Namespace FinanceSharp.Indicators

Technical analysis indicators, their common base classes, and indicator composition.

Start with SimpleMovingAverage for a windowed indicator. IndicatorBase exposes timestamped updates, current output, readiness, reset behavior, and update events.

Feed observations in timestamp order and inspect IsReady before consuming an output that requires a complete warm-up window. Each indicator documents its parameters and warm-up behavior in its API page.

Classes

AbsolutePriceOscillator: This indicator computes the Absolute Price Oscillator (APO) The Absolute Price Oscillator is calculated using the following formula: APO[i] = FastMA[i] - SlowMA[i]

AccelerationBands: The Acceleration Bands created by Price Headley plots upper and lower envelope bands around a moving average.

AccumulationDistribution: This indicator computes the Accumulation/Distribution (AD) The Accumulation/Distribution is calculated using the following formula: AD = AD + ((Close - Low) - (High - Close)) / (High - Low) * Volume

AccumulationDistributionOscillator: This indicator computes the Accumulation/Distribution Oscillator (ADOSC) The Accumulation/Distribution Oscillator is calculated using the following formula: ADOSC = EMA(fast,AD) - EMA(slow,AD)

ArnaudLegouxMovingAverage: Smooth and high sensitive moving Average. This moving average reduce lag of the information but still being smooth to reduce noises. Is a weighted moving average, which weights have a Normal shape; the parameters Sigma and Offset affect the kurtosis and skewness of the weights respectively. Source: http://www.arnaudlegoux.com/index.html

AroonOscillator: The Aroon Oscillator is the difference between AroonUp and AroonDown. The value of this indicator fluctuates between -100 and +100. An upward trend bias is present when the oscillator is positive, and a negative trend bias is present when the oscillator is negative. AroonUp/Down values over 75 identify strong trends in their respective direction.

AverageDirectionalIndex: This indicator computes Average Directional Index which measures trend strength without regard to trend direction. Firstly, it calculates the Directional Movement and the True Range value, and then the values are accumulated and smoothed using a custom smoothing method proposed by Wilder. For an n period smoothing, 1/n of each period's value is added to the total period. From these accumulated values we are therefore able to derived the 'Positive Directional Index' (+DI) and 'Negative Directional Index' (-DI) which is used to calculate the Average Directional Index. Computation source: https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_directional_index_adx

AverageDirectionalMovementIndexRating: This indicator computes the Average Directional Movement Index Rating (ADXR). The Average Directional Movement Index Rating is calculated with the following formula: ADXR[i] = (ADX[i] + ADX[i - period + 1]) / 2

AverageTrueRange

The AverageTrueRange indicator is a measure of volatility introduced by Welles Wilder in his book: New Concepts in Technical Trading Systems. This indicator computes the TrueRange and then smoothes the TrueRange over a given period.

TrueRange is defined as the maximum of the following: High - Low ABS(High - PreviousClose) ABS(Low - PreviousClose)

BalanceOfPower: This indicator computes the Balance Of Power (BOP). The Balance Of Power is calculated with the following formula: BOP = (Close - Open) / (High - Low)

BarIndicator

The BarIndicator is an indicator that accepts DoubleArray data as its input.

This type is more of a shim/typedef to reduce the need to refer to things as IndicatorBase<DoubleArray>

Belash: Belash is a softned oscillator (0 to 100) that shows how strongly the direction of the price is heading. If 100 then price is rising at full speed. If 0 the price is falling at full speed.

BollingerBands: This indicator creates a moving average (middle band) with an upper band and lower band fixed at k standard deviations above and below the moving average.

ChandeMomentumOscillator: This indicator computes the Chande Momentum Oscillator (CMO). CMO calculation is mostly identical to RSI. The only difference is in the last step of calculation: RSI = gain / (gain+loss) CMO = (gain-loss) / (gain+loss)

CommodityChannelIndex

Represents the traditional commodity channel index (CCI)

CCI = (Typical Price - 20-period SMA of TP) / (.015 * Mean Deviation) Typical Price (TP) = (High + Low + Close)/3 Constant = 0.015

There are four steps to calculating the Mean Deviation, first, subtract the most recent 20-period average of the typical price from each period's typical price. Second, take the absolute values of these numbers. Third, sum the absolute values. Fourth, divide by the total number of periods (20).

ComparingIndicatorBase: An indicator that holds a memory (a CurrentPoint) based on comparing current to the newly updated time and value.

CompositeIndicator: This indicator is capable of wiring up two separate indicators into a single indicator such that the output of each will be sent to a user specified function.

ConstantIndicator: An indicator that will always return the same value.

