Indicators Overview
Wickra ships 514 indicators organised into twenty-four families. Each family collects indicators that answer the same kind of question, so the taxonomy here maps one-to-one onto the crates/wickra-core/src/indicators/ source layout.
Every indicator is an O(1) state machine that consumes one input at a time and produces either Option<f64> (Rust), float | None (Python), or number | null (Node). Inputs are either a f64 close price or an OHLCV Candle (Rust) / dict-or-tuple (Python) / column arrays (Node). The full trait surface and warmup-period semantics are covered in Quickstart: Rust and Warmup Periods.
The "Output range" column is the value bounds an indicator emits once warm; "unbounded" means it tracks the price scale of the input. The "Warmup" column quotes warmup_period() as the indicator reports it — the exact first-emission index: the first non-None output lands on input warmup_period() (0-indexed warmup_period() - 1).
The twenty-four families:
| # | Family | Count | What it answers |
|---|---|---|---|
| 1 | Moving Averages | 26 | Where is the smoothed trend line? |
| 2 | Momentum Oscillators | 33 | How fast is price changing; is it overbought? |
| 3 | Trend & Directional | 28 | Is there a trend, and which way? |
| 4 | Price Oscillators | 15 | Difference-of-averages momentum around zero. |
| 5 | Volatility & Bands | 26 | How wide is the range; where are the envelopes? |
| 6 | Bands & Channels | 16 | Price-envelope overlays beyond the volatility staples. |
| 7 | Trailing Stops | 19 | Where is the stop-loss for this trend? |
| 8 | Volume | 26 | Is volume confirming the move? |
| 9 | Price Statistics | 54 | Per-bar price transforms and rolling regressions / statistics. |
| 10 | Ehlers / Cycle (DSP) | 29 | Cycle-extracting DSP filters and phase-aware tools. |
| 11 | Pivots & S/R | 12 | Session-anchored pivot levels and swing detectors. |
| 12 | DeMark | 19 | Tom DeMark's exhaustion / setup / countdown family. |
| 13 | Ichimoku & Charts | 7 | Japanese cloud chart and smoothed candles. |
| 14 | Candlestick Patterns | 66 | Classical 1- / 2- / 3-bar candle patterns. |
| 15 | Market Profile | 10 | Session value-area / opening-range / IB levels. |
| 16 | Risk / Performance | 28 | Risk-adjusted return, drawdown, and tail-risk metrics. |
| 17 | Microstructure | 20 | Order-book, trade-flow, price-impact and footprint analytics. |
| 18 | Derivatives | 17 | Funding, open-interest, positioning, flow and basis on a perp/futures feed. |
| 19 | Alt-Chart Bars | 10 | Price-driven Renko / Kagi / Point & Figure bar builders. |
| 20 | Market Breadth | 15 | Universe-wide advance/decline participation. |
| 21 | Seasonality & Session | 12 | When in the day / week / month does this happen? |
| 22 | Chart Patterns | 8 | Swing-based classical chart patterns — double/triple tops, head & shoulders, triangles, wedges, flags, rectangles, cup & handle. |
| 23 | Harmonic Patterns | 8 | Fibonacci-ratio XABCD patterns — Gartley, Bat, Butterfly, Crab, Shark, Cypher, AB=CD, Three Drives. |
| 24 | Fibonacci | 10 | Swing-based Fibonacci tooling — retracement, extension, projection, auto-fib, golden pocket, confluence, fan, arcs, channel, time zones. |
Moving Averages
Smooth the price series to surface direction. All are single-input, single-output (f64 → f64) except Vwma, which weights by volume.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
Sma | Equal-weighted rolling mean over period closes. | f64 | f64 | unbounded (price scale) | period | period | Indicator-Sma |
Ema | EMA with α = 2 / (period + 1), SMA-seeded. | f64 | f64 | unbounded (price scale) | period | period | Indicator-Ema |
Wma | Linear weights 1, 2, …, period; newest bar matters most. | f64 | f64 | unbounded (price scale) | period | period | Indicator-Wma |
Dema | Mulloy's 2·EMA − EMA(EMA); removes first-order EMA lag. | f64 | f64 | unbounded (price scale) | period | 2·period − 1 | Indicator-Dema |
Tema | Mulloy's 3·EMA − 3·EMA(EMA) + EMA(EMA(EMA)). | f64 | f64 | unbounded (price scale) | period | 3·period − 2 | Indicator-Tema |
Hma | Hull's near-zero-lag WMA(2·WMA(n/2) − WMA(n), √n). | f64 | f64 | unbounded (price scale) | period | period + round(√period) − 1 | Indicator-Hma |
Kama | Kaufman's adaptive average; efficiency ratio picks α per bar. | f64 | f64 | unbounded (price scale) | (er_period=10, fast=2, slow=30) | er_period + 1 | Indicator-Kama |
Smma | Wilder's RMA: SMA-seeded exponential average, 1/period factor. | f64 | f64 | unbounded (price scale) | period | period | Indicator-Smma |
Trima | A period-window SMA applied twice; triangular weights. | f64 | f64 | unbounded (price scale) | period | period | Indicator-Trima |
Zlema | EMA of the de-lagged series 2·price − price[lag]. | f64 | f64 | unbounded (price scale) | period | lag + period | Indicator-Zlema |
T3 | Tillson's six-EMA cascade recombined with a volume factor v. | f64 | f64 | unbounded (price scale) | (period, v=0.7) (Python) | 6·period − 5 | Indicator-T3 |
Vwma | Rolling mean of closes weighted by each bar's volume. | Candle | f64 | unbounded (price scale) | period | period | Indicator-Vwma |
Alma | Gaussian-weighted MA, kernel centred at offset · (period − 1). | f64 | f64 | unbounded (price scale) | (period=9, offset=0.85, sigma=6.0) | period | Indicator-Alma |
McGinleyDynamic | Self-adjusting MA, MD + (price − MD) / (0.6 · period · (price / MD)⁴). | f64 | f64 | unbounded (price scale) | period (10 in Python) | period | Indicator-McGinleyDynamic |
Frama | Ehlers' fractal-dimension-adaptive EMA over close-only window halves. | f64 | f64 | unbounded (price scale) | period=16 (even) | period | Indicator-Frama |
Vidya | EMA whose alpha scales with |CMO(cmo_period)| / 100. | f64 | f64 | unbounded (price scale) | (period=14, cmo_period=9) | cmo_period + 1 | Indicator-Vidya |
Jma | Jurik MA — three-stage filter reconstruction. | f64 | f64 | unbounded (price scale) | (period=14, phase=0, power=2) | 1 | Indicator-Jma |
Alligator | Three Smmas of (high + low) / 2: Jaw / Teeth / Lips. | Candle | AlligatorOutput (3) | unbounded (price scale) | (jaw=13, teeth=8, lips=5) | max(jaw, teeth, lips) | Indicator-Alligator |
Evwma | Elastic volume-weighted recurrence over a rolling window. | Candle | f64 | unbounded (price scale) | period (20 in Python) | period | Indicator-Evwma |
AdaptiveLaguerreFilter | Four-stage Laguerre filter whose damping adapts to tracking error. | f64 | f64 | price-bounded (no overshoot) | period | period | Indicator-AdaptiveLaguerreFilter |
Ehma | Exponential Hull MA — EMA(2·EMA(n/2) − EMA(n), √n), low lag. | f64 | f64 | unbounded (price scale) | period | period + round(√period) − 1 | Indicator-Ehma |
GeneralizedDema | Tillson volume-factor double EMA (1 + v)·EMA − v·EMA(EMA). | f64 | f64 | unbounded (price scale) | (period, v=0.7) | 2·period − 1 | Indicator-GeneralizedDema |
GeometricMa | Rolling geometric mean of the last period prices. | f64 | f64 | (0, ∞) | period | period | Indicator-GeometricMa |
HoltWinters | Holt double-exp smoothing (level + trend); one-step forecast. | f64 | f64 | unbounded (price scale) | (alpha=0.2, beta=0.1) | 2 | Indicator-HoltWinters |
MedianMa | Rolling median of the last period prices (outlier-robust). | f64 | f64 | unbounded (window min/max) | period | period | Indicator-MedianMa |
SineWeightedMa | Sine-weighted MA (half-cycle weights, centre-heavy). | f64 | f64 | unbounded (price scale) | period | period | Indicator-SineWeightedMa |
Momentum Oscillators
Measure the rate of price change. Several are bounded by construction (0–100 / ±100 oscillators), the rest are difference-driven.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
Rsi | Wilder's RSI; smoothed gain / (gain + loss) × 100. | f64 | f64 | [0, 100] | period = 14 (Python) | period + 1 | Indicator-Rsi |
AnchoredRsi | Cumulative RSI from a user-set anchor bar (RSI of the whole leg). | f64 | f64 | [0, 100] | (set anchor via set_anchor()) | 2 | Indicator-AnchoredRsi |
Stochastic | %K = (close − low_n)/(high_n − low_n) × 100, smoothed into %D. | Candle | (k, d) | each in [0, 100] | (k_period=14, d_period=3) (Python) | k_period + d_period − 1 | Indicator-Stochastic |
Cci | (typical − SMA(typical)) / (0.015 · mean_dev). | Candle | f64 | unbounded (typically ±100–±200) | period = 20 (Python) | period | Indicator-Cci |
Roc | (price − price_n) / price_n × 100; raw percentage change. | f64 | f64 | unbounded around zero | period | period + 1 | Indicator-Roc |
WilliamsR | −100 × (high_n − close) / (high_n − low_n). | Candle | f64 | [−100, 0] | period = 14 (Python) | period | Indicator-WilliamsR |
Mfi | "Volume-weighted RSI": Wilder smoothing of money-flow ratios. | Candle | f64 | [0, 100] | period = 14 (Python) | period | Indicator-Mfi |
AwesomeOscillator | SMA(median, fast) − SMA(median, slow); zero-line crossover. | Candle | f64 | unbounded around zero | (fast=5, slow=34) (Python) | slow_period | Indicator-AwesomeOscillator |
Mom | price − price[period]; raw price-difference momentum. | f64 | f64 | unbounded around zero | period = 10 (Python) | period + 1 | Indicator-Mom |
Cmo | Chande Momentum Oscillator; 100·(Σgain − Σloss)/(Σgain + Σloss). | f64 | f64 | [−100, 100] | period = 14 (Python) | period + 1 | Indicator-Cmo |
Tsi | True Strength Index; double-EMA-smoothed momentum ratio. | f64 | f64 | ≈ [−100, 100] | (long=25, short=13) (Python) | long + short | Indicator-Tsi |
Pmo | DecisionPoint Price Momentum Oscillator; doubly-smoothed ROC. | f64 | f64 | unbounded around zero | (smoothing1=35, smoothing2=20) (Python) | 2 | Indicator-Pmo |
StochRsi | Stochastic Oscillator applied to the RSI series. | f64 | f64 | [0, 100] | (rsi_period=14, stoch_period=14) (Python) | rsi_period + stoch_period | Indicator-StochRsi |
UltimateOscillator | Larry Williams' weighted three-timeframe buying-pressure oscillator. | Candle | f64 | [0, 100] | (short=7, mid=14, long=28) (Python) | max(short,mid,long) + 1 | Indicator-UltimateOscillator |
Rvi | SMA(close − open, period) / SMA(high − low, period). | Candle | f64 | unbounded (typically (−1, 1)) | period = 10 (Python) | period | Indicator-Rvi |
Pgo | (close − SMA(close, period)) / EMA(TR, period). | Candle | f64 | unbounded | period = 14 (Python) | period | Indicator-Pgo |
Kst | Pring's 1·RCMA_1 + 2·RCMA_2 + 3·RCMA_3 + 4·RCMA_4, plus SMA signal. | f64 | (kst, signal) | unbounded | 9 periods, see deep-dive | longest roc_i + sma_i + signal − 1 | Indicator-Kst |
Smi | Blau's doubly-EMA-smoothed close-vs-range displacement. | Candle | f64 | [−100, 100] | (period=5, d=3, d2=3) | period + d + d2 − 2 | Indicator-Smi |
LaguerreRsi | Ehlers' 4-stage Laguerre filter with RSI up/down accumulator. | f64 | f64 | [0, 100] (clamped) | gamma = 0.5 | 1 | Indicator-LaguerreRsi |
ConnorsRsi | Average of RSI(close), RSI(streak), percentile-rank of returns. | f64 | f64 | [0, 100] | (3, 2, 100) | max(period_rsi+1, period_streak+2, period_rank+1) | Indicator-ConnorsRsi |
Inertia | LinearRegression(RVI(rvi_period), linreg_period). | Candle | f64 | unbounded | (rvi=14, linreg=20) | rvi_period + linreg_period − 1 | Indicator-Inertia |
Rocp | Rate of Change Percentage; (close − close[period]) / close[period]. | f64 | f64 | unbounded around zero | period required | period | Indicator-Rocp |
Rocr | Rate of Change Ratio; close / close[period]. | f64 | f64 | > 0 around 1 | period required | period | Indicator-Rocr |
Rocr100 | Rate of Change Ratio ×100; close / close[period] · 100. | f64 | f64 | > 0 around 100 | period required | period | Indicator-Rocr100 |
DerivativeOscillator | Brown's double-EMA-smoothed RSI minus an SMA signal; zero-centered histogram. | f64 | f64 | unbounded (around 0) | (14, 5, 3, 9) | rsi_period + smooth1 + smooth2 + signal − 2 | Indicator-DerivativeOscillator |
DisparityIndex | Percentage gap between price and its SMA (the Japanese kairi). | f64 | f64 | unbounded (around 0) | period | period | Indicator-DisparityIndex |
DynamicMomentumIndex | Chande RSI whose lookback shortens as volatility rises. | f64 | f64 | [0, 100] | period (14) | 31 | Indicator-DynamicMomentumIndex |
ElderRay | Bull/Bear Power: each bar's high/low vs. an EMA of close. | Candle | ElderRayOutput (2) | unbounded (bull >0, bear <0) | period (13) | period | Indicator-ElderRay |
FisherRsi | Fisher transform of a normalised RSI; sharp symmetric extremes. | f64 | f64 | ≈ [−3.8, 3.8] | period | period + 1 | Indicator-FisherRsi |
IntradayMomentumIndex | RSI built from the candle body (open→close). | Candle | f64 | [0, 100] | period | period | Indicator-IntradayMomentumIndex |
Qqe | Smoothed RSI with an "ATR-of-RSI" trailing line. | f64 | QqeOutput (2) | [0, 100]-ish | (14, 5, 4.236) | 72 (defaults) | Indicator-Qqe |
Rmi | Wilder RSI over a multi-bar momentum lookback. | f64 | f64 | [0, 100] | (period, momentum) | momentum + period | Indicator-Rmi |
Rsx | Jurik-smoothed, low-noise RSI. | f64 | f64 | [0, 100] | length | length + 1 | Indicator-Rsx |
