Functions
sref< double >	tsa::AD (sref< double > &open, sref< double > &highs, sref< double > &lows, sref< double > &closes, sref< double > vol)

sref< double >	tsa::AD (sref< double > &highs, sref< double > &lows, sref< double > &closes, sref< double > &vol)

sref< double >	tsa::ADX (sref< double > highs, sref< double > lows, sref< double > closes, size_t period, size_t period_smooth)
	Average Directional Index by Welles Wilder. More...

series_tuple< double >	tsa::BANDPASSFILTER (sref< double > data, size_t period, double bandwidth)
	Returns Bandpass Filter. More...

series_tuple< double >	tsa::BB (sref< double > highs, sref< double > lows, sref< double > closes, size_t period, double stdev=2.0)
	Bollinger Bands are volatility bands located a given standard deviation above and below the moving average. They were developed by John Bollinger. More...

series_tuple< double >	tsa::BEAR_POWER (sref< double > highs, sref< double > lows, sref< double > closes, size_t period=13)
	Returns the 'Bear Power' as developed by Alexander Elder. More...

series_tuple< double >	tsa::BULL_POWER (sref< double > highs, sref< double > lows, sref< double > closes, size_t period=13)
	Returns the 'Bull Power' as developed by Alexander Elder. More...

sref< double >	tsa::BUTTERWORTHMA (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Butterworth MA, 2 poles. More...

sref< double >	tsa::BUTTERWORTHMA (sref< double > data, size_t period, size_t max_period)
	Returns Static Butterworth MA, 2 poles. More...

sref< double >	tsa::BUTTERWORTHMA_3P (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Butterworth MA, 3 poles. More...

sref< double >	tsa::BUTTERWORTHMA_3P (sref< double > data, size_t period, size_t max_period)
	Returns Static Butterworth MA, 3 poles. More...

sref< double >	tsa::CCI (sref< double > highs, sref< double > lows, sref< double > closes, size_t period)
	Returns the Commodity Channel Index (CCI) as developed by Donald Lambert. It represents the difference of the current price and an average over the given period adjusted by the average deviation from the average over the given period. More...

sref< double >	tsa::CGO (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Center of Gravity Oscillator (CGO), dynamic period. More...

sref< double >	tsa::CGO (sref< double > data, size_t period, size_t max_period)
	Returns Center of Gravity Oscillator (CGO), static period. More...

sref< double >	tsa::CGO_ADAPTIVE (sref< double > data, double alpha)
	Returns Adapptive Center of Gravity Oscillator (CGO). More...

sref< double >	tsa::CHAIKIN_ADL (sref< double > highs, sref< double > lows, sref< double > closes, sref< double > volumes)
	'Chaiking Accumulation Distribution'. Measures the cummulative 'Money Flow Volume' (CHAIKIN_MFV()) into and out of a security. More...

sref< double >	tsa::CHAIKIN_MF (sref< double > highs, sref< double > lows, sref< double > closes, sref< double > volumes, size_t period)
	'Chaikin Money Flow'. Represents the 'Money Flow Volume' (CHAIKING_MFV()) over a given period of time. More...

sref< double >	tsa::CHAIKIN_MFV (sref< double > highs, sref< double > lows, sref< double > closes, sref< double > volumes)
	'Chaikin Money Flow Volume'. Measures the amount of money flowing into and out of a traded security on a given price bar. More...

sref< double >	tsa::CHAIKIN_OSC (sref< double > highs, sref< double > lows, sref< double > closes, sref< double > volumes, size_t period)
	Returns the 'Chaikin Oscilator'. More...

sref< double >	tsa::CHAIKIN_VOLAT (sref< double > highs, sref< double > lows, size_t period)
	Returns the 'Chaikin Volatility'. More...

sref< double >	tsa::CYBERCYCLE (sref< double > data, double alpha)
	Returns Cyber Cycle. More...

sref< double >	tsa::CYBERCYCLE_ADAPTIVE (sref< double > data, double alpha)
	Returns Adaptive Cyber Cycle. More...

sref< double >	tsa::CYBERCYCLE_P (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Cyber Cycle with period. More...

sref< double >	tsa::CYBERCYCLE_P (sref< double > data, size_t period, size_t max_period)
	Returns Static Cyber Cycle with period. More...

sref< double >	tsa::DCMA (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic DCMA. More...

sref< double >	tsa::DCMA (sref< double > data, size_t period, size_t max_period)
	Returns Static DCMA. More...

sref< double >	tsa::DECYCLEROSC (sref< double > data, size_t hp_period1, size_t hp_period2)
	Returns Decycler Oscillator (CAT). More...

sref< double >	tsa::DI_DN (sref< double > highs, sref< double > lows, sref< double > closes, size_t period)

sref< double >	tsa::DI_UP (sref< double > highs, sref< double > lows, sref< double > closes, size_t period)

sref< double >	tsa::DM_DN (sref< double > highs, sref< double > lows, size_t period)

sref< double >	tsa::DM_DN_RAW (sref< double > highs, sref< double > low)

sref< double >	tsa::DM_UP (sref< double > highs, sref< double > lows, size_t period)

sref< double >	tsa::DM_UP_RAW (sref< double > highs, sref< double > low)

sref< double >	tsa::DMI (sref< double > highs, sref< double > lows, sref< double > closes, size_t period)

sref< size_t >	tsa::DOMINANTCYCLEPERIOD_AC (sref< double > close)
	Returns Autocorrelation Dominant Cycle Period. More...

