Supported Indicators
SMA (Simple Movement Average)
NOTE: We support two SMA trade strategies specified in genconfig.SMA.IndicatorStrategy; "CD" (convergence/divergence), and "Diff" (waits to pass up or down diff threshold before trend is determined)
Does two calculations off SMAShortPeriod and SMALongPeriod
SMA = (Sum of last SMAPeriod candles) / SMAPeriod
SMADiff = 100 * (shortSMA - longSMA) / ((shortSMA + longSMA) / 2)
EMA (Exponential Movement Average)
NOTE: We support two EMA trade strategies specified in genconfig.EMA.IndicatorStrategy; "CD" (convergence/divergence), and "Diff" (waits to pass up or down diff threshold before trend is determined
We trade this as a crossover (convergence/divergence) indicator. This is one of our supported EMA trade strategies. On 10/21, when EMA10 \< EMA21, we sell (and visa versa). Differs from MACD due to lack of third signal line.
NOTE: does two calculations using EMAShort and EMALong.
The first iteration uses SMA to generate the first EMA.
Multiplier = (2 / EMAPeriod) + 1
EMA = ((Current Close - Previous EMA) * Multiplier) + Previous EMA
EMADiff = 100 * (shortEMA - longEMA) / ((shortEMA + longEMA) / 2)
EMAwbic (Exponential Movement Average using @
wbic16 logic)
NOTE: it's recommended to set genconfig's SingleTrade to False, and lower TradeVolume if acting as the only indicator. When used with other indicators, it aids in mean reversion confirmation.
This buys when the price is \< Bid Percent of the EMA, and sells when the price is > Ask Percent of the EMA.
DEMA (Double Exponential Movement Average)
NOTE: We support two DEMA trade strategies specified in genconfig.DEMA.IndicatorStrategy; "CD" (convergence/divergence), and "Diff" (waits to pass up or down diff threshold before trend is determined
Similar points as the "EMA" section above, however with more of a weight on the last EMA (LOWER LATENCY THAN EMA).
DEMA = 2 * EMA – EMA(EMA)
DEMADiff = 100 * (shortDEMA - longDEMA) / ((shortDEMA + longDEMA) / 2)
FRAMA (Fractal Adaptive Moving Average)
NOTE: We support two FRAMA trade strategies specified in genconfig.FRAMA.IndicatorStrategy; "CD" (convergence/divergence), and "Diff" (waits to pass up or down diff threshold before trend is determined
N = (highest price - lowest price) / period ; split into 3 periods - first half, second half, full period.
D = (Log(N1 + N2) - Log(N3)) / Log(2)
Alpha = exp(-4.6 * (D-1))
FRAMA = Alpha * Price + (1 - Alpha) * LastFRAMA
FRAMADiff = 100 * (shortFRAMA - longFRAMA) / ((shortFRAMA + longFRAMA) / 2)
MACD (Moving Average Convergence-Divergence)
NOTE: We support two MACD trade strategies specified in genconfig.MACD.IndicatorStrategy; "CD" (convergence/divergence), and "Diff".
CD: When MACD \< signal, we sell (and visa versa).
Diff: Traditionally, this MACD strategy would sell if MACD goes below zero line (and visa versa). We do the same, but for MACDDiffUp and MACDDiffDown for fewer false positives (recommend configuring as you see fit).
MACD = MACDShortEMA - MACDLongEMA
MACDSignal = MACDSignal period EMA of MACD
DMACD (Double Moving Average Convergence-Divergence)
We use MACDLong, MACDShort, and MACDPeriod settings for DMACD
NOTE: We support two DMACD trade strategies specified in genconfig.DMACD.IndicatorStrategy; "CD" (convergence/divergence), and "Diff".
Similar to the MACD section above, except we use DEMAs instead of EMAs (yes, even on signal). See DEMA above if unsure what this means.
RSI (Relative Strength Index Oscillator)
NOTE: avg gains and losses are smoothed after first iteration
NOTE: Want to try out RSI(2) or RSI(3)? Set those periods (2 or 3), and run 90/10 or 95/5 as ask/bid thresholds.
RS = avg_gain / avg_loss
RSI = 100 - (100 / (1 + RSI))
FastStochRSI (Stochastic RSI Oscillator)
NOTE: lowest/highest are from RSIPeriod
FastStochRSIK = ((RSI - Lowest RSI) / (Highest RSI - Lowest RSI)) * 100
FastStochRSID = FastStochRSIDPeriod SMA of FastStochRSIK
FullStochRSID
NOTE: We support two FullStochRSID trade strategies specified in genconfig.FullStochRSID.IndicatorStrategy. "CD" uses convergence/divergence of FastStochRSID. "Diff" uses standard bid/ask.
FullStochasticRSID = FullStochRSIDPeriod SMA of FastStochRSID
FastStochK (Fast Stochastic Oscillator %K)
FastStochasticK = ((Current Close - Low) / (High - Low)) * 100
FastStochD
FastStochasticD = FastStochDPeriod SMA of %K
FullStochD
NOTE: FullStochK is not includes since it's equivalent to FastStochD
FullStochasticD = FullStochDPeriod SMA of Fast %D
KDJ
NOTE: Uses new FullStoch %K and FullStoch %D calculations.
NOTE: Supports both CD and Diff in genconfig.KDJ.IndicatorStrategy.
