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Wickra Indicators

Compact index of all 514 indicators in crates/wickra-core/src/indicators/, grouped by FAMILIES in crates/wickra-core/src/indicators/mod.rs. Each row links to the full implementation file.

AI agents: skim family headers, then Read the linked .rs file for the canonical formula. For QuantDinger, fetch the live contract with quantdinger_get_indicator_authoring_contract before writing code.

Families

Moving Averages (26)

  • AdaptiveLaguerreFilter — Ehlers' Adaptive Laguerre Filter · adaptive_laguerre_filter.rs
  • Alligator — Bill Williams' Alligator indicator · alligator.rs
  • Alma — Arnaud Legoux Moving Average (ALMA) · alma.rs
  • Dema — Double Exponential Moving Average (DEMA) · dema.rs
  • Ehma — Exponential Hull Moving Average (EHMA) · ehma.rs
  • Ema — Exponential Moving Average · ema.rs
  • Evwma — Elastic Volume-Weighted Moving Average (EVWMA) · evwma.rs
  • Frama — Fractal Adaptive Moving Average (FRAMA) · frama.rs
  • GeneralizedDema — Generalized DEMA (GD) — Tim Tillson's volume-factor double EMA · generalized_dema.rs
  • GeometricMa — Geometric Moving Average (GMA) · geometric_ma.rs
  • Hma — Hull Moving Average (HMA) · hma.rs
  • HoltWinters — Holt's linear (double exponential) smoothing · holt_winters.rs
  • Jma — Jurik Moving Average (JMA) · jma.rs
  • Kama — Kaufman's Adaptive Moving Average (KAMA) · kama.rs
  • McGinleyDynamic — McGinley Dynamic — self-adjusting moving average · mcginley_dynamic.rs
  • MedianMa — Median Moving Average · median_ma.rs
  • SineWeightedMa — Sine-Weighted Moving Average (SWMA) · sine_weighted_ma.rs
  • Sma — Simple Moving Average · sma.rs
  • Smma — Smoothed Moving Average (Wilder's RMA) · smma.rs
  • T3 — Tillson T3 Moving Average · t3.rs
  • Tema — Triple Exponential Moving Average (TEMA) · tema.rs
  • Trima — Triangular Moving Average · trima.rs
  • Vidya — Variable Index Dynamic Average (VIDYA) · vidya.rs
  • Vwma — Volume-Weighted Moving Average · vwma.rs
  • Wma — Weighted Moving Average (linear weights) · wma.rs
  • Zlema — Zero-Lag Exponential Moving Average · zlema.rs

Momentum Oscillators (34)

  • AnchoredRsi — Anchored Relative Strength Index · anchored_rsi.rs
  • AwesomeOscillator — Awesome Oscillator (Bill Williams) · awesome_oscillator.rs
  • Cci — Commodity Channel Index (CCI) · cci.rs
  • Cmo — Chande Momentum Oscillator · cmo.rs
  • ConnorsRsi — Connors RSI (CRSI) · connors_rsi.rs
  • DerivativeOscillator — Derivative Oscillator (Constance Brown) · derivative_oscillator.rs
  • DisparityIndex — Disparity Index · disparity_index.rs
  • DynamicMomentumIndex — Dynamic Momentum Index (Chande's volatility-adaptive RSI) · dynamic_momentum_index.rs
  • ElderRay — Elder Ray — Bull Power and Bear Power · elder_ray.rs
  • FisherRsi — Fisher-transformed RSI · fisher_rsi.rs
  • Inertia — Inertia (Donald Dorsey) · inertia.rs
  • IntradayMomentumIndex — Intraday Momentum Index (IMI) · intraday_momentum_index.rs
  • Kst — Know Sure Thing (KST) · kst.rs
  • LaguerreRsi — Ehlers' Laguerre RSI · laguerre_rsi.rs
  • Mfi — Money Flow Index (MFI) · mfi.rs
  • Mom — Momentum (absolute price change over a fixed lookback) · mom.rs
  • Pgo — Pretty Good Oscillator (PGO) · pgo.rs
  • Pmo — Price Momentum Oscillator (DecisionPoint) · pmo.rs
  • Qqe — QQE — Quantitative Qualitative Estimation · qqe.rs
  • Rmi — Relative Momentum Index (RMI) · rmi.rs
  • Roc — Rate of Change (ROC) · roc.rs
  • Rocp — Rate of Change Percentage (ROCP) · rocp.rs
  • Rocr — Rate of Change Ratio (ROCR) · rocr.rs
  • Rocr100 — Rate of Change Ratio scaled by 100 (ROCR100) · rocr100.rs
  • Rsi — Relative Strength Index using Wilder's smoothing · rsi.rs
  • Rsx — RSX — Jurik-style smoothed RSI · rsx.rs
  • Rvi — Relative Vigor Index (RVI) · rvi.rs
  • Smi — Stochastic Momentum Index (SMI) · smi.rs
  • Stochastic — Stochastic Oscillator (%K and %D) · stochastic.rs
  • StochasticCci — Stochastic CCI — a stochastic oscillator applied to the CCI · stochastic_cci.rs
  • StochRsi — Stochastic RSI · stoch_rsi.rs
  • Tsi — True Strength Index · tsi.rs
  • UltimateOscillator — Ultimate Oscillator · ultimate_oscillator.rs
  • WilliamsR — Williams %R · williams_r.rs

