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TA-Lib

Build Status Build status Coverage Status codecov.io

A Julia wrapper for TA-Lib (Technical Analysis Library)

Sample / Features

See sample.jl

TALib.jl supports both Array and DataFrames thanks to multiple dispatch.

julia> using TALib

julia> using DataFrames
julia> filename = "test/ford_2012.csv"
julia> dfOHLCV = readtable(filename)
julia> dfOHLCV[:Date] = Date(dfOHLCV[:Date])
julia> dfOHLCV
250x6 DataFrames.DataFrame
│ Row │ Date       │ Open  │ High  │ Low   │ Close │ Volume    │
├─────┼────────────┼───────┼───────┼───────┼───────┼───────────┤
│ 12012-01-0311.011.2510.9911.1345709900  │
│ 22012-01-0411.1511.5311.0711.379725200  │
│ 32012-01-0511.3311.6311.2411.5967877500  │
│ 42012-01-0611.7411.811.5211.7159840700  │
│ 52012-01-0911.8311.9511.711.853981500  │
│ 62012-01-1012.012.0511.6311.8121750600 │
│ 72012-01-1111.7412.1811.6512.0763806000  │
│ 82012-01-1212.1612.1811.8912.1448687700  │
│ 92012-01-1312.0112.0811.8412.0446366700  │
│ 102012-01-1712.212.2611.9612.0244398400  │
│ 112012-01-1812.0312.3712.012.3447102700  │
│ 122012-01-1912.4812.7212.4312.6170894200  │
│ 132012-01-2012.5512.6412.4512.5943705700  │
│ 142012-01-2312.6912.8412.5512.6649379700  │
│ 152012-01-2412.5612.8612.4612.8245768400  │
│ 162012-01-2512.812.9812.712.9354021600  │
│ 172012-01-2613.0313.0512.6612.7975470700  │
│ 182012-01-2711.9612.5311.7912.211421553002322012-12-0411.411.4411.2311.3137760200  │
│ 2332012-12-0511.3211.411.1811.3133152400  │
│ 2342012-12-0611.2611.3111.1911.2431065800  │
│ 2352012-12-0711.2711.511.2611.4838404500  │
│ 2362012-12-1011.4111.5311.4111.4726025200  │
│ 2372012-12-1111.5111.5811.411.4936326900  │
│ 2382012-12-1211.5211.5611.4311.4731099900  │
│ 2392012-12-1311.4611.511.2111.2735443200  │
│ 2402012-12-1411.2711.2711.0311.136933500  │
│ 2412012-12-1711.1611.4111.1411.3946983300  │
│ 2422012-12-1811.4811.6811.411.6761810400  │
│ 2432012-12-1911.7911.8511.6211.7354884700  │
│ 2442012-12-2011.7411.811.5811.7747750100  │
│ 2452012-12-2111.5511.8611.4711.8694489300  │
│ 2462012-12-2411.6712.411.6712.491734900  │
│ 2472012-12-2612.3112.7912.3112.79140331900 │
│ 2482012-12-2712.7912.8112.3612.76108315100 │
│ 2492012-12-2812.5512.8812.5212.8795668600  │
│ 2502012-12-3112.8813.0812.7612.95106908900

