Indicator Block — “Measure the Market”

Purpose

Indicator blocks are the sensory organs of your trading strategy. They process raw market data—such as price, volume, and time—and transform it into structured numerical insights. These blocks describe the current state of the market, allowing the strategy to “understand” whether a trend is forming or momentum is shifting.

What It Does

Indicators perform the heavy mathematical lifting required for technical analysis:

Mathematical Processing: They run complex formulas on historical price and volume data.
Structured Output: They produce specific values representing market characteristics like Trend, Momentum, Volatility, and Volume.
Passive Observation: Indicators are purely analytical. They do not make decisions, evaluate logic, or place trades on their own.

Usage in Algorithmic Systems

In manual trading, you might look at a chart and “feel” that a move is strong. In algorithmic systems, you must quantify that feeling. Indicator blocks convert visual chart patterns into consistent, programmable measurements that can be fed into Logic Blocks.

Category	Indicators Examples	Measurement Focus
Trend	SMA, EMA, VWAP	Determining the general direction of the market.
Momentum	RSI, Stochastic, MACD	Measuring the speed and strength of price changes.
Volatility	Bollinger Bands, ATR	Identifying the “noise” or range of price movement.
Volume	Volume, VWMA	Gauging the level of market participation.

Key Characteristics

Programmable Parameters: You can configure indicators to look at different time windows (e.g., a 14-period RSI vs. a 50-period RSI).
Non-Decision Nodes: An indicator will tell you the RSI is “75,” but it won’t tell you to “Sell.” You need a Logic Block to decide that 75 is too high.
Standardization: Indicators ensure that your strategy reacts the same way every time a specific market condition is met, removing human inconsistency.

Technical Analysis Indicators Library

This reference covers the primary categories of technical indicators used to analyze market trends, volume flow, volatility, and momentum.

1. Volume-Based Indicators

1.1 Accumulation / Distribution & Money Flow

These indicators measure the flow of capital in and out of a security by combining price action with volume.

Accumulation/Distribution Line (ADL): Cumulative indicator measuring money flow based on the close’s position within the candle range.

Sample Output


Day   High   Low   Close   Volume   Money Flow Multiplier   AD (Output)
1     110    100   108     1,000    +0.6                    600
2     115    105   106     2,000    -0.8                   -1,000
3     112    110   111     1,500     0.0                   -1,000
4     120    110   119     5,000    +0.8                    3,000

Accumulation/Distribution Oscillator: A MACD-style momentum oscillator derived from the ADL.

Sample Output


Period AD Line (Base)  Fast EMA (3)   Slow EMA (10)   ADOSC_3_10 (Output)   Interpretation
0-9    Warmup          NaN            NaN             NaN                   Initializing averages
10     15,000          14,800         14,200          600.0                 Bullish momentum
11     15,500          15,150         14,450          700.0                 Strengthening buy-flow
12     14,000          14,575         14,360          215.0                 Momentum slowing
13     12,000          13,280         13,930          -650.0                Bearish Cross

Chaikin Money Flow (CMF): Measures buying and selling pressure using volume-weighted price over a fixed period.

Sample Output


Day    Price Action              Money Flow Volume (AD)   Total Volume (20d Sum)   CMF_20 (Output)
0-18   Initializing                  ...                      ...                      NaN
19     Strong Bullish Closes       +500,000                 2,500,000                0.20
20     Even Stronger Buying        +600,000                 2,400,000                0.25
21     Price stalls, High Vol      -100,000                 2,600,000               -0.03
22     Aggressive Selling          -800,000                 3,000,000               -0.26

Price-Volume Trend (PVT): Tracks money flow by combining price rate of change with volume.

Sample Output


Period   Close    ROC (1)    Volume    PV (ROC × Vol)   PVT (Output)
0        100.00   NaN        1,000     0.0              0.0
1        102.00   0.02       5,000     100.0            100.0
2        103.00   0.0098     2,000     19.6             119.6
3        101.00  -0.0194    10,000    -194.0           -74.4
4        105.00   0.0396     3,000     118.8            44.4

Money Flow Index (MFI): An RSI-like oscillator that incorporates both price movement and volume.

Sample Output


Period   Typical Price (TP)   Volume    Raw Money Flow (RMF)   TP Diff   Flow Dir   MFI_14 (Output)
13       100.00               1,000     100,000               +0.50     Positive   NaN (Warmup)
14       102.00               2,000     204,000               +2.00     Positive   65.40
15       105.00               5,000     525,000               +3.00     Positive   78.20
16       104.00               1,500     156,000               -1.00     Negative   72.10
17       103.00               8,000     824,000               -1.00     Negative   45.30

Elder’s Force Index (EFI): Measures the strength behind price movements using price change and volume.

Sample Output


Period   Close    Change ($)   Volume    Force (Raw)   EFI_13 (EMA)   Interpretation
0-11     ...      ...          ...       ...           NaN            Warmup
12       150.00   +2.00        10,000    20,000        12,500         Bullish pressure
13       155.00   +5.00        20,000    100,000       28,500         Massive buying force
14       154.00   -1.00        5,000     -5,000        22,300         Minor cooling off
15       145.00   -9.00        30,000    -270,000      -15,400        Bearish Reversal

1.2 Cumulative Volume Indicators

On Balance Volume (OBV): Accumulates volume based on whether the price closes higher or lower than the previous period.

Sample Output


Period   Close Price   Price Change   Volume    OBV (Calculation)   Interpretation
0        100.00        --              1,000     1,000               Initial volume
1        102.00        Up (+)          5,000     6,000               Bullish pressure (1k + 5k)
2        101.00        Down (-)        3,000     3,000               Bearish pressure (6k − 3k)
3        101.00        Unchanged       2,000     3,000               No change in pressure
4        105.00        Up (+)          10,000    13,000              Strong accumulation

Positive Volume Index (PVI): Focuses on price changes during periods of increasing volume.

Sample Output


Period   Close    Volume    Vol Change   ROC (Price)   PVI_1 (Output)   Logic
0        100.00   1,000     --            --            1000.00         Initial baseline
1        102.00   1,500     Up (+)        0.02          1020.00         1000 + (1000 × 0.02)
2        105.00   1,200     Down (-)      0.03          1020.00         No change (Vol decreased)
3        107.00   2,000     Up (+)        0.019         1039.38         1020 + (1020 × 0.019)
4        104.00   2,500     Up (+)       -0.028         1010.27         1039 − (1039 × 0.028)

Negative Volume Index (NVI): Emphasizes price action during declining volume to detect “smart money” accumulation.

Sample Output


Period   Close    Volume    Vol Change   ROC (Price)   NVI_1 (Output)   Logic
0        100.00   1,000     --            --             1000.00          Initial baseline
1        102.00   800       Down (-)     0.02          1020.00          1000 + (1000 × 0.02)
2        105.00   1,200     Up (+)       0.03          1020.00          Flatline (Vol increased)
3        104.00   900       Down (-)    -0.01          1009.80          1020 − (1020 × 0.01)
4        106.00   700       Down (-)     0.019         1028.98          1009.8 + (1009.8 × 0.019)

1.3 Volume Oscillators & Ratios

Percentage Volume Oscillator (PVO): Measures the percentage difference between two volume EMAs.

Sample Output


Period   Close    ROC (Price Change %)     Volume    PV (Incremental)   PVT (Cumulative)
0        100.00   --                         1,000     0.0               0.0
1        102.00   +0.02 (2%)                5,000     +100.0             100.0
2        102.10   +0.001 (0.1%)             5,000     +5.0               105.0
3        100.00   -0.0205 (-2.05%)          10,000    -205.0             -100.0

Relative Volume Indicator (RVOL): Compares current volume to historical averages to detect abnormal activity.

Sample Output


Period   Close    Volume    Change     PVOL (Output)   Interpretation
1        100.00   1,000     --          100,000         Initial Baseline
2        105.00   2,000     Up (+)     210,000         High-value buying pressure
3        103.00   1,500     Down (-)   -154,500        High-value selling pressure
4        103.00   3,000     Flat        309,000        Neutral / Accumulation value

Ease of Movement (EOM): Quantifies how easily the price moves relative to the volume traded.

Sample Output


Period   Distance (Price Move)   Box Ratio (Friction)   EOM Raw   EOM_14 (SMA)   Market State
13       0.50                    0.05                   10.0      NaN            Warmup
14       1.20                    0.02                   60.0      15.4           Easy Advance
15       0.05                    0.80                   0.06      12.1           Trend Stalling
16      -0.80                    0.04                  -20.0       8.5           Pullback

Price Volume Rank (PVR): Ranks price-volume combinations to identify accumulation or distribution zones.

Sample Output


Day   Price   Vol    Price Change   Vol Change   PVR (Output)   State
1     100     1000   --              --          1.0            Baseline (treated as up/up)
2     105     1500   +5             +500         1.0            Strong Buying
3     107     1200   +2             -300         2.0            Price rise, Low interest
4     103     1300   -4             +100         3.0            Aggressive Selling
5     101     900    -2             -400         4.0            Lack of buyers

2. Volatility Indicators

2.1 Range & True Range Based

True Range (TR): Expands the price range to account for gaps between trading sessions.

Sample Output


Day Previous Close   High   Low   Close  Classic Range  True Range (Output)   Why?
1   100.0            105.0  102.0  103.0   3.0           3.0                  Normal day.
2   103.0            115.0  110.0  112.0   5.0           12.0                 Gap Up! (115 High−103 Prev Close)
3   112.0            114.0  111.0  113.0   3.0           3.0                  Normal day.

Average True Range (ATR): The standard measure of average market volatility over a set period.

Sample Output


Day    Close    True Range (TR)   ATR_14 (Output)   Meaning
1-13   100.0    ~2.0              NaN               Warming up the moving average
14     102.0    2.5               2.15              Typical daily move is $2.15
15     115.0    13.0              3.02              Volatility spike detected!
16     114.0    2.0               2.95              Volatility beginning to settle

Normalized Average True Range (NATR): ATR expressed as a percentage of price for cross-asset comparison.

Sample Output


Asset    Price     ATR      NATR (Output)   Volatility Profile
A        $1,000    $20.00   2.0%            Low relative volatility
B        $10       $1.00    10.0%           High relative volatility
C        $50       $5.00    10.0%           Equal risk to Asset B

2.2 Band & Channel Indicators

Bollinger Bands (BBands): Volatility bands plotted around a moving average using standard deviation.

Sample Output


Date/Index   BBL_5_2.0   BBM_5_2.0   BBU_5_2.0   BBB_5_2.0   BBP_5_2.0
0            NaN         NaN         NaN         NaN         NaN
4            98.45       100.20      101.95      3.49        0.85
5            97.20       102.50      107.80      10.34       1.15
6            96.80       105.00      113.20      15.62       0.92

Keltner Channel: A volatility channel based on ATR and an Exponential Moving Average (EMA).

Sample Output


Index   KCL_e_20_2.0 (Lower)   KCB_e_20_2.0 (Basis)   KCU_e_20_2.0 (Upper)
0       NaN                   NaN                    NaN
...     ...                   ...                    ...
19      142.45                150.20                 157.95
20      143.10                151.05                 159.00
21      145.50                153.40                 161.30
22      144.20                152.80                 161.40

Donchian Channel: Tracks the highest high and lowest low over a fixed lookback period.

Sample Output


Index   DCL_20_20 (Lower)   DCM_20_20 (Mid)   DCU_20_20 (Upper)
0-18    NaN                 NaN               NaN
19      140.00              150.00            160.00
20      140.00              152.50            165.00
21      142.50              153.75            165.00

Acceleration Bands: Price envelopes that expand dynamically as volatility increases.

Sample Output


Index   ACCBL_20 (Lower)   ACCBM_20 (Mid)   ACCBU_20 (Upper)
0-18    NaN               NaN              NaN
19      145.20            150.00           154.80
20      146.10            151.10           156.10
21      148.50            153.25           158.00

2.3 Volatility Structure & Expansion

Mass Index: Uses range expansion to identify potential trend reversals.

Sample Output


Index   High   Low    HL_Range   hl_ratio   MASSI_9_25   State
0-24    ...    ...    ...        ...        NaN          Warmup (Needs 25 periods)
25      155    150    5.0        1.02       25.10        Normal Volatility
26      160    148    12.0       1.15       26.85        Volatility Increasing
27      162    145    17.0       1.22       27.05        Bulge Triggered (>27)
28      158    152    6.0        1.05       26.40        Reversal Signal (<26.5)

Relative Volatility Index (RVI): An RSI-style indicator that uses standard deviation instead of price change.

Sample Output


Period   Close   Stdev   Direction   Pos_Std   Neg_Std   RVI (Output)
14       105.0   2.5     Up (+)       2.5       0.0       55.4
15       108.0   3.1     Up (+)       3.1       0.0       62.1
16       107.5   3.2     Down (-)     0.0       3.2       58.5
17       104.0   4.0     Down (-)     0.0       4.0       48.2

Squeeze: When the volatility increases, so does the distance between the bands; conversely, when the volatility declines, the distance also decreases.

Sample Output


Index  SQZ_20_2.0_20_1.5  SQZ_ON  SQZ_OFF  SQZ_NO  Interpretation
3      -0.12               1       0        0       Squeeze On: Volatility is very low.
4       0.05               1       0        0       Squeeze On: Momentum turning positive.
5       0.85               0       1        0       Squeeze Off: Breakout has started!
6       2.10               0       0        1       No Squeeze: Volatility expanding.
7       3.45               0       0        1       No Squeeze: Strong upward momentum.

Squeeze Pro: When the volatility increases, so does the distance between the bands; conversely, when the volatility declines, the distance also decreases.

Sample Output


Index  SQZPRO_20_2.0  ON_WIDE  ON_NORMAL  ON_NARROW  OFF  Interpretation
3      -0.45          1        0          0          0    Wide Squeeze: Volatility is dropping.
4      -0.82          1        1          0          0    Normal Squeeze: Range is tightening.
5      -1.10          1        1          1          0    Narrow Squeeze: Extreme compression!
6       0.20          0        0          0          1    Squeeze Fired: Breakout starts.
7       1.50          0        0          0          0    No Squeeze: Trend is in play.

Price Distance: Measures the magnitude of price movement over a specific time horizon.

Sample Output


Period   Open   High   Low   Close   Prev Close   Logic             PDIST (Output)
1        100    105    95    102     --            --                 NaN
2        105    110    103   104     102          Gap Up (+3)        16.0
3        104    105    103   104     104          Tight Range        4.0
4        104    120    100   110     104          High Volatility    34.0

3. Momentum Indicators

3.1 Price-Based Oscillators

Momentum: Measures the basic speed of price movement.

Sample Output


Period   Close   Close (10 days ago)   MOM_10 (Output)   Market State
0-9      ...     --                     NaN               Warm-up period
10       150.00  140.00                10.00             Positive Momentum
11       152.00  145.00                 7.00             Momentum slowing (deceleration)
12       148.00  155.00                -7.00             Negative Momentum (Trend Reversal)

Rate of Change (ROC): The percentage change from a prior price point.

Sample Output


Period   Close   Close (n ago)   MOM    ROC_10 (Output)   Interpretation
10       110     100             10     10.00%            Strong Bullish Momentum
11       115     105             10      9.52%            Price rising, but ROC slowing
12       100     110            -10     -9.09%            Sharp Bearish Turn

MACD: A trend-following momentum indicator showing the relationship between two EMAs.

Sample Output


Index   MACD_12_26_9   MACDh_12_26_9   MACDs_12_26_9   Signal
30      2.50           0.40            2.10            Bullish (MACD > Signal)
31      2.30           0.05            2.25            Momentum fading
32      2.15          -0.15            2.30            Bearish crossover

PPO: Percentage-based version of MACD.

Sample Output


Index   PPO_12_26_9   PPOh_12_26_9   PPOs_12_26_9   Meaning
30      1.25          0.15           1.10           Bullish (PPO above Signal)
31      1.35          0.20           1.15           Strengthening bullish momentum
32      1.30          0.08           1.22           Momentum decelerating (histogram shrinking)
33      1.15         -0.05           1.20           Bearish crossover (PPO below Signal)

APO: Difference between two EMAs to measure momentum.

Sample Output


Index   Close    Fast MA (12)   Slow MA (26)   APO_12_26   Interpretation
25      150.00   148.00         145.00         3.00        Bullish momentum
26      155.00   150.00         146.00         4.00        Momentum increasing
27      145.00   149.00         147.00         2.00        Momentum fading
28      140.00   146.00         146.50        -0.50        Bearish crossover

TRIX: A triple-smoothed EMA oscillator used to filter out market noise.

Sample Output


Index   TRIX_30_9   TRIXs_30_9   Interpretation
50      0.05        0.02         Bullish Momentum
51      0.08        0.04         Trend Accelerating
52      0.07        0.05         Trend Decelerating
53      0.04        0.05         Bearish Signal Cross

3.2 Overbought / Oversold (OB/OS)

RSI (Relative Strength Index): The classic momentum strength and OB/OS indicator.

Sample Output


Period   Close   Gain   Loss   RSI_14 (Output)
13       150     --      --      NaN (Warm-up)
14       155     5      0      58.2
15       162     7      0      65.4
16       170     8      0      72.1 (Overbought)

Percentage Volume Oscillator: Percentage Volume Oscillator is a Momentum Oscillator for Volume.

Sample Output


Index  PVO_12_26_9  PVOh_12_26_9  PVOs_12_26_9  Interpretation
7      45.20        15.10         30.10         High activity; volume is 45% above average.
8      22.40        -5.20         27.60         Volume fading; PVO crossed below Signal.
9      5.10         -15.40        20.50         Rapidly declining interest.
10     -8.30        -18.20        9.90          Below average volume.
11     -15.40       -15.80        0.40          Extended quiet period.

Stochastic Oscillator: Compares a closing price to its price range over a given period.

Sample Output


Index   STOCHk_14_3_3   STOCHd_14_3_3   Interpretation
15      75.20           70.10           Rising Momentum
16      82.50           75.90           Overbought Area (>80)
17      79.10           78.93           Momentum Slowing
18      72.40           78.00           Bearish Cross (K < D)

Stochastic RSI: Applies stochastic calculation to RSI values.

Sample Output


Index   STOCHRSIk      STOCHRSId      Interpretation
30      15.0           10.5           Oversold Area
31      22.0           15.8           Bullish Cross (K > D)
32      45.0           27.3           Rapidly Rising Momentum
33      85.0           50.6           Overbought Area (>80)

Williams %R: A momentum indicator measuring the level of the close relative to the high-low range.

Sample Output


Period   Close   High (14d)   Low (14d)   WILLR_14 (Output)
13       100     110          90          -50.0 (Mid-range)
14       108     110          90          -10.0 (Overbought)
15       110     110          90            0.0 (At High)
16        92     110          90          -90.0 (Oversold)

CCI (Commodity Channel Index): Identifies cyclical turns by measuring deviations from the mean.

Sample Output


Period   Typical Price   SMA (14)   MAD (14)   CCI_14 (Output)
13       155.0           150.0      2.5        133.3 (Bullish)
14       148.0           150.5      3.0        -55.5 (Neutral)
15       140.0           149.0      4.2       -142.8 (Bearish)

CMO: Momentum oscillator measuring net price change.

Sample Output


Period   Price Change   Up Sum   Down Sum   CMO_14 (Output)
14       +10            40       10         60.0 (Overbought)
15       -5             35       15         40.0 (Cooling off)
16       -20            15       35        -40.0 (Bearish)

Ultimate Oscillator: Combines momentum over multiple timeframes.

Sample Output


Index   Close   BP   TR   UO_7_14_28 (Output)   Interpretation
27      100     ...    ...    NaN               Warm-up period (needs 28 rows)
28      105     5    7    52.4                  Neutral
29      110     6    8    68.2                  Approaching Overbought
30      112     2    5    71.5                  Overbought (> 70)

3.3 Advanced & Smoothed Momentum

RSX: Noise-reduced, smoothed version of RSI.

Sample Output


Period   Close   RSI (Classic)   RSX_14 (Output)   Observation
100      150.2   65.4            64.12             Both rising
101      150.1   61.2            63.85             RSI drops sharply; RSX nudges down

Pretty Good Oscillator (PGO): Measures price deviation from SMA in ATR terms.

Sample Output


Index   Close   SMA (14)   Smoothed ATR   PGO_14 (Output)   State
14      100.0   95.0       2.0            2.50             Strong Momentum
15      104.0   96.0       2.2            3.64             Bullish Breakout (>3)
16      102.0   97.0       2.3            2.17             Returning to Mean

Awesome Oscillator: A 34-period and 5-period SMA comparison using midpoints.

Sample Output


Index   Median Price   SMA (5)   SMA (34)   AO_5_34 (Output)   Momentum State
33      100.0          98.0      95.0       3.0               Bullish
34      102.0          99.5      95.2       4.3               Accelerating Up
35      101.0         100.0     100.5      -0.5               Bearish Cross

Coppock Curve: Designed for long-term trend confirmation.

Sample Output


Index   Price Change   Fast ROC   Slow ROC   COPC_11_14_10 (Output)   State
20      -10%           -5.0       -8.0       -12.5                   Deep Bearish
21      -2%            -4.0       -6.0       -10.2                   Turn Up (Potential Buy)
22      +5%            +1.0       -2.0       -4.5                    Recovering
23      +8%            +4.0       +1.0        +2.1                   Bullish Cross (>0)

KST (Know Sure Thing): A “summed” ROC oscillator for multi-timeframe confirmation.

Sample Output


Index   KST_10_15_20_30   KSTs_9 (Signal)   Interpretation
50      12.5              10.2              Bullish trend active
51      11.8              10.8              Momentum fading
52       9.5              11.2              Bearish Signal Cross
53      -2.1               8.5              Zero Line Cross (Bearish)

Center of Gravity (COG): Zero-lag indicator for identifying turning points

Sample Output


Index   Close   Weighting Calculation            CG_10 (Output)   Observation
9       100     Initial window sum               -5.5             Center of 10-period window
10      105     Price weight shifts right        -5.2             Rising CG (Bullish)
11      108     More weight on recent high       -4.9             Accelerating Up
12      104     Price drops; weight shifts       -5.3             Immediate Turn Down

Chande Forecast Oscillator: Measures deviation from linear regression forecast.

Sample Output


Index   Close   Linear Reg (TSF)   CFO_9 (Output)   Observation
10      100     98.5               1.50             Bullish (Price beating forecast)
11      102     101.0              0.98             Trend slowing
12       99     101.5             -2.52             Bearish Break (Price below forecast)

Inertia: Smoothed Relative Vigor Index for momentum confirmation.

Sample Output


Index   RVI (Base)   LinReg (20)   INERTIA (Output)   Observation
34      55.2         51.4          51.8               Bullish trend starting
35      48.1         51.8          52.2               Price dipped, but Inertia stayed bullish
36      42.0         50.5          49.8               Bearish Signal Cross (<50)

Relative Vigor Index (RVI): Assesses trend strength by comparing closing prices to the daily range.

Sample Output


Index   RVGI_4_4   RVGIs_4_4
10      0.4521     0.4120
11      0.5104     0.4682
12      0.4892     0.4955
13      0.5345     0.5123
14      0.5812     0.5489

Elder Ray Index: Measures bull and bear power relative to a moving average.

Sample Output


Index  BULLP_5  BEARP_5
10     1.12     -3.88
11     0.25     -4.75
12     1.48     -3.52
13     2.85     -2.15
14     3.92     -1.08

Bias: Measures deviation of price from its moving average.

Sample Output


Index  BIAS_SMA_5  Percentage Equivalent
10     -0.0117     -1.17%
11     -0.0328     -3.28%
12     -0.0335     -3.35%
13     -0.0443     -4.43%
14     -0.0535     -5.35%

Slope: Quantifies trend direction and steepness.

Sample Output


Index  Close  Raw_Slope  Angle_Degrees  Interpretation
5      110    0.0        0.00°          Flat / No Momentum
6      108    -2.0       -63.43°        Sharp Descent
7      105    -3.0       -71.57°        Accelerating Downward
8      101    -4.0       -75.96°        Heavy Selling
9      98     -3.0       -71.57°        Slight Deceleration

Correlation Trend Indicator: Measures how closely the price follows a linear trend.

Sample Output


Index  Price  CTI_5 Value  Trend Strength
4      14.0   0.99         Extremely Strong Uptrend (Perfect Line)
6      14.5   0.85         Weakening Uptrend (Slight Deviation)
8      13.5   -0.65        Transitioning / Choppy Downtrend
10     12.0   -0.98        Strong Linear Downtrend
12     10.0   -0.99        Extremely Strong Downtrend

Efficiency Ratio: Quantifies trend efficiency versus market noise.

Sample Output


Index  Close   ER_10 Value  Market Description
10     110.0   0.92         High Efficiency: Price is trending strongly with very few pullbacks.
11     110.5   0.50         Moderate Efficiency: Trending, but with noticeable "zig-zags."
12     108.0   0.15         Low Efficiency: Highly volatile/sideways market; lots of noise.
13     108.2   0.03         Congestion: Price is flat; noise outweighs any net movement.

3.4 Sentiment & Power

Balance of Power (BOP): Balance of Power measures the market strength of buyers against sellers.

Sample Output


Index  Price Action                        BOP Value  Interpretation
0      Closed near high, far from open     0.53       Strong Bullish Power
1      Opened high, closed near low        -0.66      Strong Bearish Power
2      Narrow range, small green body      0.50       Moderate Bullish
3      Closed significantly below open     -0.60      Selling Pressure
4      Gapped up, closed near high         0.25       Weak Bullish (Range was wide)

Willingness Index (BR): Measures trader conviction using closing prices.
Percentage Price Oscillator: The Percentage Price Oscillator is similar to MACD in measuring momentum.

Sample Output


Index  PPO_12_26_9  PPOh_12_26_9  PPOs_12_26_9
25     1.8542       0.2411        1.6131
26     1.4230       -0.1521       1.5751
27     0.9812       -0.4751       1.4563
28     0.5241       -0.7458       1.2699
29     0.0520       -0.9743       1.0263

Emotion Index (AR): Measures market sentiment based on opening prices.

4. Overlap (Price-Overlay) Indicators

These indicators are plotted directly on the price chart to identify trends and support/resistance levels.

Simple Moving Average(SMA): The Simple Moving Average is the classic moving average that is the equally weighted average over n periods.

Sample Output


Index  Close  SMA_5  Interpretation
4      14     12.8   First calculation: (10+12+13+15+14)/5
5      16     14.0   Average is rising
6      18     15.2   Price is well above average (Bullish)
7      20     16.6   Strong upward momentum
8      19     17.4   Price dips, but stays above the SMA
9      21     18.8   Trend continues

Exponential Moving Average(EMA): The weights are determined by alpha, which is proportional to its length.

Sample Output


Index  Close  EMA_5  Analysis
4      10     10.40  Initial value (SMA of first 5 bars)
5      20     13.60  Reactive: Moves up sharply compared to an SMA
6      21     16.07  Catching up to the new price level
7      22     18.04  Closely tracking the trend
8      23     19.70  Minimal lag compared to standard averages
9      24     21.13  Strong bullish trend signal

Double Exponential Moving Average(DEMA): The Double Exponential Moving Average attempts to achieve a smoother average with less lag than the normal Exponential Moving Average (EMA).

Sample Output


Index  Close  DEMA_5  Observation
5      110    108.45  Reacting almost instantly to the jump.
6      115    114.20  Nearly overlapping with the current price.
7      120    120.05  Effectively "zero-lag" in a strong trend.
8      125    125.80  Can actually "lead" price slightly in extreme moves.
9      130    131.50  Strongest trend-following sensitivity.

Triple Exponential Moving Average(TEMA): A less laggy Exponential Moving Average.

Sample Output


Index  Close  TEMA_5  Observation
5      115    116.20  Ultra-Fast: Overtakes price due to momentum.
6      122    125.15  Aggressively tracking the steep slope.
7      130    134.40  Maximum lag compensation.
8      135    139.10  Excellent for trailing stops in parabolic moves.
9      140    143.25  Stays "ahead" of the trend to prevent late exits.

Zero-Lag Exponential Moving Average(ZLEMA): The Zero-Lag Moving Average attempts to eliminate the lag associated with moving averages. This is an adaptation created by John Ehler and Ric Way.

Sample Output


Index  Close   SMA_5   EMA_5   ZLMA_5   Interpretation
6      115.0   104.8   107.0   116.33   ZLMA reacts instantly to the surge.
7      120.0   108.4   111.33  123.56   ZLMA stays "tight" to the new high.
8      118.0   111.4   113.56  121.37   ZLMA begins turning with the price.
9      110.0   113.4   112.37  110.25   Crossover: ZLMA is already near the price.
10     105.0   113.6   109.91  100.08   SMA/EMA are still way "above" price.
11     102.0   111.0   107.28  95.39    ZLMA captures the full move down.

Kaufman Adaptive Moving Average(KAMA): Developed by Perry Kaufman, Kaufman’s Adaptive Moving Average (KAMA) is a moving average designed to account for market noise or volatility.

Sample Output


Index  Close   KAMA    Behavior
4      100.0   100.0   Sideways: KAMA is flat, ignoring the ±1 noise.
5      105.0   100.4   Start of breakout; KAMA begins to react.
6      110.0   102.3   ER Increasing: KAMA starts accelerating.
7      115.0   106.8   Moving faster as the trend clarifies.
8      120.0   113.2   High Speed: Catching up to the trend.
9      125.0   121.1   Closely following the efficient price move.

Variable Index Dynamic Average (VIDYA): It was developed by Tushar Chande. It is similar to an Exponential Moving Average, but it has a dynamically adjusted lookback period that depends on relative price volatility, as measured by the Chande Momentum Oscillator (CMO).

Sample output


Index  Close   VIDYA    Behavior
4      100.0   99.98    Consolidation: CMO is low; VIDYA barely moves.
5      105.0   100.52   Momentum Shift: CMO spikes; VIDYA wakes up.
6      112.0   103.11   Accelerating to catch the trend.
7      120.0   107.95   Highly efficient tracking.
8      128.0   114.63   High Velocity: Minimal lag during the move.
9      135.0   122.42   Firmly supporting the uptrend.

Arnaud Legoux Moving Average(ALMA): This moving average reduces the lag of the data in conjunction with smoothing to reduce noise. Implemented for Pandas TA by rengel8 based on the source provided below.

Sample Output


Index  Close  ALMA    Interpretation
5      105.0  103.11  Catching up to the trend breakout.
6      107.0  105.12  Firmly supporting the move.
7      106.0  106.43  Pullback: Price dips, but ALMA stays steady.
8      108.0  107.18  Quickly resumes tracking as price recovers.
9      110.0  109.12  Near-zero lag at the current peak.

T3 Moving Average: Tim Tillson’s T3 Moving Average is considered a smoother and more responsive moving average relative to other moving averages.

Sample Output


Index  Close  T3_5    Interpretation
6      100.0  102.54  Price Dip: T3 begins to bend but doesn't "crash" with the price.
7      108.0  102.73  Recovery: T3 remains stable, confirming the dip was temporary.
8      112.0  104.56  Turning upward aggressively to follow the new momentum.
9      115.0  107.69  Moving vertically as the trend accelerates.
10     118.0  111.53  Catching up to the price with minimal lag.
11     120.0  115.31  Firmly supporting the new uptrend.

The Volume Weighted Moving Average (VWMA): It is a simple yet powerful technical indicator that bridges the gap between price and volume.

Sample Output


Index  Close   Volume   SMA_5   VWMA_5  Observation
5      100.00  1,000    98.00   98.50   Normal trading; SMA and VWMA are close.
6      105.00  5,000    100.00  102.80  High Vol Surge: VWMA jumps to catch the "Smart Money."
7      106.00  1,000    102.50  103.50  Price rises, but low volume keeps VWMA steady.
8      104.00  800      103.50  103.80  Minor dip on low volume; VWMA holds support.
9      98.00   6,000    102.60  100.20  High Vol Drop: VWMA crashes down immediately.

Pascal’s Weighted Moving Average: Pascal’s Weighted Moving Average is similar to a symmetric triangular window except PWMA’s weights are based on Pascal’s Triangle.

Sample Output


Index  Close   SMA_5   PWMA_5  Observation
5      100.00  98.00   99.50   Smoothly following the trend.
6      105.00  100.00  101.80  Reacts to the surge with a graceful curve.
7      110.00  103.00  105.20  Higher weights in the center stabilize the line.
8      108.00  105.80  107.90  Ignores minor "flickers" better than WMA.
9      107.00  106.00  108.10  Stays stable even as price starts to range.

Fibonacci: Fibonacci’s Weighted Moving Average is similar to a Weighted Moving Average (WMA) where the weights are based on the Fibonacci Sequence.

Sample Output


Index  Close   SMA_5   FWMA_5  Observation
5      100.00  98.00   99.10   FWMA is already hugging the current price.
6      105.00  100.00  102.45  Sharp jump: Fibonacci weights prioritize the 105.
7      110.00  103.00  107.15  FWMA captures nearly the entire move.
8      108.00  105.80  108.35  Price dips; FWMA reacts instantly to the change.
9      107.00  106.00  107.40  Trend flattens; FWMA stays tight.

The Volume Weighted Average Price (VWAP): Moving averages only look at price over time; VWAP incorporates Volume, providing the “true” average price paid for a security during a specific session.

Sample Output


Time     (TP)        Volume TP × Vol  VWAP    Analysis
09:30   100.00       1,000  100,000   100.00  Session begins.
09:35   102.00       500    51,000    100.67  Rising on low volume.
09:40   105.00       5,000  525,000   104.00  Heavy Volume: VWAP jumps to follow the "Big Money."
09:45   104.00       1,000  104,000   104.00  Consolidation near VWAP.
09:50   103.00       500    51,500    103.93  Price dips below VWAP (Bearish bias).

Weighted Moving Average (WMA): It is a step up in complexity from the Simple Moving Average (SMA). While an SMA gives equal importance to every day in the lookback period, the WMA assigns a linear weight to each data point.

Sample Output


Index  Close  SMA_5  WMA_5  Observation
1      10.0   -      -      Warming up...
5      12.0   11.00  11.33  WMA is already pulling ahead of SMA.
6      15.0   12.00  13.00  Sharp jump: WMA reacts much faster.
7      18.0   13.40  15.47  WMA captures the momentum better.
8      17.0   14.40  16.33  Price dips: WMA turns faster than SMA.

Ichimoku: Uses mid-prices (the average of the high and low over a specific period) to find the “equilibrium” of the market.

Sample Output


Index  Close   ITS_9 (Tenkan)  IKS_26 (Kijun)  ISA_9 (Span A)  ISB_26 (Span B)  ICS_26 (Chikou)
96     152.00  150.50          148.00           145.20          144.10           148.50
97     153.50  151.25          148.00           145.45          144.10           147.20
98     155.00  152.50          149.50           145.80          144.50           149.00
99     154.50  153.00          149.50           146.10          144.50           146.50
100    156.00  154.50          150.00           147.20          145.00           NaN

LINREG: LinReg attempts to find the actual current trend value.

Sample Output


Index  Close   LinReg (LSMA)  Slope (m)  Analysis
10     100.0   98.50          0.20       Strong fit; price-leading trend.
11     101.5   99.10          0.35       Slope increasing; trend accelerating.
12     102.0   100.20         0.40       Trend Follower: LinReg stays below price.
13     100.5   100.80         -0.10      Reversal: Slope turns negative; LinReg > Price.
14     99.0    99.40          -0.30      Confirmed downward trend.

5. Trend & Statistical Indicators

5.1 Trend Identification

Aroon: The Aroon indicator measures the time elapsed since the highest high and lowest low within a specific window (default is 14 periods).

Sample Output


Period   AROOND_14 (Down)   AROONU_14 (Up)   AROONOSC_14 (Oscillator)   Trend Signal
13       NaN               NaN              NaN                       Warmup period
14       21.43             92.86            71.43                     Strong Uptrend
15       14.29             100.00           85.71                     New High Reached
16       7.14              92.86            85.72                     Consolidation
17       100.00            85.71            -14.29                    Reversal (New Low)
18       92.86             78.57            -14.29                    Downward Momentum

Vortex: The Vortex Indicator (VTX) is based on the flow of water and identifies the start of a new trend. It consists of two lines: VI+ (Positive) and VI- (Negative). When these lines cross, it typically signals a trend reversal.

Sample Output


Period   Close   VTXP_14 (VI+)   VTXM_14 (VI-)   Signal
13       100.0   NaN             NaN             Warmup period
14       105.0   1.15            0.82            Bullish Trend (VI+ > VI-)
15       106.0   1.22            0.75            Strong Uptrend
16       102.0   0.98            1.05            Bearish Cross (VI- > VI+)
17       98.0    0.81            1.18            Strong Downtrend

**Linear Decay:**The Decay indicator is typically used to create a “fading” memory of a signal (like a price spike or a technical crossover). It ensures that a value stays high immediately after an event and gradually decreases until it hits zero or is “reset” by a new high price.

Sample Output


Period   Close (Input)   LDECAY_5 (Output)   Logic / Interpretation
0        0.0             0.00                Starting base.
1        1.0             1.00                Spike! Indicator matches the close.
2        0.0             0.80                1.0 − (1/5) = 0.8
3        0.0             0.60                0.8 − (1/5) = 0.6
4        0.0             0.40                0.6 − (1/5) = 0.4
5        0.5             0.50                New Signal: Price (0.5) > Decay (0.2), so it resets.
6        0.0             0.30                0.5 − (1/5) = 0.3

VHF: The Vertical Horizontal Filter (VHF) is a trend-intensity indicator. Rather than telling you the direction of the market, it helps you decide which type of indicator to use: a trend-following indicator (like Moving Averages) or a momentum oscillator (like RSI).

Sample Output


Period   Price Action          VHF_28 Value   Meaning
0-26     Loading data          NaN            Warmup
28       Aggressive Rally      0.65           Strong Trending
35       Parabolic Move        0.82           Extreme Trend (Watch for peak)
45       Choppy Sideways       0.35           Ranging Market
60       Tight Consolidation   0.15           Low Volatility / Congestion

PSAR: The Parabolic SAR (PSAR) is unique because it populates either the long column (dots below price) or the short column (dots above price), but never both at the same time.

Sample Output


Row   PSARl_0.02_0.2   PSARs_0.02_0.2   PSARaf_0.02_0.2   PSARr_0.02_0.2
0     100.00           NaN              0.02              0
1     100.04           NaN              0.02              0
2     100.12           NaN              0.04              0
3     NaN              105.00           0.02              1
4     NaN              104.88           0.02              0

Detrended Price Oscillator (DPO): It is a unique tool that strips away long-term trends to highlight short-term cycles. Unlike most oscillators that use a difference between two moving averages (like MACD), DPO compares the price to a shifted moving average.

Sample Output


Period   Close Price   DPO_20   Interpretation
10       105.00        -1.25    Below trend (trough)
11       108.00         2.10    Crossing above trend
12       112.00         5.45    Cyclical High
...      ...            ...     ...
18       115.00         NaN     Shifted (No data yet)
19       116.00         NaN     Shifted (No data yet)

Qstick: The Q Stick indicator, developed by Tushar Chande, is a simple yet effective way to quantify the “internal strength” of candlesticks over a set period. It essentially measures the average distance between the closing and opening prices.

Sample Output


Period   Open   Close   Diff (C-O)   QS_10 (SMA)   Market Sentiment
9        100    102     +2           NaN           Warmup
10       102    105     +3           0.85          Bullish Accumulation
11       105    106     +1           1.10          Rising Momentum
12       106    104     -2           0.90          Slight Pullback
13       104    100     -4           -0.15         Bearish Reversal (Cross below 0)

Choppiness Index: The Choppiness Index (CHOP) is a range-bound indicator that measures market “noise” rather than direction. Unlike the previous indicators, it doesn’t tell you if the price is going up or down; it tells you if the price is trending or sideways.

Sample Output


Period   Price Action Context                  CHOP_14_1_100   Interpretation
0-13     Warmup                                NaN             Insufficient data
14       Strong upward surge                   32.45           Trending (Low value)
15       Continued trend                       28.10           Strong Trend
16       Price stalls, starts ranging          45.30           Moving toward neutral
17       Sideways "sawtooth" movement           63.15           Choppy (High value)
18       Tight consolidation                   68.90           Highly Congested

5.2 Statistical Analysis

Variance: Variance is a statistical measure that quantifies the spread of price data points around their mean over a specific lookback period.

Sample Output


Index  Close   Mean (5-p)  VAR_5  Interpretation
4      100.0   100.0       0.00   Perfectly flat price; no variance.
5      102.0   100.4       0.80   Small movement starts increasing variance.
6      105.0   101.4       4.30   Increasing spread as price climbs.
7      115.0   104.4       37.30  Spike: Large price deviation creates high variance.
8      116.0   107.6       51.30  High volatility persists.
9      115.5   110.7       42.70  Variance stabilizes as price clusters at the new high.

Std Dev: It tells how much the price is “stretching” away from its average.

Sample Output


Index  Close   Mean (5-p)  STDEV_5  Interpretation
10     100.00  100.00      0.00     No volatility; price is flat.
11     102.00  100.50      0.89     Slight movement detected.
12     110.00  103.00      4.12     Volatility Spike: Deviation from the mean is growing.
13     112.00  106.00      5.30     Strong upward expansion.
14     108.00  108.40      3.90     Volatility cooling as prices

MAD: Mean Absolute Deviation is a robust statistical measure of market volatility.

