Technical Analysis Indicators

low code backtesting library utilizing pandas and technical analysis indicators

Technical Analysis Indicators

This document provides an overview of all the technical analysis indicators available in the library.

Moving Averages

Simple Moving Averages

  • SMA (Simple Moving Average)
    • Description: Basic moving average calculated by taking the arithmetic mean over a period
    • Parameters:
      • period: (int, default=41) Number of periods to calculate the average
      • column: (str, default=’close’) Column to calculate SMA on
  • SMM (Simple Moving Median)
    • Description: Alternative to SMA using median instead of mean, more robust to outliers
    • Parameters:
      • period: (int, default=9) Number of periods for median calculation
      • column: (str, default=’close’) Column to calculate SMM on
  • SSMA (Smoothed Simple Moving Average)
    • Description: A smoothed version of the simple moving average
    • Parameters:
      • period: (int, default=9) Number of periods for smoothing
      • column: (str, default=’close’) Column to calculate SSMA on
      • adjust: (bool, default=True) Adjust the smoothing

Exponential Moving Averages

  • EMA (Exponential Moving Average)
    • Description: Moving average giving more weight to recent prices
    • Parameters:
      • period: (int, default=9) Number of periods for EMA calculation
      • column: (str, default=’close’) Column to calculate EMA on
      • adjust: (bool, default=True) Adjust the exponential weighting
  • DEMA (Double Exponential Moving Average)
    • Description: Reduces lag by applying a double exponential smoothing
    • Parameters:
      • period: (int, default=9) Number of periods for DEMA calculation
      • column: (str, default=’close’) Column to calculate DEMA on
      • adjust: (bool, default=True) Adjust the exponential weighting
  • TEMA (Triple Exponential Moving Average)
    • Description: Further reduces lag using triple exponential smoothing
    • Parameters:
      • period: (int, default=9) Number of periods for TEMA calculation
      • adjust: (bool, default=True) Adjust the exponential weighting
  • TRIMA (Triangular Moving Average)
    • Description: Places more weight on middle values of the period
    • Parameters:
      • period: (int, default=18) Number of periods for TRIMA calculation

Advanced Moving Averages

  • KAMA (Kaufman Adaptive Moving Average)
    • Description: Adapts to market volatility, reducing lag in trending markets
    • Parameters:
      • er: (int, default=10) Efficiency ratio periods
      • ema_fast: (int, default=2) Fast EMA period
      • ema_slow: (int, default=30) Slow EMA period
      • period: (int, default=20) KAMA period
      • column: (str, default=’close’) Column to calculate KAMA on
  • ZLEMA (Zero Lag Exponential Moving Average)
    • Description: Removes lag by using a special smoothing formula
    • Parameters:
      • period: (int, default=26) Number of periods for calculation
      • adjust: (bool, default=True) Adjust the exponential weighting
      • column: (str, default=’close’) Column to calculate ZLEMA on
  • WMA (Weighted Moving Average)
    • Description: Assigns higher weights to recent data points
    • Parameters:
      • period: (int, default=9) Number of periods for WMA calculation
      • column: (str, default=’close’) Column to calculate WMA on
  • HMA (Hull Moving Average)
    • Description: Provides significantly less lag than traditional moving averages
    • Parameters:
      • period: (int, default=16) Number of periods for HMA calculation
  • EVWMA (Elastic Volume Weighted Moving Average)
    • Description: Volume-weighted moving average with elastic properties
    • Parameters:
      • period: (int, default=20) Number of periods for calculation
  • VWAP (Volume Weighted Average Price)
    • Description: Average price weighted by volume
    • Parameters:
      • Requires OHLCV data