sref< size_t >	tsa::DOMINANTCYCLEPERIOD_HILBERT (sref< double > data)
	Returns Dominant Cycle Period using the Hilbert Transform. More...

sref< size_t >	tsa::DOMINANTCYCLEPERIOD_HOMODYNE (sref< double > data)
	Returns Dominant Cycle Period using Homodyne Discriminator. More...

sref< double >	tsa::EASE_OF_MOV (sref< double > highs, sref< double > lows, sref< double > vol, size_t smooth_period)
	Ease of Movement. More...

sref< double >	tsa::EASE_OF_MOV_RAW (sref< double > highs, sref< double > lows, sref< double > vol)
	Ease of Movement (Raw) More...

sref< double >	tsa::EMA_WILDER (sref< double > data, size_t period)
	Exponential moving average by Welles Wilder. Differs from regular EMA(). More...

sref< double >	tsa::FISHERCGO (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Fisher Center of Gravity Oscillator (FCGO). More...

sref< double >	tsa::FISHERCGO (sref< double > data, size_t period, size_t max_period)
	Returns Fisher Center of Gravity Oscillator (FCGO). More...

sref< double >	tsa::FISHERRVI (sref< double > op, sref< double > hi, sref< double > lo, sref< double > cl, sref< size_t > period, size_t max_period)
	Returns Dynamic Fisher Relative Vigour Index (FISHERRVI). More...

sref< double >	tsa::FISHERRVI (sref< double > op, sref< double > hi, sref< double > lo, sref< double > cl, size_t period, size_t max_period)
	Returns Static Fisher Relative Vigour Index (FISHERRVI). More...

sref< double >	tsa::FISHERTRANSFORM (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Fisher Transform. More...

sref< double >	tsa::FISHERTRANSFORM (sref< double > data, size_t period, size_t max_period)
	Returns Static Fisher Transform. More...

sref< double >	tsa::FORCE_INDEX (sref< double > closes, sref< double > volumes, size_t period)
	Returns the 'Force Index'. It represents a smoothing of the value returned by RAW_FORCE_INDEX(). More...

sref< double >	tsa::FORCE_INDEX_RAW (sref< double > closes, sref< double > volumes)
	Returns the 'Raw Force Index'. It represents the price change from the previous bar multiplied by volume, to provide a measure of 'force'. Developed by Alexander Elder. More...

series_tuple< double >	tsa::HILBERT_OSC (sref< double > data)
	Returns Ehlers' Hilbet Oscillator. More...

sref< double >	tsa::IFISHERCYBERCYCLE (sref< double > data, double alpha)
	Returns Inverse Fisher Cyber Cycle. More...

sref< double >	tsa::IFISHERCYBERCYCLE_P (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Inverse Fisher Cyber Cycle with period. More...

sref< double >	tsa::IFISHERCYBERCYCLE_P (sref< double > data, size_t period, size_t max_period)
	Returns Static Inverse Fisher Cyber Cycle with period. More...

sref< double >	tsa::ITREND_RST (sref< double > data)
	Returns Instantaneous Trendline. More...

sref< double >	tsa::KALMANMA (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Kalman MA. More...

sref< double >	tsa::KALMANMA (sref< double > data, size_t period, size_t max_period)
	Returns Static Kalman MA. More...

sref< double >	tsa::LAGUERREMA (sref< double > data, double gamma)
	Returns Laguerre MA. More...

sref< double >	tsa::LAGUERRERSI (sref< double > data, double gamma)
	Returns Laguerre RSI. More...

series_tuple< double >	tsa::MACD (sref< double > closes, size_t short_period=12, size_t long_period=26, size_t signal_period=9)
	Moving Average Convergence Divergence (MACD) as developed by Thomas Aspray. It measures the difference between two moving averages. The indicator is often shown as a histogram which is the difference between the MACD and a signal line (moving average of MACD). More...

series_tuple< double >	tsa::MAMA_FAMA (sref< double > data, double fast_limit, double slow_limit)
	Returns Ehlers' MAMA and FAMA. More...

sref< double >	tsa::MASS_INDEX (sref< double > closes, size_t avg_period=9, size_t avg_of_avg_period=9, size_t ratio_sum_period=25)
	Mass Index. A measure of range expansion developed by Donald Dorsey. More...

sref< double >	tsa::MFI (sref< double > highs, sref< double > lows, sref< double > closes, sref< double > vol, size_t period=14)
	Money Flow Index. More...

sref< double >	tsa::ROOFINGFILTER (sref< double > data, size_t lp_period, size_t hp_period)
	Returns Roofing Filter. More...

sref< double >	tsa::RSI (sref< double > data, size_t period)
	Relative Strength Index. More...

sref< double >	tsa::RSI_MOD (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Modified RSI. More...

sref< double >	tsa::RSI_MOD (sref< double > data, size_t period, size_t max_period)
	Returns Static Modified RSI. More...

sref< double >	tsa::RVI (sref< double > op, sref< double > hi, sref< double > lo, sref< double > cl, sref< size_t > period, size_t max_period)
	Returns Dynamic Relative Vigour Index (RVI). More...

sref< double >	tsa::RVI (sref< double > op, sref< double > hi, sref< double > lo, sref< double > cl, size_t period, size_t max_period)
	Returns Static Relative Vigour Index (RVI). More...

sref< double >	tsa::RVI_ADAPTIVE (sref< double > op, sref< double > hi, sref< double > lo, sref< double > cl, double alpha)
	Returns Adaptive Relative Vigour Index (RVI). More...

sref< double >	tsa::SAM (sref< double > data, double alpha, size_t cutoff)
	Returns Smoothed Adative Momentum (SAM). More...

