Class IndicatorsMomentum

Collection of momentum-based indicators.

Inheritance

object

IndicatorsMomentum

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.Indicators

Assembly: TuringTrader.Simulator.dll

Syntax

public static class IndicatorsMomentum

Methods

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ADX(Instrument, int, CacheId, string, int)

Calculate Average Directional Movement Index. https://en.wikipedia.org/wiki/Average_directional_movement_index

Declaration

public static ITimeSeries<double> ADX(this Instrument series, int n = 14, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
Instrument	series	input OHLC time series
int	n	smoothing length
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	ADX time series

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CCI(ITimeSeries<double>, int, CacheId, string, int)

Calculate Commodity Channel Index of input time series, as described here: https://en.wikipedia.org/wiki/Commodity_channel_index

Declaration

public static ITimeSeries<double> CCI(this ITimeSeries<double> series, int n = 20, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	averaging length
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	CCI time series

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CCI(Instrument, int, CacheId, string, int)

Calculate Commodity Channel Index of input time series, as described here: https://en.wikipedia.org/wiki/Commodity_channel_index

Declaration

public static ITimeSeries<double> CCI(this Instrument series, int n = 20, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
Instrument	series	input time series (OHLC)
int	n	averaging length
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	CCI time series

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LinRegression(ITimeSeries<double>, int, CacheId, string, int)

Calculate linear regression of time series.

Declaration

public static IndicatorsMomentum._Regression LinRegression(this ITimeSeries<double> series, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	number of bars for regression
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
IndicatorsMomentum._Regression	regression parameters as time series

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LogMomentum(ITimeSeries<double>, int, CacheId, string, int)

Calculate logarithmic momentum: m = Ln(p[0] / p[n])

Declaration

public static ITimeSeries<double> LogMomentum(this ITimeSeries<double> series, int n = 21, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	number of bars for regression
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	log momentum, as time series

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LogRegression(ITimeSeries<double>, int, CacheId, string, int)

Calculate logarithmic regression of time series.

Declaration

public static IndicatorsMomentum._Regression LogRegression(this ITimeSeries<double> series, int n, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	number of bars for regression
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
IndicatorsMomentum._Regression	regression parameters as time series

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Momentum(ITimeSeries<double>, int, CacheId, string, int)

Calculate momentum, normalized to single bar: m = Ln(p[0] / p[n]) / n.

Declaration

public static ITimeSeries<double> Momentum(this ITimeSeries<double> series, int n = 21, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	number of bars for regression
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	log momentum, normalized to one day, as time series

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RSI(ITimeSeries<double>, int, CacheId, string, int)

Calculate Relative Strength Index, as described here: https://en.wikipedia.org/wiki/Relative_strength_index

Declaration

public static ITimeSeries<double> RSI(this ITimeSeries<double> series, int n = 14, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	smoothing period
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	RSI time series

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SimpleMomentum(ITimeSeries<double>, int, CacheId, string, int)

Calculate simple momentum: m = p[0] / p[n] - 1

Declaration

public static ITimeSeries<double> SimpleMomentum(this ITimeSeries<double> series, int n = 21, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	number of bars for regression
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	simple momentum, as time series

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StochasticOscillator(ITimeSeries<double>, int, CacheId, string, int)

Calculate Stochastic Oscillator, as described here: https://en.wikipedia.org/wiki/Stochastic_oscillator

Declaration

public static IndicatorsMomentum._StochasticOscillator StochasticOscillator(this ITimeSeries<double> series, int n = 14, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	oscillator period
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
IndicatorsMomentum._StochasticOscillator	Stochastic Oscillator as time series

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StochasticOscillator(Instrument, int, CacheId, string, int)

Calculate Stochastic Oscillator, as described here: https://en.wikipedia.org/wiki/Stochastic_oscillator

Declaration

public static IndicatorsMomentum._StochasticOscillator StochasticOscillator(this Instrument series, int n = 14, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
Instrument	series	input time series (OHLC)
int	n	oscillator period
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
IndicatorsMomentum._StochasticOscillator	Stochastic Oscillator as time series

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TSI(ITimeSeries<double>, int, int, CacheId, string, int)

Calculate True Strength Index of input time series, as described here: https://en.wikipedia.org/wiki/True_strength_index

Declaration

public static ITimeSeries<double> TSI(this ITimeSeries<double> series, int r = 25, int s = 13, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	r	smoothing period for momentum
int	s	smoothing period for smoothed momentum
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	TSI time series

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WilliamsPercentR(ITimeSeries<double>, int, CacheId, string, int)

Calculate Williams %R, as described here: https://en.wikipedia.org/wiki/Williams_%25R

Declaration

public static ITimeSeries<double> WilliamsPercentR(this ITimeSeries<double> series, int n = 10, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
ITimeSeries<double>	series	input time series
int	n	period
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	Williams %R as time series

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WilliamsPercentR(Instrument, int, CacheId, string, int)

Calculate Williams %R, as described here: https://en.wikipedia.org/wiki/Williams_%25R

Declaration

public static ITimeSeries<double> WilliamsPercentR(this Instrument series, int n = 10, CacheId parentId = null, string memberName = "", int lineNumber = 0)

Parameters

Type	Name	Description
Instrument	series	input time series (OHLC)
int	n	period
CacheId	parentId	caller cache id, optional
string	memberName	caller's member name, optional
int	lineNumber	caller line number, optional

Returns

Type	Description
ITimeSeries<double>	Williams %R as time series