Trend & Directional (28)

  • Adx — Average Directional Index (ADX) with +DI / -DI components · adx.rs
  • Adxr — Average Directional Movement Index Rating (ADXR) · adxr.rs
  • Aroon — Aroon Up / Down indicator · aroon.rs
  • AroonOscillator — Aroon Oscillator · aroon_oscillator.rs
  • ChoppinessIndex — Choppiness Index · choppiness_index.rs
  • Dx — Directional Movement Index (DX), Wilder-smoothed · dx.rs
  • GatorOscillator — Bill Williams' Gator Oscillator (derived from the Alligator) · gator_oscillator.rs
  • KasePermissionStochastic — Kase Permission Stochastic — a double-smoothed stochastic used as a · kase_permission_stochastic.rs
  • MacdExt — MACD with selectable moving-average types (MACDEXT) · macd_ext.rs
  • MacdFix — MACD with fixed 12/26 periods (MACDFIX) · macd_fix.rs
  • MacdIndicator — Moving Average Convergence Divergence (MACD) · macd.rs
  • MassIndex — Mass Index · mass_index.rs
  • MinusDi — Minus Directional Indicator (-DI), Wilder-smoothed · minus_di.rs
  • MinusDm — Minus Directional Movement (-DM), Wilder-smoothed · minus_dm.rs
  • PlusDi — Plus Directional Indicator (+DI), Wilder-smoothed · plus_di.rs
  • PlusDm — Plus Directional Movement (+DM), Wilder-smoothed · plus_dm.rs
  • PolarizedFractalEfficiency — Polarized Fractal Efficiency (PFE) · polarized_fractal_efficiency.rs
  • Qstick — Qstick — Tushar Chande's measure of buying vs. selling pressure · qstick.rs
  • Rwi — Random Walk Index (RWI) · rwi.rs
  • Tii — Trend Intensity Index (TII) · tii.rs
  • TrendLabel — Trend Label — the sign of the rolling least-squares slope · trend_label.rs
  • TrendStrengthIndex — Trend Strength Index — the signed coefficient of determination of a linear · trend_strength_index.rs
  • Trix — TRIX: triple-smoothed EMA percent rate of change · trix.rs
  • TtmTrend — TTM Trend — John Carter's bar-coloring trend filter · ttm_trend.rs
  • VerticalHorizontalFilter — Vertical Horizontal Filter · vertical_horizontal_filter.rs
  • Vortex — Vortex Indicator · vortex.rs
  • WavePm — Wave PM — Cynthia Kase's peak-momentum statistic (Wickra reconstruction) · wave_pm.rs
  • WaveTrend — Wave Trend Oscillator (LazyBear) · wave_trend.rs

Price Oscillators (14)

Volatility & Bands (25)

  • Atr — Average True Range (Wilder) · atr.rs
  • BipowerVariation — Realized Bipower Variation — a jump-robust quadratic-variation estimator · bipower_variation.rs
  • BollingerBands — Bollinger Bands · bollinger.rs
  • BollingerBandwidth — Bollinger Bandwidth · bollinger_bandwidth.rs
  • ChaikinVolatility — Chaikin Volatility · chaikin_volatility.rs
  • Donchian — Donchian Channels · donchian.rs
  • EwmaVolatility — EWMA Volatility — RiskMetrics exponentially-weighted volatility · ewma_volatility.rs
  • Garch11 — GARCH(1,1) — conditional volatility with a long-run-variance anchor · garch11.rs
  • GarmanKlassVolatility — Garman-Klass Volatility (OHLC estimator) · garman_klass.rs
  • HistoricalVolatility — Historical Volatility · historical_volatility.rs
  • JumpIndicator — Jump Indicator — detects return outliers relative to trailing volatility · jump_indicator.rs
  • Keltner — Keltner Channels · keltner.rs
  • Natr — Normalized Average True Range · natr.rs
  • ParkinsonVolatility — Parkinson Volatility (high-low estimator) · parkinson.rs
  • PercentB — Bollinger %b · percent_b.rs
  • RegimeLabel — Regime Label — volatility-quantile classification of the current bar · regime_label.rs
  • RogersSatchellVolatility — Rogers-Satchell Volatility (drift-free OHLC estimator) · rogers_satchell.rs
  • RviVolatility — Relative Volatility Index (Donald Dorsey) · rvi_volatility.rs
  • StdDev — Rolling population standard deviation · std_dev.rs
  • TrueRange — True Range · true_range.rs
  • UlcerIndex — Ulcer Index · ulcer_index.rs
  • VolatilityCone — Volatility Cone — current realized volatility within its historical envelope · volatility_cone.rs
  • VolatilityOfVolatility — Volatility of Volatility — the dispersion of a rolling volatility series · volatility_of_volatility.rs
  • VolatilityRatio — Schwager's Volatility Ratio — today's true range versus its typical level · volatility_ratio.rs
  • YangZhangVolatility — Yang-Zhang Volatility (drift- and gap-robust OHLC estimator) · yang_zhang.rs

Bands & Channels (16)

Trailing Stops (19)

Volume (26)