StochasticCci | Stochastic oscillator over the CCI; bounded [0, 100]. | Candle | f64 | [0, 100] | period | 2·period − 1 | Indicator-StochasticCci |
Trend & Directional
Answer whether a trend exists and which way it points — directional systems, crossover packages and trend-versus-range filters.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
MacdIndicator | EMA(fast) − EMA(slow) plus a signal EMA and the histogram. | f64 | (macd, signal, histogram) | unbounded around zero | (fast=12, slow=26, signal=9) (Python) | slow + signal − 1 | Indicator-MacdIndicator |
Adx | Wilder's directional system: +DI, −DI and the ADX strength index. | Candle | (plus_di, minus_di, adx) | each in [0, 100] | period = 14 (Python) | 2·period | Indicator-Adx |
Adxr | Wilder's ADX-rating: average of ADX_t and ADX_{t − (period − 1)}. | Candle | f64 | [0, 100] | period = 14 (Python) | 3·period − 1 | Indicator-Adxr |
Aroon | Bars-since-high and bars-since-low scaled to [0, 100]. | Candle | (up, down) | each in [0, 100] | period = 14 (Python) | period + 1 | Indicator-Aroon |
Trix | Rate of change of a triple-smoothed EMA, × 10000. | f64 | f64 | unbounded around zero | period = 15 (Python) | 3·period − 1 | Indicator-Trix |
AroonOscillator | AroonUp − AroonDown; the two Aroon lines as one gauge. | Candle | f64 | [−100, 100] | period = 14 (Python) | period + 1 | Indicator-AroonOscillator |
Vortex | Vortex Indicator VI+ / VI−; crossings mark trend onset. | Candle | (plus, minus) | each >= 0 | period = 14 (Python) | period + 1 | Indicator-Vortex |
Rwi | Poulos' Random Walk Index: actual displacement vs ATR_i · sqrt(i). | Candle | (high, low) | each >= 0 | period = 14 (Python) | period | Indicator-Rwi |
Tii | Share of recent SMA-deviations that are positive, scaled to [0, 100]. | f64 | f64 | [0, 100] | (sma_period=60, dev_period=30) (Python) | sma_period + dev_period − 1 | Indicator-Tii |
WaveTrend | LazyBear: 3-stage EMA cascade through the typical-price channel index. | Candle | (wt1, wt2) | typically [-100, +100] | (channel=10, average=21, signal=4) (Python) | 2·channel + average + signal − 3 | Indicator-WaveTrend |
MassIndex | Dorsey's range-expansion sum of the EMA-of-range ratio. | Candle | f64 | > 0 | (ema_period=9, sum_period=25) (Python) | 2·ema_period + sum_period − 2 | Indicator-MassIndex |
ChoppinessIndex | Summed true range over the high-low span, log-scaled. | Candle | f64 | [0, 100] | period = 14 (Python) | period | Indicator-ChoppinessIndex |
VerticalHorizontalFilter | Net price move divided by total move over period. | f64 | f64 | [0, 1] | period = 28 (Python) | period + 1 | Indicator-VerticalHorizontalFilter |
MacdFix | MACD with fast/slow fixed at 12/26; only the signal period is tunable. | f64 | (macd, signal, histogram) | unbounded | signal required | same as MacdIndicator(12, 26, signal) | Indicator-MacdFix |
MacdExt | MACD with a selectable MA type (SMA/EMA/WMA/DEMA/TEMA/TRIMA) per line. | f64 | (macd, signal, histogram) | unbounded | (fast, fast_type, slow, slow_type, signal, signal_type) | slow + signal | Indicator-MacdExt |
PlusDm | Wilder-smoothed plus directional movement (+DM). | Candle | f64 | >= 0 | period required | period | Indicator-PlusDm |
MinusDm | Wilder-smoothed minus directional movement (−DM). | Candle | f64 | >= 0 | period required | period | Indicator-MinusDm |
PlusDi | Plus Directional Indicator; 100·smoothed(+DM)/smoothed(TR). | Candle | f64 | [0, 100] | period required | period | Indicator-PlusDi |
MinusDi | Minus Directional Indicator; 100·smoothed(−DM)/smoothed(TR). | Candle | f64 | [0, 100] | period required | period | Indicator-MinusDi |
Dx | Directional Movement Index; 100·abs(+DI − −DI)/(+DI + −DI). | Candle | f64 | [0, 100] | period required | period | Indicator-Dx |
TrendLabel | Discrete trend state from the sign of the rolling OLS slope. | f64 | f64 | {−1, 0, 1} | period >= 2 | period | Indicator-TrendLabel |
GatorOscillator | Alligator convergence/divergence as a two-sided histogram. | Candle | GatorOscillatorOutput (2) | upper ≥ 0, lower ≤ 0 | (13, 8, 5) | max(jaw, teeth, lips) | Indicator-GatorOscillator |
KasePermissionStochastic | Double-smoothed stochastic fast/slow permission filter. | Candle | KasePermissionStochasticOutput (2) | [0, 100] per line | (length=9, smooth=3) | length + 2·smooth − 2 | Indicator-KasePermissionStochastic |
PolarizedFractalEfficiency | Direction-signed trend efficiency (straight vs. jagged path). | f64 | f64 | (−100, +100) | (period, smoothing) | period + smoothing | Indicator-PolarizedFractalEfficiency |
Qstick | Running average of the candle body close − open. | Candle | f64 | unbounded (price units) | period | period | Indicator-Qstick |
TrendStrengthIndex | Signed r² of a linear regression of price vs. time. | f64 | f64 | [−1, +1] | period >= 2 | period | Indicator-TrendStrengthIndex |
TtmTrend | ±1 by whether close is above the SMA of median prices. | Candle | f64 | {+1, −1} | period (6) | period | Indicator-TtmTrend |
WavePm | Kase variance-normalised peak-momentum statistic. | f64 | f64 | [0, 100) | (length=32, smoothing) | 2·length + smoothing − 1 | Indicator-WavePm |
Price Oscillators
Difference-of-averages and intrabar oscillators that swing around a zero line.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
Ppo | Percentage Price Oscillator; 100·(EMA_fast − EMA_slow)/EMA_slow. | f64 | f64 | unbounded around zero (percent) | (fast=12, slow=26) (Python) | slow | Indicator-Ppo |
Dpo | Detrended Price Oscillator; price[t − period/2 − 1] − SMA(period). | f64 | f64 | unbounded around zero | period = 20 (Python) | max(period, period/2 + 2) | Indicator-Dpo |
Coppock | Coppock Curve; WMA(ROC(long) + ROC(short), wma_period). | f64 | f64 | unbounded around zero | (roc_long=14, roc_short=11, wma_period=10) (Python) | max(roc_long, roc_short) + wma_period | Indicator-Coppock |
AcceleratorOscillator | AO − SMA(AO, signal); the acceleration of momentum. | Candle | f64 | unbounded around zero | (ao_fast=5, ao_slow=34, signal_period=5) (Python) | ao_slow + signal_period − 1 | Indicator-AcceleratorOscillator |
BalanceOfPower | (close − open) / (high − low); intrabar buyer/seller control. | Candle | f64 | [−1, +1] | (no parameters) | 1 | Indicator-BalanceOfPower |
Apo | Absolute Price Oscillator; raw EMA_fast − EMA_slow. | f64 | f64 | unbounded around zero | (fast=12, slow=26) (Python) | slow | Indicator-Apo |
AwesomeOscillatorHistogram | AO − AO_{t-1}; differenced Awesome Oscillator. | Candle | f64 | unbounded around zero | (fast=5, slow=34) (Python) | slow + 1 | Indicator-AwesomeOscillatorHistogram |
Cfo | Chande Forecast Oscillator; 100·(close − linreg_endpoint)/close. | f64 | f64 | unbounded around zero (percent) | period = 14 (Python) | period | Indicator-Cfo |
ZeroLagMacd | MACD with ZLEMA in place of EMA; faster, slightly noisier. | f64 | (macd, signal, histogram) | unbounded around zero | (fast=12, slow=26, signal=9) | ~50 | Indicator-ZeroLagMacd |
ElderImpulse | Alexander Elder's (EMA-slope, MACD-hist-slope) regime classifier. | f64 | f64 (-1, 0, +1) | {-1, 0, +1} | (ema_period=13, macd...) (Python) | slow + signal − 1 | Indicator-ElderImpulse |
Stc | Schaff Trend Cycle; double-stochastic of MACD. | f64 | f64 | [0, 100] | (fast=23, slow=50, cycle=10) (Python) | ~slow + cycle | Indicator-Stc |
TsfOscillator | Time Series Forecast Oscillator; 100·(close − TSF)/close (one bar ahead). | f64 | f64 | unbounded around zero (percent) | period = 14 (Python) | period | Indicator-TsfOscillator |
MacdHistogram | Standalone MACD histogram; macd − signal. | f64 | f64 | unbounded around zero | (fast=12, slow=26, signal=9) (Python) | slow + signal − 1 | Indicator-MacdHistogram |
PpoHistogram | PPO histogram; ppo − EMA(ppo, signal), scale-free. | f64 | f64 | unbounded around zero (percent) | (fast=12, slow=26, signal=9) (Python) | slow + signal − 1 | Indicator-PpoHistogram |
Volatility & Bands
Indicators that measure dispersion / range and those that draw an envelope around price.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
Atr | Wilder-smoothed True Range; per-bar absolute volatility. | Candle | f64 | [0, ∞) (price scale) | period = 14 (Python) | period | Indicator-Atr |
BollingerBands | SMA middle band with ±multiplier × population_stddev bands. | f64 | (upper, middle, lower, stddev) | unbounded (price scale) | (period=20, multiplier=2.0) (Python) | period | Indicator-BollingerBands |
Keltner | EMA middle band with ±multiplier × ATR bands. | Candle | (upper, middle, lower) | unbounded (price scale) | (ema_period=20, atr_period=10, multiplier=2.0) (Python) | max(ema_period, atr_period) | Indicator-Keltner |
Donchian | Highest high and lowest low over period bars. | Candle | (upper, middle, lower) | unbounded (price scale) | period = 20 (Python) | period | Indicator-Donchian |
Natr | 100·ATR/close; ATR as a percentage. | Candle | f64 | [0, ∞) (percent) | period = 14 (Python) | period | Indicator-Natr |
StdDev | Rolling population standard deviation of price. | f64 | f64 | [0, ∞) (price scale) | period = 20 (Python) | period | Indicator-StdDev |
UlcerIndex | RMS of trailing-high drawdowns; downside-only risk. | f64 | f64 | [0, ∞) (percent) | period = 14 (Python) | 2·period − 1 | Indicator-UlcerIndex |
HistoricalVolatility | Annualised sample stddev of log returns. | f64 | f64 | [0, ∞) (annualised percent) | (period=20, trading_periods=252) (Python) | period + 1 | Indicator-HistoricalVolatility |
BollingerBandwidth | (upper − lower) / middle of the Bollinger Bands. | f64 | f64 | [0, ∞) | (period=20, multiplier=2.0) (Python) | period | Indicator-BollingerBandwidth |
PercentB | (price − lower) / (upper − lower); price position in the bands. | f64 | f64 | unbounded (0–1 inside) | (period=20, multiplier=2.0) (Python) | period | Indicator-PercentB |
TrueRange | max(H−L, |H−prevC|, |L−prevC|); raw single-bar volatility. | Candle | f64 | [0, ∞) (price scale) | (no parameters) | 1 | Indicator-TrueRange |
ChaikinVolatility | Rate of change of an EMA-smoothed high-low spread. | Candle | f64 | unbounded around zero (percent) | (ema_period=10, roc_period=10) (Python) | ema_period + roc_period | Indicator-ChaikinVolatility |
DetrendedStdDev | Standard deviation of OLS residuals — noise around the trend. | f64 | f64 | [0, ∞) (price scale) | period | period | Indicator-DetrendedStdDev |
RVIVolatility | RSI-shaped volatility direction gauge built on rolling stddev. | f64 | f64 | [0, 100] | period = 10 (Python) | 2·period − 1 | Indicator-RviVolatility |
ParkinsonVolatility | High-low realised vol; ~5× more efficient than C2C stddev. | Candle | f64 | [0, ∞) (annualised percent) | (period=20, trading_periods=252) (Python) | period | Indicator-ParkinsonVolatility |
GarmanKlassVolatility | OHLC realised vol; ~7.4× efficient, biased under drift. | Candle | f64 | [0, ∞) (annualised percent) | (period=20, trading_periods=252) (Python) | period | Indicator-GarmanKlassVolatility |
RogersSatchellVolatility | Drift-free OHLC realised vol; exact under arbitrary Brownian drift. | Candle | f64 | [0, ∞) (annualised percent) | (period=20, trading_periods=252) (Python) | period | Indicator-RogersSatchellVolatility |
YangZhangVolatility | Drift- and gap-robust OHLC blend of overnight, open-close and Rogers-Satchell. | Candle | f64 | [0, ∞) (annualised percent) | (period=20, trading_periods=252) (Python) | period + 1 | Indicator-YangZhangVolatility |
JumpIndicator | Return-outlier flag vs trailing volatility (deviation from the mean). | f64 | f64 | {−1, 0, 1} | (period, threshold) | period + 2 | Indicator-JumpIndicator |
RegimeLabel | Volatility-quantile regime: −1 calm / 0 normal / +1 stressed. | f64 | f64 | {−1, 0, 1} | (vol_period, lookback) | vol_period + lookback | Indicator-RegimeLabel |
BipowerVariation | Realized Bipower Variation — a jump-robust estimator of integrated variance built from products of adjacent absolute log returns instead of squares. | f64 | f64 | [0, ∞) (variance scale) | (period = 20) (Python) | period + 1 | Indicator-BipowerVariation |
EwmaVolatility | EWMA Volatility — the RiskMetrics exponentially-weighted volatility of log returns, reacting instantly to a shock and forgetting it at rate λ. | f64 | f64 | [0, ∞) (per-period volatility of log returns) | (lambda = 0.94) (Python) | 2 | Indicator-EwmaVolatility |
Garch11 | GARCH(1,1) conditional volatility — the EWMA recursion plus a constant ω that anchors the estimate to a finite, mean-reverting long-run variance. | f64 | f64 | (0, ∞) (strictly positive per-period volatility) | (omega = 0.000002, alpha = 0.1, beta = 0.88) (Python) | 2 | Indicator-Garch11 |
VolatilityCone | Volatility Cone — where the current realized volatility sits inside its own historical envelope (min / median / max / percentile) over a lookback window. | Candle | VolatilityConeOutput | current/min/median/max in [0, ∞); percentile in [0, 100] | (window = 20, lookback = 60) (Python) | window + lookback | Indicator-VolatilityCone |
