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Momentum

ADX

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

Average Directional Movement Index

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

References

source
julia> adx(ohlc)
473×4 TimeArray{Float64,2,Date,Array{Float64,2}} 2000-02-10 to 2001-12-31
│            │ adx     │ dx      │ di_plus │ di_minus │
├────────────┼─────────┼─────────┼─────────┼──────────┤
│ 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::TimeArray, n = 25; h = :High, l = :Low)

Aroon Oscillator

Formula

\[\begin{align*} \text{up} & = \frac{\mathop{argmax}(\text{High}_{t-n} \dots \text{High}_t)}{n} \times 100 \\ \text{down} & = \frac{\mathop{argmin}(\text{Low}_{t-n} \dots \text{Low}_t)}{n} \times 100 \\ \text{osc} & = \text{up} - \text{down} \end{align*}\]

References

source
julia> aroon(ohlc)
476×3 TimeArray{Float64,2,Date,Array{Float64,2}} 2000-02-07 to 2001-12-31
│            │ up    │ down  │ 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  │

Awesome Oscillator

MarketTechnicals.awesomeoscillator — Function
awesomeoscillator(ohlc::TimeArray, s = 5, n = 34; h = :High, l = :Low)

Awesome Oscillator

The Awesome Oscillator is an indicator used to measure market momentum. AO calculates the difference of a 34 Period and 5 Period Simple Moving Averages. The Simple Moving Averages that are used are not calculated using closing price but rather each bar's midpoints. AO is generally used to affirm trends or to anticipate possible reversals [1].

Awesome Oscillator is a 34-period simple moving average, plotted through the central points of the bars (H+L)/2, and subtracted from the 5-period simple moving average, graphed across the central points of the bars $\frac{H + L}{2}$ [2].

\[\begin{align*} \text{Median Price} & = \frac{P^\text{High} + P^\text{Low}}{2} \\ \text{AO} & = \text{SMA}(\text{Median Price}, 5) - \text{SMA}(\text{Median Price}, 34) \end{align*}\]

References

  1. TradingView
  2. https://www.ifcm.co.uk/ntx-indicators/awesome-oscillator
source
julia> awesomeoscillator(ohlc)
467×1 TimeArray{Float64,1,Date,Array{Float64,1}} 2000-02-18 to 2001-12-31
│            │ ao     │
├────────────┼────────┤
│ 2000-02-18 │ 7.7782 │
│ 2000-02-22 │ 7.5524 │
│ 2000-02-23 │ 6.7719 │
│ 2000-02-24 │ 6.5804 │
│ 2000-02-25 │ 6.0609 │
│ 2000-02-28 │ 5.3776 │
│ 2000-02-29 │ 5.5131 │
│ 2000-03-01 │ 6.6768 │
│ 2000-03-02 │ 7.4729 │
   ⋮
│ 2001-12-19 │ 0.4436 │
│ 2001-12-20 │ 0.3585 │
│ 2001-12-21 │ 0.4223 │
│ 2001-12-24 │ 0.4723 │
│ 2001-12-26 │ 0.5835 │
│ 2001-12-27 │ 0.6872 │
│ 2001-12-28 │ 0.8786 │
│ 2001-12-31 │ 0.9952 │

CCI

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

Commodity Channel Index

Formula

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

References

source
julia> cci(ohlc)
481×1 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  │

Chaikin Oscillator

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

Chaikin Oscillator

Developed by Marc Chaikin.

Formula

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

where the adl is the Accumulation/Distribution Line.

References

source
julia> chaikinoscillator(ohlcv)
491×1 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      │

DPO

MarketTechnicals.dpo — Function
dpo(ta::TimeArray, n = 14)

Detrended Price Oscillator (DPO)

Is an indicator designed to remove trend from price and make it easier to identify cycles.

