealizedVolatility",
|
|
"LogReturn",
|
|
"TSF",
|
|
"LINEARREG_INTERCEPT",
|
|
"ROCR100",
|
|
"ROCR",
|
|
"ROCP",
|
|
"AVGPRICE",
|
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"MIDPOINT",
|
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"MIDPRICE",
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"DX",
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"MINUS_DI",
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"PLUS_DI",
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"__version__",
|
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# Trend
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"SMA",
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"EMA",
|
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"WMA",
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"DEMA",
|
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"TEMA",
|
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"HMA",
|
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"KAMA",
|
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"SMMA",
|
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"TRIMA",
|
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"ZLEMA",
|
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"T3",
|
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"VWMA",
|
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"ALMA",
|
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"McGinleyDynamic",
|
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"FRAMA",
|
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"VIDYA",
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"JMA",
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"Alligator",
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"EVWMA",
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# Momentum
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"RSI",
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"AnchoredRSI",
|
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"MACD",
|
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"MACDFIX",
|
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"MACDEXT",
|
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"Stochastic",
|
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"CCI",
|
|
"ROC",
|
|
"WilliamsR",
|
|
"ADX",
|
|
"ADXR",
|
|
"PLUS_DM",
|
|
"MINUS_DM",
|
|
"MFI",
|
|
"TRIX",
|
|
"AwesomeOscillator",
|
|
"Aroon",
|
|
"MOM",
|
|
"CMO",
|
|
"TSI",
|
|
"PMO",
|
|
"TII",
|
|
"KST",
|
|
"StochRSI",
|
|
"UltimateOscillator",
|
|
"RVI",
|
|
"PGO",
|
|
"KST",
|
|
"SMI",
|
|
"LaguerreRSI",
|
|
"ConnorsRSI",
|
|
"Inertia",
|
|
"APO",
|
|
"AwesomeOscillatorHistogram",
|
|
"CFO",
|
|
"ZeroLagMACD",
|
|
"ElderImpulse",
|
|
"STC",
|
|
"PPO",
|
|
"DPO",
|
|
"Coppock",
|
|
"AroonOscillator",
|
|
"Vortex",
|
|
"RWI",
|
|
"WaveTrend",
|
|
"MassIndex",
|
|
"AcceleratorOscillator",
|
|
"BalanceOfPower",
|
|
"ChoppinessIndex",
|
|
"VerticalHorizontalFilter",
|
|
# Volatility
|
|
"BollingerBands",
|
|
"ATR",
|
|
"Keltner",
|
|
"Donchian",
|
|
"PSAR",
|
|
"SAREXT",
|
|
"NATR",
|
|
"StdDev",
|
|
"UlcerIndex",
|
|
"HistoricalVolatility",
|
|
"BollingerBandwidth",
|
|
"PercentB",
|
|
# Trailing Stops
|
|
"ModifiedMaStop",
|
|
"Nrtr",
|
|
"AtrRatchet",
|
|
"ElderSafeZone",
|
|
"SuperTrend",
|
|
"ChandelierExit",
|
|
"ChandeKrollStop",
|
|
"AtrTrailingStop",