Momentum Indicators

Basic Momentum

  • MOM (Momentum)
    • Description: Measures the change in price over a period
    • Parameters:
      • period: (int, default=10) Number of periods for momentum calculation
      • column: (str, default=’close’) Column to calculate momentum on
  • ROC (Rate of Change)
    • Description: Shows the percentage change in price over a period
    • Parameters:
      • period: (int, default=12) Number of periods for ROC calculation
      • column: (str, default=’close’) Column to calculate ROC on
  • RSI (Relative Strength Index)
    • Description: Measures speed and magnitude of recent price changes
    • Parameters:
      • period: (int, default=14) Number of periods for RSI calculation
      • column: (str, default=’close’) Column to calculate RSI on
      • adjust: (bool, default=True) Adjust the calculation
  • MACD (Moving Average Convergence Divergence)
    • Description: Shows the relationship between two moving averages
    • Parameters:
      • period_fast: (int, default=12) Fast EMA period
      • period_slow: (int, default=26) Slow EMA period
      • signal: (int, default=9) Signal line period
      • column: (str, default=’close’) Column to calculate MACD on
      • adjust: (bool, default=True) Adjust the calculation

Advanced Momentum

  • STOCH (Stochastic Oscillator)
    • Description: Compares closing price to price range over a period
    • Parameters:
      • period: (int, default=14) Number of periods for calculation
  • STOCHRSI (Stochastic RSI)
    • Description: Applies stochastic calculation to RSI values
    • Parameters:
      • rsi_period: (int, default=14) RSI calculation period
      • stoch_period: (int, default=14) Stochastic calculation period
  • WILLIAMS (Williams %R)
    • Description: Shows where current price is relative to high-low range
    • Parameters:
      • period: (int, default=14) Number of periods for calculation
  • VBM (Volatility-Based-Momentum)
    • Description: Similar to ROC but divides by historical volatility using ATR
    • Parameters:
      • roc_period: (int, default=12) ROC calculation period
      • atr_period: (int, default=26) ATR calculation period
      • column: (str, default=’close’) Column for calculations
  • DYMI (Dynamic Momentum Index)
    • Description: Variable term RSI that adapts to volatility
    • Parameters:
      • column: (str, default=’close’) Column for calculations
      • adjust: (bool, default=True) Adjust the calculation
  • IFT_RSI (Inverse Fisher Transform RSI)
    • Description: Modified RSI using inverse Fisher transform
    • Parameters:
      • column: (str, default=’close’) Column for calculations
      • rsi_period: (int, default=5) RSI calculation period
      • wma_period: (int, default=9) WMA calculation period
  • UO (Ultimate Oscillator)
    • Description: Multi-timeframe momentum indicator
    • Parameters:
      • column: (str, default=’close’) Column for calculations
  • AO (Awesome Oscillator)
    • Description: Shows market momentum using simple moving averages
    • Parameters:
      • slow_period: (int, default=34) Slow period
      • fast_period: (int, default=5) Fast period
  • MI (Mass Index)
    • Description: Identifies trend reversals based on range expansions
    • Parameters:
      • period: (int, default=9) Calculation period
      • adjust: (bool, default=True) Adjust the calculation
  • BOP (Balance of Power)
    • Description: Shows buying and selling pressure
    • Parameters:
      • Requires OHLC data
  • CMO (Chande Momentum Oscillator)
    • Description: Shows directional movement strength
    • Parameters:
      • period: (int, default=9) Calculation period
      • factor: (int, default=100) Scaling factor
      • column: (str, default=’close’) Column for calculations
      • adjust: (bool, default=True) Adjust the calculation
  • KST (Know Sure Thing)
    • Description: Momentum oscillator based on four different time frames
    • Parameters:
      • r1: (int, default=10) First ROC period
      • r2: (int, default=15) Second ROC period
      • r3: (int, default=20) Third ROC period
      • r4: (int, default=30) Fourth ROC period
  • TSI (True Strength Index)
    • Description: Momentum oscillator based on double smoothing of price changes
    • Parameters:
      • long: (int, default=25) Long period
      • short: (int, default=13) Short period
      • signal: (int, default=13) Signal period
      • column: (str, default=’close’) Column for calculations
      • adjust: (bool, default=True) Adjust the calculation