CoppockCurve: A momentum indicator developed by Edwin “Sedge” Coppock in October 1965. The goal of this indicator is to identify long-term buying opportunities in the S&P500 and Dow Industrials. Source: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:coppock_curve

CountSelector: A selector that calls DoubleArray.SliceIndex(int) on given SelectedIndex.

Delay: An indicator that delays its input for a certain period

DetrendedPriceOscillator: The Detrended Price Oscillator is an indicator designed to remove trend from price and make it easier to identify cycles. DPO does not extend to the last date because it is based on a displaced moving average. Is estimated as Price {X/2 + 1} periods ago less the X-period simple moving average. E.g.DPO(20) equals price 11 days ago less the 20-day SMA.

DonchianChannel: This indicator computes the upper and lower band of the Donchian Channel. The upper band is computed by finding the highest high over the given period. The lower band is computed by finding the lowest low over the given period. The primary output value of the indicator is the mean of the upper and lower band for the given timeframe.

DoubleExponentialMovingAverage: This indicator computes the Double Exponential Moving Average (DEMA). The Double Exponential Moving Average is calculated with the following formula: EMA2 = EMA(EMA(t,period),period) DEMA = 2 * EMA(t,period) - EMA2 The Generalized DEMA (GD) is calculated with the following formula: GD = (volumeFactor+1) * EMA(t,period) - volumeFactor * EMA2

ExponentialMovingAverage: Represents the traditional exponential moving average indicator (EMA)

FilteredIdentity: Represents an indicator that is a ready after ingesting a single sample and always returns the same value as it is given if it passes a filter condition

FisherTransform

The Fisher transform is a mathematical process which is used to convert any data set to a modified data set whose Probability Distribution Function is approximately Gaussian. Once the Fisher transform is computed, the transformed data can then be analyzed in terms of it's deviation from the mean.

The equation is y = .5 * ln [ 1 + x / 1 - x ] where x is the input y is the output ln is the natural logarithm

The Fisher transform has much sharper turning points than other indicators such as MACD

For more info, read chapter 1 of Cybernetic Analysis for Stocks and Futures by John F. Ehlers

We are implementing the latest version of this indicator found at Fig. 4 of http://www.mesasoftware.com/papers/UsingTheFisherTransform.pdf

FractalAdaptiveMovingAverage: The Fractal Adaptive Moving Average (FRAMA) by John Ehlers

FunctionalComparingIndicator: A functional ComparingIndicatorBase. Pretty much saves time writing new classes.

FunctionalIndicator: The functional indicator is used to lift any function into an indicator. This can be very useful when trying to combine output of several indicators, or for expression a mathematical equation

HeikinAshi: This indicator computes the Heikin-Ashi bar (HA) The Heikin-Ashi bar is calculated using the following formulas: HA_Close[0] = (Open[0] + High[0] + Low[0] + Close[0]) / 4 HA_Open[0] = (HA_Open[1] + HA_Close[1]) / 2 HA_High[0] = MAX(High[0], HA_Open[0], HA_Close[0]) HA_Low[0] = MIN(Low[0], HA_Open[0], HA_Close[0])

HullMovingAverage: Produces a Hull Moving Average as explained at http://www.alanhull.com/hull-moving-average/ and derived from the instructions for the Excel VBA code at http://finance4traders.blogspot.com/2009/06/how-to-calculate-hull-moving-average.html

IchimokuKinkoHyo: This indicator computes the Ichimoku Kinko Hyo indicator. It consists of the following main indicators: Tenkan-sen: (Highest High + Lowest Low) / 2 for the specific period (normally 9) Kijun-sen: (Highest High + Lowest Low) / 2 for the specific period (normally 26) Senkou A Span: (Tenkan-sen + Kijun-sen )/ 2 from a specific number of periods ago (normally 26) Senkou B Span: (Highest High + Lowest Low) / 2 for the specific period (normally 52), from a specific number of periods ago (normally 26)

Identity: Represents an indicator that is a ready after ingesting a single sample and always returns the same value as it is given.

Indicator: Represents a type capable of ingesting a piece of data and producing a new piece of data. Indicators can be used to filter and transform data into a new, more informative form.

IndicatorBase: Provides a base type for all indicators

IndicatorExtensions: Provides extension methods for Indicator

IndicatorResult: Represents the result of an indicator's calculations

IntradayVwap: Defines the canonical intraday VWAP indicator

KaufmanAdaptiveMovingAverage: This indicator computes the Kaufman Adaptive Moving Average (KAMA). The Kaufman Adaptive Moving Average is calculated as explained here: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:kaufman_s_adaptive_moving_average

KeltnerChannels: This indicator creates a moving average (middle band) with an upper band and lower band fixed at k average true range multiples away from the middle band.