OHLC

Moving Average

julia> indic = MA(dfOHLCV, price=:Close)
250x2 DataFrames.DataFrame
│ Row │ Date       │ Value   │
├─────┼────────────┼─────────┤
│ 12012-01-03NaN     │
│ 22012-01-04NaN     │
│ 32012-01-05NaN     │
│ 42012-01-06NaN     │
│ 52012-01-09NaN     │
│ 62012-01-10NaN     │
│ 72012-01-11NaN     │
│ 82012-01-12NaN     │
│ 92012-01-13NaN     │
│ 102012-01-17NaN     │
│ 112012-01-18NaN     │
│ 122012-01-19NaN     │
│ 132012-01-20NaN     │
│ 142012-01-23NaN     │
│ 152012-01-24NaN     │
│ 162012-01-25NaN     │
│ 172012-01-26NaN     │
│ 182012-01-27NaN2322012-12-0410.8993 │
│ 2332012-12-0510.937  │
│ 2342012-12-0610.9727 │
│ 2352012-12-0711.022  │
│ 2362012-12-1011.0653 │
│ 2372012-12-1111.102  │
│ 2382012-12-1211.139  │
│ 2392012-12-1311.1427 │
│ 2402012-12-1411.1377 │
│ 2412012-12-1711.145  │
│ 2422012-12-1811.159  │
│ 2432012-12-1911.1693 │
│ 2442012-12-2011.193  │
│ 2452012-12-2111.225  │
│ 2462012-12-2411.274  │
│ 2472012-12-2611.3347 │
│ 2482012-12-2711.3933 │
│ 2492012-12-2811.4667 │
│ 2502012-12-3111.546  │

julia> using PyPlot
julia> plot(dfOHLCV[:Date], dfOHLCV[:Close], dfOHLCV[:Date], indic)

MA

Bollinger Bands

julia> indic = BBANDS(dfOHLCV, price=:Close)
250x4 DataFrames.DataFrame
│ Row │ Date       │ UpperBand │ MiddleBand │ LowerBand │
├─────┼────────────┼───────────┼────────────┼───────────┤
│ 12012-01-03NaNNaNNaN       │
│ 22012-01-04NaNNaNNaN       │
│ 32012-01-05NaNNaNNaN       │
│ 42012-01-06NaNNaNNaN       │
│ 52012-01-09NaNNaNNaN       │
│ 62012-01-10NaNNaNNaN       │
│ 72012-01-11NaNNaNNaN       │
│ 82012-01-12NaNNaNNaN       │
│ 92012-01-13NaNNaNNaN       │
│ 102012-01-17NaNNaNNaN       │
│ 112012-01-18NaNNaNNaN       │
│ 122012-01-19NaNNaNNaN       │
│ 132012-01-20NaNNaNNaN       │
│ 142012-01-23NaNNaNNaN       │
│ 152012-01-24NaNNaNNaN       │
│ 162012-01-25NaNNaNNaN       │
│ 172012-01-26NaNNaNNaN       │
│ 182012-01-27NaNNaNNaN2322012-12-0411.743710.899310.055    │
│ 2332012-12-0511.749910.93710.1241   │
│ 2342012-12-0611.740410.972710.2049   │
│ 2352012-12-0711.720511.02210.3235   │
│ 2362012-12-1011.705911.065310.4247   │
│ 2372012-12-1111.708811.10210.4952   │
│ 2382012-12-1211.693411.13910.5846   │
│ 2392012-12-1311.699111.142710.5863   │
│ 2402012-12-1411.692811.137710.5825   │
│ 2412012-12-1711.707411.14510.5826   │
│ 2422012-12-1811.751311.15910.5667   │
│ 2432012-12-1911.789611.169310.549    │
│ 2442012-12-2011.84811.19310.538    │
│ 2452012-12-2111.912611.22510.5374   │
│ 2462012-12-2412.071311.27410.4767   │
│ 2472012-12-2612.291311.334710.3781   │
│ 2482012-12-2712.469111.393310.3176   │
│ 2492012-12-2812.631511.466710.3019   │
│ 2502012-12-3112.77811.54610.314    │

julia> plot(
    dfOHLCV[:Date], dfOHLCV[:Close],
    dfOHLCV[:Date], indic[:UpperBand],
    dfOHLCV[:Date], indic[:MiddleBand],
    dfOHLCV[:Date], indic[:LowerBand],
)

BBANDS

Indicators

An Array containing Symbols of available TA-Lib indicators can be displayed using:

julia> INDICATORS
158-element Array{Symbol,1}:
 :ACOS
 :AD
 :ADD
 :ADOSC
 :ADX
 :ADXR
 :APO
 :AROON
 :AROONOSC
 :ASIN
 :ATAN
 :ATR
 :AVGPRICE
 :BBANDS
 :BETA
 :BOP
 :CCI
 :CDL2CROWS
 :CDL3BLACKCROWS
 
