kingchenc
82d7479011
* fix(core): de-duplicate 3 indicators by correcting their definitions Behavioral audit found these computed identically to another indicator: - AverageDrawdown was the mean per-bar under-water fraction = PainIndex. Now the conventional average drawdown: mean of the maximum depths of the distinct drawdown episodes in the window. - IntradayIntensity was a cumulative line = the A/D Line (Adl); its normalized form is the Chaikin Money Flow (Cmf). Now the raw per-bar Bostian intensity volume*(2c-h-l)/(h-l), distinct from both. - AwesomeOscillatorHistogram was AO - SMA(AO, n) = AcceleratorOscillator. Now the AO momentum AO[t] - AO[t-lookback] (the histogram delta); the 3rd parameter is reinterpreted from sma_period to lookback (default 1). Constructor signatures are unchanged, so the bindings keep their API. Core unit tests rewritten with the new reference values; workspace tests + clippy green. Binding value-tests and deep-dive docs are updated separately. * fix(core): redefine AdOscillator as the A/D Oscillator (was a Wad duplicate) AdOscillator computed the cumulative volume-free Williams A/D line, identical to the Wad indicator. Redefine it as the Williams A/D *Oscillator*: the same line minus its 13-bar SMA, so it oscillates around zero (mean-reverting) while Wad stays the drifting cumulative line for divergence analysis. The canonical name AdOscillator is now accurate; the trait name() becomes "ADOSC". Constructor stays no-arg (internal 13-bar signal). Unit tests rewritten and cross-checked against Wad - SMA(Wad, 13). The native bindings' "WilliamsAD" alias is renamed to "ADOSC" separately. * fix(bindings): rename WilliamsAD alias to ADOSC and update value tests Follows the core de-duplication: the native bindings exposed the Williams A/D line as 'WilliamsAD', which is now the A/D Oscillator. Rename the Python / Node.js / WASM alias to 'ADOSC' (regenerated node index.js / index.d.ts) and update the binding value-tests for the four redefined indicators (AverageDrawdown episode mean, AwesomeOscillatorHistogram momentum warmup, the Wad-line reference test now uses ta.Wad()). Python suite and node suite both pass (pytest all green, node 584/584). * docs: record indicator de-duplication in README and CHANGELOG README volume family: 'Williams A/D' -> 'Williams A/D Oscillator', 'Intraday Intensity Index' -> 'Intraday Intensity'. CHANGELOG [Unreleased] documents the four redefinitions and the native WilliamsAD -> ADOSC rename as breaking. * test(core): cover Default impl and drop dead match arm Codecov flagged AdOscillator::default() (never exercised) and the unreachable _ => panic!() arm in the AwesomeOscillatorHistogram test. Exercise Default in the accessors test and rewrite the histogram check as an if-let, removing the dead arm.
1113 lines
21 KiB
Python
1113 lines
21 KiB
Python
"""Wickra: streaming-first technical indicators.
|
|
|
|
Every indicator is available both in streaming mode (call ``update(value)`` per
|
|
new data point) and batch mode (call ``batch(numpy_array)`` over a full series).
|
|
Warmup positions in batch output are returned as ``NaN`` so the shape always
|
|
matches the input.
|
|
|
|
Example::
|
|
|
|
import numpy as np
|
|
import wickra as ta
|
|
|
|
prices = np.linspace(100, 200, 1000)