LeastSquaresMovingAverage: The Least Squares Moving Average (LSMA) first calculates a least squares regression line over the preceding time periods, and then projects it forward to the current period. In essence, it calculates what the value would be if the regression line continued. Source: https://rtmath.net/helpFinAnalysis/html/b3fab79c-f4b2-40fb-8709-fdba43cdb363.htm

LinearWeightedMovingAverage

Represents the traditional Weighted Moving Average indicator. The weight are linearly distributed according to the number of periods in the indicator.

For example, a 4 period indicator will have a numerator of (4 * window[0]) + (3 * window[1]) + (2 * window[2]) + window[3] and a denominator of 4 + 3 + 2 + 1 = 10

During the warm up period, IsReady will return false, but the LWMA will still be computed correctly because the denominator will be the minimum of Samples factorial or Size factorial and the computation iterates over that minimum value.

The RollingWindow of inputs is created when the indicator is created. A RollingWindow of LWMAs is not saved. That is up to the caller.

LogReturn

 Represents the LogReturn indicator (LOGR)

log returns are useful for identifying price convergence/divergence in a given period
logr = log (current price / last price in period)

MassIndex: The Mass Index uses the high-low range to identify trend reversals based on range expansions. In this sense, the Mass Index is a volatility indicator that does not have a directional bias. Instead, the Mass Index identifies range bulges that can foreshadow a reversal of the current trend. Developed by Donald Dorsey.

Maximum: Represents an indicator capable of tracking the maximum value and how many periods ago it occurred

MaximumDeltaIndicator: Calculates the delta between Maximum and current price.

MeanAbsoluteDeviation: This indicator computes the n-period mean absolute deviation.

MidPoint: This indicator computes the MidPoint (MIDPOINT) The MidPoint is calculated using the following formula: MIDPOINT = (Highest Value + Lowest Value) / 2

MidPrice: This indicator computes the MidPrice (MIDPRICE). The MidPrice is calculated using the following formula: MIDPRICE = (Highest High + Lowest Low) / 2

Minimum: Represents an indicator capable of tracking the minimum value and how many periods ago it occurred

MinimumDeltaIndicator: Calculates the delta between Minimum and current price.

Momentum: This indicator computes the n-period change in a value using the following: value_0 - value_n

MomentumPercent

This indicator computes the n-period percentage rate of change in a value using the following: 100 * (value_0 - value_n) / value_n

This indicator yields the same results of RateOfChangePercent

MomersionIndicator: Oscillator indicator that measures momentum and mean-reversion over a specified period n. Source: Harris, Michael. "Momersion Indicator." Price Action Lab., 13 Aug. 2015. Web. http://www.priceactionlab.com/Blog/2015/08/momersion-indicator/.

MoneyFlowIndex

The Money Flow Index (MFI) is an oscillator that uses both price and volume to measure buying and selling pressure

Typical Price = (High + Low + Close)/3 Money Flow = Typical Price x Volume Positive Money Flow = Sum of the money flows of all days where the typical price is greater than the previous day's typical price Negative Money Flow = Sum of the money flows of all days where the typical price is less than the previous day's typical price Money Flow Ratio = (14-period Positive Money Flow)/(14-period Negative Money Flow)

Money Flow Index = 100 x Positive Money Flow / ( Positive Money Flow + Negative Money Flow)

MovingAverageConvergenceDivergence: This indicator creates two moving averages defined on a base indicator and produces the difference between the fast and slow averages.

MovingAverageTypeExtensions: Provides extension methods for the MovingAverageType enumeration

NormalizedAverageTrueRange: This indicator computes the Normalized Average True Range (NATR). The Normalized Average True Range is calculated with the following formula: NATR = (ATR(period) / Close) * 100

OnBalanceVolume: This indicator computes the On Balance Volume (OBV). The On Balance Volume is calculated by determining the price of the current close price and previous close price. If the current close price is equivalent to the previous price the OBV remains the same, If the current close price is higher the volume of that day is added to the OBV, while a lower close price will result in negative value.

ParabolicStopAndReverse: Parabolic SAR Indicator Based on TA-Lib implementation

PercentagePriceOscillator: This indicator computes the Percentage Price Oscillator (PPO) The Percentage Price Oscillator is calculated using the following formula: PPO[i] = 100 * (FastMA[i] - SlowMA[i]) / SlowMA[i]

PeriodlessMaximum: Identical to Maximum but without Period.

PeriodlessMinimum: Identical to Maximum but without Period.

PropertySelector: Selects a specific range of (Start and Stop) of what properties to select.