Volatility Indicators

Bands and Channels

  • BBANDS (Bollinger Bands)
    • Description: Shows volatility-based bands around a moving average
    • Parameters:
      • period: (int, default=20) Number of periods for calculation
      • std_multiplier: (float, default=2) Standard deviation multiplier
      • column: (str, default=’close’) Column to calculate bands on
      • MA: (Series, optional) Override internal MA calculation
  • KC (Keltner Channels)
    • Description: Similar to Bollinger Bands but uses ATR for band width
    • Parameters:
      • period: (int, default=20) Number of periods for calculation
      • atr_period: (int, default=10) ATR calculation period
      • kc_mult: (float, default=2) Multiplier for channel width
      • MA: (Series, optional) Override internal MA calculation

Volatility Measures

  • ATR (Average True Range)
    • Description: Measures market volatility
    • Parameters:
      • period: (int, default=14) Number of periods for ATR calculation
  • TR (True Range)
    • Description: Base calculation showing the greatest of various price ranges
    • Parameters:
      • Requires OHLC data

Volume Indicators

  • OBV (On Balance Volume)
    • Description: Cumulative volume indicator based on price direction
    • Parameters:
      • column: (str, default=’close’) Column to calculate OBV on
  • VZO (Volume Zone Oscillator)
    • Description: Shows volume pressure with overbought/oversold levels
    • Parameters:
      • period: (int, default=14) Number of periods for calculation
      • column: (str, default=’close’) Column for calculations
      • adjust: (bool, default=True) Adjust the calculation
  • EFI (Elder’s Force Index)
    • Description: Measures the power behind price movements
    • Parameters:
      • period: (int, default=13) Number of periods for calculation
      • column: (str, default=’close’) Column for calculations
      • adjust: (bool, default=True) Adjust the calculation
  • WOBV (Weighted On Balance Volume)
    • Description: OBV weighted by price changes
    • Parameters:
      • column: (str, default=’close’) Column for calculations
  • VPT (Volume Price Trend)
    • Description: Combines volume with price changes
    • Parameters:
      • Requires OHLCV data
  • FVE (Fair Value Extension)
    • Description: Advanced money flow indicator
    • Parameters:
      • period: (int, default=22) Calculation period
      • factor: (int, default=0.3) Price threshold factor
  • VFI (Volume Flow Indicator)
    • Description: Tracks volume based on price direction
    • Parameters:
      • period: (int, default=130) Calculation period
      • smoothing_factor: (int, default=3) Smoothing period
      • factor: (int, default=0.2) Scaling factor
      • vfactor: (int, default=2.5) Volume cutoff factor
      • adjust: (bool, default=True) Adjust the calculation
  • MFI (Money Flow Index)
    • Description: Volume-weighted RSI
    • Parameters:
      • period: (int, default=14) Calculation period
  • ADL (Accumulation/Distribution Line)
    • Description: Shows money flow into/out of a security
    • Parameters:
      • Requires OHLCV data
  • CHAIKIN (Chaikin Oscillator)
    • Description: Momentum of ADL line
    • Parameters:
      • adjust: (bool, default=True) Adjust the calculation
  • EMV (Ease of Movement)
    • Description: Relates price change to volume
    • Parameters:
      • period: (int, default=14) Calculation period

Trend Indicators

  • ADX (Average Directional Index)
    • Description: Measures trend strength
    • Parameters:
      • period: (int, default=14) Number of periods for calculation
      • adjust: (bool, default=True) Adjust the calculation
  • DMI (Directional Movement Index)
    • Description: Shows trend direction and strength
    • Parameters:
      • period: (int, default=14) Number of periods for calculation
      • adjust: (bool, default=True) Adjust the calculation
  • PSAR (Parabolic SAR)
    • Description: Trend following indicator with stop and reverse signals
    • Parameters:
      • iaf: (float, default=0.02) Initial acceleration factor
      • maxaf: (float, default=0.2) Maximum acceleration factor
  • ICHIMOKU (Ichimoku Cloud)
    • Description: Complete trading system showing support, resistance, and trend
    • Parameters:
      • tenkan_period: (int, default=9) Conversion line period
      • kijun_period: (int, default=26) Base line period
      • senkou_period: (int, default=52) Leading span B period
      • chikou_period: (int, default=26) Lagging span period