  • Adl — Accumulation/Distribution Line · adl.rs
  • AdOscillator — Williams A/D Oscillator (ADOSC) · ad_oscillator.rs
  • AnchoredVwap — Anchored Volume-Weighted Average Price · anchored_vwap.rs
  • BetterVolume — Better Volume (VSA) — a streaming effort-versus-result oscillator · better_volume.rs
  • ChaikinMoneyFlow — Chaikin Money Flow (CMF) · cmf.rs
  • ChaikinOscillator — Chaikin Oscillator · chaikin_oscillator.rs
  • DemandIndex — Demand Index (James Sibbet) · demand_index.rs
  • EaseOfMovement — Ease of Movement (Arms) · ease_of_movement.rs
  • ForceIndex — Force Index (Elder) · force_index.rs
  • IntradayIntensity — Intraday Intensity (Bostian) — the per-bar volume-weighted close-location · intraday_intensity.rs
  • Kvo — Klinger Volume Oscillator · kvo.rs
  • MarketFacilitationIndex — Market Facilitation Index (Bill Williams) · market_facilitation_index.rs
  • Nvi — Negative Volume Index · nvi.rs
  • Obv — On-Balance Volume · obv.rs
  • Pvi — Positive Volume Index · pvi.rs
  • RollingVwap — Volume-Weighted Average Price (VWAP) · vwap.rs
  • TradeVolumeIndex — Trade Volume Index (TVI) — cumulative volume signed by a minimum-tick rule · trade_volume_index.rs
  • Tsv — Time Segmented Volume (Worden) · tsv.rs
  • TwiggsMoneyFlow — Twiggs Money Flow (TMF) — Colin Twiggs' Wilder-smoothed money-flow oscillator · twiggs_money_flow.rs
  • VolumeOscillator — Volume Oscillator · volume_oscillator.rs
  • VolumePriceTrend — Volume-Price Trend · vpt.rs
  • VolumeRsi — Volume RSI — Wilder's RSI applied to the volume stream · volume_rsi.rs
  • VolumeWeightedMacd — Volume-Weighted MACD — MACD built on volume-weighted moving averages · volume_weighted_macd.rs
  • Vwap — Volume-Weighted Average Price (VWAP) · vwap.rs
  • Vzo — Volume Zone Oscillator (Walid Khalil) · vzo.rs
  • Wad — Williams Accumulation/Distribution (WAD) — Larry Williams' cumulative line · wad.rs

Price Statistics (55)

  • Autocorrelation — Rolling lag-k autocorrelation · autocorrelation.rs
  • AvgPrice — Average Price (AVGPRICE) · avg_price.rs
  • Beta — Rolling Beta — sensitivity of an asset to a benchmark · beta.rs
  • BetaNeutralSpread — Beta-neutral spread: the rolling OLS regression residual of two series · beta_neutral_spread.rs
  • BodySizePct — Body Size Percent — candle body as a fraction of its range · body_size_pct.rs
  • CloseVsOpen — Close vs Open — the signed relative body of a bar · close_vs_open.rs
  • CoefficientOfVariation — Rolling Coefficient of Variation (StdDev / Mean) · coefficient_of_variation.rs
  • Cointegration — Cointegration — rolling Engle–Granger hedge ratio plus an ADF stationarity test · cointegration.rs
  • DetrendedStdDev — Population standard deviation of residuals from a rolling OLS detrend · detrended_std_dev.rs
  • DistanceSsd — Gatev distance (sum of squared deviations) between two normalised series · distance_ssd.rs
  • GrangerCausality — Granger causality F-statistic: does series b help predict series a? · granger_causality.rs
  • HighLowRange — High-Low Range — the bar range as a fraction of close · high_low_range.rs
  • HurstExponent — Rolling Hurst Exponent via simplified R/S analysis · hurst_exponent.rs
  • JarqueBera — Jarque-Bera — a normality-test statistic on a rolling window · jarque_bera.rs
  • KalmanHedgeRatio — Kalman-filter dynamic hedge ratio between two series · kalman_hedge_ratio.rs
  • KendallTau — Kendall's tau-b — rank correlation by concordant vs. discordant pairs · kendall_tau.rs
  • Kurtosis — Rolling excess kurtosis (Pearson's fourth standardised central moment − 3) · kurtosis.rs
  • LeadLagCrossCorrelation — Lead–Lag Cross-Correlation — which of two assets leads the other, and by how much · lead_lag_cross_correlation.rs
  • LinearRegression — Linear Regression (rolling least-squares endpoint) · linreg.rs
  • LinRegAngle — Linear Regression Angle · linreg_angle.rs
  • LinRegIntercept — Linear Regression Intercept (LINEARREG_INTERCEPT) · linreg_intercept.rs
  • LinRegSlope — Linear Regression Slope · linreg_slope.rs
  • LogReturn — Logarithmic Return over a fixed lag · log_return.rs
  • MedianAbsoluteDeviation — Rolling Median Absolute Deviation (MAD), a robust dispersion estimator · median_absolute_deviation.rs
  • MedianPrice — Median Price · median_price.rs
  • MidPoint — Midpoint (MIDPOINT) over a rolling window of a scalar series · mid_point.rs
  • MidPrice — Midpoint Price (MIDPRICE) over a rolling window of high/low extremes · mid_price.rs
  • OuHalfLife — Ornstein–Uhlenbeck half-life of mean reversion for the spread of two series · ou_half_life.rs
  • PairSpreadZScore — Pair Spread Z-Score — the standardised log-spread of two cointegrated assets · pair_spread_zscore.rs
  • PairwiseBeta — Pairwise Beta — rolling OLS slope of one asset's log-returns on another's · pairwise_beta.rs
  • PearsonCorrelation — Rolling Pearson correlation between two synchronised series · pearson_correlation.rs
  • RealizedVolatility — Realized Volatility from the sum of squared log returns · realized_volatility.rs
  • RelativeStrengthAB — Relative Strength A-vs-B — the price ratio of two assets, plus its MA and RSI · relative_strength_ab.rs
  • RollingCorrelation — Rolling Pearson correlation of the period-over-period returns of two series · rolling_correlation.rs
  • RollingCovariance — Rolling covariance of the period-over-period returns of two series · rolling_covariance.rs
  • RollingIqr — Rolling Interquartile Range (IQR) over a trailing window · rolling_iqr.rs
  • RollingMinMaxScaler — Rolling Min-Max Scaler — normalises the latest value to [0, 1] over a window · rolling_min_max_scaler.rs
  • RollingPercentileRank — Rolling Percentile Rank of the latest value within its trailing window · rolling_percentile_rank.rs
  • RollingQuantile — Rolling Quantile over a trailing window · rolling_quantile.rs
  • RSquared — Coefficient of determination R² for the rolling OLS fit · r_squared.rs
  • SampleEntropy — Sample Entropy (SampEn) — the regularity / predictability of a window · sample_entropy.rs
  • ShannonEntropy — Shannon Entropy — the information content of a price window's distribution · shannon_entropy.rs
  • Skewness — Rolling Pearson skewness (third standardised central moment) · skewness.rs
  • SpearmanCorrelation — Rolling Spearman rank correlation between two synchronised series · spearman_correlation.rs
  • SpreadAr1Coefficient — AR(1) autoregression coefficient of the spread of two series · spread_ar1_coefficient.rs
  • SpreadBollingerBands — Bollinger bands on the spread of two series, for pairs mean-reversion trading · spread_bollinger_bands.rs
  • SpreadHurst — Hurst exponent of the spread of two series, for pairs-trading regime detection · spread_hurst.rs
  • StandardError — Standard Error of the rolling least-squares regression · standard_error.rs
  • Tsf — Time Series Forecast (TSF) · tsf.rs
  • TypicalPrice — Typical Price · typical_price.rs
  • Variance — Rolling population variance · variance.rs
  • VarianceRatio — Lo–MacKinlay variance-ratio test on the spread of two series · variance_ratio.rs
  • WeightedClose — Weighted Close · weighted_close.rs
  • WickRatio — Wick Ratio — the shadow imbalance of a bar · wick_ratio.rs
  • ZScore — Z-Score · z_score.rs