References

source
julia> dpo(ohlc)
ERROR: MethodError: no method matching lagfill(::TimeArray{Float64,2,Date,Array{Float64,2}}, ::Int64, ::Array{Float64,2})
Closest candidates are:
  lagfill(::TimeArray, ::Integer, !Matched::AbstractFloat) at /home/runner/work/MarketTechnicals.jl/MarketTechnicals.jl/src/utilities.jl:90

KST

MarketTechnicals.kst — Function
kst(ta::TimeArray, r1 = 10, r2 = 15, r3 = 20, r4 = 30,
    n1 = 10, n2 = 10, n3 = 10, n4 = 15, nsig = 9)

KST Oscillator (KST)

It is useful to identify major stock market cycle junctures because its formula is weighed to be more greatly influenced by the longer and more dominant time spans, in order to better reflect the primary swings of stock market cycle.

References

source
julia> kst(cl)
492×2 TimeArray{Float64,2,Date,Array{Float64,2}} 2000-01-13 to 2001-12-31
│            │ kst       │ signal    │
├────────────┼───────────┼───────────┤
│ 2000-01-13 │ NaN       │ NaN       │
│ 2000-01-14 │ NaN       │ NaN       │
│ 2000-01-18 │ NaN       │ NaN       │
│ 2000-01-19 │ NaN       │ NaN       │
│ 2000-01-20 │ NaN       │ NaN       │
│ 2000-01-21 │ NaN       │ NaN       │
│ 2000-01-24 │ 1179.3057 │ 1179.3057 │
│ 2000-01-25 │ 1020.5118 │ 1099.9087 │
│ 2000-01-26 │ 1016.9391 │ 1072.2522 │
   ⋮
│ 2001-12-19 │ 77.9045   │ 116.0573  │
│ 2001-12-20 │ 31.3289   │ 99.1117   │
│ 2001-12-21 │ 57.1128   │ 84.1556   │
│ 2001-12-24 │ 54.3441   │ 72.0289   │
│ 2001-12-26 │ 56.1443   │ 62.1569   │
│ 2001-12-27 │ 67.4934   │ 56.9444   │
│ 2001-12-28 │ 93.4212   │ 61.1549   │
│ 2001-12-31 │ 62.0898   │ 61.2652   │

MACD

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

Moving Average Convergence / Divergence

Formula

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

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> macd(cl)
467×3 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 │

Mass Index

MarketTechnicals.massindex — Function
massindex(ohlc::TimeArray, n = 14, n2 = 25; h = :High, l = :Low)

Mass Index

It uses the high-low range to identify trend reversals based on range expansions. It identifies range bulges that can foreshadow a reversal of the current trend.

References

source
julia> massindex(ohlc)
450×1 TimeArray{Float64,2,Date,Array{Float64,2}} 2000-03-15 to 2001-12-31
│            │ mi      │
├────────────┼─────────┤
│ 2000-03-15 │ 24.5435 │
│ 2000-03-16 │ 24.6949 │
│ 2000-03-17 │ 24.8397 │
│ 2000-03-20 │ 24.9192 │
│ 2000-03-21 │ 25.1132 │
│ 2000-03-22 │ 25.3891 │
│ 2000-03-23 │ 25.6577 │
│ 2000-03-24 │ 25.9508 │
│ 2000-03-27 │ 26.2132 │
   ⋮
│ 2001-12-19 │ 25.1477 │
│ 2001-12-20 │ 25.1833 │
│ 2001-12-21 │ 25.2162 │
│ 2001-12-24 │ 25.1971 │
│ 2001-12-26 │ 25.1867 │
│ 2001-12-27 │ 25.1725 │
│ 2001-12-28 │ 25.221  │
│ 2001-12-31 │ 25.3128 │

Rate of Change (ROC)

julia> roc(cl, 5)
495×1 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      │

RSI

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

Relative Strength Index

Formula

\[\text{RSI} = \frac{\text{EMA}(\text{Up}, n)}{\text{EMA}(\text{Up}, n) + \text{EMA}(\text{Dn}, n)}\]

source
julia> rsi(cl)
486×1 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      │

