Functions
template<typename T >
sref< T >	tsa::ABS (sref< T > data)
	Returns the absolute value of data. More...

sref< double >	tsa::ACCUMULATE (sref< double > value, const std::function< bool(double)> &func)
	Computes the sum of all values in data since strategy start for which func returns true. More...

sref< double >	tsa::ACCUMULATE (sref< double > data, size_t period, const std::function< bool(double)> &func)
	Computes the sum of all values in data over the given period for which func returns true. More...

sref< double >	tsa::ATAN (sref< double > arg)
	Returns the arc-tangent of arg. More...

sref< double >	tsa::AVERAGE (sref< double > data, size_t period)
	Returns the average value over the given period. More...

sref< double >	tsa::CAP (sref< double > value, double cap)
	Caps value at cap. If value is larger than cap, then cap is returned, else value. More...

sref< double >	tsa::CAP (sref< double > value, sref< double > cap)
	Caps value at cap. If value is larger than cap, then cap is returned, else value. More...

sref< double >	tsa::COS (sref< double > arg)
	Computes the cosine of arg (measured in radians). More...

sref< double >	tsa::E (void)
	Returns a value of 'e' as a series of constants (2.718281828459045235).

sref< double >	tsa::EMA (sref< double > data, size_t period)
	Returns the 'Exponential Moving Average' with the given period. More...

sref< double >	tsa::EXP (sref< double > power)
	Raises const 'E' to the given power. The inverse of LN(). More...

sref< double >	tsa::FLOOR (sref< double > value, double floor)
	Floors value at floor. If value is smaller than floor, then floor is returned, else value. More...

sref< double >	tsa::FLOOR (sref< double > value, sref< double > floor)
	Floors value at floor. If value is smaller than floor, then floor is returned, else value. More...

sref< bool >	tsa::FP_EQUAL (sref< double > a, sref< double > b, double tolerance=1e-12)
	Returns 'true' if a and b are identical to within the given tolerance. More...

sref< double >	tsa::HIGHEST (sref< double > data, size_t period)
	Returns the maximum value in data over the given period.

sref< double >	tsa::INNER_PRODUCT (sref< double > x, sref< double > y, size_t period)
	Returns the 'inner product' of x and y over the given period.

sref< double >	tsa::LN (sref< double > value)
	Returns the natural logarithm of value. More...

sref< double >	tsa::LOG10 (sref< double > value)
	Returns the log10 logarithm of value. More...

sref< double >	tsa::LOWEST (sref< double > data, size_t period)
	Returns the minimum value in data over the given period.

sref< double >	tsa::MAX (sref< double > data, size_t period)
	Returns the maximum value in data over the given period.

sref< double >	tsa::MAX (sref< double > a, sref< double > b)
	Returns the larger of a or b. More...

sref< double >	tsa::MAX (sref< double > data, sref< size_t > dynamic_period, size_t max_period)
	Returns the largest value in data over the given dynamic_period. max_period is the maximum value that dynamic_period is allowed to have. More...

sref< double >	tsa::MEAN_DEV (sref< double > data, sref< double > custom_mean, size_t period)
	Returns the average deviation between values in and the current value of custom_mean over the given period. More...

sref< double >	tsa::MEAN_DEV (sref< double > data, size_t period)
	Returns the average deviation between the values in and their average over the given period. More...

sref< double >	tsa::MEAN_DEV2 (sref< double > data, sref< double > custom_mean, size_t period)
	Returns the average deviation squared between values in and the current value of custom_mean over the given period. More...

sref< double >	tsa::MEAN_DEV2 (sref< double > data, size_t period)
	Returns the average deviation squared between the values in and their average over the given period. More...

sref< double >	tsa::MEDIAN (sref< double > data, size_t period)
	Returns the median of data over the given period. More...

sref< double >	tsa::MIN (sref< double > data, size_t period)
	Returns the minimum value in data over the given period.

sref< double >	tsa::MIN (sref< double > a, sref< double > b)
	Returns the smaller of a or b. More...