Ehlers / Cycle (DSP) (29)

  • AdaptiveCci — Adaptive CCI — a CCI whose centre line adapts to the efficiency ratio · adaptive_cci.rs
  • AdaptiveCycle — Ehlers Adaptive Cycle period estimator (for adaptive oscillators) · adaptive_cycle.rs
  • AdaptiveRsi — Adaptive RSI — an RSI whose up/down averaging adapts to the efficiency ratio · adaptive_rsi.rs
  • AutocorrelationPeriodogram — Ehlers Autocorrelation Periodogram — estimates the dominant market cycle · autocorrelation_periodogram.rs
  • BandpassFilter — Ehlers Bandpass Filter — isolates the cyclic component around a target period · bandpass_filter.rs
  • CenterOfGravity — Ehlers Center of Gravity Oscillator · center_of_gravity.rs
  • CorrelationTrendIndicator — Ehlers Correlation Trend Indicator (CTI) — Pearson correlation of price vs. time · correlation_trend_indicator.rs
  • CyberneticCycle — Ehlers Cybernetic Cycle Component · cybernetic_cycle.rs
  • Decycler — Ehlers Decycler (single-pole high-pass complement) · decycler.rs
  • DecyclerOscillator — Ehlers Decycler Oscillator (difference of two decyclers) · decycler_oscillator.rs
  • EhlersStochastic — Ehlers Stochastic — Stochastic computed on a Roofing-Filter pre-filtered input · ehlers_stochastic.rs
  • EmpiricalModeDecomposition — Ehlers Empirical Mode Decomposition (bandpass + envelope) · empirical_mode_decomposition.rs
  • EvenBetterSinewave — Ehlers Even Better Sinewave (EBSW) — a normalised cycle oscillator in [-1, 1] · even_better_sinewave.rs
  • Fama — Ehlers Following Adaptive Moving Average (FAMA) · fama.rs
  • FisherTransform — Ehlers Fisher Transform · fisher_transform.rs
  • HighpassFilter — Ehlers two-pole Highpass Filter — removes the trend, keeps the cycles · highpass_filter.rs
  • HilbertDominantCycle — Ehlers Hilbert Transform Dominant Cycle period estimator · hilbert_dominant_cycle.rs
  • HtDcPhase — Ehlers Hilbert Transform Dominant Cycle Phase (HT_DCPHASE) · ht_dcphase.rs
  • HtPhasor — Ehlers Hilbert Transform Phasor components (HT_PHASOR) · ht_phasor.rs
  • HtTrendMode — Ehlers Hilbert Transform Trend vs Cycle Mode (HT_TRENDMODE) · ht_trendmode.rs
  • InstantaneousTrendline — Ehlers Instantaneous Trendline (ITrend) · instantaneous_trendline.rs
  • InverseFisherTransform — Inverse Fisher Transform (Ehlers) · inverse_fisher_transform.rs
  • Mama — Ehlers MESA Adaptive Moving Average (MAMA) and its follower (FAMA) · mama.rs
  • Reflex — Ehlers Reflex — a zero-lag cycle oscillator built on a SuperSmoother prefilter · reflex.rs
  • RoofingFilter — Ehlers Roofing Filter (high-pass followed by SuperSmoother) · roofing_filter.rs
  • SineWave — Ehlers Sine Wave indicator · sine_wave.rs
  • SuperSmoother — Ehlers SuperSmoother filter · super_smoother.rs
  • Trendflex — Ehlers Trendflex — a trend-sensitive sibling of Reflex · trendflex.rs
  • UniversalOscillator — Ehlers Universal Oscillator — whitened, SuperSmoothed, AGC-normalised cycle · universal_oscillator.rs