VolatilityOfVolatility | Volatility of Volatility — the standard deviation of a rolling realized- volatility series; how unstable the volatility regime itself is. | f64 | f64 | [0, ∞) | (vol_window = 20, vov_window = 20) (Python) | vol_window + vov_window | Indicator-VolatilityOfVolatility |
VolatilityRatio | Schwager's Volatility Ratio — today's true range divided by the EMA of the prior true ranges; a reading above 2.0 marks a wide-ranging day. | Candle | f64 | [0, ∞) (1.0 = today's range equals its typical level) | (period = 14) (Python) | period + 2 | Indicator-VolatilityRatio |
Bands & Channels
Price-envelope overlays beyond the volatility-housed Bollinger / Keltner / Donchian trio. Eleven additional bands organised by what drives their width: fixed percent, ATR, range, regression-residual stddev, fractal swings, or volume-weighted stddev.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
MaEnvelope | SMA centerline with fixed-percent envelope. | f64 | (upper, middle, lower) | unbounded (price scale) | (period=20, percent=0.025) (Python) | period | Indicator-MaEnvelope |
AccelerationBands | Price Headley's momentum-biased bands; width scales with (H − L) / (H + L). | Candle | (upper, middle, lower) | unbounded (price scale) | (period=20, factor=0.001) (Python) | period | Indicator-AccelerationBands |
StarcBands | Stoller Average Range Channel — SMA(close) ± k·ATR. | Candle | (upper, middle, lower) | unbounded (price scale) | (sma_period=6, atr_period=15, multiplier=2.0) (Python) | max(sma_period, atr_period) | Indicator-StarcBands |
AtrBands | Close-anchored envelope close ± k·ATR; stop/target bracket. | Candle | (upper, middle, lower) | unbounded (price scale) | (period=14, multiplier=3.0) (Python) | period | Indicator-AtrBands |
HurstChannel | SMA centerline wrapped by the rolling high-low range. | Candle | (upper, middle, lower) | unbounded (price scale) | (period=10, multiplier=0.5) (Python) | period | Indicator-HurstChannel |
LinRegChannel | OLS endpoint ± k · σ of regression residuals. | f64 | (upper, middle, lower) | unbounded (price scale) | (period=20, multiplier=2.0) (Python) | period | Indicator-LinRegChannel |
StandardErrorBands | OLS endpoint ± k · stderr (n − 2 denominator). | f64 | (upper, middle, lower) | unbounded (price scale) | (period=21, multiplier=2.0) (Python) | period | Indicator-StandardErrorBands |
DoubleBollinger | Two concentric Bollinger envelopes (±k_inner·σ, ±k_outer·σ). | f64 | 5 bands | unbounded (price scale) | (period=20, k_inner=1.0, k_outer=2.0) (Python) | period | Indicator-DoubleBollinger |
TtmSqueeze | BB-inside-KC squeeze flag + detrended-close momentum (LinReg). | Candle | (squeeze, momentum) | squeeze ∈ {0,1}; momentum unbounded | (period=20, bb_mult=2.0, kc_mult=1.5) (Python) | period | Indicator-TtmSqueeze |
FractalChaosBands | Step-function envelope of the latest Bill Williams 5-bar fractals. | Candle | (upper, lower) | unbounded (price scale) | k = 2 (Python) | 2k + 1 plus first fractal of each kind | Indicator-FractalChaosBands |
VwapStdDevBands | Cumulative VWAP ± k·σ (volume-weighted standard deviation). | Candle | (upper, middle, lower, stddev) | unbounded (price scale) | multiplier = 2.0 (Python) | 1 | Indicator-VwapStdDevBands |
BomarBands | Adaptive percentage bands around a moving average, sized so that a fixed coverage fraction of recent closes falls inside them. | f64 | BomarBandsOutput { upper, middle, lower } | unbounded; lower ≤ middle ≤ upper | period = 20, coverage = 0.85 | period (exact — first emission on bar period) | Indicator-BomarBands |
MedianChannel | A robust analogue of Bollinger Bands: centre on the rolling median, size by the median absolute deviation (MAD). | f64 | MedianChannelOutput { upper, middle, lower } | unbounded; lower ≤ middle ≤ upper | period = 20, multiplier = 2.0 | period (exact — first emission on bar period) | Indicator-MedianChannel |
ProjectionBands | Mel Widner's forward-projected high/low envelope: fit a separate regression to the highs and to the lows, slide every bar forward along its slope, and take the running max / min. | Candle | ProjectionBandsOutput { upper, middle, lower } | unbounded; lower ≤ middle ≤ upper | period = 14 | period (exact — first emission on bar period) | Indicator-ProjectionBands |
ProjectionOscillator | Mel Widner's companion to the projection bands: where the close sits inside the [lower, upper] projection envelope, scaled to 0..100. | Candle | f64 | 0..100 (≈) — 0 on the lower band, 100 on the upper, 50 at the midline | period = 14 | period (exact — first emission on bar period) | Indicator-ProjectionOscillator |
QuartileBands | A non-parametric envelope drawn at the rolling 25th / 50th / 75th percentiles — order statistics instead of mean ± sigma. | f64 | QuartileBandsOutput { upper, middle, lower } | unbounded; lower ≤ middle ≤ upper | period = 20 | period (exact — first emission on bar period) | Indicator-QuartileBands |
Trailing Stops
ATR-driven stop-loss trackers: per-bar levels that follow a trend and flip when price closes through them.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
Psar | Wilder's Parabolic Stop-and-Reverse; flips sides on a crossing. | Candle | f64 | unbounded (price scale) | (af_start=0.02, af_step=0.02, af_max=0.20) (Python) | 2 | Indicator-Psar |
SuperTrend | ATR-banded trailing stop with explicit flip logic. | Candle | (value, direction) | value price scale; direction ±1 | (atr_period=10, multiplier=3.0) (Python) | atr_period | Indicator-SuperTrend |
ChandelierExit | highest_high − k·ATR (long) and lowest_low + k·ATR (short). | Candle | (long_stop, short_stop) | unbounded (price scale) | (period=22, multiplier=3.0) (Python) | period | Indicator-ChandelierExit |
ChandeKrollStop | Two-stage ATR stop: extreme-based, then smoothed. | Candle | (stop_long, stop_short) | unbounded (price scale) | (atr_period=10, atr_multiplier=1.0, stop_period=9) (Python) | atr_period + stop_period − 1 | Indicator-ChandeKrollStop |
AtrTrailingStop | A single line trailing the close by k·ATR, ratcheting. | Candle | f64 | unbounded (price scale) | (atr_period=14, multiplier=3.0) (Python) | atr_period | Indicator-AtrTrailingStop |
HiLoActivator | SMA(high) / SMA(low) state-machine trail (Crabel-style). | Candle | f64 | unbounded (price scale) | period = 3 (Python) | period + 1 | Indicator-HiLoActivator |
VoltyStop | Kase's extreme-close-anchored ATR trail (no give-back on pullbacks). | Candle | f64 | unbounded (price scale) | (atr_period=14, multiplier=2.0) | atr_period + 1 | Indicator-VoltyStop |
YoyoExit | Long-only ATR trail with passive re-entry trigger above the trail. | Candle | f64 | unbounded (price scale) | (atr_period=14, multiplier=2.0) | atr_period + 1 | Indicator-YoyoExit |
DonchianStop | Turtle exit channel: lowest low / highest high over period. | Candle | (stop_long, stop_short) | unbounded (price scale) | period = 10 | period | Indicator-DonchianStop |
PercentageTrailingStop | Fixed-percentage flip-on-close-through trail. | f64 | f64 | unbounded (price scale) | percent = 5.0 | 1 | Indicator-PercentageTrailingStop |
StepTrailingStop | Grid-snapped trail; ratchets in discrete step_size increments. | f64 | f64 | unbounded (price scale, snapped) | step_size = 1.0 | 1 | Indicator-StepTrailingStop |
RenkoTrailingStop | Renko-brick-anchored trail; anchor moves only after full-brick advance. | f64 | f64 | unbounded (price scale) | block_size = 1.0 | 1 | Indicator-RenkoTrailingStop |
SarExt | Extended Parabolic SAR: start value, reversal offset, separate long/short acceleration, signed output. | Candle | f64 (signed) | price scale; sign = direction | Wilder defaults (0.02, 0.02, 0.20) both ways | 2 | Indicator-SarExt |
AtrRatchet | Perry Kaufman's time-based volatility stop — it tightens by a fixed fraction of ATR every bar, so a stalled trade is squeezed out even in a flat market. | Candle | AtrRatchetOutput { value, direction } | value in price units; direction ∈ | (atr_period = 14, start_mult = 4.0, increment = 0.1) | atr_period | Indicator-AtrRatchet |
ElderSafeZone | Alexander Elder's trailing stop placed a multiple of the average market noise away from price — wide enough to survive normal pullbacks, tight enough to exit a real reversal. | Candle | ElderSafeZoneOutput { value, direction } | value in price units; direction ∈ | (period = 14, coeff = 2.0) | period + 1 | Indicator-ElderSafeZone |
KaseDevStop | Cynthia Kase's volatility trailing stop, built on the standard deviation of the two-bar true range — it ratchets in the trend's favour and flips on a close through the line. | Candle | KaseDevStopOutput { value, direction } | value in price units; direction ∈ | (period = 30, dev = 1.0) | period + 1 | Indicator-KaseDevStop |
ModifiedMaStop | A trailing stop riding the Modified Moving Average (SMMA / Wilder's RMA), ratcheted so it only moves in the trend's favour and flips on a decisive cross. | Candle | ModifiedMaStopOutput { value, direction } | value in price units; direction ∈ | (period = 14) (Python) | period | Indicator-ModifiedMaStop |
Nrtr | Nick Rypock Trailing Reverse — a scale-free percentage trailing-reverse stop that follows the trend extreme and flips when price retraces by a fixed percentage. | Candle | NrtrOutput { value, direction } | value in price units; direction ∈ | (pct = 2.0) (Python) | 1 | Indicator-Nrtr |
TimeBasedStop | A holding-period timer — it ignores price entirely and fires after a fixed number of bars, reporting the fraction of the window elapsed. | Candle | f64 | [0, 1] (1.0 = stop fired) | (max_bars = 10) (Python) | 1 | Indicator-TimeBasedStop |
Volume
Price moves weighted or confirmed by traded volume. All take Candle input.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
Obv | On-Balance Volume: cumulative signed volume. | Candle | f64 | unbounded (drifts with volume) | (no parameters) | 1 | Indicator-Obv |
Vwap | Cumulative volume-weighted average price from the stream start; a sibling RollingVwap(period) is exposed for a finite window. | Candle | f64 | unbounded (price scale) | (no parameters) | 1 (cumulative); period (rolling) | Indicator-Vwap (cumulative + rolling) |
Adl | Accumulation/Distribution Line; cumulative range-weighted volume. | Candle | f64 | unbounded (drifts with volume) | (no parameters) | 1 | Indicator-Adl |
VolumePriceTrend | Cumulative volume · ROC; volume weighted by percentage move. | Candle | f64 | unbounded (drifts with volume) | (no parameters) | 1 | Indicator-VolumePriceTrend |
ChaikinMoneyFlow | Summed money-flow volume over summed volume across period bars. | Candle | f64 | [−1, +1] | period = 20 (Python) | period | Indicator-ChaikinMoneyFlow |
ChaikinOscillator | EMA(ADL, fast) − EMA(ADL, slow); the MACD of the ADL. | Candle | f64 | unbounded around zero | (fast=3, slow=10) (Python) | slow | Indicator-ChaikinOscillator |
ForceIndex | EMA((close − prev_close) · volume, period). | Candle | f64 | unbounded around zero | period = 13 (Python) | period + 1 | Indicator-ForceIndex |
EaseOfMovement | SMA of distance travelled per unit of volume. | Candle | f64 | unbounded around zero | (period=14, divisor=1e8) (Python) | period + 1 | Indicator-EaseOfMovement |
RollingVwap | VWAP over a finite rolling window (vs the cumulative Vwap). | Candle | f64 | unbounded (price scale) | period | period | Indicator-RollingVwap |
AnchoredVwap | Cumulative VWAP from a user-set anchor bar (event-anchored fair price). | Candle | f64 | unbounded (price scale) | (set anchor via set_anchor()) | 1 post-anchor | Indicator-AnchoredVwap |
AdOscillator | Williams' Accumulation/Distribution — volume-less cumulative price flow. | Candle | f64 | unbounded | (no parameters) | 2 | Indicator-AdOscillator |
Kvo | Klinger Volume Oscillator — long/short EMAs of trend-aware volume force. | Candle | (kvo, signal) | unbounded around zero | (34, 55, 13) | slow + signal − 1 | Indicator-Kvo |
VolumeOscillator | 100·(SMA(vol,fast) − SMA(vol,slow))/SMA(vol,slow). | Candle | f64 | unbounded above −100 | (fast=14, slow=28) | slow | Indicator-VolumeOscillator |
Vzo | Volume Zone Oscillator — 100·EMA(signed vol)/EMA(|vol|). | Candle | f64 | [−100, +100] | period = 14 | period + 1 | Indicator-Vzo |
Tsv | Time Segmented Volume — rolling sum of (close-change · volume). | Candle | f64 | unbounded around zero | period = 18 | period + 1 | Indicator-Tsv |
Nvi | Negative Volume Index — cumulative; updates only on volume contraction. | Candle | f64 | unbounded (anchored at 1000) | (no parameters) | 2 | Indicator-Nvi |
Pvi | Positive Volume Index — mirror of NVI; updates only on volume expansion. | Candle | f64 | unbounded (anchored at 1000) | (no parameters) | 2 | Indicator-Pvi |
DemandIndex | Sibbet's EMA-smoothed buying-vs-selling pressure ratio. | Candle | f64 | unbounded (typically [-100, +100]) | period = 20 | period + 1 | Indicator-DemandIndex |
MarketFacilitationIndex | Williams' (high − low) / volume per-bar facilitation. | Candle | f64 | [0, ∞) | (no parameters) | 1 | Indicator-MarketFacilitationIndex |