Sample Output


Index  Close  Mean (5-p)  MAD_5  Interpretation
1      100    100.0       0.00   No deviation.
2      102    101.0       1.00   Price is 1 unit away from the mean on average.
3      105    102.3       2.04   Dispersion is increasing.
4      112    104.8       4.16   Volatility Spike: Significant stretch from mean.
5      110    107.8       3.84   Price pulls back; MAD begins to stabilize.

**Quantile:**The Rolling Quantile is a powerful statistical tool used to determine the relative standing of a current price within its recent history.

Sample Output


Index  Close  Median (q=0.5)  Upper Quantile(q=0.9)  Interpretation
20     100    98.0            102.5                  Normal price action.
21     105    98.5            104.2                 Price is "breaking out" of the 90th percentile.
22     110    99.0            108.5                  Extremely rare price territory.
23     109    100.5           109.8                  Upper threshold rising to meet the new high.
24     105    101.0           110.0             Price pulls back, but the 90% "ceiling" stays high.

Median: The Median finds the middle value in a sorted list of prices.

Sample Output


Index  Close  SMA_5  MEDIAN_5  Interpretation
10     100    100.0  100.0     Base level.
11     101    100.2  100.5     Slight upward movement.
12     120    104.2  101.0     The Spike: Median stays grounded; SMA jumps.
13     101    104.4  101.0     Price returns; Median barely moved.
14     102    104.8  101.0     SMA is still "bleeding" from the $120 spike.

Z-Score: Standardizes price relative to its mean.

Sample Output


Index  Close   Mean (20-p)  Stdev (20-p)  Z-Score  Interpretation
11     100.00  100.00       2.50          0.00     Price at equilibrium.
12     105.00  101.00       3.20          1.25     Moving into "overbought" territory.
13     110.00  102.50       3.07          2.44     Extreme: Potentially overextended.
14     108.00  103.00       3.50          1.43     Mean reversion begins.
15     95.00   102.00       4.00          -1.75    Approaching an "oversold" floor.

Skew: Skewness (or Skew) measures the asymmetry of the price distribution over a set period.

Sample Output


Index  Close  Trend     SKEW_30  Interpretation
11     100.0  Neutral   0.05     Nearly symmetrical distribution.
12     105.0  Rising    0.85     Positive Skew: Upside outliers are appearing.
13     106.0  Rising    0.60     Trend stabilizing.
14     85.0   Crash     -1.20    Negative Skew: A major downside outlier has occurred.
15     86.0   Recovery -1.10    Distribution remains heavily "left-tailed".

Kurtosis: Describe distribution shape.

Sample Output


Index  Close  Behavior          KURT_30  Interpretation
50     100.0  Steady            0.05     Normal, bell-curve behavior.
51     100.2  Range-bound       -0.50    Platykurtic: Very stable, no outliers.
52     115.0  Flash Spike       2.40     Leptokurtic: An outlier has appeared.
53     116.0  Extreme Vol       3.10     Tailedness increasing; high risk of "tail events".
54     105.0  Mean Reverting    1.80     Outliers are still dominating the 30-day window.

Entropy: Measures randomness and unpredictability.

Sample Output


Index  Close   Behavior        ENTP_10  Interpretation
20     100.5   Sideways        3.32     High randomness (market is "noisy").
21     100.2   Choppy          3.31     Maximum uncertainty.
22     105.0   Breakout        3.15     Entropy Falling: The market is finding order.
23     110.0   Strong Trend    2.95     Low randomness; high information conviction.
24     115.0   Parabolic       2.80     Market is highly ordered (Predictable momentum).

6. Cycle Indicators

Even Better Sinewave: Detects cyclical market behavior with reduced noise

Sample Output


Index  Close   EBSW Value  Signal State   Market Phase
50     150.00  0.05        Crossing Up   Cycle turning Bullish
51     152.50  0.85        Near Peak     High Momentum
52     153.00  1.00        Cycle Peak    Exhaustion point
53     152.00  0.70        Falling       Cycle Reversing
54     148.00 -0.90        Near Bottom   Deeply Oversold (Cyclical)
55     147.50 -1.00        Cycle Trough  Accumulation zone

7. Data Inputs

OHLCV Data

All technical indicators are derived from these five core inputs:

Open: Starting price.
High: Peak price.
Low: Bottom price.
Close: Final price.
Volume: Total units traded.

8. Fundamental Indicators

Earnings Indicator: The Earnings Indicator is a volatility-based trading tool designed to capture statistically significant price reactions following corporate earnings announcements. Its objective is to identify short-term momentum opportunities arising from abnormal volatility and volume following earnings releases.

Objective

The Earnings Indicator helps traders:

Detect statistically significant post-earnings moves.
Filter out “normal” volatility reactions.
Avoid low-probability trades.
Systematically execute earnings momentum strategies.

How the Indicator Works

The model is primarily driven by volatility scaling.

Core Logic

Analysis: The system analyzes intraday volatility over the past 10 trading days.
Calculation: It computes a scaled return (a volatility-adjusted price move).
Threshold: It generates a signal only if the move exceeds a defined threshold.

Default Threshold: ±1.5 Volatility Units

The selection of 1.5 is a strategic balance to ensure data quality:

Above 1.5: Indicates a significant abnormal move (Statistically significant).
Below 1.5: Often represents market noise.
Above 2.0: Results in too few trade opportunities.
Below 1.0: Generates too many low-quality, “noisy” trades.

This design avoids overfitting while successfully capturing meaningful statistical outliers.

Earnings Timing Logic (Critical)

Correct timing is essential for both live execution and backtesting accuracy. The Earnings Indicator supports two specific cases based on when the company reports:

Before Market Open (BMO)

If earnings are released before the market opens:

The strategy triggers on the same trading day.
Signal detection begins immediately upon that day’s opening.

After Market Close (AMC)

If earnings are released after the market has closed:

The strategy triggers on the next trading day (T+1).
T = The day the earnings were released.
T+1 = The day the signal detection and execution begin.

Important

This timing logic is strictly consistent for both Forward Testing and Backtesting. There is no discrepancy between live deployment and historical results, ensuring your strategy behaves as expected in all environments.

Note: Technical indicators are most effective when used in combination (e.g., a trend indicator paired with a momentum oscillator) rather than in isolation.