Pivots & S/R (12)

  • AndrewsPitchfork — Andrews Pitchfork — median line and parallels off the last three swing pivots · andrews_pitchfork.rs
  • Camarilla — Camarilla Pivot Points (Nick Stott) · camarilla_pivots.rs
  • CentralPivotRange — Central Pivot Range (CPR) — the pivot plus its two central levels · central_pivot_range.rs
  • ClassicPivots — Classic (Floor-Trader) Pivot Points · classic_pivots.rs
  • DemarkPivots — DeMark Pivot Points · demark_pivots.rs
  • FibonacciPivots — Fibonacci Pivot Points · fibonacci_pivots.rs
  • MurreyMathLines — Murrey Math Lines — the eighths grid over the recent trading range · murrey_math_lines.rs
  • PivotReversal — Pivot Reversal — a breakout signal off the most recent confirmed swing pivots · pivot_reversal.rs
  • VolumeWeightedSr — Volume-Weighted Support/Resistance — a volume-weighted high/low band · volume_weighted_sr.rs
  • WilliamsFractals — Williams Fractals (Bill Williams) · williams_fractals.rs
  • WoodiePivots — Woodie Pivot Points (Tom Williams) · woodie_pivots.rs
  • ZigZag — ZigZag — percentage-threshold swing detector · zig_zag.rs

DeMark (19)

  • TdCamouflage — Tom DeMark TD Camouflage — a hidden-strength/weakness 1-bar reversal pattern · td_camouflage.rs
  • TdClop — Tom DeMark TD Clop — a 2-bar open/close engulfing reversal · td_clop.rs
  • TdClopwin — Tom DeMark TD Clopwin — a 2-bar "close/open within" inside-body pattern · td_clopwin.rs
  • TdCombo — Tom DeMark TD Combo — an aggressive variant of TD Countdown · td_combo.rs
  • TdCountdown — Tom DeMark TD Countdown (standalone 13-bar countdown) · td_countdown.rs
  • TdDeMarker — Tom DeMark DeMarker (TD DeMarker) — bounded [0, 1] oscillator built from · td_demarker.rs
  • TdDifferential — Tom DeMark TD Differential — 2-bar momentum-divergence reversal pattern · td_differential.rs
  • TdDWave — Tom DeMark TD D-Wave — a simplified Elliott-style swing-wave counter · td_dwave.rs
  • TdLines — Tom DeMark TD Lines (TDST — TD Setup Trend Support / Resistance levels) · td_lines.rs
  • TdMovingAverage — Tom DeMark TD Moving Averages — the ST1 (fast) and ST2 (slow) trend ribbon · td_moving_average.rs
  • TdOpen — Tom DeMark TD Open — open-vs-prior-range gap-reversal signal · td_open.rs
  • TdPressure — Tom DeMark TD Pressure — volume-weighted buying / selling pressure · td_pressure.rs
  • TdPropulsion — Tom DeMark TD Propulsion — a 2-bar trend-continuation thrust signal · td_propulsion.rs
  • TdRangeProjection — Tom DeMark TD Range Projection — next-bar high/low projection from the · td_range_projection.rs
  • TdRei — Tom DeMark Range Expansion Index (TD REI) · td_rei.rs
  • TdRiskLevel — Tom DeMark TD Risk Level — protective-stop levels derived from setup · td_risk_level.rs
  • TdSequential — Tom DeMark TD Sequential (Setup + Countdown) · td_sequential.rs
  • TdSetup — Tom DeMark TD Setup (9-bar buy / sell setup) · td_setup.rs
  • TdTrap — Tom DeMark TD Trap — an inside-bar ("trap") followed by a range breakout · td_trap.rs

Ichimoku & Charts (7)

  • CandleVolume — CandleVolume — candlestick body with a volume-scaled width · candle_volume.rs
  • Equivolume — Equivolume — the price box height and its volume-scaled width · equivolume.rs
  • HeikinAshi — Heikin-Ashi candle transform · heikin_ashi.rs
  • HeikinAshiOscillator — Heikin-Ashi Oscillator — the (smoothed) Heikin-Ashi candle body as a zero-line oscillator · heikin_ashi_oscillator.rs
  • Ichimoku — Ichimoku Kinko Hyo — the five-line cloud chart · ichimoku.rs
  • SmoothedHeikinAshi — Smoothed Heikin-Ashi — Heikin-Ashi computed on EMA-smoothed OHLC · smoothed_heikin_ashi.rs
  • ThreeLineBreak — Three Line Break — the close-driven line-break chart trend, as a direction · three_line_break.rs