 :STOCH
 :STOCHF
 :STOCHRSI
 :SUB
 :SUM
 :T3
 :TAN
 :TANH
 :TEMA
 :TRANGE
 :TRIMA
 :TRIX
 :TSF
 :TYPPRICE
 :ULTOSC
 :VAR
 :WCLPRICE
 :WILLR
 :WMA

An OrderedDict containing properties (required parameters, optional parameters, default values...) of available TA-Lib indicators can be displayed using:

julia> D_INDICATORS
DataStructures.OrderedDict{Symbol,Any} with 158 entries:
  :ACOS                => Dict{AbstractString,Any}("GroupId"=>"Math Transform","CamelCaseName"=>"Acos","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"Line"
  :AD                  => Dict{AbstractString,Any}("GroupId"=>"Volume Indicators","CamelCaseName"=>"Ad","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"Line…
  :ADD                 => Dict{AbstractString,Any}("GroupId"=>"Math Operators","CamelCaseName"=>"Add","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"Line")…
  :ADOSC               => Dict{AbstractString,Any}("GroupId"=>"Volume Indicators","CamelCaseName"=>"AdOsc","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"L
  :ADX                 => Dict{AbstractString,Any}("GroupId"=>"Momentum Indicators","Flags"=>Dict{AbstractString,Any}("Flag"=>"Unstable Period"),"CamelCaseName"=>"Adx","OutputArguments"=>[Dict{Abs
  :ADXR                => Dict{AbstractString,Any}("GroupId"=>"Momentum Indicators","Flags"=>Dict{AbstractString,Any}("Flag"=>"Unstable Period"),"CamelCaseName"=>"Adxr","OutputArguments"=>[Dict{Ab
  :APO                 => Dict{AbstractString,Any}("GroupId"=>"Momentum Indicators","CamelCaseName"=>"Apo","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"L…
  :AROON               => Dict{AbstractString,Any}("GroupId"=>"Momentum Indicators","CamelCaseName"=>"Aroon","OutputArguments"=>Any[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag
  :AROONOSC            => Dict{AbstractString,Any}("GroupId"=>"Momentum Indicators","CamelCaseName"=>"AroonOsc","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag…
  :ASIN                => Dict{AbstractString,Any}("GroupId"=>"Math Transform","CamelCaseName"=>"Asin","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"Line"
  :ATAN                => Dict{AbstractString,Any}("GroupId"=>"Math Transform","CamelCaseName"=>"Atan","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"Line"
  :ATR                 => Dict{AbstractString,Any}("GroupId"=>"Volatility Indicators","Flags"=>Dict{AbstractString,Any}("Flag"=>"Unstable Period"),"CamelCaseName"=>"Atr","OutputArguments"=>[Dict{A…
  :AVGPRICE            => Dict{AbstractString,Any}("GroupId"=>"Price Transform","Flags"=>Dict{AbstractString,Any}("Flag"=>"Overlap"),"CamelCaseName"=>"AvgPrice","OutputArguments"=>[Dict{AbstractSt…
  :BBANDS              => Dict{AbstractString,Any}("GroupId"=>"Overlap Studies","Flags"=>Dict{AbstractString,Any}("Flag"=>"Overlap"),"CamelCaseName"=>"Bbands","OutputArguments"=>Any[Dict{AbstractS…
  :BETA                => Dict{AbstractString,Any}("GroupId"=>"Statistic Functions","CamelCaseName"=>"Beta","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"
  :BOP                 => Dict{AbstractString,Any}("GroupId"=>"Momentum Indicators","CamelCaseName"=>"Bop","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"L…
  :CCI                 => Dict{AbstractString,Any}("GroupId"=>"Momentum Indicators","CamelCaseName"=>"Cci","OutputArguments"=>[Dict{AbstractString,Any}("Flags"=>Dict{AbstractString,Any}("Flag"=>"L
  :CDL2CROWS           => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"Cdl2Crows","OutputArguments"=>[Dict{A
  :CDL3BLACKCROWS      => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"Cdl3BlackCrows","OutputArguments"=>[D
  :CDL3INSIDE          => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"Cdl3Inside","OutputArguments"=>[Dict{
  :CDL3LINESTRIKE      => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"Cdl3LineStrike","OutputArguments"=>[D
  :CDL3OUTSIDE         => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"Cdl3Outside","OutputArguments"=>[Dict
  :CDL3STARSINSOUTH    => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"Cdl3StarsInSouth","OutputArguments"=>
  :CDL3WHITESOLDIERS   => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"Cdl3WhiteSoldiers","OutputArguments"=
  :CDLABANDONEDBABY    => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlAbandonedBaby","OutputArguments"=>
  :CDLADVANCEBLOCK     => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlAdvanceBlock","OutputArguments"=>[
  :CDLBELTHOLD         => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlBeltHold","OutputArguments"=>[Dict
  :CDLBREAKAWAY        => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlBreakaway","OutputArguments"=>[Dic
  :CDLCLOSINGMARUBOZU  => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlClosingMarubozu","OutputArguments"
  :CDLCONCEALBABYSWALL => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlConcealBabysWall","OutputArguments…
  :CDLCOUNTERATTACK    => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlCounterAttack","OutputArguments"=>…
  :CDLDARKCLOUDCOVER   => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlDarkCloudCover","OutputArguments"=…
  :CDLDOJI             => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlDoji","OutputArguments"=>[Dict{Abs…
  :CDLDOJISTAR         => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlDojiStar","OutputArguments"=>[Dict…
  :CDLDRAGONFLYDOJI    => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlDragonflyDoji","OutputArguments"=>…
  :CDLENGULFING        => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlEngulfing","OutputArguments"=>[Dic…
  :CDLEVENINGDOJISTAR  => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlEveningDojiStar","OutputArguments"
  :CDLEVENINGSTAR      => Dict{AbstractString,Any}("GroupId"=>"Pattern Recognition","Flags"=>Dict{AbstractString,Any}("Flag"=>"Candlestick"),"CamelCaseName"=>"CdlEveningStar","OutputArguments"=>[D…
  ⋮                    => ⋮

A Dict of functions by group is available using:

julia> D_GROUPS
Dict{ASCIIString,Array{Symbol,1}} with 10 entries:
  "Price Transform"       => [:AVGPRICE,:MEDPRICE,:TYPPRICE,:WCLPRICE]
  "Momentum Indicators"   => [:ADX,:ADXR,:APO,:AROON,:AROONOSC,:BOP,:CCI,:CMO,:DX,:MACD    :ROCP,:ROCR,:ROCR100,:RSI,:STOCH,:STOCHF,:STOCHRSI,:TRIX,:ULTOSC,:WILLR]
  "Statistic Functions"   => [:BETA,:CORREL,:LINEARREG,:LINEARREG_ANGLE,:LINEARREG_INTERCEPT,:LINEARREG_SLOPE,:STDDEV,:TSF,:VAR]
  "Volatility Indicators" => [:ATR,:NATR,:TRANGE]
  "Overlap Studies"       => [:BBANDS,:DEMA,:EMA,:HT_TRENDLINE,:KAMA,:MA,:MAMA,:MAVP,:MIDPOINT,:MIDPRICE,:SAR,:SAREXT,:SMA,:T3,:TEMA,:TRIMA,:WMA]
  "Math Transform"        => [:ACOS,:ASIN,:ATAN,:CEIL,:COS,:COSH,:EXP,:FLOOR,:LN,:LOG10,:SIN,:SINH,:SQRT,:TAN,:TANH]
  "Cycle Indicators"      => [:HT_DCPERIOD,:HT_DCPHASE,:HT_PHASOR,:HT_SINE,:HT_TRENDMODE]
  "Pattern Recognition"   => [:CDL2CROWS,:CDL3BLACKCROWS,:CDL3INSIDE,:CDL3LINESTRIKE,:CDL3OUTSIDE,:CDL3STARSINSOUTH,:CDL3WHITESOLDIERS,:CDLABANDONEDBABY,:CDLADVANCEBLOCK,:CDLBELTHOLD    :CDLSPINN
  "Volume Indicators"     => [:AD,:ADOSC,:OBV]
  "Math Operators"        => [:ADD,:DIV,:MAX,:MAXINDEX,:MIN,:MININDEX,:MINMAX,:MINMAXINDEX,:MULT,:SUB,:SUM]