BetterVolume | A Volume-Spread-Analysis "effort versus result" oscillator — positive means a bar spent more volume than its range warranted (churn), negative means it moved far on light volume (ease of movement). | Candle | f64 | centred near 0 (+ = churn, − = ease of movement) | (period = 20) (Python) | period | Indicator-BetterVolume |
IntradayIntensity | David Bostian's Intraday Intensity Index — a cumulative line weighting each bar's volume by where the close sits inside its range. | Candle | f64 | (−∞, +∞) (a cumulative line; only slope/divergence matters) | (no parameters) | 1 | Indicator-IntradayIntensity |
TradeVolumeIndex | Cumulative volume signed by a minimum-tick rule — adds volume on up-ticks, subtracts on down-ticks, and holds direction through sub-tick churn. | Candle | f64 | (−∞, +∞) (a cumulative line; only slope/divergence matters) | (min_tick = 0.5) (Python) | 2 | Indicator-TradeVolumeIndex |
TwiggsMoneyFlow | Colin Twiggs' refinement of Chaikin Money Flow — true-range boundaries and Wilder exponential smoothing make a faster, gap-aware [−1, +1] money-flow oscillator. | Candle | f64 | ≈ [−1, +1] (positive = buying pressure) | (period = 21) (Python) | period + 1 | Indicator-TwiggsMoneyFlow |
VolumeRsi | Wilder's RSI applied to the volume stream instead of price — a [0, 100] oscillator of expanding versus contracting participation. | Candle | f64 | [0, 100] (50 = balanced volume changes) | (period = 14) (Python) | period + 1 | Indicator-VolumeRsi |
VolumeWeightedMacd | MACD built on volume-weighted moving averages — heavy-volume bars dominate the trend estimate, so crossovers reflect where real participation occurred. | Candle | VolumeWeightedMacdOutput { macd, signal, histogram } | (−∞, +∞) for each field | (fast = 12, slow = 26, signal = 9) | slow + signal − 1 | Indicator-VolumeWeightedMacd |
Wad | Larry Williams' Accumulation/Distribution — a cumulative, volume-free line that adds true-low accumulation on up-closes and true-high distribution on down-closes. | Candle | f64 | (−∞, +∞) (a cumulative line; only slope/divergence matters) | (no parameters) | 2 | Indicator-Wad |
Price Statistics
Per-bar price transforms and rolling least-squares regressions.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
TypicalPrice | (high + low + close) / 3. | Candle | f64 | unbounded (price scale) | (no parameters) | 1 | Indicator-TypicalPrice |
MedianPrice | (high + low) / 2. | Candle | f64 | unbounded (price scale) | (no parameters) | 1 | Indicator-MedianPrice |
WeightedClose | (high + low + 2·close) / 4. | Candle | f64 | unbounded (price scale) | (no parameters) | 1 | Indicator-WeightedClose |
LinearRegression | Endpoint of the rolling least-squares line. | f64 | f64 | unbounded (price scale) | period = 14 (Python) | period | Indicator-LinearRegression |
LinRegSlope | Slope of the rolling least-squares line. | f64 | f64 | unbounded around zero | period = 14 (Python) | period | Indicator-LinRegSlope |
ZScore | (price − SMA(n)) / population_stddev(n). | f64 | f64 | unbounded around zero | period = 20 (Python) | period | Indicator-ZScore |
LinRegAngle | The rolling regression slope as a degree angle. | f64 | f64 | (−90°, +90°) | period = 14 (Python) | period | Indicator-LinRegAngle |
Variance | Rolling population variance (second central moment). | f64 | f64 | [0, ∞) | period | period | Indicator-Variance |
CoefficientOfVariation | StdDev / Mean — dimensionless dispersion. | f64 | f64 | [0, ∞) | period | period | Indicator-CoefficientOfVariation |
Skewness | Rolling Pearson skewness (third standardised moment). | f64 | f64 | unbounded | period | period | Indicator-Skewness |
Kurtosis | Rolling excess kurtosis (fourth standardised moment − 3). | f64 | f64 | [-2, ∞) | period | period | Indicator-Kurtosis |
StandardError | Standard error of the rolling OLS line; trend-detrended volatility. | f64 | f64 | [0, ∞) | period | period | Indicator-StandardError |
RSquared | R² of the rolling OLS fit; fraction of variance explained. | f64 | f64 | [0, 1] | period | period | Indicator-RSquared |
MedianAbsoluteDeviation | Robust dispersion: median(|x − median|). | f64 | f64 | [0, ∞) | period | period | Indicator-MedianAbsoluteDeviation |
Autocorrelation | Rolling lag-k Pearson autocorrelation. | f64 | f64 | [-1, +1] | (period, lag) | period | Indicator-Autocorrelation |
HurstExponent | Rescaled-range (R/S) Hurst exponent estimate. | f64 | f64 | typically (0, 1) | (period, chunks) | period | Indicator-HurstExponent |
PearsonCorrelation | Rolling Pearson correlation of two synchronised series. | (f64, f64) | f64 | [-1, +1] | period | period | Indicator-PearsonCorrelation |
Beta | Rolling OLS sensitivity of asset to benchmark. | (f64, f64) | f64 | unbounded | period | period | Indicator-Beta |
PairwiseBeta | Rolling OLS slope of one asset's log-returns on another's. | (f64, f64) | f64 | unbounded | period | period + 1 | Indicator-PairwiseBeta |
PairSpreadZScore | Z-score of the log-spread ln(a) − β·ln(b) of a pair. | (f64, f64) | f64 | unbounded | (beta_period, z_period) | beta_period + z_period − 1 | Indicator-PairSpreadZScore |
LeadLagCrossCorrelation | Offset that maximises |corr(a[t], b[t+k])| — which asset leads. | (f64, f64) | {lag, correlation} | lag ∈ [−max_lag, max_lag] | (window, max_lag) | window + 2·max_lag | Indicator-LeadLagCrossCorrelation |
Cointegration | Engle–Granger hedge ratio + ADF stationarity test on the spread. | (f64, f64) | {hedge_ratio, spread, adf_stat} | adf_stat unbounded | (period, adf_lags) | period | Indicator-Cointegration |
RelativeStrengthAB | Ratio line a / b with its moving average and RSI. | (f64, f64) | {ratio, ratio_ma, ratio_rsi} | ratio_rsi ∈ [0, 100] | (ma_period, rsi_period) | max(ma_period, rsi_period + 1) | Indicator-RelativeStrengthAB |
SpearmanCorrelation | Rolling rank correlation; monotone-relationship robust. | (f64, f64) | f64 | [-1, +1] | period | period | Indicator-SpearmanCorrelation |
AvgPrice | Average Price; (open + high + low + close) / 4. | Candle | f64 | price scale | none | 1 | Indicator-AvgPrice |
MidPrice | (highest high + lowest low) / 2 over period candles. | Candle | f64 | price scale | period required | period | Indicator-MidPrice |
MidPoint | (highest + lowest) / 2 of a scalar series over period. | f64 | f64 | price scale | period required | period | Indicator-MidPoint |
LinRegIntercept | Intercept a of the rolling OLS fit y = a + b·x (value at x = 0). | f64 | f64 | price scale | period >= 2 | period | Indicator-LinRegIntercept |
Tsf | Time Series Forecast; OLS line projected one bar ahead (a + b·period). | f64 | f64 | price scale | period >= 2 | period | Indicator-Tsf |
LogReturn | Logarithmic return over a fixed lag, ln(p_t / p_{t−period}). | f64 | f64 | unbounded | period | period + 1 | Indicator-LogReturn |
RealizedVolatility | √(Σ r²) raw quadratic variation over period returns. | f64 | f64 | [0, ∞) | period | period + 1 | Indicator-RealizedVolatility |
RollingQuantile | Interpolated q-th quantile over period values (type-7). | f64 | f64 | within window | (period, quantile) | period | Indicator-RollingQuantile |
RollingIqr | Interquartile range Q3 − Q1; robust dispersion. | f64 | f64 | [0, ∞) | period | period | Indicator-RollingIqr |
RollingPercentileRank | Percentile rank of the latest value within its window. | f64 | f64 | [0, 100] | period | period | Indicator-RollingPercentileRank |
SpreadAr1Coefficient | AR(1) coefficient ρ of the spread a − b (cointegration strength). | (f64, f64) | f64 | ~[0, 1] if stationary | period >= 3 | period | Indicator-SpreadAr1Coefficient |
CloseVsOpen | Signed body as a fraction of open, (close − open)/open. | Candle | f64 | unbounded | (no parameters) | 1 | Indicator-CloseVsOpen |
BodySizePct | Absolute body as a fraction of the bar range. | Candle | f64 | [0, 1] | (no parameters) | 1 | Indicator-BodySizePct |
WickRatio | Signed upper-vs-lower shadow imbalance over the range. | Candle | f64 | [−1, 1] | (no parameters) | 1 | Indicator-WickRatio |
HighLowRange | Bar range as a fraction of close (scale-free volatility). | Candle | f64 | [0, ∞) | (no parameters) | 1 | Indicator-HighLowRange |
OuHalfLife | Ornstein–Uhlenbeck half-life of mean reversion of the spread a − b. | (f64, f64) | f64 | [0, ∞); 0 = no finite half-life | period >= 3 | period | Indicator-OuHalfLife |
GrangerCausality | Rolling F-statistic: does b help predict a? | (f64, f64) | f64 | [0, ∞) | (period, lag) | period | Indicator-GrangerCausality |
KalmanHedgeRatio | Dynamic hedge ratio between two series via an online Kalman filter. | (f64, f64) | {hedge_ratio, intercept, spread} | unbounded | (delta, observation_var) | 1 | Indicator-KalmanHedgeRatio |
VarianceRatio | Lo–MacKinlay variance ratio of the spread a − b. | (f64, f64) | f64 | [0, ∞); 1 = random walk | (period, q) | period | Indicator-VarianceRatio |
RollingCorrelation | Rolling Pearson correlation of the two series' returns. | (f64, f64) | f64 | [-1, +1] | period | period + 1 | Indicator-RollingCorrelation |
RollingCovariance | Rolling covariance of the two series' returns. | (f64, f64) | f64 | unbounded | period | period + 1 | Indicator-RollingCovariance |
SpreadHurst | Hurst exponent of the spread a − b (pairs regime detection). | (f64, f64) | f64 | ~[0, 1] | period >= 8 | period | Indicator-SpreadHurst |
SpreadBollingerBands | Bollinger bands on the spread a − b of two series. | (f64, f64) | {middle, upper, lower, percent_b} | bands in spread units | (period, num_std) | period | Indicator-SpreadBollingerBands |
BetaNeutralSpread | Rolling OLS residual of a on b — the beta-neutral spread. | (f64, f64) | f64 | unbounded | period | period | Indicator-BetaNeutralSpread |
DistanceSsd | Gatev sum of squared deviations between two normalised series. | (f64, f64) | f64 | [0, ∞) | period | period | Indicator-DistanceSsd |
JarqueBera | The Jarque-Bera statistic on a rolling window — a normality test that flags fat-tailed or skewed return regimes from skewness and excess kurtosis. | f64 | f64 | [0, ∞) (0 = perfectly normal sample) | (period = 50) (Python) | period | Indicator-JarqueBera |
KendallTau | Kendall's tau-b — a robust rank correlation between two series measured by the balance of concordant and discordant pairs, with a tie correction. | (f64, f64) | f64 | [−1, +1] | (period = 20) (Python) | period | Indicator-KendallTau |
RollingMinMaxScaler | The streaming MinMaxScaler — maps the current value onto [0, 1] against the min and max of the trailing window. | f64 | f64 | [0, 1] (0 = window low, 1 = window high) | (period = 14) (Python) | period | Indicator-RollingMinMaxScaler |
SampleEntropy | Richman & Moorman's Sample Entropy (SampEn) — how regular a window is: the negative log probability that points similar for m steps stay similar at the next step. | f64 | f64 | [0, ∞) (low = regular/predictable, high = irregular) | (period = 50, m = 2, r_factor = 0.2) | period | Indicator-SampleEntropy |
ShannonEntropy | The Shannon information entropy (in bits) of a rolling window's binned distribution — a regime gauge for how spread-out and unpredictable recent prices are. | f64 | f64 | [0, log2(bins)] | (period = 32, bins = 8) (Python) | period | Indicator-ShannonEntropy |
Ehlers / Cycle (DSP)
John Ehlers' family of DSP cycle filters, phase-extraction tools, and adaptive smoothers. All take f64 price input.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
Mama | MESA Adaptive MA — adaptive alpha from Hilbert phase. | f64 | (mama, fama) | unbounded (price scale) | (0.5, 0.05) | ~30 | Indicator-Mama |
Fama | Scalar wrapper exposing only MAMA's slow follower line. | f64 | f64 | unbounded (price scale) | (0.5, 0.05) | ~30 | Indicator-Fama |
FisherTransform | Min/max-normalises price + 0.5·ln((1+x)/(1-x)). | f64 | f64 | unbounded; mostly [-2, +2] | period | period | Indicator-FisherTransform |
InverseFisherTransform | tanh(scale · input); bounded squash. | f64 | f64 | [-1, +1] | scale | 1 | Indicator-InverseFisherTransform |
SuperSmoother | Ehlers' 2-pole Butterworth lowpass filter. | f64 | f64 | unbounded (price scale) | period | 2 | Indicator-SuperSmoother |
HilbertDominantCycle | Truncated-Hilbert phase-derived dominant cycle period. | f64 | f64 | [6, 50] | (no parameters) | ~50 | Indicator-HilbertDominantCycle |
SineWave | sin(phase) from Hilbert phase; pair with lead() for cross. | f64 | f64 | [-1, +1] | (no parameters) | ~50 | Indicator-SineWave |
Decycler | price − HighPass(price) — low-lag trend extractor. | f64 | f64 | unbounded (price scale) | period | 2 | Indicator-Decycler |
DecyclerOscillator | Difference of fast and slow Decyclers — MACD-shape. | f64 | f64 | unbounded around zero | (fast, slow) | 2 | Indicator-DecyclerOscillator |
RoofingFilter | High-pass + SuperSmoother = cycle-band bandpass. | f64 | f64 | unbounded around zero | (lp, hp) (default 10, 48) | 2 | Indicator-RoofingFilter |