Candlestick Patterns (66)

Microstructure (20)

  • AmihudIlliquidity — Amihud Illiquidity — average price impact per unit traded value · amihud_illiquidity.rs
  • CumulativeVolumeDelta — Cumulative Volume Delta — running sum of signed trade volume · cvd.rs
  • DepthSlope — Depth Slope — how fast resting liquidity accumulates away from the mid · depth_slope.rs
  • EffectiveSpread — Effective Spread — the realised cost of a single trade in basis points · effective_spread.rs
  • Footprint — Footprint — buy/sell volume profile per price bucket within a bar · footprint.rs
  • HasbrouckInformationShare — Hasbrouck Information Share — each venue's contribution to price discovery · hasbrouck_information_share.rs
  • KylesLambda — Kyle's Lambda — rolling price impact per unit of signed order flow · kyles_lambda.rs
  • Microprice — Microprice — size-weighted fair value of the top of book · microprice.rs
  • OrderBookImbalanceFull — Order-Book Imbalance over the full visible depth · ob_imbalance_full.rs
  • OrderBookImbalanceTop1 — Order-Book Imbalance at the top of book · ob_imbalance_top1.rs
  • OrderBookImbalanceTopN — Order-Book Imbalance over the top-N levels · ob_imbalance_topn.rs
  • OrderFlowImbalance — Order Flow Imbalance (OFI) from best-level order-book changes · order_flow_imbalance.rs
  • Pin — PIN — Probability of Informed Trading (single-window EKOP estimate) · pin.rs
  • QuotedSpread — Quoted Spread — top-of-book spread in basis points · quoted_spread.rs
  • RealizedSpread — Realized Spread — the post-trade liquidity revenue of a trade in basis · realized_spread.rs
  • RollMeasure — Roll Measure — effective spread implied by serial covariance of price changes · roll_measure.rs
  • SignedVolume — Signed Volume — per-trade volume signed by aggressor side · signed_volume.rs
  • TradeImbalance — Trade Imbalance — rolling buy/sell volume imbalance over a trade window · trade_imbalance.rs
  • TradeSignAutocorrelation — Trade-Sign Autocorrelation — lag-1 persistence of the trade-aggressor side · trade_sign_autocorrelation.rs
  • Vpin — VPIN — Volume-Synchronised Probability of Informed Trading · vpin.rs

Derivatives (17)

  • CalendarSpread — Calendar Spread — the dated future's relative premium to the perpetual · calendar_spread.rs
  • EstimatedLeverageRatio — Estimated Leverage Ratio — open interest per unit of aggregate position size · estimated_leverage_ratio.rs
  • FundingBasis — Funding Basis — the perpetual mark's relative premium to the spot index · funding_basis.rs
  • FundingImpliedApr — Funding-Implied APR — the per-interval funding rate annualised · funding_implied_apr.rs
  • FundingRate — Funding Rate — the current perpetual funding rate · funding_rate.rs
  • FundingRateMean — Funding Rate Rolling Mean — average funding rate over a trailing window · funding_rate_mean.rs
  • FundingRateZScore — Funding Rate Z-Score — how extreme the latest funding rate is versus its · funding_rate_zscore.rs
  • LiquidationFeatures — Liquidation Features — per-tick long/short liquidation breakdown · liquidation_features.rs
  • LongShortRatio — Long/Short Ratio — aggregate long size relative to short size · long_short_ratio.rs
  • OIPriceDivergence — Open-Interest / Price Divergence — relative OI change minus relative price · oi_price_divergence.rs
  • OiToVolumeRatio — OI-to-Volume Ratio — open interest relative to traded volume · oi_to_volume_ratio.rs
  • OIWeighted — Open-Interest-Weighted Price — cumulative mark price weighted by open · oi_weighted.rs
  • OpenInterestDelta — Open-Interest Delta — the tick-over-tick change in open interest · oi_delta.rs
  • OpenInterestMomentum — Open-Interest Momentum — the rate of change of open interest over a lookback · open_interest_momentum.rs
  • PerpetualPremiumIndex — Perpetual Premium Index — the perp mark price relative to spot · perpetual_premium_index.rs
  • TakerBuySellRatio — Taker Buy/Sell Ratio — aggressive buy volume relative to aggressive sell · taker_buy_sell_ratio.rs
  • TermStructureBasis — Term-Structure Basis — the dated future's relative premium to spot · term_structure_basis.rs

Market Profile (10)

  • CompositeProfile — Composite Profile — POC and value area over a long composite window · composite_profile.rs
  • HighLowVolumeNodes — High/Low Volume Nodes (HVN / LVN) — the busiest and quietest price levels · high_low_volume_nodes.rs
  • InitialBalance — Initial Balance (IB): the high / low established over the first N bars of · initial_balance.rs
  • NakedPoc — Naked POC — the nearest prior-session point of control price has not yet revisited · naked_poc.rs
  • OpeningRange — Opening Range (OR): high / low of the first N session bars plus the · opening_range.rs
  • ProfileShape — Profile Shape — classifies the volume profile as b-shape, P-shape, or D/normal · profile_shape.rs
  • SinglePrints — Single Prints — count of price levels touched by exactly one bar (low acceptance) · single_prints.rs
  • TpoProfile — TPO Profile — the Time-Price-Opportunity (market-profile letter) distribution · tpo_profile.rs
  • ValueArea — Value Area (Point of Control + Value Area High / Low) · value_area.rs
  • VolumeProfile — Volume Profile — the full per-bin volume distribution over a rolling window · volume_profile.rs