sref< double >	tsa::MIN (sref< double > data, sref< size_t > dynamic_period, size_t max_period)
	Returns the smallest value in data over the given dynamic_period. max_period is the maximum value that dynamic_period is allowed to have. More...

sref< double >	tsa::PHI (void)
	Returns a value of 'phi' as a series of constants (1.61803398874989).

sref< double >	tsa::PI (void)
	Returns a value of 'pi' as a series of constants (3.14159265358979323846264).

sref< double >	tsa::POW (sref< double > base, double exponent)
	Returns base raised to the power of exponent. More...

sref< double >	tsa::POW_DYN (sref< double > base, sref< double > exponent)
	Returns base raised to the power of exponent. More...

sref< double >	tsa::ROLLING_SUM (sref< double > value)
	Returns the rolling sum of all value items since the start of the strategy. More...

sref< double >	tsa::SAFE_DIVIDE (sref< double > numerator, sref< double > denominator, double denominator_adjust=1e-9)
	Divides numerator by denominator. If denominator is 0.0, then denominator_adjust is used instead of denominator to avoid division by zero. More...

sref< double >	tsa::SIN (sref< double > arg)
	Computes the sine of arg (measured in radians). More...

sref< double >	tsa::SMA (sref< double > data, size_t period)
	Returns the Symmetric Moving Average over the given period. (Alias for AVERAGE()) More...

sref< double >	tsa::SQRT (sref< double > value)
	Returns the square root of value. More...

sref< double >	tsa::STDEVP (sref< double > data, size_t period)
	Returns the population standard deviation of data over given period. More...

sref< double >	tsa::SUM (sref< double > data, size_t period)
	Returns the sum of data over the given period. More...

sref< double >	tsa::SUM (sref< double > data, sref< size_t > dynamic_period, size_t max_period)
	Returns the sum of data over the given dynamic_period. max_period is the maximum value that dynamic_period is allowed to have. More...

sref< double >	tsa::SUM_DEV (sref< double > ser, sref< double > mean, size_t period)

sref< double >	tsa::SUM_DEV (sref< double > data, size_t period)
	Returns the 'sum of deviations from mean' over the given period.

sref< double >	tsa::SUM_DEV2 (sref< double > data, sref< double > custom_mean, size_t period)
	Returns the 'sum of deviations squared from custom_mean' over the given period.

sref< double >	tsa::SUM_DEV2 (sref< double > data, size_t period)
	Returns the 'sum of deviations squared from mean' over the given period.

sref< double >	tsa::SUM_NEG (sref< double > data, size_t period)
	Returns the 'sum of negatives' over the given period. More...

sref< double >	tsa::SUM_POS (sref< double > data, size_t period)
	Returns the 'sum of positives' over the given period. More...

sref< double >	tsa::SUM_SQ (sref< double > data, size_t period)
	Returns the 'sum of squares' over the given period. More...

sref< double >	tsa::SUM_XY (sref< double > x, sref< double > y, size_t period)
	Returns the 'sum of xy' over the given period*.

sref< double >	tsa::TAN (sref< double > arg)
	Computes the tangent of arg, measured in radians. More...

sref< double >	tsa::VARP (sref< double > data, size_t period)
	Returns the population variance of data over given period. More...

Detailed Description

Function Documentation

template<typename T >

sref<T> tsa::ABS ( sref< T > data )

Returns the absolute value of data.

Template Parameters

T	template arg.

Parameters

data The data.

Returns: A sref<T>

sref< double > tsa::ACCUMULATE	(	sref< double >	value,
		const std::function< bool(double)> &	func
	)

Computes the sum of all values in data since strategy start for which func returns true.

Parameters

value	The value.
func	The function.

Returns: A sref<double>

sref< double > tsa::ACCUMULATE	(	sref< double >	data,
		size_t	period,
		const std::function< bool(double)> &	func
	)

Computes the sum of all values in data over the given period for which func returns true.

Parameters

data	The data.
period	The period.
func	The function.

Returns: A sref<double>

sref< double > tsa::ATAN ( sref< double > arg )

Returns the arc-tangent of arg.