RateOfChange

 This indicator computes the n-period rate of change in a value using the following:

(value_0 - value_n) / value_n

RateOfChangePercent: This indicator computes the n-period percentage rate of change in a value using the following: 100 * (value_0 - value_n) / value_n

RateOfChangeRatio: This indicator computes the Rate Of Change Ratio (ROCR). The Rate Of Change Ratio is calculated with the following formula: ROCR = price / prevPrice

RegressionChannel: The Regression Channel indicator extends the LeastSquaresMovingAverage with the inclusion of two (upper and lower) channel lines that are distanced from the linear regression line by a user defined number of standard deviations. Reference: http://www.onlinetradingconcepts.com/TechnicalAnalysis/LinRegChannel.html

RelativeStrengthIndex: Represents the Relative Strength Index (RSI) developed by K. Welles Wilder. You can optionally specified a different moving average type to be used in the computation

SimpleMovingAverage: Represents the traditional simple moving average indicator (SMA)

SliceSelector: A selector that calls Slice(int, int) on given Start and Stop.

StandardDeviation: This indicator computes the n-period population standard deviation.

Stochastic

 This indicator computes the Slow Stochastics %K and %D. The Fast Stochastics %K is is computed by

(Current Close Price - Lowest Price of given Period) / (Highest Price of given Period - Lowest Price of given Period) multiplied by 100. Once the Fast Stochastics %K is calculated the Slow Stochastic %K is calculated by the average/smoothed price of of the Fast %K with the given period. The Slow Stochastics %D is then derived from the Slow Stochastics %K with the given period.

Sum: Represents an indicator capable of tracking the sum for the given period

SwissArmyKnife: Swiss Army Knife indicator by John Ehlers

T3MovingAverage: This indicator computes the T3 Moving Average (T3). The T3 Moving Average is calculated with the following formula: EMA1(x, Period) = EMA(x, Period) EMA2(x, Period) = EMA(EMA1(x, Period),Period) GD(x, Period, volumeFactor) = (EMA1(x, Period)(1+volumeFactor)) - (EMA2(x, Period) volumeFactor) T3 = GD(GD(GD(t, Period, volumeFactor), Period, volumeFactor), Period, volumeFactor);

TradeBarIndicator

The TradeBarIndicator is an indicator that accepts TradeBar data as its input.

This type is more of a shim/typedef to reduce the need to refer to things as IndicatorBase<TradeBar>

TriangularMovingAverage

 This indicator computes the Triangular Moving Average (TRIMA). 
 The Triangular Moving Average is calculated with the following formula:

(1) When the period is even, TRIMA(x,period)=SMA(SMA(x,period/2),(period/2)+1) (2) When the period is odd, TRIMA(x,period)=SMA(SMA(x,(period+1)/2),(period+1)/2)

TripleExponentialMovingAverage: This indicator computes the Triple Exponential Moving Average (TEMA). The Triple Exponential Moving Average is calculated with the following formula: EMA1 = EMA(t,period) EMA2 = EMA(EMA(t,period),period) EMA3 = EMA(EMA(EMA(t,period),period),period) TEMA = 3 * EMA1 - 3 * EMA2 + EMA3

Trix: This indicator computes the TRIX (1-period ROC of a Triple EMA) The TRIX is calculated as explained here: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:trix

TrueRange: This indicator computes the True Range (TR). The True Range is the greatest of the following values: value1 = distance from today's high to today's low. value2 = distance from yesterday's close to today's high. value3 = distance from yesterday's close to today's low.

UltimateOscillator: This indicator computes the Ultimate Oscillator (ULTOSC) The Ultimate Oscillator is calculated as explained here: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:ultimate_oscillator

Variance: This indicator computes the n-period population variance.

VolumeWeightedAveragePriceIndicator: Volume Weighted Average Price (VWAP) Indicator: It is calculated by adding up the dollars traded for every transaction (price multiplied by number of shares traded) and then dividing by the total shares traded for the day.

WilderMovingAverage: Represents the moving average indicator defined by Welles Wilder in his book: New Concepts in Technical Trading Systems.

WilliamsPercentR: Williams %R, or just %R, is the current closing price in relation to the high and low of the past N days (for a given N). The value of this indicator fluctuates between -100 and 0. The symbol is said to be oversold when the oscillator is below -80%, and overbought when the oscillator is above -20%.

WindowIdentity: Represents an indicator that is a ready after ingesting enough samples (# samples > period) and always returns the same value as it is given.

WindowIndicator: Represents an indicator that acts on a rolling window of data in a List<T>

Enums

CompositionMethod: Provides methods in-which how to handle composition of two indicators.

IndicatorStatus: The possible states returned by IndicatorBase<T>.Forward

MovingAverageType: Defines the different types of moving averages

SwissArmyKnifeTool: The tools of the Swiss Army Knife. Some of the tools lend well to chaining with the "Of" Method, others may be treated as moving averages

Delegates

CompositeIndicator.IndicatorComposer: Delegate type used to compose the output of two indicators into a new value.

Table of Contents

Namespace FinanceSharp.Indicators

Classes

Enums

Delegates