Risk / Performance (28)

  • Alpha — Rolling Jensen's Alpha (CAPM) · alpha.rs
  • AverageDrawdown — Rolling Average Drawdown · average_drawdown.rs
  • BurkeRatio — Burke Ratio — mean return over the square root of the summed squared drawdowns · burke_ratio.rs
  • CalmarRatio — Rolling Calmar Ratio — return over max drawdown · calmar_ratio.rs
  • CommonSenseRatio — Common Sense Ratio (Schwager / Carver) — profit factor multiplied by the tail ratio · common_sense_ratio.rs
  • ConditionalValueAtRisk — Rolling Conditional Value-at-Risk (CVaR / Expected Shortfall) · conditional_value_at_risk.rs
  • DrawdownDuration — Drawdown Duration — bars since the last all-time peak ("time under water") · drawdown_duration.rs
  • Expectancy — Expectancy — expected return per unit of average loss (R-multiple) · expectancy.rs
  • GainLossRatio — Rolling Gain/Loss Ratio · gain_loss_ratio.rs
  • GainToPainRatio — Gain-to-Pain Ratio (Schwager) — sum of returns over the sum of losses · gain_to_pain_ratio.rs
  • InformationRatio — Rolling Information Ratio · information_ratio.rs
  • KellyCriterion — Rolling Kelly Criterion · kelly_criterion.rs
  • KRatio — K-Ratio (Kestner) — slope of the cumulative-return curve over the standard error of that slope · k_ratio.rs
  • M2Measure — M² / Modigliani–Modigliani measure — Sharpe expressed in benchmark return units · m2_measure.rs
  • MartinRatio — Martin Ratio (Ulcer Performance Index) — mean return over the Ulcer Index · martin_ratio.rs
  • MaxDrawdown — Maximum Drawdown over a rolling window · max_drawdown.rs
  • OmegaRatio — Rolling Omega Ratio — gain-to-loss ratio above a threshold · omega_ratio.rs
  • PainIndex — Rolling Pain Index — mean depth of drawdowns · pain_index.rs
  • ProfitFactor — Rolling Profit Factor · profit_factor.rs
  • RecoveryFactor — Recovery Factor — cumulative net return over max drawdown · recovery_factor.rs
  • SharpeRatio — Rolling Sharpe Ratio · sharpe_ratio.rs
  • SortinoRatio — Rolling Sortino Ratio — Sharpe with downside-only volatility · sortino_ratio.rs
  • SterlingRatio — Sterling Ratio — mean return over the average drawdown of the equity curve · sterling_ratio.rs
  • TailRatio — Tail Ratio — the right tail (95th percentile) over the absolute left tail (5th percentile) · tail_ratio.rs
  • TreynorRatio — Rolling Treynor Ratio · treynor_ratio.rs
  • UpsidePotentialRatio — Upside Potential Ratio (Sortino, van der Meer & Plantinga) — upside mean over downside deviation · upside_potential_ratio.rs
  • ValueAtRisk — Rolling historical Value-at-Risk (VaR) · value_at_risk.rs
  • WinRate — Win Rate — the fraction of winning returns over a rolling window · win_rate.rs

Alt-Chart Bars (10)

  • DollarBars — Dollar bar builder — close a bar each time accumulated traded value reaches a threshold · dollar_bars.rs
  • ImbalanceBars — Tick-imbalance bar builder (simplified López de Prado) — sample on cumulative signed order flow · imbalance_bars.rs
  • KagiBars — Kagi bar builder — reversal-amount line segments on close prices · kagi_bars.rs
  • PointAndFigureBars — Point-and-Figure bar builder — box-size columns with an N-box reversal · point_and_figure_bars.rs
  • RangeBars — Range bar builder — fixed price-range bars with no reversal penalty · range_bars.rs
  • RenkoBars — Renko bar builder — fixed box-size bricks with the classic reversal rule · renko_bars.rs
  • RunBars — Run bar builder (simplified López de Prado) — sample on runs of same-signed ticks · run_bars.rs
  • ThreeLineBreakBars — Three-Line-Break bar builder — line-break chart segments driven by close prices · three_line_break_bars.rs
  • TickBars — Tick bar builder — aggregate a fixed number of candles into one OHLCV bar · tick_bars.rs
  • VolumeBars — Volume bar builder — close a bar each time accumulated volume reaches a threshold · volume_bars.rs

Market Breadth (15)