|
|
rsi = ta.RSI(14)
|
|
values = rsi.batch(prices) # numpy array, NaN during warmup
|
|
|
|
# Or streaming:
|
|
rsi = ta.RSI(14)
|
|
for p in prices:
|
|
v = rsi.update(p) # None during warmup, then float
|
|
|
|
"""
|
|
|
|
from __future__ import annotations
|
|
|
|
from ._wickra import (
|
|
__version__,
|
|
M2Measure,
|
|
UpsidePotentialRatio,
|
|
GainToPainRatio,
|
|
CommonSenseRatio,
|
|
KRatio,
|
|
TailRatio,
|
|
MartinRatio,
|
|
BurkeRatio,
|
|
SterlingRatio,
|
|
AUTOCORRPGRAM,
|
|
EVENBETTERSINE,
|
|
BANDPASS,
|
|
ADAPTIVECCI,
|
|
UNIVERSALOSC,
|
|
ADAPTIVERSI,
|
|
CTI,
|
|
TRENDFLEX,
|
|
REFLEX,
|
|
HIGHPASS,
|
|
SAMPLEENT,
|
|
SHANNONENT,
|
|
ROLLINGMINMAX,
|
|
JARQUEBERA,
|
|
TimeBasedStop,
|
|
ProjectionOscillator,
|
|
VolatilityCone,
|
|
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,
|
|
RealizedVolatility,
|
|
LogReturn,
|
|
TSF,
|
|
LINEARREG_INTERCEPT,
|
|
ROCR100,
|
|
ROCR,
|
|
ROCP,
|
|
AVGPRICE,
|
|
MIDPOINT,
|
|
MIDPRICE,
|
|
DX,
|
|
MINUS_DI,
|
|
PLUS_DI,
|
|
# Trend
|
|
SMA,
|
|
EMA,
|
|
WMA,
|
|
DEMA,
|
|
TEMA,
|
|
HMA,
|
|
KAMA,
|
|
SMMA,
|
|
TRIMA,
|
|
ZLEMA,
|
|
T3,
|
|
VWMA,
|
|
ALMA,
|
|
McGinleyDynamic,
|
|
FRAMA,
|
|
VIDYA,
|
|
JMA,
|
|
Alligator,
|
|
EVWMA,
|
|
# Momentum
|
|
RSI,
|
|
AnchoredRSI,
|
|
MACD,
|
|
MACDFIX,
|
|
MACDEXT,
|
|
Stochastic,
|
|
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,
|
|
ADOSC,
|
|
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
|
|
PivotReversal,
|
|
VolumeWeightedSr,
|
|
AndrewsPitchfork,
|
|
MurreyMathLines,
|
|
CentralPivotRange,
|
|
ClassicPivots,
|
|
FibonacciPivots,
|
|
Camarilla,
|
|
WoodiePivots,
|
|
DemarkPivots,
|
|
WilliamsFractals,
|
|
ZigZag,
|
|
# DeMark
|
|
TDMovingAverage,
|
|
TDDWave,
|
|
TDTrap,
|
|
TDPropulsion,
|
|
TDClopwin,
|
|
TDClop,
|
|
TDCamouflage,
|
|
TDSetup,
|
|
TDSequential,
|
|
TDDeMarker,
|
|
TDREI,
|
|
TDPressure,
|
|
TDCombo,
|
|
TDCountdown,
|
|
TDLines,
|
|
TDRangeProjection,
|
|
TDDifferential,
|
|
TDOpen,
|
|
TDRiskLevel,
|
|
# Ichimoku & alternative charts
|
|
Ichimoku,
|
|
HeikinAshi,
|
|
SmoothedHeikinAshi,
|
|
HeikinAshiOscillator,
|
|
ThreeLineBreak,
|
|
Equivolume,
|
|
CandleVolume,
|
|
# Market Profile
|
|
CompositeProfile,
|
|
HighLowVolumeNodes,
|
|
ProfileShape,
|
|
SinglePrints,
|
|
NakedPoc,
|
|
ValueArea,
|
|
VolumeProfile,
|
|
TpoProfile,
|
|
InitialBalance,
|
|
OpeningRange,
|
|
# Alt-Chart Bars
|
|
ThreeLineBreakBars,
|
|
RunBars,
|
|
ImbalanceBars,
|
|
DollarBars,
|
|
VolumeBars,
|
|
TickBars,
|
|
RangeBars,
|
|
RenkoBars,
|
|
KagiBars,
|
|
PointAndFigureBars,
|
|
# Candlestick patterns
|
|
TowerTopBottom,
|
|
HaramiCross,
|
|
Tristar,
|
|
FryPanBottom,
|
|
DumplingTop,
|
|
NewPriceLines,
|
|
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
|
|
Pin,
|
|
TradeSignAutocorrelation,
|
|
RollMeasure,
|
|
AmihudIlliquidity,
|
|
Vpin,
|
|
SignedVolume,
|
|
CumulativeVolumeDelta,
|
|
TradeImbalance,
|
|
# Microstructure: price impact
|
|
HasbrouckInformationShare,
|
|
EffectiveSpread,
|
|
RealizedSpread,
|
|
KylesLambda,
|
|
# Microstructure: footprint
|
|
Footprint,
|
|
# Derivatives
|
|
OpenInterestMomentum,
|
|
FundingImpliedApr,
|
|
PerpetualPremiumIndex,
|
|
OiToVolumeRatio,
|
|
EstimatedLeverageRatio,
|
|
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,
|
|
)
|
|
|
|
__all__ = [
|