CenterOfGravity | Linear-weighted price barycenter, near-zero-lag. | f64 | f64 | unbounded around zero | period | period | Indicator-CenterOfGravity |
CyberneticCycle | 4-tap pre-smoother + 2nd-order high-pass cycle extractor. | f64 | f64 | unbounded around zero | period | 6 | Indicator-CyberneticCycle |
AdaptiveCycle | Half-period wrapper over HilbertDominantCycle for adaptive oscillators. | f64 | f64 | [3, 25] (integer) | (no parameters) | ~50 | Indicator-AdaptiveCycle |
EmpiricalModeDecomposition | Bandpass + envelope EMD; regime classifier. | f64 | f64 | unbounded around zero | (period, fraction) | period | Indicator-EmpiricalModeDecomposition |
EhlersStochastic | Stochastic on Roofing-Filter output ([-1, +1] scale). | f64 | f64 | [-1, +1] | period | period + ~50 | Indicator-EhlersStochastic |
InstantaneousTrendline | Near-zero-lag tuned recurrence — fast trend line. | f64 | f64 | unbounded (price scale) | period | period | Indicator-InstantaneousTrendline |
HtPhasor | Hilbert-transform in-phase / quadrature components of the analytic signal. | f64 | (inphase, quadrature) | unbounded | none | 19 | Indicator-HtPhasor |
HtDcPhase | Hilbert-transform dominant-cycle phase, in degrees. | f64 | f64 | bounded phase band (deg) | none | 50 | Indicator-HtDcPhase |
HtTrendMode | Ehlers' trend (1) vs cycle (0) classification. | f64 | f64 | {0, 1} | none | 50 | Indicator-HtTrendMode |
AdaptiveCci | Lambert's CCI with an efficiency-ratio-adaptive centre line — it leads in trends and stays calm in chop. | Candle | f64 | unbounded around 0 (≈ ±100 bands) | (period = 20) (Python) | period | Indicator-AdaptiveCci |
AdaptiveRsi | Wilder's RSI whose up/down averaging adapts to trendiness via Kaufman's efficiency ratio — fast in clean moves, smooth through chop. | f64 | f64 | [0, 100] (50 = neutral) | (period = 14) (Python) | period + 1 | Indicator-AdaptiveRsi |
AutocorrelationPeriodogram | Ehlers' Autocorrelation Periodogram — estimates the market's dominant cycle period by correlating a roofing-filtered price with lagged copies of itself. | f64 | f64 | [min_period, max_period] | (min_period = 10, max_period = 48) | max_period + 3 | Indicator-AutocorrelationPeriodogram |
BandpassFilter | Ehlers' two-pole bandpass resonator — isolates the cyclic component around a target period, rejecting both trend and high-frequency noise. | f64 | f64 | zero-mean oscillator (price units) | (period = 20, bandwidth = 0.3) | 1 | Indicator-BandpassFilter |
CorrelationTrendIndicator | Ehlers' CTI — the Pearson correlation of price against a straight time ramp; +1 is a clean uptrend, −1 a clean downtrend, 0 no linear trend. | f64 | f64 | [−1, +1] | (period = 20) (Python) | period | Indicator-CorrelationTrendIndicator |
EvenBetterSinewave | Ehlers' EBSW — a self-normalising cycle oscillator that swings cleanly in [−1, +1] regardless of price amplitude. | f64 | f64 | [−1, +1] | (hp_period = 40, ssf_length = 10) | 3 | Indicator-EvenBetterSinewave |
HighpassFilter | Ehlers' two-pole highpass filter — strips the low-frequency trend and leaves the cyclic content; the complement of the Decycler. | f64 | f64 | zero-mean (price units) | (period = 48) (Python) | 1 | Indicator-HighpassFilter |
Reflex | Ehlers' near-zero-lag cycle oscillator — averages how far the SuperSmoothed price deviates from the straight line across the lookback, then self-normalises. | f64 | f64 | self-normalised, roughly [−3, +3] | (period = 20) (Python) | period + 1 | Indicator-Reflex |
Trendflex | Ehlers' trend-sensitive companion to Reflex — averages how far the SuperSmoothed price sits above/below its recent values, then self-normalises. | f64 | f64 | self-normalised, roughly [−3, +3] | (period = 20) (Python) | period + 1 | Indicator-Trendflex |
UniversalOscillator | Ehlers' Universal Oscillator — whitens the price, SuperSmooths it, then AGC-normalises to a clean [−1, +1] cycle reading on any instrument. | f64 | f64 | [−1, +1] | (period = 20) (Python) | 3 | Indicator-UniversalOscillator |
Pivots & S/R
Session-anchored pivot levels and swing detectors. Pivots take a single (typically session-aggregated) candle and emit fixed S/R levels for the next session; swing detectors run continuously and mark structural pivots.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
ClassicPivots | Floor-trader pivots: PP, R1-R3, S1-S3 from (H+L+C)/3. | Candle | 7 fields | unbounded (price scale) | (no parameters) | 1 | Indicator-ClassicPivots |
FibonacciPivots | Pivot + Fib-ratio R/S levels (0.382 / 0.618 / 1.000 · range). | Candle | 7 fields | unbounded (price scale) | (no parameters) | 1 | Indicator-FibonacciPivots |
Camarilla | Stott's close-anchored 4-tier ±(1.1 · range / {12,6,4,2}). | Candle | 9 fields | unbounded (price scale) | (no parameters) | 1 | Indicator-Camarilla |
WoodiePivots | Close-weighted pivot (H+L+2C)/4 with 2-tier R/S. | Candle | 5 fields | unbounded (price scale) | (no parameters) | 1 | Indicator-WoodiePivots |
DemarkPivots | Open-conditional 1-tier pivot (different formula per bar direction). | Candle | (pp, r1, s1) | unbounded (price scale) | (no parameters) | 1 | Indicator-DemarkPivots |
WilliamsFractals | Bill Williams' 5-bar swing-high / swing-low detector. | Candle | (up, down: Option<f64>) | unbounded (price scale) | (no parameters) | 5 | Indicator-WilliamsFractals |
ZigZag | Non-repainting percentage-threshold swing detector. | Candle | (swing, direction) | unbounded (price scale) | threshold = 0.05 | 2 | Indicator-ZigZag |
AndrewsPitchfork | Alan Andrews' median-line tool — a central line through three auto-detected swing pivots, flanked by two parallels, projected to the current bar. | Candle | AndrewsPitchforkOutput { median, upper, lower } | price units; upper >= lower | (strength = 2) (Python) | 2·strength + 1 (then swing-dependent) | Indicator-AndrewsPitchfork |
CentralPivotRange | The pivot point plus its two central lines — the width of the range forecasts a trending vs. | Candle | CentralPivotRangeOutput { pivot, tc, bc } | price units; tc >= bc | (no parameters) | 1 | Indicator-CentralPivotRange |
MurreyMathLines | T. | Candle | MurreyMathLinesOutput { mm0_8 … mm8_8 } | price units; mm0_8 <= … <= mm8_8 | (period = 64) (Python) | period | Indicator-MurreyMathLines |
PivotReversal | A breakout signal off the most recent confirmed swing pivots — +1 when price closes back above a swing high, −1 when it closes below a swing low. | Candle | f64 | {−1, 0, +1} | (left = 2, right = 2) (Python) | left + right + 1 | Indicator-PivotReversal |
VolumeWeightedSr | A support/resistance band whose edges are the volume-weighted average of recent lows and highs — levels gravitate to where trading actually happened. | Candle | VolumeWeightedSrOutput { support, resistance } | price units; support <= resistance | (period = 20) (Python) | period | Indicator-VolumeWeightedSr |
DeMark
Tom DeMark's full setup / countdown / pivot family. All bar-direction-aware oscillators, exhaustion detectors, and protective-stop levels.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
TdSetup | 9-bar momentum-exhaustion setup count (signed). | Candle | f64 | [-target, +target] | (lookback=4, target=9) | lookback + 1 | Indicator-TdSetup |
TdSequential | Setup + Countdown 13 — canonical DeMark exhaustion. | Candle | (setup, countdown) | signed | (4, 9, 2, 13) | max(4, 2) + 1 | Indicator-TdSequential |
TdCountdown | Standalone Countdown 13 (auto-detects setup internally). | Candle | f64 | [-13, +13] | (4, 9, 2, 13) | max(4, 2) + 1 | Indicator-TdCountdown |
TdCombo | Stricter, faster countdown variant (3 strictness conditions). | Candle | f64 | [-13, +13] | (4, 9, 2, 13) | max(4, 2) + 1 | Indicator-TdCombo |
TdLines | TDST support/resistance — extremes of completed setups. | Candle | (resistance, support) | unbounded; NaN before first setup | (4, 9) | lookback + 1 | Indicator-TdLines |
TdDeMarker | High/low-extension based 0-1 momentum oscillator. | Candle | f64 | [0, 1] | period = 14 | period + 1 | Indicator-TdDeMarker |
TdRei | Range Expansion Index — conditionally-weighted short oscillator. | Candle | f64 | [-100, +100] | period = 5 | period + 7 | Indicator-TdRei |
TdPressure | Volume-weighted DeMark pressure oscillator. | Candle | f64 | [-100, +100] | period = 5 | period | Indicator-TdPressure |
TdRangeProjection | Next-bar high/low projection from current bar OHLC. | Candle | (high, low) | unbounded (price scale) | (no parameters) | 1 | Indicator-TdRangeProjection |
TdDifferential | 2-bar pressure-shift reversal pattern. | Candle | f64 | {-1, 0, +1} | (no parameters) | 2 | Indicator-TdDifferential |
TdOpen | Gap-and-fade reversal signal (open outside prior range). | Candle | f64 | {-1, 0, +1} | (no parameters) | 2 | Indicator-TdOpen |
TdRiskLevel | Protective-stop level from setup extreme + true range. | Candle | (buy_risk, sell_risk) | unbounded; NaN before first setup | (4, 9) | lookback + 1 | Indicator-TdRiskLevel |
TdCamouflage | Tom DeMark's TD Camouflage — a one-bar reversal that looks weak (or strong) on the close but reveals hidden accumulation (or distribution) intrabar. | Candle | f64 | {−1, 0, +1} | (no parameters) | 2 | Indicator-TdCamouflage |
TdClop | Tom DeMark's TD Clop — a two-bar open/close reversal: the bar opens beyond the whole prior body and closes back beyond it. | Candle | f64 | {−1, 0, +1} | (no parameters) | 2 | Indicator-TdClop |
TdClopwin | Tom DeMark's TD Clopwin — the inside-body cousin of TD Clop: the bar's open and close both sit inside the prior body, a compression bar whose direction hints at the next move. | Candle | f64 | {−1, 0, +1} | (no parameters) | 2 | Indicator-TdClopwin |
TdDWave | Tom DeMark's TD D-Wave — an objective Elliott-style wave counter that labels the swing sequence 1–5 (impulse) then A–C (correction). | Candle | f64 | [1, 8] (6/7/8 = corrective A/B/C) | (strength = 2) (Python) | 2·strength + 1 (then swing-dependent) | Indicator-TdDWave |
TdMovingAverage | Tom DeMark's TD Moving Averages — a fast (ST1) / slow (ST2) ribbon on the median price; their relationship defines the trend. | Candle | TdMovingAverageOutput { st1, st2 } | price units | (period_st1 = 5, period_st2 = 13) | period_st2 | Indicator-TdMovingAverage |
TdPropulsion | Tom DeMark's TD Propulsion — a two-bar continuation thrust: open on the trend side of the prior close, then close beyond the prior bar's extreme. | Candle | f64 | {−1, 0, +1} | (no parameters) | 2 | Indicator-TdPropulsion |
TdTrap | Tom DeMark's TD Trap — an inside ("trap") bar followed by a close beyond its range fires a directional breakout signal. | Candle | f64 | {−1, 0, +1} | (no parameters) | 3 | Indicator-TdTrap |
Ichimoku & Charts
Japanese cloud charting and candle-smoothing transforms.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
Ichimoku | Five-line cloud system (Tenkan, Kijun, Senkou A/B, Chikou). | Candle | 5 Option<f64> fields | unbounded (price scale) | (9, 26, 52, 26) | senkou_b + displacement - 1 (77 at defaults) | Indicator-Ichimoku |
HeikinAshi | "Average bar" candle-smoothing transform. | Candle | (open, high, low, close) | unbounded (price scale) | (no parameters) | 1 | Indicator-HeikinAshi |
CandleVolume | The candlestick analogue of Equivolume — each bar's signed body paired with a width proportional to its volume relative to the recent average. | Candle | CandleVolumeOutput { body, width } | body signed (price units); width ≥ 0 (1.0 = average) | (period = 14) (Python) | period | Indicator-CandleVolume |
Equivolume | Richard Arms' Equivolume chart as numbers — each bar is a box whose height is its price range and whose width is its volume relative to the recent average. | Candle | EquivolumeOutput { height, width } | height ≥ 0 (price units); width ≥ 0 (1.0 = average volume) | (period = 14) (Python) | period | Indicator-Equivolume |
HeikinAshiOscillator | The Heikin-Ashi candle body (ha_close − ha_open), optionally EMA-smoothed, as a zero-line oscillator — the HA colour/strength turned into a number. | Candle | f64 | zero-mean (price units) | (period = 5) (Python) | period | Indicator-HeikinAshiOscillator |
SmoothedHeikinAshi | The Heikin-Ashi transform applied to EMA-smoothed OHLC — long, clean runs of same-colour candles for an even clearer trend read. | Candle | SmoothedHeikinAshiOutput { open, high, low, close } | price units; low <= open,close <= high | (period = 10) (Python) | period | Indicator-SmoothedHeikinAshi |
ThreeLineBreak | The trend direction of a line-break chart — a reversal needs the close to break the extreme of the last three lines, filtering out minor pullbacks. | Candle | f64 | {−1, +1} | (lines = 3) (Python) | 2 (then data-dependent) | Indicator-ThreeLineBreak |
Candlestick Patterns
Classical 1- / 2- / 3-bar candlestick pattern detectors. All take Candle input and return a signed f64 (+1 bullish, -1 bearish, 0 no signal) unless noted. Pattern-shape checks only — combine with a trend filter for actionable signals.