CD: When K \< D, we sell (and visa versa)
Diff: When J is above KDJJAsk, we sell. When J is below KDJJBid, we buy. J may go above and below 100 and 0.
J = (3 * D) - (2 * K)
Aroon (Aroon Oscillator)
NOTE: Supports both CD and Diff in genconfig.Aroon.IndicatorStrategy.
CD: When AroonOscillator \< 0, we sell (and visa versa). This is because when AroonOscillator is 0, AroonUp and AroonDown converge/diverge.
Diff: When Aroon is below AroonBid, we buy. When Aroon is above AroonAsk, we sell.
AroonUp = 100 * ((AroonPeriod - Candles since last AroonPeriod high) / AroonPeriod)
AroonDown = 100 * ((AroonPeriod - Candles since last AroonPeriod low) / AroonPeriod)
Aroon = AroonUp - AroonDown
Ichimoku (Ichimoku Cloud)
NOTE: Utilizes Ichimoku.IndicatorStrategy for Strong, Optimized, Weak, and CloudOnly strategies.
NOTE: Chikou Span's cool and all, but we don't care. We want to trade in real time, and a price list 26 periods behind only confirms if we were right or wrong. Because proper Ichimoku cloud relies on Senkou Span A being plotted ChikouSpan periods in the future, we still set this integer.
Strong: Buy if (price > Ichimoku cloud min) and (price \< Kijun-Sen) and (price > Tenkan-Sen). Sell if (price \< Ichimoku cloud max) and (price > Kijun-Sen) and (price \< Tenkan-Sen).
Optimized: Buy if (Price > Ichimoku cloud min) and ((Tenkan-Sen > Kijun-Sen)). Sell if (Price \< Ichimoku cloud max) and ((Kijun-Sen > Tenkan-Sen)).
Weak: Buy if (Tenkan-Sen > Kijun-Sen). Sell on the inverse. Weak is more of a standard crossover strategy.
CloudOnly: Doesn't support persistence. This is designed for quick and early entries and exits when price hits the cloud. A full price crossover across the bottom and top of the cloud will generate two signals.
Tenkan-sen = (TenkanSenPeriod high + TenkanSenPeriod low)/2))
Kijun-sen = (KijunSenPeriod high + KijunSenPeriod low)/2))
Senkou Span A = (Tenkan-sen + Kijun-sen)/2)) ; Plotted ChikouSpanPeriods in the future.
Senkou Span B = (SenkouSpanPeriod high + SenkouSpanPeriod low)/2))
StdDev (Sampled Standard Deviation)
Only functional when combined with a non-volatility indicator
The following is ripped/edited from
stockcharts.com since it summarizes the Std Dev calculations quite well:
Calculate the average (mean) price for the number of periods or observations.
Determine each period's deviation (close less average price).
Square each period's deviation.
Sum the squared deviations.
Divide this sum by the number of samples.
The standard deviation is then equal to the square root of that number.
BollBands (Bollinger Bands)
Only here for custom written strategies
Middle Band = BollBandPeriod SMA
Upper Band = BollBandPeriod SMA + (BollBandPeriod StdDev * 2)
Lower Band = BollBandPeriod SMA - (BollBandPeriod StdDev * 2)
BollBandwidth (Bollinger Bandwidth)
Only functional when combined with a non-volatility indicator
Threshold should be tested before usage. The Bandwidth changes wildly on different candle sizes. To see values ot get an idea of a good configuration, set:
VerboseIndicators = ['BollBandwidth']
BollBandwidth = (Upper Band - Lower Band)/Middle Band
ATR (Average True Range)
Only functional when combined with a non-volatility indicator
Threshold should be tested before usage. Wilder used 20 and 10, however he also used 1 day periods. To see values to get an idea of a good configuration, set:
VerboseIndicators = ['ATR']
Uses Wilder's MA instead of EMA like tradingview.
true range=max[(high - low), abs(high - previous close), abs (low - previous close)]
ATR is Wilder's MA of true range values.
ChandExit (Chandelier Exit)
Only should be used as a combined indicator
Must run long enough for price to cross short or long exits to determine which to use.
This is a good combined to rule out false signals if a trend is still persisting. This may also be used as a stop loss indicator later in development (TODO).
Chandelier Exit (long) = Period High - ATR(Period) x Multiplier
Chandelier Exit (short) = Period Low + ATR(Period) x Multiplier
DMI (Directional Movement)/ADX
'Volatility' is functional when combined with a non-volatility indicator. 'Full' may be used independently as a full indicator.
Threshold should be tested before usage. Wilder used 25, however he also used 1 day periods. To see values to get an idea of a good configuration, while on 'Volatility', set:
VerboseIndicators = ['DMI']
UpMove = Current High - Previous High
DownMove = Current Low - Previous Low
If UpMove > DownMove and UpMove > 0, then +DM = UpMove, else +DM = 0
+DI = Wilder's MA of (+DM / Average True Range)
+DI = Wilder's MA of (-DM / Average True Range)
ADX = Wilder's MA of the Absolute Value of (+DI- -DI) / (+DI + -DI)
In 'Full', ADX with threshold is used as a volatility filter, and +DI/-DI crossovers are used to determine trend.
SROC (Simple Rate of Change AKA Movement)
SROC = (Close - Close n periods ago)
if current SROC > 0, and previous SROC \<= 0, BUY. Sell during the inverse.
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