|
"M2Measure",
|
|
"UpsidePotentialRatio",
|
|
"GainToPainRatio",
|
|
"CommonSenseRatio",
|
|
"KRatio",
|
|
"TailRatio",
|
|
"MartinRatio",
|
|
"BurkeRatio",
|
|
"SterlingRatio",
|
|
"AUTOCORRPGRAM",
|
|
"EVENBETTERSINE",
|
|
"BANDPASS",
|
|
"ADAPTIVECCI",
|
|
"UNIVERSALOSC",
|
|
"ADAPTIVERSI",
|
|
"CTI",
|
|
"TRENDFLEX",
|
|
"REFLEX",
|
|
"HIGHPASS",
|
|
"SAMPLEENT",
|
|
"SHANNONENT",
|
|
"ROLLINGMINMAX",
|
|
"JARQUEBERA",
|
|
"TimeBasedStop",
|
|
"ProjectionOscillator",
|
|
"VolatilityCone",
|
|
"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",
|
|
"RealizedVolatility",
|
|
"LogReturn",
|
|
"TSF",
|
|
"LINEARREG_INTERCEPT",
|
|
"ROCR100",
|
|
"ROCR",
|
|
"ROCP",
|
|
"AVGPRICE",
|
|
"MIDPOINT",
|
|
"MIDPRICE",
|
|
"DX",
|
|
"MINUS_DI",
|
|
"PLUS_DI",
|
|
"__version__",
|
|
# Trend
|
|
"SMA",
|
|
"EMA",
|
|
"WMA",
|
|
"DEMA",
|
|
"TEMA",
|
|
"HMA",
|
|
"KAMA",
|
|
"SMMA",
|
|
"TRIMA",
|
|
"ZLEMA",
|
|
"T3",
|
|
"VWMA",
|
|
"ALMA",
|
|
"McGinleyDynamic",
|
|
"FRAMA",
|
|
"VIDYA",
|
|
"JMA",
|
|
"Alligator",
|
|
"EVWMA",
|
|
# Momentum
|
|
"RSI",
|
|
"AnchoredRSI",
|
|
"MACD",
|
|
"MACDFIX",
|
|
"MACDEXT",
|
|
"Stochastic",
|
|
"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",
|
|
"ADOSC",
|
|
"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
|
|
"PivotReversal",
|
|
"VolumeWeightedSr",
|
|
"AndrewsPitchfork",
|
|
"MurreyMathLines",
|
|
"CentralPivotRange",
|
|
"ClassicPivots",
|
|
"FibonacciPivots",
|
|
"Camarilla",
|
|
"WoodiePivots",
|
|
"DemarkPivots",
|
|
"WilliamsFractals",
|
|
"ZigZag",
|
|
# DeMark
|
|
"TDMovingAverage",
|
|
"TDDWave",
|
|
"TDTrap",
|
|
"TDPropulsion",
|
|
"TDClopwin",
|
|
"TDClop",
|
|
"TDCamouflage",
|
|
"TDSetup",
|
|
"TDSequential",
|
|
"TDDeMarker",
|
|
"TDREI",
|
|
"TDPressure",
|
|
"TDCombo",
|
|
"TDCountdown",
|
|
"TDLines",
|
|
"TDRangeProjection",
|
|
"TDDifferential",
|
|
"TDOpen",
|
|
"TDRiskLevel",
|
|
# Ichimoku & alternative charts
|
|
"Ichimoku",
|
|
"HeikinAshi",
|
|
"SmoothedHeikinAshi",
|
|
"HeikinAshiOscillator",
|
|
"ThreeLineBreak",
|
|
"Equivolume",
|
|
"CandleVolume",
|
|
# Market Profile
|
|
"CompositeProfile",
|
|
"HighLowVolumeNodes",
|
|
"ProfileShape",
|
|
"SinglePrints",
|
|
"NakedPoc",
|
|
"ValueArea",
|
|
"VolumeProfile",
|
|
"TpoProfile",
|
|
"InitialBalance",
|
|
"OpeningRange",
|
|
# Alt-Chart Bars
|
|
"ThreeLineBreakBars",
|
|
"RunBars",
|
|
"ImbalanceBars",
|
|
"DollarBars",
|
|
"VolumeBars",
|
|
"TickBars",
|
|
"RangeBars",
|
|
"RenkoBars",
|
|
"KagiBars",
|
|
"PointAndFigureBars",
|
|
# Candlestick patterns
|
|
"TowerTopBottom",
|
|
"HaramiCross",
|
|
"Tristar",
|
|
"FryPanBottom",
|
|
"DumplingTop",
|
|
"NewPriceLines",
|
|
"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
|
|
"Pin",
|
|
"TradeSignAutocorrelation",
|
|
"RollMeasure",
|
|
"AmihudIlliquidity",
|
|
"Vpin",
|
|
"SignedVolume",
|
|
"CumulativeVolumeDelta",
|
|
"TradeImbalance",
|
|
# Microstructure: price impact
|
|
"HasbrouckInformationShare",
|
|
"EffectiveSpread",
|
|
"RealizedSpread",
|
|
"KylesLambda",
|
|
# Microstructure: footprint
|
|
"Footprint",
|
|
# Derivatives
|
|
"OpenInterestMomentum",
|
|
"FundingImpliedApr",
|
|
"PerpetualPremiumIndex",
|
|
"OiToVolumeRatio",
|
|
"EstimatedLeverageRatio",
|
|
"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",
|
|
]
|