|
|
"HiLoActivator",
|
|
"VoltyStop",
|
|
"YoyoExit",
|
|
"DonchianStop",
|
|
"PercentageTrailingStop",
|
|
"StepTrailingStop",
|
|
"RenkoTrailingStop",
|
|
"KaseDevStop",
|
|
"TrueRange",
|
|
"ChaikinVolatility",
|
|
"RVIVolatility",
|
|
"ParkinsonVolatility",
|
|
"GarmanKlassVolatility",
|
|
"RogersSatchellVolatility",
|
|
"YangZhangVolatility",
|
|
# Volume
|
|
"VolumeWeightedMacd",
|
|
"BetterVolume",
|
|
"IntradayIntensity",
|
|
"TradeVolumeIndex",
|
|
"TwiggsMoneyFlow",
|
|
"Wad",
|
|
"VolumeRsi",
|
|
"OBV",
|
|
"VWAP",
|
|
"RollingVWAP",
|
|
"ADL",
|
|
"VolumePriceTrend",
|
|
"ChaikinMoneyFlow",
|
|
"ChaikinOscillator",
|
|
"ForceIndex",
|
|
"KVO",
|
|
"VolumeOscillator",
|
|
"NVI",
|
|
"PVI",
|
|
"WilliamsAD",
|
|
"AnchoredVWAP",
|
|
"DemandIndex",
|
|
"TSV",
|
|
"VZO",
|
|
"MarketFacilitationIndex",
|
|
"EaseOfMovement",
|
|
# Statistics
|
|
"KendallTau",
|
|
"SpreadBollingerBands",
|
|
"KalmanHedgeRatio",
|
|
"GrangerCausality",
|
|
"VarianceRatio",
|
|
"BetaNeutralSpread",
|
|
"DistanceSsd",
|
|
"SpreadHurst",
|
|
"OuHalfLife",
|
|
"RollingCovariance",
|
|
"RollingCorrelation",
|
|
"TypicalPrice",
|
|
"MedianPrice",
|
|
"WeightedClose",
|
|
"LinearRegression",
|
|
"LinRegSlope",
|
|
"ZScore",
|
|
"LinRegAngle",
|
|
"Variance",
|
|
"CoefficientOfVariation",
|
|
"Skewness",
|
|
"Kurtosis",
|
|
"StandardError",
|
|
"DetrendedStdDev",
|
|
"RSquared",
|
|
"Autocorrelation",
|
|
"MedianAbsoluteDeviation",
|
|
"HurstExponent",
|
|
"PearsonCorrelation",
|
|
"Beta",
|
|
"PairwiseBeta",
|
|
"SpreadAr1Coefficient",
|
|
"PairSpreadZScore",
|
|
"LeadLagCrossCorrelation",
|
|
"Cointegration",
|
|
"RelativeStrengthAB",
|
|
"SpearmanCorrelation",
|
|
# Ehlers / Cycle
|
|
"SuperSmoother",
|
|
"FisherTransform",
|
|
"InverseFisherTransform",
|
|
"Decycler",
|
|
"DecyclerOscillator",
|
|
"RoofingFilter",
|
|
"CenterOfGravity",
|
|
"CyberneticCycle",
|
|
"InstantaneousTrendline",
|
|
"EhlersStochastic",
|
|
"EmpiricalModeDecomposition",
|
|
"HilbertDominantCycle",
|
|
"HT_DCPHASE",
|
|
"HT_PHASOR",
|
|
"HT_TRENDMODE",
|
|
"AdaptiveCycle",
|
|
"SineWave",
|
|
"MAMA",
|
|
"FAMA",
|
|
# Bands & Channels
|
|
"ProjectionBands",
|
|
"MedianChannel",
|
|
"BomarBands",
|
|
"QuartileBands",
|
|
"MaEnvelope",
|
|
"AccelerationBands",
|
|
"StarcBands",
|
|
"AtrBands",
|
|
"HurstChannel",
|
|
"LinRegChannel",
|
|
"StandardErrorBands",
|
|
"DoubleBollinger",
|
|
"TtmSqueeze",
|
|
"FractalChaosBands",
|
|
"VwapStdDevBands",
|
|
# Pivots & S/R
|
|
"ClassicPivots",
|
|
"FibonacciPivots",
|
|
"Camarilla",
|
|
"WoodiePivots",
|
|
"DemarkPivots",
|
|
"WilliamsFractals",
|
|
"ZigZag",
|
|
# DeMark
|
|
"TDSetup",
|
|
"TDSequential",
|
|
"TDDeMarker",
|
|
"TDREI",
|
|
"TDPressure",
|
|
"TDCombo",
|
|
"TDCountdown",
|
|
"TDLines",
|
|
"TDRangeProjection",
|
|
"TDDifferential",
|
|
"TDOpen",
|
|
"TDRiskLevel",
|
|
# Ichimoku & alternative charts
|
|
"Ichimoku",
|
|
"HeikinAshi",
|
|
# Market Profile
|
|
"ValueArea",
|
|
"VolumeProfile",
|
|
"TpoProfile",
|
|
"InitialBalance",
|
|
"OpeningRange",
|
|
# Alt-Chart Bars
|
|
"RenkoBars",
|
|
"KagiBars",
|
|
"PointAndFigureBars",
|
|
# Candlestick patterns
|
|
"Doji",
|
|
"Hammer",
|
|
"InvertedHammer",
|
|
"HangingMan",
|
|
"ShootingStar",
|
|
"Engulfing",
|
|
"Harami",
|
|
"MorningEveningStar",
|
|
"ThreeSoldiersOrCrows",
|
|
"PiercingDarkCloud",
|
|
"Marubozu",
|
|
"Tweezer",
|
|
"SpinningTop",
|
