Momentum

Momentum

Average Directional Movement Index (ADX)

MarketTechnicals.adx — Function.
adx(ohlc, n=14; h="High", l="Low", c="Close")

Average Directional Movement Index

Developed by J. Welles Wilder. This Implementation follows StockCharts.

Reference

source
julia> using MarketData

julia> using MarketTechnicals

julia> adx(ohlc)
473x4 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-02-10 to 2001-12-31
│            │ adx     │ dx      │ +di     │ -di     │
├────────────┼─────────┼─────────┼─────────┼─────────┤
│ 2000-02-10 │ 10.5998 │ 0.3916  │ 23.6226 │ 23.4383 │
│ 2000-02-11 │ 10.0953 │ 3.5371  │ 22.1956 │ 23.8233 │
│ 2000-02-14 │ 9.4222  │ 0.6728  │ 22.348  │ 22.0493 │
│ 2000-02-15 │ 9.4482  │ 9.7856  │ 25.495  │ 20.9501 │
│ 2000-02-16 │ 8.9272  │ 2.1537  │ 23.6555 │ 22.6581 │
│ 2000-02-17 │ 8.4433  │ 2.1537  │ 23.0363 │ 22.065  │
│ 2000-02-18 │ 8.0918  │ 3.5217  │ 21.8706 │ 23.4673 │
│ 2000-02-22 │ 8.459   │ 13.2324 │ 19.4557 │ 25.3898 │
│ 2000-02-23 │ 8.3907  │ 7.5034  │ 19.9902 │ 23.2335 │
   ⋮
│ 2001-12-19 │ 26.3951 │ 22.3314 │ 26.0296 │ 16.5263 │
│ 2001-12-20 │ 26.1049 │ 22.3314 │ 24.2042 │ 15.3674 │
│ 2001-12-21 │ 25.9085 │ 23.3553 │ 23.208  │ 14.4199 │
│ 2001-12-24 │ 25.7261 │ 23.3553 │ 22.2731 │ 13.839  │
│ 2001-12-26 │ 26.414  │ 35.357  │ 26.5486 │ 12.6789 │
│ 2001-12-27 │ 27.0528 │ 35.357  │ 25.066  │ 11.9709 │
│ 2001-12-28 │ 28.2837 │ 44.2848 │ 28.6435 │ 11.0606 │
│ 2001-12-31 │ 29.1676 │ 40.6586 │ 26.8864 │ 11.3429 │

Aroon Oscillator

MarketTechnicals.aroon — Function.
aroon(ohlc, n=25; h="High", l="Low")

Aroon Oscillator

Formula

\[ \begin{align*} up & = \frac{\mathop{argmax}(High_{t-n} \dots High_t)}{n} \times 100 \\ down & = \frac{\mathop{argmin}(Low_{t-n} \dots Low_t)}{n} \times 100 \\ osc & = up - down \end{align*}\]

Reference

source
julia> using MarketData

julia> using MarketTechnicals

julia> aroon(ohlc)
476x3 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-02-07 to 2001-12-31
│            │ up    │ dn    │ osc   │
├────────────┼───────┼───────┼───────┤
│ 2000-02-07 │ 52.0  │ 32.0  │ 20.0  │
│ 2000-02-08 │ 48.0  │ 28.0  │ 20.0  │
│ 2000-02-09 │ 44.0  │ 24.0  │ 20.0  │
│ 2000-02-10 │ 40.0  │ 20.0  │ 20.0  │
│ 2000-02-11 │ 36.0  │ 16.0  │ 20.0  │
│ 2000-02-14 │ 32.0  │ 12.0  │ 20.0  │
│ 2000-02-15 │ 28.0  │ 8.0   │ 20.0  │
│ 2000-02-16 │ 24.0  │ 4.0   │ 20.0  │
│ 2000-02-17 │ 20.0  │ 4.0   │ 16.0  │
   ⋮
│ 2001-12-19 │ 60.0  │ 12.0  │ 48.0  │
│ 2001-12-20 │ 56.0  │ 8.0   │ 48.0  │
│ 2001-12-21 │ 52.0  │ 4.0   │ 48.0  │
│ 2001-12-24 │ 48.0  │ 4.0   │ 44.0  │
│ 2001-12-26 │ 44.0  │ 8.0   │ 36.0  │
│ 2001-12-27 │ 40.0  │ 4.0   │ 36.0  │
│ 2001-12-28 │ 36.0  │ 4.0   │ 32.0  │
│ 2001-12-31 │ 32.0  │ 4.0   │ 28.0  │

RSI

MarketTechnicals.rsi — Function.
rsi(ta, n=14; wilder=false)

Relative Strength Index

\[ RSI = \frac{EMA(Up, n)}{EMA(Up, n) + EMA(Dn, n)}\]
source
julia> using MarketData

julia> using MarketTechnicals

julia> rsi(cl)
486x1 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-01-24 to 2001-12-31
│            │ Close_rsi_14 │
├────────────┼──────────────┤
│ 2000-01-24 │ 45.9536      │
│ 2000-01-25 │ 54.3451      │
│ 2000-01-26 │ 51.1961      │
│ 2000-01-27 │ 50.8823      │
│ 2000-01-28 │ 38.7853      │
│ 2000-01-31 │ 42.7753      │
│ 2000-02-01 │ 38.0704      │
│ 2000-02-02 │ 36.1812      │
│ 2000-02-03 │ 45.8674      │
   ⋮
│ 2001-12-19 │ 55.3167      │
│ 2001-12-20 │ 43.0604      │
│ 2001-12-21 │ 47.7045      │
│ 2001-12-24 │ 52.5736      │
│ 2001-12-26 │ 54.3448      │
│ 2001-12-27 │ 61.7068      │
│ 2001-12-28 │ 65.6713      │
│ 2001-12-31 │ 55.8492      │

MACD

MarketTechnicals.macd — Function.
macd(ta, fast=12, slow=26, signal=9; wilder=false)

Moving Average Convergence / Divergence

\[ \begin{align*} MACD Bar & = DIF - DEM \\ DIF & = EMA(P_{close}, fast) - EMA(P_{close}, slow) \\ DEM & = EMA(DIF, 9) \tag{signal} \end{align*}\]

Return:

TimeArray with 3 columns ["macd", "dif", "signal"].

If the input is a multi-column TimeArray, the new column names will be ["A_macd", "B_macd", "A_dif", "B_dif", "A_signal", "B_signal"].

source
julia> using MarketData

julia> using MarketTechnicals

julia> macd(cl)
467x3 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-02-18 to 2001-12-31
│            │ macd    │ dif    │ signal │
├────────────┼─────────┼────────┼────────┤
│ 2000-02-18 │ -0.0472 │ 3.5339 │ 3.5811 │
│ 2000-02-22 │ -0.1375 │ 3.4092 │ 3.5467 │
│ 2000-02-23 │ -0.0636 │ 3.4672 │ 3.5308 │
│ 2000-02-24 │ -0.1131 │ 3.3894 │ 3.5026 │
│ 2000-02-25 │ -0.4778 │ 2.9054 │ 3.3831 │
│ 2000-02-28 │ -0.5289 │ 2.7219 │ 3.2509 │
│ 2000-02-29 │ -0.4755 │ 2.6565 │ 3.132  │
│ 2000-03-01 │ 0.5557  │ 3.8266 │ 3.2709 │
│ 2000-03-02 │ 0.6127  │ 4.0368 │ 3.4241 │
   ⋮
│ 2001-12-19 │ -0.2075 │ 0.4641 │ 0.6716 │
│ 2001-12-20 │ -0.2337 │ 0.3795 │ 0.6132 │
│ 2001-12-21 │ -0.2224 │ 0.3352 │ 0.5576 │
│ 2001-12-24 │ -0.1858 │ 0.3254 │ 0.5111 │
│ 2001-12-26 │ -0.1494 │ 0.3244 │ 0.4738 │
│ 2001-12-27 │ -0.0861 │ 0.3661 │ 0.4523 │
│ 2001-12-28 │ -0.0231 │ 0.4234 │ 0.4465 │
│ 2001-12-31 │ -0.0203 │ 0.4212 │ 0.4414 │

Chaikin Oscillator

MarketTechnicals.chaikinoscillator — Function.
chaikinoscillator(ohlcv, fast=3, slow=10; h="High", l="Low", c="Close")

Chaikin Oscillator

Developed by Marc Chaikin

Formula

\[ Chaikin\ OSC = EMA(ADL, fast) - EMA(ADL, slow)\]

where the adl is the Accumulation/Distribution Line.

Reference

source
julia> using MarketData

julia> using MarketTechnicals

julia> chaikinoscillator(ohlcv)
491x1 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-01-14 to 2001-12-31
│            │ chaikinoscillator │
├────────────┼───────────────────┤
│ 2000-01-14 │ -6.8514668666e6   │
│ 2000-01-18 │ -5.5088241581e6   │
│ 2000-01-19 │ -4.1457475832e6   │
│ 2000-01-20 │ -8.4133210223e6   │
│ 2000-01-21 │ -1.00258648284e7  │
│ 2000-01-24 │ -1.06556036696e7  │
│ 2000-01-25 │ -8.7610031514e6   │
│ 2000-01-26 │ -8.0258147742e6   │
│ 2000-01-27 │ -6.9954363677e6   │
   ⋮
│ 2001-12-19 │ 2.9106729951e6    │
│ 2001-12-20 │ 2.140953294e6     │
│ 2001-12-21 │ 962258.2028       │
│ 2001-12-24 │ 586108.9693       │
│ 2001-12-26 │ 49086.3672        │
│ 2001-12-27 │ 328390.5719       │
│ 2001-12-28 │ 249377.6771       │
│ 2001-12-31 │ -456423.2686      │

CCI

MarketTechnicals.cci — Function.
cci(ohlc, ma=20, c=0.015)

Commodity Channel Index

\[ CCI = \frac{P_{typical} - SMA(P_{typical})}{c \times \sigma(P_{typical})}\]

Reference

  • https://en.wikipedia.org/wiki/Commodity_channel_index

source
julia> using MarketData

julia> using MarketTechnicals

julia> cci(ohlc)
481x1 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-01-31 to 2001-12-31
│            │ cci      │
├────────────┼──────────┤
│ 2000-01-31 │ -38.9316 │
│ 2000-02-01 │ -22.3949 │
│ 2000-02-02 │ -48.4746 │
│ 2000-02-03 │ -6.0758  │
│ 2000-02-04 │ 46.586   │
│ 2000-02-07 │ 88.8638  │
│ 2000-02-08 │ 108.1928 │
│ 2000-02-09 │ 99.3306  │
│ 2000-02-10 │ 74.4932  │
   ⋮
│ 2001-12-19 │ -0.5821  │
│ 2001-12-20 │ -37.2007 │
│ 2001-12-21 │ -27.4224 │
│ 2001-12-24 │ -17.225  │
│ 2001-12-26 │ 19.6668  │
│ 2001-12-27 │ 45.6476  │
│ 2001-12-28 │ 84.8749  │
│ 2001-12-31 │ 46.3511  │

Rate of Change (ROC)

MarketTechnicals.roc — Function.
roc(ta, n)

Rate of Change

Formula:

\[ roc = \frac{close_{t} - close_{t-n}}{close_{t-n}}\]

Reference:

source
julia> using MarketData

julia> using MarketTechnicals

julia> roc(cl, 5)
495x1 TimeSeries.TimeArray{Float64,1,Date,Array{Float64,1}} 2000-01-10 to 2001-12-31
│            │ Close_roc_5 │
├────────────┼─────────────┤
│ 2000-01-10 │ -0.1268     │
│ 2000-01-11 │ -0.0951     │
│ 2000-01-12 │ -0.1616     │
│ 2000-01-13 │ 0.0184      │
│ 2000-01-14 │ 0.0094      │
│ 2000-01-18 │ 0.0633      │
│ 2000-01-19 │ 0.1489      │
│ 2000-01-20 │ 0.3018      │
│ 2000-01-21 │ 0.1505      │
   ⋮
│ 2001-12-19 │ 0.006       │
│ 2001-12-20 │ -0.0157     │
│ 2001-12-21 │ 0.0299      │
│ 2001-12-24 │ 0.0359      │
│ 2001-12-26 │ 0.0228      │
│ 2001-12-27 │ 0.0208      │
│ 2001-12-28 │ 0.0851      │
│ 2001-12-31 │ 0.0429      │

Stochastic Oscillator

MarketTechnicals.stochasticoscillator — Function.
stochasticoscillator(ohlc, n=14, fast_d=3, slow_d=3; h="High", l="Low", c="Close")

Stochastic Oscillator

A.k.a %K%D, or KD

Parameter

  • n: period of fast(raw) %K

  • fast_d: MA period of fast %D

  • slow_d: MA period of slow %D

Formula

\[ \begin{align*} fast\ \%K & = \frac{Close_t - \max(High_{t-n}, \dots, High_t)} {\max(High_{t-n}, \dots, High_t) - \min(Low_{t-n}, \dots, Low_t)} \times 100 \\ fast\ \%D & = SMA(fast\ \%K) \\ slow\ \%D & = SMA(fast\ \%D) \end{align*}\]

Reference

source
julia> using MarketData

julia> using MarketTechnicals

julia> stochasticoscillator(ohlc)
483x3 TimeSeries.TimeArray{Float64,2,Date,Array{Float64,2}} 2000-01-27 to 2001-12-31
│            │ fast_k  │ fast_d  │ slow_d  │
├────────────┼─────────┼─────────┼─────────┤
│ 2000-01-27 │ 67.1429 │ 69.4667 │ 67.4413 │
│ 2000-01-28 │ 43.2    │ 59.3429 │ 64.9016 │
│ 2000-01-31 │ 49.2857 │ 53.2095 │ 60.673  │
│ 2000-02-01 │ 39.2857 │ 43.9238 │ 52.1587 │
│ 2000-02-02 │ 21.7586 │ 36.7767 │ 44.6367 │
│ 2000-02-03 │ 32.6296 │ 31.2247 │ 37.3084 │
│ 2000-02-04 │ 50.0    │ 34.7961 │ 34.2658 │
│ 2000-02-07 │ 72.4444 │ 51.6914 │ 39.2374 │
│ 2000-02-08 │ 75.4815 │ 65.9753 │ 50.8209 │
   ⋮
│ 2001-12-19 │ 38.8325 │ 25.2115 │ 18.6783 │
│ 2001-12-20 │ 14.7208 │ 25.6345 │ 21.8838 │
│ 2001-12-21 │ 23.0964 │ 25.5499 │ 25.4653 │
│ 2001-12-24 │ 32.2335 │ 23.3503 │ 24.8449 │
│ 2001-12-26 │ 41.0557 │ 32.1286 │ 27.0096 │
│ 2001-12-27 │ 68.2759 │ 47.1884 │ 34.2224 │
│ 2001-12-28 │ 80.4124 │ 63.248  │ 47.5216 │
│ 2001-12-31 │ 62.1993 │ 70.2958 │ 60.2441 │