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

Arguments

  • n: period of fast(raw) %K

  • fast_d: MA period of fast %D

  • slow_d: MA period of slow %D

Formula

\[\begin{align*} \text{fast %K} & = \frac{\text{Close}_t - \max(\text{High}_{t-n}, \dots, \text{High}_t)} {\max(\text{High}_{t-n}, \dots, \text{High}_t) - \min(\text{Low}_{t-n}, \dots, \text{Low}_t)} \times 100 \\ \text{fast %D} & = \text{SMA}(\text{fast %K}) \\ \text{slow %D} & = \text{SMA}(\text{fast %D}) \end{align*}\]

References

source
julia> stochasticoscillator(ohlc)
483×3 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 │

TRIX

julia> trix(cl)
461×1 TimeArray{Float64,2,Date,Array{Float64,2}} 2000-02-29 to 2001-12-31
│            │ trix     │
├────────────┼──────────┤
│ 2000-02-29 │ 140.5762 │
│ 2000-03-01 │ 0.4409   │
│ 2000-03-02 │ 0.4592   │
│ 2000-03-03 │ 0.49     │
│ 2000-03-06 │ 0.521    │
│ 2000-03-07 │ 0.543    │
│ 2000-03-08 │ 0.5547   │
│ 2000-03-09 │ 0.5583   │
│ 2000-03-10 │ 0.5625   │
   ⋮
│ 2001-12-19 │ 0.5017   │
│ 2001-12-20 │ 0.451    │
│ 2001-12-21 │ 0.4028   │
│ 2001-12-24 │ 0.3619   │
│ 2001-12-26 │ 0.3282   │
│ 2001-12-27 │ 0.3067   │
│ 2001-12-28 │ 0.2976   │
│ 2001-12-31 │ 0.29     │

Ultimate Oscillator

MarketTechnicals.ultimateoscillator — Function
ultimateoscillator(ohlc::TimeArray, s = 7, m = 14, len = 28,
                   ws = 4.0, wm = 2.0, wl = 1.0;
                   c = :Close, h = :High, l = :Low)

Ultimate Oscillator

Larry Williams' (1976) signal, a momentum oscillator designed to capture momentum across three different timeframes.

\[\begin{align*} \text{BP} & = P^\text{Close} - \min(P^\text{Low}, P_{t-1}^\text{Close}) \\ \text{TR} & = \max(P^\text{High}, P_{t-1}^\text{Close}) - \min(P^\text{Low}, P_{t-1}^\text{Close}) \\ \text{Average7} & = \frac{\text{7-period BP Sum}}{\text{7-period TR Sum}} \\ \text{Average14} & = \frac{\text{14-period BP Sum}}{\text{14-period TR Sum}} \\ \text{Average28} & = \frac{\text{28-period BP Sum}}{\text{28-period TR Sum}} \\ \text{UO} & = 100 \times \frac{(4 \times \text{Average7}) + (2 \times \text{Average14}) + \text{Average28}} {4 + 2 + 1} \end{align*}\]

References

source
julia> ultimateoscillator(ohlc)
500×1 TimeArray{Float64,1,Date,Array{Float64,1}} 2000-01-03 to 2001-12-31
│            │ uo      │
├────────────┼─────────┤
│ 2000-01-03 │ NaN     │
│ 2000-01-04 │ NaN     │
│ 2000-01-05 │ NaN     │
│ 2000-01-06 │ NaN     │
│ 2000-01-07 │ NaN     │
│ 2000-01-10 │ NaN     │
│ 2000-01-11 │ NaN     │
│ 2000-01-12 │ NaN     │
│ 2000-01-13 │ NaN     │
   ⋮
│ 2001-12-19 │ 55.608  │
│ 2001-12-20 │ 54.0184 │
│ 2001-12-21 │ 53.3897 │
│ 2001-12-24 │ 54.2227 │
│ 2001-12-26 │ 51.4817 │
│ 2001-12-27 │ 53.8899 │
│ 2001-12-28 │ 50.9802 │
│ 2001-12-31 │ 41.8256 │

Vortex Indicator

MarketTechnicals.vortex — Function
vortex(ohlc::TimeArray, n = 14; h = :High, l = :Low, c = :Close)

Vortex Indicator

It consists of two oscillators that capture positive and negative trend movement. A bullish signal triggers when the positive trend indicator crosses above the negative trend indicator or a key level.