Pattern Recognition

  • WILLIAMS_FRACTAL
    • Description: Identifies potential turning points in the market
    • Parameters:
      • period: (int, default=2) Number of lower highs/higher lows
  • SQZMI (Squeeze Momentum)
    • Description: Identifies periods of market consolidation
    • Parameters:
      • period: (int, default=20) Number of periods for calculation
      • MA: (Series, optional) Override internal MA calculation

Price Transform Indicators

  • TP (Typical Price)
    • Description: Average of high, low, and close
    • Parameters:
      • Requires OHLC data
  • PIVOT
    • Description: Calculates pivot points and support/resistance levels
    • Parameters:
      • Requires OHLC data
  • PIVOT_FIB (Fibonacci Pivot Points)
    • Description: Fibonacci-based pivot points
    • Parameters:
      • Requires OHLC data
  • VC (Value Chart)
    • Description: Normalizes price into value zones
    • Parameters:
      • period: (int, default=5) Calculation period

Market Strength

  • EBBP (Elder Bull Bear Power)
    • Description: Shows buying and selling pressure
    • Parameters:
      • Requires OHLC data
  • BASP (Buying/Selling Pressure)
    • Description: Identifies buying and selling pressure
    • Parameters:
      • period: (int, default=40) Calculation period
      • adjust: (bool, default=True) Adjust the calculation
  • BASPN (Normalized BASP)
    • Description: Normalized version of BASP indicator
    • Parameters:
      • period: (int, default=40) Calculation period
      • adjust: (bool, default=True) Adjust the calculation

Additional Indicators

  • CHANDELIER
    • Description: Sets trailing stop-loss based on ATR
    • Parameters:
      • short_period: (int, default=22) Short period
      • long_period: (int, default=22) Long period
      • k: (int, default=3) ATR multiplier
  • QSTICK
    • Description: Shows dominance of black or white candlesticks
    • Parameters:
      • period: (int, default=14) Calculation period
  • WTO (Wave Trend Oscillator)
    • Description: Trend and momentum indicator
    • Parameters:
      • channel_length: (int, default=10) Channel length
      • average_length: (int, default=21) Average length
      • adjust: (bool, default=True) Adjust the calculation
  • FISH (Fisher Transform)
    • Description: Converts prices into a Gaussian normal distribution
    • Parameters:
      • period: (int, default=10) Calculation period
      • adjust: (bool, default=True) Adjust the calculation
  • WAVEPM (Wave Price Mass)
    • Description: Volatility-based oscillator
    • Parameters:
      • period: (int, default=14) Calculation period
      • lookback_period: (int, default=100) Lookback period
      • column: (str, default=’close’) Column for calculations
  • ROLLING_MAX
    • Description: Highest value in a rolling window
    • Parameters:
      • periods: (int, default=10) Rolling window size
      • column: (str, default=’close’) Column for calculations
  • ROLLING_MIN
    • Description: Lowest value in a rolling window
    • Parameters:
      • periods: (int, default=10) Rolling window size
      • column: (str, default=’close’) Column for calculations

Notes

  • Most indicators can be customized using different periods and parameters
  • Many indicators work best in combination with others
  • Different market conditions may require different indicators
  • Always use indicators as part of a complete trading strategy
  • All indicators require OHLC (Open, High, Low, Close) data unless specified otherwise
  • Some indicators require volume data (OHLCV)

References

For detailed information about each indicator, including formulas and usage examples, please refer to the source code documentation.