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Indicators

Financial market technical analysis & indicators in Julia

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Indicators

Indicators is a Julia package offering efficient implementations of many technical analysis indicators and algorithms. This work is inspired by the TTR package in R and the Python implementation of TA-Lib, and the ultimate goal is to implement all of the functionality of these offerings (and more) in Julia.

Implemented

Moving Averages

  • SMA (simple moving average)
  • WMA (weighted moving average)
  • EMA (exponential moving average)
  • TRIMA (triangular moving average)
  • KAMA (Kaufman adaptive moving average)
  • MAMA (MESA adaptive moving average, developed by John Ehlers)
  • HMA (Hull moving average)
  • ALMA (Arnaud-Legoux moving average)
  • SWMA (sine-weighted moving average)
  • DEMA (double exponential moving average)
  • TEMA (triple exponential moving average)
  • ZLEMA (zero-lag exponential moving average)
  • MMA (modified moving average)
  • MLR (moving linear regression)
    • Prediction
    • Slope
    • Intercept
    • Standard error
    • Upper & lower bound
    • R-squared

Momentum Indicators

  • Momentum (n-day price change)
  • ROC (rate of change)
  • MACD (moving average convergence-divergence)
  • RSI (relative strength index)
  • ADX (average directional index)
  • Parabolic SAR (stop and reverse)
  • Fast & slow stochastics
  • SMI (stochastic momentum indicator)
  • KST (Know Sure Thing)
  • Williams %R
  • CCI (commodity channel index)
  • Donchian channel
  • Aroon indicator + oscillator

Volatility Indicators

  • Bollinger Bands
  • Average True Range
  • Keltner Bands

Other

  • Rolling/running mean
  • Rolling/running standard deviation
  • Rolling/running variance
  • Rolling/running covariance
  • Rolling/running correlation
  • Rolling/running maximum
  • Rolling/running minimum
  • Rolling/running MAD (mean absolute deviation)

Todo

  • ~~Moving Linear Regression~~
  • ~~KAMA (Kaufman adaptive moving average)~~
  • ~~DEMA (double exponential moving average)~~
  • ~~TEMA (tripe exponential moving average)~~
  • ~~ALMA (Arnaud Legoux moving average)~~
  • ~~Parabolic SAR~~
  • ~~Williams %R~~
  • ~~KST (know sure thing)~~
  • ~~CCI (commodity channel index)~~
  • ~~ROC (rate of change)~~
  • ~~Momentum~~
  • ~~Donchian Channel~~
  • ~~Aroon Indicator / Aroon Oscillator~~
  • ~~Stochastics~~
    • ~~Slow Stochastics~~
    • ~~Fast Stochastics~~
    • ~~Stochastic Momentum Index~~
  • ~~MMA (modified moving average)~~
  • ~~ZLEMA (zero lag exponential moving average)~~
  • Hamming moving average
  • VWMA (volume-weighted moving average)
  • VWAP (volume-weighted average price)
  • EVWMA (elastic, volume-weighted moving average)
  • VMA (variable-length moving average)
  • Chaikin Money Flow
  • Ultimate Oscillator
  • OBV (on-balance volume)
  • Too many more to name...always happy to hear suggestions though!

Examples

Randomly generated data:

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Apple (AAPL) daily data from 2015:

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Corn futures daily data

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First Commit

03/15/2016

Last Touched

15 days ago

Commits

87 commits

Used By: