Market Indicators
Overview
The following is a list of the indicators that are bundled with the indicators app.
Technical
Technical indicators are indicators that are used mostly in technical stock price analysis.
- breakout : specifies the number of periods for which
the current value is above or below the values before it.
- on balance :
on balance is an aggregate measure of value which is added or subtracted based on whether some other indicator is
positive or negative. The standard on balance indicator is the on balance volume., which calculates a running
sum of volume, where todays volume is added if the price change is positive, and todays volume is subtracted
if todays price change is negative.
- on balance - weighted
- percent bar
: percent bar is calculated as the aboslue value of
(close-open)/(high-low). That is, it calculates the fraction of the total daily move that is represented
by difference between the close and the open. Strongly trending price moves are represented by a high
percentage bar.
- percent bar - weighted : the percent bar weighted is calculated as
Absolute Value of (close-open)/(high-low) times (close - open). The close minuse the open is the price change for
the day. The percent bar calculates what percentage of the price move during the day is represented by the
price change.
- rsi : the relative strength indicator.
- running max : keeps a running value of the maximum of the given field up to the
current record.
- running min :
keeps a running value of the minimum of the given field up to the
current record.
Time Series
- diffs :
Calculates the arithmetic difference between the value of a field in one period and the prior.
- forward arithmetic returns
Calculates the arithmetic return between the value of a field in one period and the next period. That means
that it is forward looking. (i.e. it uses future information to calculate the value for today.)
- forward log diffs
Calculates the difference of the logarithm between the value of a field in one period and the next period. That means
that it is forward looking. (i.e. it uses future information to calculate the value for today.)
- log diffs : calculates the difference in the
logarithms of the given value.
Trend
- momentum : momentum is a simple arithmetic difference between the
value in the current period and the value n periods back, where n is specified by the user.
- moving average : the moving average takes the average of the
values for the last n periods (including the current period) where n is specified by the user.
Volatility
- ewma price volatility :
calculates the volatility of a price series. (NOTE: the inputs are prices, not returns)