| Indicator | Pattern | Bars | Output | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|
Doji | Indecision — body ≤ threshold·range. | 1 | f64 (0 or +1) | body_threshold = 0.1 | 1 | Indicator-Doji |
Hammer | Small body top, long lower shadow ≥ 2·body. | 1 | f64 (0 or +1) | (no parameters) | 1 | Indicator-Hammer |
InvertedHammer | Mirror of Hammer (long upper shadow). | 1 | f64 (0 or +1) | (no parameters) | 1 | Indicator-InvertedHammer |
HangingMan | Same shape as Hammer, bearish reading at top of uptrend. | 1 | f64 (0 or -1) | (no parameters) | 1 | Indicator-HangingMan |
ShootingStar | Same shape as Inverted Hammer, bearish reading at top. | 1 | f64 (0 or -1) | (no parameters) | 1 | Indicator-ShootingStar |
Marubozu | Full-body candle with (near-)no shadows. | 1 | f64 ({-1, 0, +1}) | shadow_tolerance = 0.05 | 1 | Indicator-Marubozu |
SpinningTop | Small body, both shadows ≥ 2·body. | 1 | f64 ({-1, 0, +1}) | body_threshold = 0.3 | 1 | Indicator-SpinningTop |
Engulfing | 2-bar full-body engulfing reversal. | 2 | f64 ({-1, 0, +1}) | (no parameters) | 2 | Indicator-Engulfing |
Harami | 2-bar inside-body reversal (opposite of Engulfing). | 2 | f64 ({-1, 0, +1}) | (no parameters) | 2 | Indicator-Harami |
PiercingDarkCloud | 2-bar gap-and-recover-past-midpoint reversal. | 2 | f64 ({-1, 0, +1}) | (no parameters) | 2 | Indicator-PiercingDarkCloud |
Tweezer | 2-bar matching-extreme reversal (Top / Bottom). | 2 | f64 ({-1, 0, +1}) | tolerance = 0.001 | 2 | Indicator-Tweezer |
MorningEveningStar | 3-bar reversal: long bar + star + opposite long bar. | 3 | f64 ({-1, 0, +1}) | (no parameters) | 3 | Indicator-MorningEveningStar |
ThreeSoldiersOrCrows | 3-bar continuation: three rising / falling long bars. | 3 | f64 ({-1, 0, +1}) | (no parameters) | 3 | Indicator-ThreeSoldiersOrCrows |
ThreeInside | Confirmed Harami: Harami + close past Bar 1 body. | 3 | f64 ({-1, 0, +1}) | (no parameters) | 3 | Indicator-ThreeInside |
ThreeOutside | Confirmed Engulfing: Engulfing + close past Bar 2 close. | 3 | f64 ({-1, 0, +1}) | (no parameters) | 3 | Indicator-ThreeOutside |
TwoCrows | 3-bar bearish reversal after an advance. | 3 | f64 (0 or -1) | (no parameters) | 3 | Indicator-TwoCrows |
UpsideGapTwoCrows | Two crows holding an upside gap (bearish). | 3 | f64 (0 or -1) | (no parameters) | 3 | Indicator-UpsideGapTwoCrows |
IdenticalThreeCrows | Three blacks opening at the prior close, lower closes. | 3 | f64 (0 or -1) | tolerance = 0.001 | 3 | Indicator-IdenticalThreeCrows |
ThreeLineStrike | Three-bar run struck by an opposite 4th bar. | 4 | f64 ({-1, 0, +1}) | (no parameters) | 4 | Indicator-ThreeLineStrike |
ThreeStarsInSouth | Three shrinking blacks, rising lows (rare bottom). | 3 | f64 (0 or +1) | tolerance = 0.001 | 3 | Indicator-ThreeStarsInSouth |
AbandonedBaby | Doji isolated by gaps both sides (island reversal). | 3 | f64 ({-1, 0, +1}) | tolerance = 0.001 | 3 | Indicator-AbandonedBaby |
AdvanceBlock | Three rising whites, shrinking bodies / rising wicks. | 3 | f64 (0 or -1) | (no parameters) | 3 | Indicator-AdvanceBlock |
BeltHold | Long body opening at one extreme (opening marubozu). | 1 | f64 ({-1, 0, +1}) | shadow_tolerance = 0.05 | 1 | Indicator-BeltHold |
Breakaway | 5-bar reversal fading a gapped over-extended run. | 5 | f64 ({-1, 0, +1}) | (no parameters) | 5 | Indicator-Breakaway |
Counterattack | 2-bar reversal closing back at the prior close. | 2 | f64 ({-1, 0, +1}) | equal_tolerance = 0.05 | 2 | Indicator-Counterattack |
DojiStar | Long body then a gapped doji (reversal warning). | 2 | f64 ({-1, 0, +1}) | (no parameters) | 2 | Indicator-DojiStar |
DragonflyDoji | Doji at the top, long lower shadow (bullish). | 1 | f64 (0 or +1) | (no parameters) | 1 | Indicator-DragonflyDoji |
GravestoneDoji | Doji at the bottom, long upper shadow (bearish). | 1 | f64 (0 or -1) | (no parameters) | 1 | Indicator-GravestoneDoji |
LongLeggedDoji | Doji with long shadows both sides (indecision). | 1 | f64 (0 or +1) | (no parameters) | 1 | Indicator-LongLeggedDoji |
RickshawMan | Centred long-legged doji (balanced indecision). | 1 | f64 (0 or +1) | (no parameters) | 1 | Indicator-RickshawMan |
EveningDojiStar | 3-bar bearish top: white, gapped doji, deep black. | 3 | f64 (0 or -1) | penetration = 0.3 | 3 | Indicator-EveningDojiStar |
MorningDojiStar | 3-bar bullish bottom: black, gapped doji, deep white. | 3 | f64 (0 or +1) | penetration = 0.3 | 3 | Indicator-MorningDojiStar |
GapSideBySideWhite | Two side-by-side whites holding a gap (continuation). | 3 | f64 ({-1, 0, +1}) | (no parameters) | 3 | Indicator-GapSideBySideWhite |
HighWave | Small body, very long shadows both sides (indecision). | 1 | f64 (0 or +1) | (no parameters) | 1 | Indicator-HighWave |
Hikkake | Inside-bar false-breakout trap. | 3 | f64 ({-1, 0, +1}) | (no parameters) | 3 | Indicator-Hikkake |
HikkakeModified | Close-confirmed Hikkake trap. | 3 | f64 ({-1, 0, +1}) | (no parameters) | 3 | Indicator-HikkakeModified |
HomingPigeon | Same-colour harami in a decline (bullish). | 2 | f64 (0 or +1) | (no parameters) | 2 | Indicator-HomingPigeon |
OnNeck | Weak bounce to the prior low (bearish continuation). | 2 | f64 (0 or -1) | (no parameters) | 2 | Indicator-OnNeck |
InNeck | Bounce just into the body (bearish continuation). | 2 | f64 (0 or -1) | (no parameters) | 2 | Indicator-InNeck |
Thrusting | Bounce toward mid-body, not past (bearish continuation). | 2 | f64 (0 or -1) | (no parameters) | 2 | Indicator-Thrusting |
SeparatingLines | Opposite candle reopening at the prior open (continuation). | 2 | f64 ({-1, 0, +1}) | (no parameters) | 2 | Indicator-SeparatingLines |
Kicking | Two gapped opposite marubozu (violent reversal). | 2 | f64 ({-1, 0, +1}) | (no parameters) | 2 | Indicator-Kicking |
KickingByLength | Kicking signed by the longer marubozu. | 2 | f64 ({-1, 0, +1}) | (no parameters) | 2 | Indicator-KickingByLength |
LadderBottom | 5-bar bullish reversal after a stepped decline. | 5 | f64 (0 or +1) | (no parameters) | 5 | Indicator-LadderBottom |
MatHold | 5-bar bullish continuation; shallow gapped rest. | 5 | f64 (0 or +1) | penetration = 0.5 | 5 | Indicator-MatHold |
MatchingLow | Two black closes at the same low (support floor). | 2 | f64 (0 or +1) | (no parameters) | 2 | Indicator-MatchingLow |
LongLine | Range longer than the recent average, body-dominant. | 5 | f64 ({-1, 0, +1}) | period = 5 | 5 | Indicator-LongLine |
ShortLine | Range shorter than the recent average, body-dominant. | 5 | f64 ({-1, 0, +1}) | period = 5 | 5 | Indicator-ShortLine |
RisingThreeMethods | 5-bar bullish continuation; in-range rest. | 5 | f64 (0 or +1) | (no parameters) | 5 | Indicator-RisingThreeMethods |
FallingThreeMethods | 5-bar bearish continuation; in-range rest. | 5 | f64 (0 or -1) | (no parameters) | 5 | Indicator-FallingThreeMethods |
UpsideGapThreeMethods | Two whites gap up, black partly fills (continuation). | 3 | f64 (0 or +1) | (no parameters) | 3 | Indicator-UpsideGapThreeMethods |
DownsideGapThreeMethods | Two blacks gap down, white partly fills (continuation). | 3 | f64 (0 or -1) | (no parameters) | 3 | Indicator-DownsideGapThreeMethods |
StalledPattern | Two long whites then a small one on the shoulder (bearish). | 3 | f64 (0 or -1) | (no parameters) | 3 | Indicator-StalledPattern |
StickSandwich | Two black closes sandwiching a white (support). | 3 | f64 (0 or +1) | (no parameters) | 3 | Indicator-StickSandwich |
Takuri | Strict dragonfly doji, very long lower shadow. | 1 | f64 (0 or +1) | (no parameters) | 1 | Indicator-Takuri |
ClosingMarubozu | Long body, no shadow on the close end. | 1 | f64 ({-1, 0, +1}) | (no parameters) | 1 | Indicator-ClosingMarubozu |
OpeningMarubozu | Long body, no shadow on the open end. | 1 | f64 ({-1, 0, +1}) | (no parameters) | 1 | Indicator-OpeningMarubozu |
TasukiGap | Counter candle into a gap that holds (continuation). | 3 | f64 ({-1, 0, +1}) | (no parameters) | 3 | Indicator-TasukiGap |
UniqueThreeRiver | Black, new-low black inside, small white (bottom). | 3 | f64 (0 or +1) | (no parameters) | 3 | Indicator-UniqueThreeRiver |
ConcealingBabySwallow | Rare 4-bar capitulation; black run then engulf. | 4 | f64 (0 or +1) | (no parameters) | 4 | Indicator-ConcealingBabySwallow |
DumplingTop | The bearish mirror of the Frying Pan Bottom — a gently rounded top (dome) confirmed by a close back below where the dome began. | period | f64 ({−1, 0}) | (period = 9) (Python) | period | Indicator-DumplingTop |
FryPanBottom | A gently rounded (U-shaped) base confirmed by recovery above the rim — a bullish accumulation pattern. | period | f64 ({0, +1}) | (period = 9) (Python) | period | Indicator-FryPanBottom |
HaramiCross | A stronger Harami — a large real body followed by a Doji contained within it; the total indecision after a strong move makes the reversal more potent. | 2 | f64 ({−1, 0, +1}) | (no parameters) | 2 | Indicator-HaramiCross |
NewPriceLines | The Japanese "eight/ten new price lines" exhaustion count — count consecutive higher (or lower) closes warns the run is stretched. | 2 | f64 ({−1, 0, +1}) | (count = 8) (Python) | 2 | Indicator-NewPriceLines |
TowerTopBottom | A tall directional bar, a small pause bar, then a tall opposite bar — two "towers" flanking a low wall, a compact reversal. | 3 | f64 ({−1, 0, +1}) | (no parameters) | 3 | Indicator-TowerTopBottom |
Tristar | Three consecutive Doji where the middle gaps away from its neighbours — a rare top (middle above) or bottom (middle below) reversal. | 3 | f64 ({−1, 0, +1}) | (no parameters) | 3 | Indicator-Tristar |
Market Profile
Session-anchored value-area / opening-range / initial-balance indicators. All require manual reset() at session boundaries.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
ValueArea | Rolling Market Profile: POC + VAH + VAL via volume bins. | Candle | (poc, vah, val) | unbounded (price scale) | (period, bin_count, value_area_pct) | period | Indicator-ValueArea |
VolumeProfile | Full per-bin volume histogram over a rolling window. | Candle | (price_low, price_high, bins) | bins ≥ 0 | (period=20, bin_count=50) | period | Indicator-VolumeProfile |
TpoProfile | Time-Price-Opportunity (letter) count per price bucket. | Candle | (price_low, price_high, counts) | counts ≥ 0 | (period=30, bin_count=50) | period | Indicator-TpoProfile |
InitialBalance | First-N-bar session range, locked after warmup. | Candle | (high, low) | unbounded (price scale) | period = 12 | period | Indicator-InitialBalance |
OpeningRange | Locked first-N range + live breakout-distance from midpoint. | Candle | (high, low, breakout_distance) | unbounded (price scale) | period = 6 | period | Indicator-OpeningRange |
CompositeProfile | A multi-session volume profile reduced to its point of control and value area — the swing-horizon levels that matter. | Candle | CompositeProfileOutput { poc, vah, val } | price levels; val <= poc <= vah | (period = 100, bins = 50, value_area_pct = 0.70) | period | Indicator-CompositeProfile |
HighLowVolumeNodes | The price levels of greatest (HVN) and least (LVN) acceptance in a rolling volume profile — magnets and rejection zones. | Candle | HighLowVolumeNodesOutput { hvn, lvn } | price levels | (period = 20, bins = 24) (Python) | period | Indicator-HighLowVolumeNodes |
NakedPoc | The nearest untested ("virgin") point of control — a heavily-traded prior-session price the market has not yet revisited, an outstanding magnet. | Candle | f64 | price units | (session_len = 20, bins = 24) (Python) | session_len (then session-paced) | Indicator-NakedPoc |
ProfileShape | Classifies the rolling volume profile by where its point of control sits: P-shape (+1), b-shape (−1), or D/normal (0). | Candle | f64 | {−1, 0, +1} | (period = 20, bins = 24) (Python) | period | Indicator-ProfileShape |
SinglePrints | The count of price levels touched by exactly one bar — Market Profile "single prints" that mark fast, low-acceptance moves. | Candle | f64 | [0, bins] | (period = 20, bins = 24) (Python) | period | Indicator-SinglePrints |
Risk / Performance
Risk-adjusted return ratios, drawdown analytics, and tail-risk measures. Single-stream metrics take f64 returns / equity; benchmark-relative metrics take (asset, benchmark) pairs.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
SharpeRatio | (mean - rf) / sample_stddev rolling. | f64 | f64 | unbounded | (period, rf) | period | Indicator-SharpeRatio |