|
"ThreeInside",
|
|
"ThreeOutside",
|
|
"TwoCrows",
|
|
"UpsideGapTwoCrows",
|
|
"IdenticalThreeCrows",
|
|
"ThreeLineStrike",
|
|
"ThreeStarsInSouth",
|
|
"AbandonedBaby",
|
|
"AdvanceBlock",
|
|
"BeltHold",
|
|
"Breakaway",
|
|
"Counterattack",
|
|
"DojiStar",
|
|
"DragonflyDoji",
|
|
"GravestoneDoji",
|
|
"LongLeggedDoji",
|
|
"RickshawMan",
|
|
"EveningDojiStar",
|
|
"MorningDojiStar",
|
|
"GapSideBySideWhite",
|
|
"HighWave",
|
|
"Hikkake",
|
|
"HikkakeModified",
|
|
"HomingPigeon",
|
|
"OnNeck",
|
|
"InNeck",
|
|
"Thrusting",
|
|
"SeparatingLines",
|
|
"Kicking",
|
|
"KickingByLength",
|
|
"LadderBottom",
|
|
"MatHold",
|
|
"MatchingLow",
|
|
"LongLine",
|
|
"ShortLine",
|
|
"RisingThreeMethods",
|
|
"FallingThreeMethods",
|
|
"UpsideGapThreeMethods",
|
|
"DownsideGapThreeMethods",
|
|
"StalledPattern",
|
|
"StickSandwich",
|
|
"Takuri",
|
|
"ClosingMarubozu",
|
|
"OpeningMarubozu",
|
|
"TasukiGap",
|
|
"UniqueThreeRiver",
|
|
"ConcealingBabySwallow",
|
|
# Chart patterns
|
|
"CupAndHandle",
|
|
"RectangleRange",
|
|
"FlagPennant",
|
|
"Wedge",
|
|
"Triangle",
|
|
"HeadAndShoulders",
|
|
"TripleTopBottom",
|
|
"DoubleTopBottom",
|
|
# Harmonic patterns
|
|
"ThreeDrives",
|
|
"Cypher",
|
|
"Shark",
|
|
"Crab",
|
|
"Bat",
|
|
"Butterfly",
|
|
"Gartley",
|
|
"Abcd",
|
|
# Fibonacci
|
|
"FibTimeZones",
|
|
"FibChannel",
|
|
"FibArcs",
|
|
"FibFan",
|
|
"FibConfluence",
|
|
"GoldenPocket",
|
|
"AutoFib",
|
|
"FibProjection",
|
|
"FibExtension",
|
|
"FibRetracement",
|
|
# Microstructure: order book
|
|
"OrderFlowImbalance",
|
|
"OrderBookImbalanceTop1",
|
|
"OrderBookImbalanceTopN",
|
|
"OrderBookImbalanceFull",
|
|
"Microprice",
|
|
"QuotedSpread",
|
|
"DepthSlope",
|
|
# Microstructure: trade flow
|
|
"RollMeasure",
|
|
"AmihudIlliquidity",
|
|
"Vpin",
|
|
"SignedVolume",
|
|
"CumulativeVolumeDelta",
|
|
"TradeImbalance",
|
|
# Microstructure: price impact
|
|
"EffectiveSpread",
|
|
"RealizedSpread",
|
|
"KylesLambda",
|
|
# Microstructure: footprint
|
|
"Footprint",
|
|
# Derivatives
|
|
"FundingRate",
|
|
"FundingRateMean",
|
|
"FundingRateZScore",
|
|
"FundingBasis",
|
|
"OpenInterestDelta",
|
|
"OIPriceDivergence",
|
|
"OIWeighted",
|
|
"LongShortRatio",
|
|
"TakerBuySellRatio",
|
|
"LiquidationFeatures",
|
|
"TermStructureBasis",
|
|
"CalendarSpread",
|
|
# Market Breadth
|
|
"TickIndex",
|
|
"AbsoluteBreadthIndex",
|
|
"CumulativeVolumeIndex",
|
|
"BullishPercentIndex",
|
|
"UpDownVolumeRatio",
|
|
"PercentAboveMa",
|
|
"HighLowIndex",
|
|
"NewHighsNewLows",
|
|
"BreadthThrust",
|
|
"Trin",
|
|
"McClellanSummationIndex",
|
|
"McClellanOscillator",
|
|
"AdVolumeLine",
|
|
"AdvanceDeclineRatio",
|
|
"AdvanceDecline",
|
|
# Risk / Performance
|
|
"SharpeRatio",
|
|
"SortinoRatio",
|
|
"CalmarRatio",
|
|
"OmegaRatio",
|
|
"MaxDrawdown",
|
|
"AverageDrawdown",
|
|
"DrawdownDuration",
|
|
"PainIndex",
|
|
"ValueAtRisk",
|
|
"ConditionalValueAtRisk",
|
|
"ProfitFactor",
|
|
"GainLossRatio",
|
|
"RecoveryFactor",
|
|
"KellyCriterion",
|
|
"TreynorRatio",
|
|
"InformationRatio",
|
|
"Alpha",
|
|
# Seasonality & Session
|
|
"SessionVwap",
|
|
"SessionHighLow",
|
|
"SessionRange",
|
|
"AverageDailyRange",
|
|
"OvernightGap",
|
|
"OvernightIntradayReturn",
|
|
"TurnOfMonth",
|
|
"SeasonalZScore",
|
|
"TimeOfDayReturnProfile",
|
|
"DayOfWeekProfile",
|
|
"IntradayVolatilityProfile",
|
|
"VolumeByTimeProfile",
|
|
]
|