series_tuple< double >	tsa::SINEWAVE_RST (sref< double > data)
	Returns Ehlers' Sinewave. More...

sref< double >	tsa::SNR_HILBERT (sref< double > high, sref< double > low, size_t period)
	Returns Static SNR (HILBERT). More...

sref< double >	tsa::SNR_RST (sref< double > high, sref< double > low)
	Returns Signal to Noise Ratio (SNR). More...

sref< double >	tsa::SRSI (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic SRSI. More...

sref< double >	tsa::SRSI (sref< double > data, size_t period, size_t max_period)
	Returns Static SRSI. More...

series_tuple< double >	tsa::STOCH (sref< double > highs, sref< double > lows, sref< double > closes, size_t period, size_t k_smooth_period=3, size_t d_smooth_period=3)
	Returns the 'smoothed' Stochastic K and D where K is a smoothed version of the Stochastic-Oscillator (STOCH_OSC()) and D is a smoothed version on K. More...

sref< double >	tsa::STOCH_OSC (sref< double > highs, sref< double > lows, sref< double > closes, size_t period)
	Returns the Stochastic Oscillator (raw Stochastic) as developed by George C. Lane. It measures the current price in relation to the given period's price range. More...

sref< double >	tsa::STOCHASTIC_MOD (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Modified Stochastic. More...

sref< double >	tsa::STOCHASTIC_MOD (sref< double > data, size_t period, size_t max_period)
	Returns Static Modified Stochastic. More...

sref< double >	tsa::SUPERSMOOTHERMA (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Supersmoother MA. More...

sref< double >	tsa::SUPERSMOOTHERMA (sref< double > data, size_t period, size_t max_period)
	Returns Static Supersmoother MA. More...

sref< double >	tsa::SUPERSMOOTHERMA_3P (sref< double > data, sref< size_t > period, size_t max_period)
	Returns Dynamic Supersmoother MA, 3 poles. More...

sref< double >	tsa::SUPERSMOOTHERMA_3P (sref< double > data, size_t period, size_t max_period)
	Returns Static Supersmoother MA, 3 poles. More...

sref< double >	tsa::TP (sref< double > highs, sref< double > lows, sref< double > closes)
	Alias for TYPICAL_PRICE(). More...

series_tuple< double >	tsa::TRIX (sref< double > closes, size_t smooth_1_period=15, size_t smooth_2_period=15, size_t smooth_3_period=15, size_t signal_period=9)
	TRIX. Represents the percent-rate-of-change of a triple exponentially smoothed average. Developed by Jack Hutson. More...

sref< double >	tsa::TRUE_RANGE (sref< double > highs, sref< double > lows, sref< double > closes)
	Returns the 'true range'. More...

sref< double >	tsa::TSI (sref< double > series, size_t smooth_1_period=25, size_t smooth_2_period=13)
	'True Strenght Indicator'. A momentum oscillator developed by William Blau. More...

sref< double >	tsa::TWIGGS_MF (sref< double > highs, sref< double > lows, sref< double > closes, sref< double > vol, size_t period=14)
	Twiggs Money Flow. More...

sref< double >	tsa::TYPICAL_PRICE (sref< double > highs, sref< double > lows, sref< double > closes)
	Returns the 'typical price'. ((hi + lo + cl) / 3.0). More...

sref< double >	tsa::ULCER_INDEX (sref< double > closes, size_t period=14)
	Ulcer Index. More...

sref< double >	tsa::ULTIMATE_OSC (sref< double > highs, sref< double > lows, sref< double > closes, size_t short_period=7, size_t medium_period=14, size_t long_period=28)
	'Ultimate Oscillator'. Developed by Larry Williams.It is a momentum indicators designed to capture the momentum across multiple timeframes. More...

sref< double >	tsa::VOLATILITY (sref< double > data, size_t period, size_t num_intervals_in_year)
	Returns the annualized volatility over the given period. More...

sref< double >	tsa::VOLATILITY_ALT (sref< double > data, size_t period)
	Alternative Volatility calculated as: STDEVP(close, period) / AVERAGE(close, period);. More...

sref< double >	tsa::WILLIAMS_R (sref< double > highs, sref< double > lows, sref< double > closes, size_t period=14)
	Returns the 'Williams R' indicator as developed by Larry Williams. It represents the inverse of the stochastic indicator STOCH(). More...

Detailed Description

Function Documentation

sref< double > tsa::ADX	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		size_t	period,
		size_t	period_smooth
	)

Average Directional Index by Welles Wilder.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
period	The period over which the indicator is calculated.
period_smooth	The period with which the raw indicator is smoothed.

Returns: A sref<double>

series_tuple< double > tsa::BANDPASSFILTER	(	sref< double >	data,
		size_t	period,
		double	bandwidth
	)

Returns Bandpass Filter.

This particular Bandpass Filter was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

bpfilter.png

Parameters

data	Data series
period	Period, normally set to 20.
bandwidth	Bandwidth factor, normally set to 0.3.

Returns: series_tuple<double>

series_tuple< double > tsa::BB	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		size_t	period,
		double	stdev = `2.0`
	)

Bollinger Bands are volatility bands located a given standard deviation above and below the moving average. They were developed by John Bollinger.

Note that the function returns a tuple of 3 series named 'upper', 'lower' and 'avg' respectively. In order to access each individual series use operator() as in:

auto bb = BB(in.high, in.low, in.close, 20, 2.0);
auto up_band  = bb("upper");
auto avg      = bb("avg");
auto low_band = bb("lower");

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
period	The period.
stdev	The standard deviation multiplier. The default value is 2.0.