  • AbsoluteBreadthIndex — Absolute Breadth Index — the magnitude of net advancing-minus-declining issues · absolute_breadth_index.rs
  • AdvanceDecline — Advance/Decline Line — cumulative net advancing-minus-declining issues · advance_decline.rs
  • AdvanceDeclineRatio — Advance/Decline Ratio — advancing issues divided by declining issues · advance_decline_ratio.rs
  • AdVolumeLine — Advance/Decline Volume Line — cumulative net advancing-minus-declining volume · ad_volume_line.rs
  • BreadthThrust — Breadth Thrust (Zweig) — a moving average of the advancing-issues share · breadth_thrust.rs
  • BullishPercentIndex — Bullish Percent Index — share of a universe on a point-and-figure buy signal · bullish_percent_index.rs
  • CumulativeVolumeIndex — Cumulative Volume Index — running total of volume-normalised net advancing volume · cumulative_volume_index.rs
  • HighLowIndex — High-Low Index — a moving average of the record-high percentage · high_low_index.rs
  • McClellanOscillator — McClellan Oscillator — the spread between a fast and slow EMA of breadth · mcclellan_oscillator.rs
  • McClellanSummationIndex — McClellan Summation Index — the running total of the McClellan Oscillator · mcclellan_summation_index.rs
  • NewHighsNewLows — New Highs − New Lows — net count of fresh period extremes across a universe · new_highs_new_lows.rs
  • PercentAboveMa — Percent Above Moving Average — share of a universe trading above its MA · percent_above_ma.rs
  • TickIndex — TICK Index — instantaneous net advancing-minus-declining issues · tick_index.rs
  • Trin — TRIN / Arms Index — the advance-decline ratio over the up-down volume ratio · trin.rs
  • UpDownVolumeRatio — Up/Down Volume Ratio — advancing volume divided by declining volume · up_down_volume_ratio.rs

Seasonality & Session (12)

  • AverageDailyRange — Average Daily Range (ADR) — the mean high-minus-low range of the last period · average_daily_range.rs
  • DayOfWeekProfile — Day-of-Week Profile — the mean bar return for each weekday · day_of_week_profile.rs
  • IntradayVolatilityProfile — Intraday Volatility Profile — the return volatility in each intraday bucket · intraday_volatility_profile.rs
  • OvernightGap — Overnight Gap — the return from the previous session's close to the current · overnight_gap.rs
  • OvernightIntradayReturn — Overnight vs. Intraday Return — decomposes a session's total return into its · overnight_intraday_return.rs
  • SeasonalZScore — Seasonal Z-Score — how far the current bar's return sits from the historical · seasonal_z_score.rs
  • SessionHighLow — Session High/Low — the running high and low of the current calendar-day · session_high_low.rs
  • SessionRange — Session Range — the high-minus-low range accumulated within each of the · session_range.rs
  • SessionVwap — Session VWAP — the volume-weighted average price accumulated since the start · session_vwap.rs
  • TimeOfDayReturnProfile — Time-of-Day Return Profile — the mean bar return in each intraday time bucket · time_of_day_return_profile.rs
  • TurnOfMonth — Turn-of-Month Effect — the mean daily return of sessions that fall inside the · turn_of_month.rs
  • VolumeByTimeProfile — Volume-by-Time Profile — the mean traded volume in each intraday bucket · volume_by_time_profile.rs

Chart Patterns (8)

  • CupAndHandle — Cup-and-Handle (and Inverse) continuation chart pattern · cup_and_handle.rs
  • DoubleTopBottom — Double Top / Double Bottom reversal chart pattern · double_top_bottom.rs
  • FlagPennant — Flag / Pennant continuation chart pattern · flag_pennant.rs
  • HeadAndShoulders — Head-and-Shoulders (and Inverse) reversal chart pattern · head_and_shoulders.rs
  • RectangleRange — Rectangle / Range chart pattern · rectangle_range.rs
  • Triangle — Triangle (ascending / descending / symmetrical) chart pattern · triangle.rs
  • TripleTopBottom — Triple Top / Triple Bottom reversal chart pattern · triple_top_bottom.rs
  • Wedge — Wedge (rising / falling) reversal chart pattern · wedge.rs

Harmonic Patterns (8)

  • Abcd — AB=CD harmonic pattern · abcd.rs
  • Bat — Bat harmonic pattern · bat.rs
  • Butterfly — Butterfly harmonic pattern · butterfly.rs
  • Crab — Crab harmonic pattern · crab.rs
  • Cypher — Cypher harmonic pattern · cypher.rs
  • Gartley — Gartley harmonic pattern · gartley.rs
  • Shark — Shark harmonic pattern · shark.rs
  • ThreeDrives — Three Drives harmonic pattern · three_drives.rs

Fibonacci (10)

  • AutoFib — Auto-Fibonacci — retracement of the most significant recent swing leg · auto_fib.rs
  • FibArcs — Fibonacci Arcs — semicircular retracement levels centred on the swing end, · fib_arcs.rs
  • FibChannel — Fibonacci Channel — a sloped base trendline plus parallel lines offset by · fib_channel.rs
  • FibConfluence — Fibonacci Confluence — the strongest retracement cluster across recent legs · fib_confluence.rs
  • FibExtension — Fibonacci Extension of the most recent confirmed swing leg · fib_extension.rs
  • FibFan — Fibonacci Fan — trendlines fanning from a swing start through the · fib_fan.rs
  • FibProjection — Fibonacci Projection — a measured move from the last three swing pivots · fib_projection.rs
  • FibRetracement — Fibonacci Retracement of the most recent confirmed swing leg · fib_retracement.rs
  • FibTimeZones — Fibonacci Time Zones — vertical markers at Fibonacci bar-distances from the · fib_time_zones.rs
  • GoldenPocket — Golden Pocket — the 0.618-0.65 optimal-trade-entry zone of the last swing · golden_pocket.rs
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