SortinoRatio | Sharpe with downside-only deviation. | f64 | f64 | unbounded | (period, mar) | period | Indicator-SortinoRatio |
CalmarRatio | mean(returns) / max_drawdown(equity) from window. | f64 | f64 | unbounded; 0 if no DD | period | period | Indicator-CalmarRatio |
OmegaRatio | Σ gains-above-threshold / Σ losses-below. | f64 | f64 | [0, ∞) (Inf if all-positive) | (period, threshold) | period | Indicator-OmegaRatio |
MaxDrawdown | Rolling worst peak-to-trough decline. | f64 (equity) | f64 | [0, 1] | period | 1 | Indicator-MaxDrawdown |
AverageDrawdown | Rolling mean drawdown depth (same as PainIndex). | f64 (equity) | f64 | [0, 1] | period | period | Indicator-AverageDrawdown |
DrawdownDuration | Bars elapsed since all-time peak. | f64 (equity) | u32 | [0, ∞) | (no parameters) | 1 | Indicator-DrawdownDuration |
PainIndex | Mean drawdown depth (Becker). | f64 (equity) | f64 | [0, 1] | period | period | Indicator-PainIndex |
ValueAtRisk | Historical lower-tail quantile, sign-flipped. | f64 | f64 | [0, ∞) | (period, confidence) | period | Indicator-ValueAtRisk |
ConditionalValueAtRisk | Mean of returns beyond VaR (Expected Shortfall). | f64 | f64 | [0, ∞) | (period, confidence) | period | Indicator-ConditionalValueAtRisk |
ProfitFactor | Σ positive / Σ |negative| over window. | f64 | f64 | [0, ∞) (Inf if all-positive) | period | period | Indicator-ProfitFactor |
GainLossRatio | mean(wins) / mean(|losses|). | f64 | f64 | [0, ∞) | period | period | Indicator-GainLossRatio |
RecoveryFactor | Cumulative net_return / max_drawdown. | f64 (equity) | f64 | unbounded; 0 if no DD | (no parameters) | 1 | Indicator-RecoveryFactor |
KellyCriterion | Rolling Kelly fraction winrate − (1−winrate)/payoff_ratio. | f64 | f64 | unbounded; typically (0, 1) | period | period | Indicator-KellyCriterion |
TreynorRatio | (mean_asset − rf) / Beta. | (f64, f64) | f64 | unbounded | (period, rf) | period | Indicator-TreynorRatio |
InformationRatio | mean(active) / tracking_error. | (f64, f64) | f64 | unbounded | period | period | Indicator-InformationRatio |
Alpha | Jensen's alpha — mean(asset) − (rf + Beta·(mean_bench − rf)). | (f64, f64) | f64 | unbounded | (period, rf) | period | Indicator-Alpha |
WinRate | Fraction of strictly-positive returns over period. | f64 | f64 | [0, 1] | period | period | Indicator-WinRate |
Expectancy | Expected return per unit of average loss (R-multiple). | f64 | f64 | unbounded | period | period | Indicator-Expectancy |
BurkeRatio | Return per unit of severe pain — mean return over the Euclidean norm of the equity-curve drawdowns. | f64 | f64 | unbounded (negative for net-losing windows) | (period = 36) (Python) | period | Indicator-BurkeRatio |
CommonSenseRatio | One number that must win on both fronts — the profit factor (the body) multiplied by the tail ratio (the extremes). | f64 | f64 | >= 0, unbounded (> 1 sound, < 1 flawed) | (period = 252) (Python) | period | Indicator-CommonSenseRatio |
GainToPainRatio | Jack Schwager's return-per-unit-of-downside — the sum of all returns over the sum of the absolute losses. | f64 | f64 | unbounded (negative for net-losing windows) | (period = 12) (Python) | period | Indicator-GainToPainRatio |
KRatio | Kestner's consistency score — the slope of the cumulative-return curve divided by the standard error of that slope. | f64 | f64 | unbounded (sign follows the equity-curve slope) | (period = 30) (Python) | period | Indicator-KRatio |
M2Measure | The Modigliani–Modigliani measure — the Sharpe ratio rescaled into the benchmark's return units. | f64 | f64 | unbounded | (period = 20, risk_free = 0.0, benchmark_stddev = 0.02) (Python) | period | Indicator-M2Measure |
MartinRatio | The Ulcer Performance Index — mean return over the Ulcer Index (the RMS of percentage drawdowns). | f64 | f64 | unbounded (negative for net-losing windows) | (period = 14) (Python) | period | Indicator-MartinRatio |
SterlingRatio | Return per unit of typical pain — mean return over the average drawdown of the compounded equity curve. | f64 | f64 | unbounded (negative for net-losing windows) | (period = 36) (Python) | period | Indicator-SterlingRatio |
TailRatio | The fatness of the right tail against the left — the 95th percentile of returns over the absolute 5th percentile. | f64 | f64 | >= 0, unbounded (> 1 = fatter upside, < 1 = fatter downside) | (period = 252) (Python) | period | Indicator-TailRatio |
UpsidePotentialRatio | The Sortino purist's ratio — average outperformance above a threshold over the downside deviation below it. | f64 | f64 | >= 0, unbounded | (period = 20, mar = 0.0) (Python) | period | Indicator-UpsidePotentialRatio |
Microstructure
Non-OHLCV analytics over the order book and the trade tape. Order-book indicators take an OrderBook depth snapshot; trade-flow indicators take a Trade (size + aggressor side); price-impact measures take a TradeQuote (a trade paired with the mid at execution); Footprint returns a variable-length per-bucket profile. The Python and Node bindings accept these as plain arrays (see each deep dive); WASM exposes per-event update.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
OrderBookImbalanceTop1 | Signed depth pressure at the touch. | OrderBook | f64 | [−1, 1] | (no parameters) | 1 | Indicator-OrderBookImbalanceTop1 |
OrderBookImbalanceTopN | Signed depth pressure over the top levels. | OrderBook | f64 | [−1, 1] | levels | 1 | Indicator-OrderBookImbalanceTopN |
OrderBookImbalanceFull | Signed depth pressure over the whole book. | OrderBook | f64 | [−1, 1] | (no parameters) | 1 | Indicator-OrderBookImbalanceFull |
Microprice | Size-weighted fair value tilting the mid. | OrderBook | f64 | within spread | (no parameters) | 1 | Indicator-Microprice |
QuotedSpread | Top-of-book spread in bps of the mid. | OrderBook | f64 | ≥ 0 | (no parameters) | 1 | Indicator-QuotedSpread |
DepthSlope | Mean per-side OLS slope of cumulative size vs distance. | OrderBook | f64 | ≥ 0 | (no parameters) | 1 | Indicator-DepthSlope |
SignedVolume | Trade size signed by aggressor (±size). | Trade | f64 | unbounded | (no parameters) | 1 | Indicator-SignedVolume |
CumulativeVolumeDelta | Running sum of signed volume. | Trade | f64 | unbounded | (no parameters) | 1 | Indicator-CumulativeVolumeDelta |
TradeImbalance | Rolling (buy − sell)/(buy + sell) over window trades. | Trade | f64 | [−1, 1] | window | window | Indicator-TradeImbalance |
EffectiveSpread | 2·D·(price − mid)/mid·1e4 bps round-trip cost. | TradeQuote | f64 | unbounded | (no parameters) | 1 | Indicator-EffectiveSpread |
RealizedSpread | Effective spread net of impact over horizon. | TradeQuote | f64 | unbounded | horizon | horizon + 1 | Indicator-RealizedSpread |
KylesLambda | Rolling OLS price impact per unit signed volume. | TradeQuote | f64 | unbounded | window | window + 1 | Indicator-KylesLambda |
Footprint | Buy/sell volume profile per price bucket. | Trade | FootprintOutput | per-bucket ≥ 0 | tick_size | 1 | Indicator-Footprint |
OrderFlowImbalance | Rolling sum of best-level order-flow events (Cont-Kukanov-Stoikov OFI). | OrderBook | f64 | unbounded | period | period + 1 | Indicator-OrderFlowImbalance |
Vpin | Volume-bucketed order-flow toxicity (informed trading). | Trade | f64 | [0, 1] | (bucket_volume, num_buckets) | num_buckets | Indicator-Vpin |
AmihudIlliquidity | Mean |return| / traded value; price-impact liquidity proxy. | Trade | f64 | [0, ∞) | period | period + 1 | Indicator-AmihudIlliquidity |
RollMeasure | Effective spread from the serial covariance of price changes. | Trade | f64 | [0, ∞) | period >= 3 | period + 1 | Indicator-RollMeasure |
HasbrouckInformationShare | Each venue's contribution to price discovery — the share of total return variance carried by the first of two synchronised price series. | (f64, f64) | f64 | [0, 1] (share of venue x) | (period = 20) (Python) | period + 1 | Indicator-HasbrouckInformationShare |
Pin | The Probability of Informed Trading (EKOP) — estimated from the buy/sell imbalance over a rolling window of trades. | Trade | f64 | [0, 1] | (window = 20) (Python) | window | Indicator-Pin |
TradeSignAutocorrelation | The lag-1 autocorrelation of the trade-aggressor side — how strongly signed order flow persists, a footprint of order-splitting and informed execution. | Trade | f64 | [−1, +1] | (period = 20) (Python) | period | Indicator-TradeSignAutocorrelation |
Derivatives
Perpetual- and dated-futures analytics over a DerivativesTick — a single feed bundling funding rate, mark / index / futures price, open interest, positioning, taker flow and liquidations. Each indicator reads only the fields it needs; the Python and Node bindings expose just those fields per update (see each deep dive), and batch takes equal-length arrays. WASM exposes per-tick update.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
FundingRate | The current perpetual funding rate. | DerivativesTick | f64 | unbounded (may be negative) | (no parameters) | 1 | Indicator-FundingRate |
FundingRateMean | Rolling mean funding rate over window. | DerivativesTick | f64 | unbounded | window | window | Indicator-FundingRateMean |
FundingRateZScore | Funding rate in stddevs from its rolling mean. | DerivativesTick | f64 | unbounded around zero | window | window | Indicator-FundingRateZScore |
FundingBasis | Perp premium to spot (mark − index)/index. | DerivativesTick | f64 | unbounded around zero | (no parameters) | 1 | Indicator-FundingBasis |
OpenInterestDelta | Tick-over-tick change in open interest. | DerivativesTick | f64 | unbounded around zero | (no parameters) | 2 | Indicator-OpenInterestDelta |
OIPriceDivergence | Relative OI change minus relative price change over window. | DerivativesTick | f64 | unbounded around zero | window | window + 1 | Indicator-OIPriceDivergence |
OIWeighted | Cumulative OI-weighted mark price. | DerivativesTick | f64 | unbounded (price scale) | (no parameters) | 1 | Indicator-OIWeighted |
LongShortRatio | Aggregate long size over short size. | DerivativesTick | f64 | ≥ 0 (0 if no shorts) | (no parameters) | 1 | Indicator-LongShortRatio |
TakerBuySellRatio | Taker buy volume over taker sell volume. | DerivativesTick | f64 | ≥ 0 (0 if no sells) | (no parameters) | 1 | Indicator-TakerBuySellRatio |
LiquidationFeatures | Long/short liquidation → net / total / imbalance. | DerivativesTick | LiquidationFeaturesOutput | imbalance ∈ [−1, 1] | (no parameters) | 1 | Indicator-LiquidationFeatures |
TermStructureBasis | Dated-future premium to spot (futures − index)/index. | DerivativesTick | f64 | unbounded around zero | (no parameters) | 1 | Indicator-TermStructureBasis |
CalendarSpread | Dated-future premium to the perpetual (futures − mark)/mark. | DerivativesTick | f64 | unbounded around zero | (no parameters) | 1 | Indicator-CalendarSpread |
EstimatedLeverageRatio | Open interest relative to aggregate position size — a proxy for how leveraged the outstanding positions are. | DerivativesTick | f64 | [0, ∞) | (no parameters) | 1 | Indicator-EstimatedLeverageRatio |
FundingImpliedApr | The per-interval funding rate annualised — the carry cost (or yield) of holding a perpetual position for a year. | DerivativesTick | f64 | signed fraction (×100 for %) | (intervals_per_year = 1095) (8h funding) | 1 | Indicator-FundingImpliedApr |
OiToVolumeRatio | Open interest divided by traded volume — how much position is held versus turned over. | DerivativesTick | f64 | [0, ∞) | (no parameters) | 1 | Indicator-OiToVolumeRatio |
OpenInterestMomentum | The percentage rate of change of open interest over a lookback — positioning trend rather than the single-tick delta. | DerivativesTick | f64 | signed (percent) | (period = 5) (Python) | period + 1 | Indicator-OpenInterestMomentum |
PerpetualPremiumIndex | The perpetual's mark price relative to spot — positive means the perp trades at a premium (net long demand), negative a discount. | DerivativesTick | f64 | centred on 0 (fraction) | (no parameters) | 1 | Indicator-PerpetualPremiumIndex |
Pick the right indicator for…
A short cheat-sheet of "I want X, which indicator?" answers, grounded in what each indicator actually computes.
- Fast trend filter, minimal lag.
Hmafor smoothness + responsiveness,Temafor further lag reduction at the cost of noise,Kamafor adaptiveness instead of fixed lag. - Slow trend filter.