Returns: A series_tuple<double>

series_tuple< double > tsa::BEAR_POWER	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		size_t	period = `13`
	)

Returns the 'Bear Power' as developed by Alexander Elder.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
period	The period.

Returns: A series_tuple<double>

series_tuple< double > tsa::BULL_POWER	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		size_t	period = `13`
	)

Returns the 'Bull Power' as developed by Alexander Elder.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
period	The period.

Returns: A series_tuple<double>

sref< double > tsa::BUTTERWORTHMA	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Butterworth MA, 2 poles.

Butterworth MA is a well known moving average. This particular implementation is by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

dbma.png

Parameters

data	Data series
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::BUTTERWORTHMA	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Butterworth MA, 2 poles.

Butterworth MA is a well known moving average. This particular implementation is by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

sbma.png

Parameters

data	Data series
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::BUTTERWORTHMA_3P	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Butterworth MA, 3 poles.

Butterworth MA is a well known moving average. This particular implementation is by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

dbma3p.png

Parameters

data	Data series
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::BUTTERWORTHMA_3P	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Butterworth MA, 3 poles.

Butterworth MA is a well known moving average. This particular implementation is by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

sbma3p.png

Parameters

data	Data series
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::CCI	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		size_t	period
	)

Returns the Commodity Channel Index (CCI) as developed by Donald Lambert. It represents the difference of the current price and an average over the given period adjusted by the average deviation from the average over the given period.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
period	The period.

Returns: A sref<double>

sref< double > tsa::CGO	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Center of Gravity Oscillator (CGO), dynamic period.

CGO was created by John Ehlers. It's a momentum type oscillator with little lag. TSAPI provides a normalised version which oscillates around zero. This is the dynamic period version.

dcgo.png

Parameters

data	Data series.
period	Dynamic lookback period.
max_period	Maximum Lookback period.

Returns: sref<double>

sref< double > tsa::CGO	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Center of Gravity Oscillator (CGO), static period.

CGO was created by John Ehlers. It's a momentum type oscillator with little lag. TSAPI provides a normalised version which oscillates around zero. This is the static period version.

scgo.png

Parameters

data	Data series.
period	Static lookback period.
max_period	Maximum Lookback period.

Returns: sref<double>

sref< double > tsa::CGO_ADAPTIVE	(	sref< double >	data,
		double	alpha
	)

Returns Adapptive Center of Gravity Oscillator (CGO).

CGO was created by John Ehlers. It's a momentum type oscillator with little lag. TSAPI provides a normalised version which oscillates around zero. This adaptive version is from the book "Cybernetic Analysis for Stocks and Futures".

acgo.png

Parameters

data	Data series.
alpha	Smoothing factor, usually set to 0.07.

Returns: sref<double>

sref< double > tsa::CHAIKIN_ADL	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		sref< double >	volumes
	)

'Chaiking Accumulation Distribution'. Measures the cummulative 'Money Flow Volume' (CHAIKIN_MFV()) into and out of a security.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
volumes	The volume.

Returns: A sref<double>

sref< double > tsa::CHAIKIN_MF	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		sref< double >	volumes,
		size_t	period
	)

'Chaikin Money Flow'. Represents the 'Money Flow Volume' (CHAIKING_MFV()) over a given period of time.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
volumes	The volumes.
period	The period.

Returns: A sref<double>

sref< double > tsa::CHAIKIN_MFV	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		sref< double >	volumes
	)

'Chaikin Money Flow Volume'. Measures the amount of money flowing into and out of a traded security on a given price bar.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
volumes	The volumes.

Returns: A sref<double>

sref<double> tsa::CHAIKIN_OSC	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		sref< double >	volumes,
		size_t	period
	)

Returns the 'Chaikin Oscilator'.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
volumes	The volumes.
period	The period.

Returns: A sref<double>

sref< double > tsa::CHAIKIN_VOLAT	(	sref< double >	highs,
		sref< double >	lows,
		size_t	period
	)

Returns the 'Chaikin Volatility'.

Parameters

highs	The highs.
lows	The lows.
period	The period.

Returns: A sref<double>

sref< double > tsa::CYBERCYCLE	(	sref< double >	data,
		double	alpha
	)

Returns Cyber Cycle.

Cyber Cycle was created by John Ehlers. It extracts, in a simple way, the cycle component of a data series.

ccycle.png

Parameters

data	Data series.
alpha	Smoothing factor, 0.07 normally used.

Returns: sref<double>

sref< double > tsa::CYBERCYCLE_ADAPTIVE	(	sref< double >	data,
		double	alpha
	)

Returns Adaptive Cyber Cycle.

Cyber Cycle was created by John Ehlers. It extracts, in a simple way, the cycle component of a data series. This adaptive version is from the book "Cybernetic Analysis for Stocks and Futures".

accycle.png

Parameters

data	Data series.
alpha	Smoothing factor, 0.07 normally used.

Returns: sref<double>

sref< double > tsa::CYBERCYCLE_P	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Cyber Cycle with period.

Cyber Cycle was created by John Ehlers. It extracts, in a simple way, the cycle component of a data series. This is a TSAPI version using a lookback period instead of alpha smoothing factor. A period of 14 is about the same as an alpha of 0.07.

dccycle_p.png

Parameters

data	Data series.
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::CYBERCYCLE_P	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Cyber Cycle with period.

Cyber Cycle was created by John Ehlers. It extracts, in a simple way, the cycle component of a data series. This is a TSAPI version using a lookback period instead of alpha smoothing factor. A period of 14 is about the same as an alpha of 0.07.

sccycle_p.png

Parameters

data	Data series.
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::DCMA	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic DCMA.

Distance Coefficent MA (DCMA) was created by John Ehlers. It's an adaptive type of MA. It uses the distance between current and previous prices to adjust the MA coefficients making it more responsive in a fast market.

ddcma.png

Parameters

data	Data series.
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::DCMA	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static DCMA.

Distance Coefficent MA (DCMA) was created by John Ehlers. It's an adaptive type of MA. It uses the distance between current and previous prices to adjust the MA coefficients making it more responsive in a fast market.

sdcma.png

Parameters

data	Data series.
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::DECYCLEROSC	(	sref< double >	data,
		size_t	hp_period1,
		size_t	hp_period2
	)

Returns Decycler Oscillator (CAT).

Decycler Oscillator was created by John Ehlers. This code is from the code in the book "Cycle Analytics for Traders" by John Ehlers.

dcoscc.png

Parameters

data	Data series
hpperiod1	Highpass period 1, usually set to 30.
hpperiod2	Highpass period 2, usually set to 60.

Returns: sref<double>

sref< size_t > tsa::DOMINANTCYCLEPERIOD_AC ( sref< double > close )

Returns Autocorrelation Dominant Cycle Period.

Autocorrelation Dominant Cycle Period is a well known Spectral Analysis method. This particular implementation was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

acdcp.png

Parameters

close Close Data series

Returns: sref<size_t>

sref< size_t > tsa::DOMINANTCYCLEPERIOD_HILBERT ( sref< double > data )

Returns Dominant Cycle Period using the Hilbert Transform.

Dominant Cycle Period using the Hilbert Transform was created by John Ehlers. TSAPI is using the version from S&C November 2000, which is slightly different from the original version. This version is preferred by John Ehlers.

dcp_hilbert.png

Parameters

data	Data series.

Returns: sref<double>

sref< size_t > tsa::DOMINANTCYCLEPERIOD_HOMODYNE ( sref< double > data )

Returns Dominant Cycle Period using Homodyne Discriminator.

Dominant Cycle Period using the Homodyne Discriminator was created by John Ehlers. The code is from the book "Rocket Science For Traders" by John Ehlers.

dcp_homodyne.png

Parameters

data	Data series.

Returns: sref<double>

sref< double > tsa::EASE_OF_MOV	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	vol,
		size_t	smooth_period
	)

Ease of Movement.

Parameters

highs	The highs.
lows	The lows.
vol	The volume.
smooth_period	The smooth period.

Returns: A sref<double>

sref< double > tsa::EASE_OF_MOV_RAW	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	vol
	)

Ease of Movement (Raw)

Parameters

highs	The highs.
lows	The lows.
vol	The volume.

Returns: A sref<double>

sref< double > tsa::EMA_WILDER	(	sref< double >	data,
		size_t	period
	)

Exponential moving average by Welles Wilder. Differs from regular EMA().

Parameters

data	The data.
period	The period.

Returns: A sref<double>

sref< double > tsa::FISHERCGO	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Fisher Center of Gravity Oscillator (FCGO).

CGO was created by John Ehlers. It's a momentum type oscillator with little lag. TSAPI provides a normalised version which oscillates around zero. Fisher Transform will normalize the values of CGO between -1 and 1 and make the pdf (probability density function) of the returned values Gaussian.

Dynamic Fisher Center of Gravity Oscillator

dfcgo.png

Parameters

data	Data series.
period	Dynamic lookback period.
max_period	Maximum Lookback period.

Returns: sref<double>

sref< double > tsa::FISHERCGO	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Fisher Center of Gravity Oscillator (FCGO).

CGO was created by John Ehlers. It's a momentum type oscillator with little lag. TSAPI provides a normalised version which oscillates around zero. Fisher Transform will normalize the values of CGO between -1 and 1 and make the pdf (probability density function) of the returned values Gaussian.

Static Fisher Center of Gravity Oscillator

sfcgo.png

Parameters

data	Data series.
period	Static lookback period.
max_period	Maximum Lookback period.

Returns: sref<double>

sref< double > tsa::FISHERRVI	(	sref< double >	op,
		sref< double >	hi,
		sref< double >	lo,
		sref< double >	cl,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Fisher Relative Vigour Index (FISHERRVI).

RVI was created by John Ehlers. It's a momentum type oscillator, returning the relationship between wick and body of a candle. Fisher Transform will normalize the values of RVI between -1 and 1 and make the pdf (probability density function) of the returned values Gaussian.

dfrvi.png

Parameters

open	Open series.
high	High series.
low	Low series.
close	Close series.
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::FISHERRVI	(	sref< double >	op,
		sref< double >	hi,
		sref< double >	lo,
		sref< double >	cl,
		size_t	period,
		size_t	max_period
	)

Returns Static Fisher Relative Vigour Index (FISHERRVI).

RVI was created by John Ehlers. It's a momentum type oscillator, returning the relationship between wick and body of a candle. Fisher Transform will normalize the values of RVI between -1 and 1 and make the pdf (probability density function) of the returned values Gaussian.

sfrvi.png

Parameters

open	Open series.
high	High series.
low	Low series.
close	Close series.
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::FISHERTRANSFORM	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Fisher Transform.

Fisher Transform was introduced to the trading community by John Ehlers. Fisher Transform will normalize the values between -1 and 1 and make the pdf (probability density function) of the returned values Gaussian.

dftransform.png

Parameters

data	Data series.
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::FISHERTRANSFORM	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Fisher Transform.

Fisher Transform was introduced to the trading community by John Ehlers. Fisher Transform will normalize the values between -1 and 1 and make the pdf (probability density function) of the returned values Gaussian.

sftransform.png

Parameters

data	Data series.
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::FORCE_INDEX	(	sref< double >	closes,
		sref< double >	volumes,
		size_t	period
	)

Returns the 'Force Index'. It represents a smoothing of the value returned by RAW_FORCE_INDEX().

Parameters

closes	The closes.
volumes	The volumes.
period	The period.

Returns: A sref<double>

sref< double > tsa::FORCE_INDEX_RAW	(	sref< double >	closes,
		sref< double >	volumes
	)

Returns the 'Raw Force Index'. It represents the price change from the previous bar multiplied by volume, to provide a measure of 'force'. Developed by Alexander Elder.

Parameters

closes	The closes.
volumes	The volumes.

Returns: A sref<double>

series_tuple< double > tsa::HILBERT_OSC ( sref< double > data )

Returns Ehlers' Hilbet Oscillator.

The Hilbert Oscillator was develoed by John Ehlers. This indicator could be used to identify turning points. The code is from the book "Cybernetic Analysis for Stocks and Futures" by John Ehlers.

hilbertosc.png

Parameters

data	Data series.

Returns: series_tuple<double>

sref< double > tsa::IFISHERCYBERCYCLE	(	sref< double >	data,
		double	alpha
	)

Returns Inverse Fisher Cyber Cycle.

Cyber Cycle created by John Ehlers. It extracts, in a simple way, the cycle component of a data series. Inverse Fisher Transform will normalize the values of Cyber Cycle between -1 and 1.

ifccycle.png

Parameters

data	Data series.
alpha	Smoothing factor, 0.07 normally used.

Returns: sref<double>

sref< double > tsa::IFISHERCYBERCYCLE_P	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Inverse Fisher Cyber Cycle with period.

Cyber Cycle created by John Ehlers. It extracts, in a simple way, the cycle component of a data series. Inverse Fisher Transform will normalize the values of Cyber Cycle between -1 and 1. This is a TSAPI version using a lookback period instead of alpha smoothing factor. A period of 14 is about the same as an alpha of 0.07.

difccycle_p.png

Parameters

data	Data series.
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::IFISHERCYBERCYCLE_P	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Inverse Fisher Cyber Cycle with period.

Cyber Cycle created by John Ehlers. It extracts, in a simple way, the cycle component of a data series. Inverse Fisher Transform will normalize the values of Cyber Cycle between -1 and 1. This is a TSAPI version using a lookback period instead of alpha smoothing factor. A period of 14 is about the same as an alpha of 0.07.

difccycle_p.png

Parameters

data	Data series.
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::ITREND_RST ( sref< double > data )

Returns Instantaneous Trendline.

Instantaneous Trendline was created by John Ehlers. The code is from the book "Rocket Science For Traders" by John Ehlers.

itrend.png

Parameters

data	Data series.

Returns: sref<double>

sref< double > tsa::KALMANMA	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Kalman MA.

Kalman MA is a well known moving average. In the past it was used for tracking in missiles.

dkalmanma.png

Parameters

data	Data series.
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::KALMANMA	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Kalman MA.

Kalman MA is a well known moving average. In the past it was used for tracking in missiles.

skalmanma.png

Parameters

data	Data series.
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::LAGUERREMA	(	sref< double >	data,
		double	gamma
	)

Returns Laguerre MA.

Laguerre MA was introduced to the trading community by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

lma.png

Parameters

data	Data series
gamma	smoothing factor, usually set to 0.5.

Returns: sref<double>

sref< double > tsa::LAGUERRERSI	(	sref< double >	data,
		double	gamma
	)

Returns Laguerre RSI.

Laguerre RSI was introduced to the trading community by John Ehlers. It's based on the Laguerre MA. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

lrsi.png

Parameters

data	Data series
gamma	smoothing factor, usually set to 0.5.

Returns: sref<double>

series_tuple< double > tsa::MACD	(	sref< double >	closes,
		size_t	short_period = `12`,
		size_t	long_period = `26`,
		size_t	signal_period = `9`
	)

Moving Average Convergence Divergence (MACD) as developed by Thomas Aspray. It measures the difference between two moving averages. The indicator is often shown as a histogram which is the difference between the MACD and a signal line (moving average of MACD).

Note that the function returns a tuple of 3 series named 'macd', 'signal' and 'hist' respectively. In order to access each individual series use operator() as in:

auto tuple = MACD(mkt.close, 12, 26, 9);
auto macd   = tuple("macd");
auto signal = tuple("signal");
auto hist   = tuple("hist");

.

Parameters

closes	The closes.
short_period	The short period.
long_period	The long period.
signal_period	The signal period.

Returns: A series_tuple<double>

series_tuple< double > tsa::MAMA_FAMA	(	sref< double >	data,
		double	fast_limit,
		double	slow_limit
	)

Returns Ehlers' MAMA and FAMA.

Mother of All Moving Averages (MAMA) and Following Adaptive Moving Average (FAMA) was created by John Ehlers. The code is from the book "Cybernetic Analysis for Stocks and Futures" by John Ehlers.

mama.png

Parameters

data	Data series.
fast_limit	Max value, usually 0.5.
slow_limit	Min value, usually 0.05.