References

source
julia> vortex(ohlc)
487×2 TimeArray{Float64,2,Date,Array{Float64,2}} 2000-01-21 to 2001-12-31
│            │ v_plus │ v_minus │
├────────────┼────────┼─────────┤
│ 2000-01-21 │ 0.9583 │ 0.8832  │
│ 2000-01-24 │ 0.8821 │ 0.9427  │
│ 2000-01-25 │ 0.8742 │ 0.9348  │
│ 2000-01-26 │ 0.9237 │ 0.9271  │
│ 2000-01-27 │ 0.9685 │ 0.9009  │
│ 2000-01-28 │ 0.9124 │ 0.8744  │
│ 2000-01-31 │ 0.8665 │ 0.9493  │
│ 2000-02-01 │ 0.9508 │ 0.911   │
│ 2000-02-02 │ 0.9585 │ 0.8983  │
   ⋮
│ 2001-12-19 │ 0.9847 │ 0.9045  │
│ 2001-12-20 │ 0.9807 │ 0.9549  │
│ 2001-12-21 │ 0.963  │ 0.9337  │
│ 2001-12-24 │ 0.9583 │ 1.0229  │
│ 2001-12-26 │ 0.8679 │ 1.0693  │
│ 2001-12-27 │ 0.9089 │ 1.0498  │
│ 2001-12-28 │ 0.9557 │ 0.9366  │
│ 2001-12-31 │ 0.9286 │ 0.9841  │

Williams %R

MarketTechnicals.williamsr — Function
williamsr(ohlc::TimeArray, n = 14; c = :Close, h = :High, l = :Low)

Williams %R

Developed by Larry Williams, Williams %R is a momentum indicator that is the inverse of the Fast Stochastic Oscillator. Also referred to as %R, Williams %R reflects the level of the close relative to the highest high for the look-back period. In contrast, the Stochastic Oscillator reflects the level of the close relative to the lowest low. %R corrects for the inversion by multiplying the raw value by -100. As a result, the Fast Stochastic Oscillator and Williams %R produce the exact same lines, only the scaling is different. Williams %R oscillates from 0 to -100 [1].

Readings from 0 to -20 are considered overbought. Readings from -80 to -100 are considered oversold.

Unsurprisingly, signals derived from the Stochastic Oscillator are also applicable to Williams %R.

\[\text{%R} = \frac{\text{Highest High} - P^\text{Close}} {\text{Highest High} - \text{Lowest Low}} \times -100\]

Lowest Low = lowest low for the look-back period.

Highest High = highest high for the look-back period.

%R is multiplied by -100 correct the inversion and move the decimal.

The Williams %R oscillates from 0 to -100. When the indicator produces readings from 0 to -20, this indicates overbought market conditions. When readings are -80 to -100, it indicates oversold market conditions [2].

References

  1. StockCharts
  2. Investopedia
source
julia> williamsr(ohlc)
487×1 TimeArray{Float64,1,Date,Array{Float64,1}} 2000-01-21 to 2001-12-31
│            │ wr       │
├────────────┼──────────┤
│ 2000-01-21 │ -29.1143 │
│ 2000-01-24 │ -43.5714 │
│ 2000-01-25 │ -26.4286 │
│ 2000-01-26 │ -32.3143 │
│ 2000-01-27 │ -32.8571 │
│ 2000-01-28 │ -56.8    │
│ 2000-01-31 │ -50.7143 │
│ 2000-02-01 │ -60.7143 │
│ 2000-02-02 │ -78.2414 │
   ⋮
│ 2001-12-19 │ -61.1675 │
│ 2001-12-20 │ -85.2792 │
│ 2001-12-21 │ -76.9036 │
│ 2001-12-24 │ -67.7665 │
│ 2001-12-26 │ -58.9443 │
│ 2001-12-27 │ -31.7241 │
│ 2001-12-28 │ -19.5876 │
│ 2001-12-31 │ -37.8007 │