Smais the simplest;Emaresponds slightly faster with the same smoothness budget. - Trend-following crossovers. Two-line crossovers are the textbook entry;
MacdIndicatorpackages the idea with a signal line and histogram. - Trend strength — is there a trend at all?
Adx(> 25trending,< 20ranging);ChoppinessIndex/VerticalHorizontalFilteranswer the same question without a direction. - Overbought / oversold.
Rsiis the default;Stochasticfor faster signals;WilliamsRfor an inverted scale;Mfifor a volume-aware RSI. - Volatility level vs. momentum.
Atr/TrueRangefor the level;ChaikinVolatilityfor whether ranges are expanding or contracting. - Breakout level.
Donchianupper/lower bands are the Turtle-style trigger. - Trailing stop.
Psar,SuperTrend,ChandelierExit,ChandeKrollStopandAtrTrailingStopare a whole family of them. - Volume confirmation.
Obvis the simplest;ChaikinMoneyFlowis a bounded balance;Vwap/RollingVwapgive a volume-weighted reference. - Mean reversion.
ZScoreflags statistically stretched prices;BollingerBandwidth/PercentBlocate price within the bands.
Source-of-truth files
Every claim above can be checked against the source in crates/wickra-core/src/indicators/ — one file per indicator. The Rust unit tests inside each module are the ground truth for sample values. Python defaults (the period = 14 etc.) come from the #[pyo3(signature = …)] attributes in bindings/python/src/lib.rs; indicators without a Python default require an explicit argument.
Alt-Chart Bars
Price-driven chart constructors built on the BarBuilder trait (not Indicator): each consumes a candle stream and emits a variable number of completed bars per candle. They are close-driven and not Chain-able.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
RenkoBars | Fixed box-size bricks with the two-box reversal rule. | Candle | Vec<RenkoBrick> | n/a | box_size | seeds on 1st candle | Indicator-RenkoBars |
KagiBars | Reversal-amount line segments. | Candle | Vec<KagiBar> | n/a | reversal | seeds on 1st candle | Indicator-KagiBars |
PointAndFigureBars | Box-size X/O columns with an N-box reversal. | Candle | Vec<PnfColumn> | n/a | (box_size, reversal=3) | seeds on 1st candle | Indicator-PointAndFigureBars |
DollarBars | Drift-robust OHLC bars — one bar per fixed amount of traded value (price × volume). | Candle | Vec<DollarBar> | n/a | (dollar_per_bar = 50000.0) | none (emits once accumulated value reaches the threshold) | Indicator-DollarBars |
ImbalanceBars | Order-flow bars — sample when cumulative signed tick imbalance becomes one-sided. | Candle | Vec<ImbalanceBar> | n/a | (threshold = 20.0) | none (seeds on the first candle) | Indicator-ImbalanceBars |
RangeBars | Fixed price-range bars with no reversal penalty — one bar per range of close movement in either direction. | Candle | Vec<RangeBar> | n/a | (range = 1.0) | none (first candle seeds the anchor) | Indicator-RangeBars |
RunBars | Persistence bars — sample on an uninterrupted run of same-signed ticks. | Candle | Vec<RunBar> | n/a | (run_length = 10) | none (seeds on the first candle) | Indicator-RunBars |
ThreeLineBreakBars | Line-break chart segments — a new line per close extreme, reversing only on a break of the last three lines. | Candle | Vec<LineBreakBar> | n/a | (lines = 3) | none (seeds on the first candle) | Indicator-ThreeLineBreakBars |
TickBars | Activity-sampled OHLCV bars — one bar per fixed number of input candles (ticks). | Candle | Vec<TickBar> | n/a | (ticks = 100) | none (emits once ticks candles accumulate) | Indicator-TickBars |
VolumeBars | Equal-participation OHLCV bars — one bar per fixed amount of traded volume. | Candle | Vec<VolumeBar> | n/a | (volume_per_bar = 1000.0) | none (emits once accumulated volume reaches the threshold) | Indicator-VolumeBars |
Market Breadth
Universe-wide breadth indicators built on the CrossSection input — one tick carrying the per-symbol state of the whole universe (each member has a signed change, a volume, and new_high / new_low flags). They aggregate the cross-section into a single participation reading.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
AbsoluteBreadthIndex | Absolute value of net advancing-minus-declining issues. | CrossSection | f64 | 0..=N | none | 1 | Indicator-AbsoluteBreadthIndex |
AdvanceDecline | Cumulative net advancing-minus-declining issues. | CrossSection | f64 | unbounded | none | 1 | Indicator-AdvanceDecline |
AdvanceDeclineRatio | Advancing issues divided by declining issues. | CrossSection | f64 | 0.. | none | 1 | Indicator-AdvanceDeclineRatio |
AdVolumeLine | Cumulative net advancing-minus-declining volume. | CrossSection | f64 | unbounded | none | 1 | Indicator-AdVolumeLine |
BreadthThrust | Moving average of the advancing-issues share (Zweig). | CrossSection | f64 | 0..=1 | period=10 | 10 | Indicator-BreadthThrust |
BullishPercentIndex | Percentage of the universe on a point-and-figure buy signal. | CrossSection | f64 | 0..=100 | none | 1 | Indicator-BullishPercentIndex |
CumulativeVolumeIndex | Running total of volume-normalised net advancing volume. | CrossSection | f64 | unbounded | none | 1 | Indicator-CumulativeVolumeIndex |
HighLowIndex | Moving average of the record-high percentage. | CrossSection | f64 | 0..=100 | period=10 | 10 | Indicator-HighLowIndex |
McClellanOscillator | Spread between a 19/39-period EMA of ratio-adjusted net advances. | CrossSection | f64 | unbounded | none | 1 | Indicator-McClellanOscillator |
McClellanSummationIndex | Running cumulative total of the McClellan Oscillator. | CrossSection | f64 | unbounded | none | 1 | Indicator-McClellanSummationIndex |
NewHighsNewLows | Net count of new period highs minus new period lows. | CrossSection | f64 | -N..=N | none | 1 | Indicator-NewHighsNewLows |
PercentAboveMa | Percentage of the universe trading above its reference moving average. | CrossSection | f64 | 0..=100 | none | 1 | Indicator-PercentAboveMa |
TickIndex | Instantaneous net advancing-minus-declining issues. | CrossSection | f64 | -N..=N | none | 1 | Indicator-TickIndex |
Trin | Advance-decline ratio over the up-down volume ratio (Arms Index). | CrossSection | f64 | 0.. | none | 1 | Indicator-Trin |
UpDownVolumeRatio | Advancing volume divided by declining volume. | CrossSection | f64 | 0.. | none | 1 | Indicator-UpDownVolumeRatio |
Seasonality & Session
Timestamp-driven indicators that key off the wall-clock fields of Candle::timestamp (shifted by a utc_offset_minutes constructor argument so the buckets line up with the relevant exchange session). Session, day and month rollovers are detected automatically — callers never invoke reset() at a boundary.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
SessionVwap | Session-anchored volume-weighted average price. | Candle | f64 | price units | utc_offset=0 | 1 | Indicator-SessionVwap |
SessionHighLow | Running high / low of the current session. | Candle | {high, low} | price units | utc_offset=0 | 1 | Indicator-SessionHighLow |
SessionRange | Per-session (Asia / EU / US) high-low range. | Candle | {asia, eu, us} | >= 0 | utc_offset=0 | 1 | Indicator-SessionRange |
AverageDailyRange | Mean high-low range of the last N completed sessions. | Candle | f64 | >= 0 | period=14, utc_offset=0 | period | Indicator-AverageDailyRange |
OvernightGap | Close-to-open return across the session boundary. | Candle | f64 | unbounded | utc_offset=0 | 2 | Indicator-OvernightGap |
OvernightIntradayReturn | Splits the session return into overnight + intraday legs. | Candle | {overnight, intraday} | unbounded | utc_offset=0 | 2 | Indicator-OvernightIntradayReturn |
TurnOfMonth | Mean daily return inside the turn-of-month window. | Candle | f64 | unbounded | n_first=3, n_last=1, utc_offset=0 | 2 | Indicator-TurnOfMonth |
SeasonalZScore | Z-score of the current return vs the same hour-of-day history. | Candle | f64 | unbounded | utc_offset=0 | 2 | Indicator-SeasonalZScore |
TimeOfDayReturnProfile | Mean bar return bucketed by intraday time. | Candle | bins[] | unbounded | buckets=24, utc_offset=0 | 2 | Indicator-TimeOfDayReturnProfile |
DayOfWeekProfile | Mean bar return bucketed by weekday. | Candle | bins[7] | unbounded | utc_offset=0 | 2 | Indicator-DayOfWeekProfile |
IntradayVolatilityProfile | Return standard deviation bucketed by intraday time. | Candle | bins[] | >= 0 | buckets=24, utc_offset=0 | 2 | Indicator-IntradayVolatilityProfile |
VolumeByTimeProfile | Mean traded volume bucketed by intraday time. | Candle | bins[] | >= 0 | buckets=24, utc_offset=0 | 1 | Indicator-VolumeByTimeProfile |
Chart Patterns
Swing-based classical chart patterns built on a non-repainting percent-threshold pivot tracker (5% swings). Each emits the uniform pattern sign — +1 bullish, -1 bearish, 0 otherwise — and is parameter-free.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
DoubleTopBottom | Twin-peak / twin-trough reversal on the second matching extreme. | Candle | f64 | {-1, 0, +1} | none | 5 | Indicator-DoubleTopBottom |
TripleTopBottom | Three matching peaks / troughs — a stronger reversal. | Candle | f64 | {-1, 0, +1} | none | 6 | Indicator-TripleTopBottom |
HeadAndShoulders | Central head, two matching shoulders, flat neckline (and inverse). | Candle | f64 | {-1, 0, +1} | none | 6 | Indicator-HeadAndShoulders |
Triangle | Converging trendlines: ascending +1, descending -1, symmetrical leans with the last swing. | Candle | f64 | {-1, 0, +1} | none | 5 | Indicator-Triangle |
Wedge | Same-direction converging trendlines: rising wedge -1, falling wedge +1. | Candle | f64 | {-1, 0, +1} | none | 5 | Indicator-Wedge |
FlagPennant | Shallow consolidation against a pole — continuation in the pole direction. | Candle | f64 | {-1, 0, +1} | none | 4 | Indicator-FlagPennant |
RectangleRange | Flat support / resistance — mean-reversion off the touched boundary. | Candle | f64 | {-1, 0, +1} | none | 5 | Indicator-RectangleRange |
CupAndHandle | Rounded base with a shallow handle near the rim (and inverse). | Candle | f64 | {-1, 0, +1} | none | 5 | Indicator-CupAndHandle |
Harmonic Patterns
Fibonacci-ratio harmonic patterns read from the last four or five confirmed swing pivots (X-A-B-C-D). Each emits +1 when the terminal point D is a swing low (bullish), -1 when D is a swing high, 0 otherwise; parameter-free, with the Fibonacci windows baked in as documented constants.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|---|
Abcd | Four-point AB=CD: BC retraces AB, CD mirrors AB. | Candle | f64 | {-1, 0, +1} | none | 5 | Indicator-Abcd |
Gartley | Five-point harmonic with a 0.786 D completion. | Candle | f64 | {-1, 0, +1} | none | 6 | Indicator-Gartley |
Butterfly | Five-point harmonic with an extended (1.27-1.618 XA) D. | Candle | f64 | {-1, 0, +1} | none | 6 | Indicator-Butterfly |
Bat | Five-point harmonic with a shallow B and 0.886 D. | Candle | f64 | {-1, 0, +1} | none | 6 | Indicator-Bat |
Crab | Five-point harmonic with the deepest (1.618 XA) D. | Candle | f64 | {-1, 0, +1} | none | 6 | Indicator-Crab |
Shark | Five-point harmonic with an expansion leg and 0.886-1.13 D. | Candle | f64 | {-1, 0, +1} | none | 6 | Indicator-Shark |
Cypher | Five-point harmonic whose D retraces XC by 0.786. | Candle | f64 | {-1, 0, +1} | none | 6 | Indicator-Cypher |
ThreeDrives | Three symmetric drives with extension legs. | Candle | f64 | {-1, 0, +1} | none | 6 | Indicator-ThreeDrives |
Fibonacci
Swing-based Fibonacci tooling built on the same non-repainting 5% pivot tracker as the chart and harmonic patterns. Each is parameter-free and emits a struct of price levels (or, for time zones, timing flags) for the most recent confirmed swing; the geometric tools (fan, arcs, channel) normalise their geometry to the swing leg's bar-width so the output is chart-scale-free. All return None until enough pivots have confirmed.
| Indicator | One-liner | Input | Output | Defaults | Warmup | Deep dive |
|---|---|---|---|---|---|---|
FibRetracement | Seven retracement levels (0-100%) of the last swing leg. | Candle | 7×f64 | none | 2 | Indicator-FibRetracement |
FibExtension | Five extension ratios (127.2-261.8%) projected beyond the leg. | Candle | 5×f64 | none | 2 | Indicator-FibExtension |
FibProjection | A-B-C measured-move target zone projected from C. | Candle | 4×f64 | none | 3 | Indicator-FibProjection |
AutoFib | Retracement anchored on the dominant recent leg. | Candle | 7×f64 | none | 2 | Indicator-AutoFib |
GoldenPocket | The 0.618-0.65 optimal-trade-entry band. | Candle | 3×f64 | none | 2 | Indicator-GoldenPocket |
FibConfluence | Densest cluster of retracement levels across recent legs. | Candle | 2×f64 | none | 3 | Indicator-FibConfluence |
FibFan | Trendlines fanning through the leg's retracement levels. | Candle | 3×f64 | none | 2 | Indicator-FibFan |
FibArcs | Semicircular retracement levels decaying over time. | Candle | 3×f64 | none | 2 | Indicator-FibArcs |
FibChannel | Sloped base trendline plus parallel Fibonacci offsets. | Candle | 4×f64 | none | 3 | Indicator-FibChannel |
FibTimeZones | Markers at Fibonacci bar-distances from the latest pivot. | Candle | 2×f64 | none | 2 | Indicator-FibTimeZones |
See also
- Warmup Periods — verified table of every indicator's
warmup_period(). - Indicator Chaining — combining indicators with
Chainand the stacked-warmup rule. - Quickstart: Rust, Quickstart: Python, Quickstart: Node — language-specific API surfaces.
- Source: https://github.com/wickra-lib/wickra