Returns: series_tuple<double>

sref< double > tsa::MASS_INDEX	(	sref< double >	closes,
		size_t	avg_period = `9`,
		size_t	avg_of_avg_period = `9`,
		size_t	ratio_sum_period = `25`
	)

Mass Index. A measure of range expansion developed by Donald Dorsey.

Parameters

closes	The closes.
avg_period	The average period.
avg_of_avg_period	The average of average period.
ratio_sum_period	The ratio sum period.

Returns: A sref<double>

sref< double > tsa::MFI	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		sref< double >	vol,
		size_t	period = `14`
	)

Money Flow Index.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
vol	The volume.
period	The period.

Returns: A sref<double>

sref< double > tsa::ROOFINGFILTER	(	sref< double >	data,
		size_t	lp_period,
		size_t	hp_period
	)

Returns Roofing Filter.

Roofing Filter was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

rfilter.png

Parameters

data	Data series
period	Lowpass period, normally set to 10.
period	Highpass period, normally set to 48.

Returns: sref<double>

sref< double > tsa::RSI	(	sref< double >	data,
		size_t	period
	)

Relative Strength Index.

Parameters

data	The data series.
period	The period.

Returns: A sref<double>

sref< double > tsa::RSI_MOD	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Modified RSI.

Modified RSI was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

dmrsi.png

Parameters

data	Data series
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::RSI_MOD	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Modified RSI.

Modified RSI was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

smrsi.png

Parameters

data	Data series
period	Static lookback period, normally set to 20.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::RVI	(	sref< double >	op,
		sref< double >	hi,
		sref< double >	lo,
		sref< double >	cl,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Relative Vigour Index (RVI).

RVI was created by John Ehlers. It's a momentum type oscillator, returning the relationship between wick and body of a candle.

drvi.png

Parameters

open	Open series.
high	High series.
low	Low series.
close	Close series.
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::RVI	(	sref< double >	op,
		sref< double >	hi,
		sref< double >	lo,
		sref< double >	cl,
		size_t	period,
		size_t	max_period
	)

Returns Static Relative Vigour Index (RVI).

RVI was created by John Ehlers. It's a momentum type oscillator, returning the relationship between wick and body of a candle.

srvi.png

Parameters

open	Open series.
high	High series.
low	Low series.
close	Close series.
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::RVI_ADAPTIVE	(	sref< double >	op,
		sref< double >	hi,
		sref< double >	lo,
		sref< double >	cl,
		double	alpha
	)

Returns Adaptive Relative Vigour Index (RVI).

RVI was created by John Ehlers. It's a momentum type oscillator, returning the relationship between wick and body of a candle. This adaptive version is from the book "Cybernetic Analysis for Stocks and Futures".

arvi.png

Parameters

open	Open series.
high	High series.
low	Low series.
close	Close series.
alpha	Smoothing factor, usually set to 0.07.

Returns: sref<double>

sref< double > tsa::SAM	(	sref< double >	data,
		double	alpha,
		size_t	cutoff
	)

Returns Smoothed Adative Momentum (SAM).

Smoothed Adative Momentum was created by John Ehlers. It's basically just momentum but smoothed and made adaptive. This version is from the book "Cybernetic Analysis for Stocks and Futures".

sam.png

Parameters

data	Data series.
alpha	Smoothing factor, 0.07 normally used.
cutoff	Period cutoff, 8 is normally used

Returns: sref<double>

series_tuple< double > tsa::SINEWAVE_RST ( sref< double > data )

Returns Ehlers' Sinewave.

The Sinewave was develoed by John Ehlers. This indicator could be used to identify turning points. The code is from the book "Rocket Sience For Traders" by John Ehlers.

sinewave.png

Parameters

data	Data series.

Returns: series_tuple<double>

sref< double > tsa::SNR_HILBERT	(	sref< double >	high,
		sref< double >	low,
		size_t	period
	)

Returns Static SNR (HILBERT).

Signal to Noise Ratio (SNR) using the Hilbert Transform was created by John Ehlers. In the TSAPI version the lookback period can be changed. Ehlers used a fixed 7 bar lookback period for normalizing input data. A SNR value above 6 dB indicates the signal is twice as strong as the noise. Noise is defined as High-Low range.

snr_hilbert.png

Parameters

data	Data series.
period	Static lookback period, usually set to 7.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::SNR_RST	(	sref< double >	high,
		sref< double >	low
	)

Returns Signal to Noise Ratio (SNR).

Signal to Noise Ratio (SNR) using the Homodyne Discriminator was created by John Ehlers. A SNR value above 6 dB indicates the signal is twice as strong as the noise. Noise is defined as High-Low range. The code is from the book "Rocket Science For Traders" by John Ehlers.

snr_hilbert.png

Parameters

data	Data series.
period	Lookback period, normally set to 7.

Returns: sref<double>

sref< double > tsa::SRSI	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic SRSI.

Smoothed RSI (SRSI) was created by John Ehlers. Please note that Ehlers version of RSI is not calculated exactly the same way as the original RSI.

srsi.png

Parameters

data	Data series.
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::SRSI	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static SRSI.

Smoothed RSI (SRSI) was created by John Ehlers. Please note that Ehlers version of RSI is not calculated exactly the same way as the original RSI.

srsi.png

Parameters

data	Data series.
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

series_tuple< double > tsa::STOCH	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		size_t	period,
		size_t	k_smooth_period = `3`,
		size_t	d_smooth_period = `3`
	)

Returns the 'smoothed' Stochastic K and D where K is a smoothed version of the Stochastic-Oscillator (STOCH_OSC()) and D is a smoothed version on K.