Description of all indicators

for (func, info) in D_INDICATORS
    descr = info["ShortDescription"]
    println("|$func|$descr|")
end

should display

Name Short description
ACOS Vector Trigonometric ACos
AD Chaikin A/D Line
ADD Vector Arithmetic Add
ADOSC Chaikin A/D Oscillator
ADX Average Directional Movement Index
ADXR Average Directional Movement Index Rating
APO Absolute Price Oscillator
AROON Aroon
AROONOSC Aroon Oscillator
ASIN Vector Trigonometric ASin
ATAN Vector Trigonometric ATan
ATR Average True Range
AVGPRICE Average Price
BBANDS Bollinger Bands
BETA Beta
BOP Balance Of Power
CCI Commodity Channel Index
CDL2CROWS Two Crows
CDL3BLACKCROWS Three Black Crows
CDL3INSIDE Three Inside Up/Down
CDL3LINESTRIKE Three-Line Strike
CDL3OUTSIDE Three Outside Up/Down
CDL3STARSINSOUTH Three Stars In The South
CDL3WHITESOLDIERS Three Advancing White Soldiers
CDLABANDONEDBABY Abandoned Baby
CDLADVANCEBLOCK Advance Block
CDLBELTHOLD Belt-hold
CDLBREAKAWAY Breakaway
CDLCLOSINGMARUBOZU Closing Marubozu
CDLCONCEALBABYSWALL Concealing Baby Swallow
CDLCOUNTERATTACK Counterattack
CDLDARKCLOUDCOVER Dark Cloud Cover
CDLDOJI Doji
CDLDOJISTAR Doji Star
CDLDRAGONFLYDOJI Dragonfly Doji
CDLENGULFING Engulfing Pattern
CDLEVENINGDOJISTAR Evening Doji Star
CDLEVENINGSTAR Evening Star
CDLGAPSIDESIDEWHITE Up/Down-gap side-by-side white lines
CDLGRAVESTONEDOJI Gravestone Doji
CDLHAMMER Hammer
CDLHANGINGMAN Hanging Man
CDLHARAMI Harami Pattern
CDLHARAMICROSS Harami Cross Pattern
CDLHIGHWAVE High-Wave Candle
CDLHIKKAKE Hikkake Pattern
CDLHIKKAKEMOD Modified Hikkake Pattern
CDLHOMINGPIGEON Homing Pigeon
CDLIDENTICAL3CROWS Identical Three Crows
CDLINNECK In-Neck Pattern
CDLINVERTEDHAMMER Inverted Hammer
CDLKICKING Kicking
CDLKICKINGBYLENGTH Kicking - bull/bear determined by the longer marubozu
CDLLADDERBOTTOM Ladder Bottom
CDLLONGLEGGEDDOJI Long Legged Doji
CDLLONGLINE Long Line Candle
CDLMARUBOZU Marubozu
CDLMATCHINGLOW Matching Low
CDLMATHOLD Mat Hold
CDLMORNINGDOJISTAR Morning Doji Star
CDLMORNINGSTAR Morning Star
CDLONNECK On-Neck Pattern
CDLPIERCING Piercing Pattern
CDLRICKSHAWMAN Rickshaw Man
CDLRISEFALL3METHODS Rising/Falling Three Methods
CDLSEPARATINGLINES Separating Lines
CDLSHOOTINGSTAR Shooting Star
CDLSHORTLINE Short Line Candle
CDLSPINNINGTOP Spinning Top
CDLSTALLEDPATTERN Stalled Pattern
CDLSTICKSANDWICH Stick Sandwich
CDLTAKURI Takuri (Dragonfly Doji with very long lower shadow)
CDLTASUKIGAP Tasuki Gap
CDLTHRUSTING Thrusting Pattern
CDLTRISTAR Tristar Pattern
CDLUNIQUE3RIVER Unique 3 River
CDLUPSIDEGAP2CROWS Upside Gap Two Crows
CDLXSIDEGAP3METHODS Upside/Downside Gap Three Methods
CEIL Vector Ceil
CMO Chande Momentum Oscillator
CORREL Pearson's Correlation Coefficient (r)
COS Vector Trigonometric Cos
COSH Vector Trigonometric Cosh
DEMA Double Exponential Moving Average
DIV Vector Arithmetic Div
DX Directional Movement Index
EMA Exponential Moving Average
EXP Vector Arithmetic Exp
FLOOR Vector Floor
HT_DCPERIOD Hilbert Transform - Dominant Cycle Period
HT_DCPHASE Hilbert Transform - Dominant Cycle Phase
HT_PHASOR Hilbert Transform - Phasor Components
HT_SINE Hilbert Transform - SineWave
HT_TRENDLINE Hilbert Transform - Instantaneous Trendline
HT_TRENDMODE Hilbert Transform - Trend vs Cycle Mode
KAMA Kaufman Adaptive Moving Average
LINEARREG Linear Regression
LINEARREG_ANGLE Linear Regression Angle
LINEARREG_INTERCEPT Linear Regression Intercept
LINEARREG_SLOPE Linear Regression Slope
LN Vector Log Natural
LOG10 Vector Log10
MA Moving average
MACD Moving Average Convergence/Divergence
MACDEXT MACD with controllable MA type
MACDFIX Moving Average Convergence/Divergence Fix 12/26
MAMA MESA Adaptive Moving Average
MAVP Moving average with variable period
MAX Highest value over a specified period
MAXINDEX Index of highest value over a specified period
MEDPRICE Median Price
MFI Money Flow Index
MIDPOINT MidPoint over period
MIDPRICE Midpoint Price over period
MIN Lowest value over a specified period
MININDEX Index of lowest value over a specified period
MINMAX Lowest and highest values over a specified period
MINMAXINDEX Indexes of lowest and highest values over a specified period
MINUS_DI Minus Directional Indicator
MINUS_DM Minus Directional Movement
MOM Momentum
MULT Vector Arithmetic Mult
NATR Normalized Average True Range
OBV On Balance Volume
PLUS_DI Plus Directional Indicator
PLUS_DM Plus Directional Movement
PPO Percentage Price Oscillator
ROC Rate of change : ((price/prevPrice)-1)*100
ROCP Rate of change Percentage: (price-prevPrice)/prevPrice
ROCR Rate of change ratio: (price/prevPrice)
ROCR100 Rate of change ratio 100 scale: (price/prevPrice)*100
RSI Relative Strength Index
SAR Parabolic SAR
SAREXT Parabolic SAR - Extended
SIN Vector Trigonometric Sin
SINH Vector Trigonometric Sinh
SMA Simple Moving Average
SQRT Vector Square Root
STDDEV Standard Deviation
STOCH Stochastic
STOCHF Stochastic Fast
STOCHRSI Stochastic Relative Strength Index
SUB Vector Arithmetic Substraction
SUM Summation
T3 Triple Exponential Moving Average (T3)
TAN Vector Trigonometric Tan
TANH Vector Trigonometric Tanh
TEMA Triple Exponential Moving Average
TRANGE True Range
TRIMA Triangular Moving Average
TRIX 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
TSF Time Series Forecast
TYPPRICE Typical Price
ULTOSC Ultimate Oscillator
VAR Variance
WCLPRICE Weighted Close Price
WILLR Williams' %R
WMA Weighted Moving Average

Development

See discussion and roadmap here:

  • #1

  • There is 3 levels of functions

    • level 0: raw C TA-Lib function calls

    • level 1: function with Julia Arrays as inputs / outputs

    • level 2: more high level functions with