Note that the function returns a tuple of 2 series named 'K', 'D' respectively. In order to access each individual series use operator() as in:

auto tuple = STOCH(mkt.high, mkt.low, mkt.close, 3, 3);
auto k = tuple("K");
auto d = tuple("D");

.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
period	The period.
k_smooth_period	The K smooth period.
d_smooth_period	The D smooth period.

Returns: A series_tuple<double>

sref< double > tsa::STOCH_OSC	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		size_t	period
	)

Returns the Stochastic Oscillator (raw Stochastic) as developed by George C. Lane. It measures the current price in relation to the given period's price range.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
period	The period.

Returns: A sref<double>

sref< double > tsa::STOCHASTIC_MOD	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Modified Stochastic.

Modified Stochastic was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

dmstoc.png

Parameters

data	Data series
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::STOCHASTIC_MOD	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Modified Stochastic.

Modified Stochastic was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

smstoc.png

Parameters

data	Data series
period	Static lookback period, normally set to 20.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::SUPERSMOOTHERMA	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Supersmoother MA.

Supersmoother MA was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

dssma.png

Parameters

data	Data series
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::SUPERSMOOTHERMA	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Supersmoother MA.

Supersmoother MA was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

sssma.png

Parameters

data	Data series
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::SUPERSMOOTHERMA_3P	(	sref< double >	data,
		sref< size_t >	period,
		size_t	max_period
	)

Returns Dynamic Supersmoother MA, 3 poles.

Supersmoother MA was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

dssma3p.png

Parameters

data	Data series
period	Dynamic lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::SUPERSMOOTHERMA_3P	(	sref< double >	data,
		size_t	period,
		size_t	max_period
	)

Returns Static Supersmoother MA, 3 poles.

Supersmoother MA was created by John Ehlers. The code is from the book "Cycle Analytics for Traders" by John Ehlers.

sssma3p.png

Parameters

data	Data series
period	Static lookback period.
max_period	Maximum lookback period.

Returns: sref<double>

sref< double > tsa::TP	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes
	)

Alias for TYPICAL_PRICE().

Parameters

highs	The highs.
lows	The lows.
closes	The closes.

Returns: A sref<double>

series_tuple< double > tsa::TRIX	(	sref< double >	closes,
		size_t	smooth_1_period = `15`,
		size_t	smooth_2_period = `15`,
		size_t	smooth_3_period = `15`,
		size_t	signal_period = `9`
	)

TRIX. Represents the percent-rate-of-change of a triple exponentially smoothed average. Developed by Jack Hutson.

Parameters

closes	The closes.
smooth_1_period	The smooth 1 period.
smooth_2_period	The smooth 2 period.
smooth_3_period	The smooth 3 period.
signal_period	The signal period.

Returns: A series_tuple<double>

sref< double > tsa::TRUE_RANGE	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes
	)

Returns the 'true range'.

Calculated as: a = hi[0] - lo[0]; b = hi[0] - cl[1]; c = cl[1] - lo[0]; true_range = max( max(a, b), c);

Parameters

highs	The highs.
lows	The lows.
closes	The closes.

Returns: A sref<double>

sref< double > tsa::TSI	(	sref< double >	series,
		size_t	smooth_1_period = `25`,
		size_t	smooth_2_period = `13`
	)

'True Strenght Indicator'. A momentum oscillator developed by William Blau.

Parameters

series	The series
smooth_1_period	The first period smooth.
smooth_2_period	The second period smooth.

Returns: A sref<double>

sref< double > tsa::TWIGGS_MF	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		sref< double >	vol,
		size_t	period = `14`
	)

Twiggs Money Flow.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
vol	The volume.
period	The period.

Returns: A sref<double>

sref< double > tsa::TYPICAL_PRICE	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes
	)

Returns the 'typical price'. ((hi + lo + cl) / 3.0).

Parameters

highs	The highs.
lows	The lows.
closes	The closes.

Returns: A sref<double>

sref< double > tsa::ULCER_INDEX	(	sref< double >	closes,
		size_t	period = `14`
	)

Ulcer Index.

Parameters

closes	The closes.
period	The period.

Returns: A sref<double>

sref< double > tsa::ULTIMATE_OSC	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		size_t	short_period = `7`,
		size_t	medium_period = `14`,
		size_t	long_period = `28`
	)

'Ultimate Oscillator'. Developed by Larry Williams.It is a momentum indicators designed to capture the momentum across multiple timeframes.

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
short_period	The short period.
medium_period	The medium period.
long_period	The long period.

Returns: A sref<double>

sref< double > tsa::VOLATILITY	(	sref< double >	data,
		size_t	period,
		size_t	num_intervals_in_year
	)

Returns the annualized volatility over the given period.

A return value of 0.15 corresponds to an annualized volatility of 15%.

Parameters

data	The data.
period	The period.
num_intervals_in_year	Number of intervals in years.

Returns: A sref<double>

sref< double > tsa::VOLATILITY_ALT	(	sref< double >	data,
		size_t	period
	)

Alternative Volatility calculated as: STDEVP(close, period) / AVERAGE(close, period);.

Parameters

data	The data.
period	The period.

Returns: A sref<double>

sref< double > tsa::WILLIAMS_R	(	sref< double >	highs,
		sref< double >	lows,
		sref< double >	closes,
		size_t	period = `14`
	)

Returns the 'Williams R' indicator as developed by Larry Williams. It represents the inverse of the stochastic indicator STOCH().

Parameters

highs	The highs.
lows	The lows.
closes	The closes.
period	The period.

Returns: A sref<double>

Functions

Detailed Description

Function Documentation