Parameters

arg	The argument.

Returns: A sref<double>

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

Returns the average value over the given period.

Parameters

data	The data.
period	The period.

Returns: The average value.

sref< double > tsa::CAP	(	sref< double >	value,
		double	cap
	)

Caps value at cap. If value is larger than cap, then cap is returned, else value.

Parameters

value	The value.
cap	The capability.

Returns: A sref<double>

sref< double > tsa::CAP	(	sref< double >	value,
		sref< double >	cap
	)

Caps value at cap. If value is larger than cap, then cap is returned, else value.

Parameters

value	The value.
cap	The capability.

Returns: A sref<double>

sref< double > tsa::COS ( sref< double > arg )

Computes the cosine of arg (measured in radians).

Parameters

arg	The argument.

Returns: A sref<double>

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

Returns the 'Exponential Moving Average' with the given period.

Parameters

data	The data.
period	The period.

Returns: A sref<double>

sref< double > tsa::EXP ( sref< double > power )

Raises const 'E' to the given power. The inverse of LN().

Parameters

power The power.

Returns: A sref<double>

sref< double > tsa::FLOOR	(	sref< double >	value,
		double	floor
	)

Floors value at floor. If value is smaller than floor, then floor is returned, else value.

Parameters

value	The value.
floor	The floor.

Returns: A sref<double>

sref< double > tsa::FLOOR	(	sref< double >	value,
		sref< double >	floor
	)

Floors value at floor. If value is smaller than floor, then floor is returned, else value.

Parameters

value	The value.
floor	The floor.

Returns: A sref<double>

sref< bool > tsa::FP_EQUAL	(	sref< double >	a,
		sref< double >	b,
		double	tolerance = `1e-12`
	)

Returns 'true' if a and b are identical to within the given tolerance.

Parameters

a	Series a.
b	Series b.
tolerance	The tolerance.

Returns: A sref<bool>

sref< double > tsa::LN ( sref< double > value )

Returns the natural logarithm of value.

Parameters

value The value.

Returns: A sref<double>

sref< double > tsa::LOG10 ( sref< double > value )

Returns the log10 logarithm of value.

Parameters

value The value.

Returns: A sref<double>

sref< double > tsa::MAX	(	sref< double >	a,
		sref< double >	b
	)

Returns the larger of a or b.

Parameters

a	Series a.
b	Series b.

Returns: The maximum value.

sref< double > tsa::MAX	(	sref< double >	data,
		sref< size_t >	dynamic_period,
		size_t	max_period
	)

Returns the largest value in data over the given dynamic_period. max_period is the maximum value that dynamic_period is allowed to have.

Parameters

data	The data.
dynamic_period	The dynamic period.
max_period	The maximum period.

Returns: The maximum value.

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

Returns the average deviation between values in and the current value of custom_mean over the given period.

Parameters

data	The data.
custom_mean	The custom mean.
period	The period.

Returns: A sref<double>

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

Returns the average deviation between the values in and their average over the given period.

Parameters

data	The data.
period	The period.

Returns: A sref<double>

sref< double > tsa::MEAN_DEV2	(	sref< double >	data,
		sref< double >	custom_mean,
		size_t	period
	)

Returns the average deviation squared between values in and the current value of custom_mean over the given period.

Parameters

data	The data.
custom_mean	The custom mean.
period	The period.

Returns: A sref<double>

sref< double > tsa::MEAN_DEV2	(	sref< double >	data,
		size_t	period
	)

Returns the average deviation squared between the values in and their average over the given period.

Parameters

data	The data.
period	The period.

Returns: A sref<double>

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

Returns the median of data over the given period.

Returns the median over the given period.

Parameters

data	The data.
period	The period.

Returns: The median value.

sref< double > tsa::MIN	(	sref< double >	a,
		sref< double >	b
	)

Returns the smaller of a or b.

Parameters

a	Series a.
b	Series b.

Returns: The maximum value.

sref< double > tsa::MIN	(	sref< double >	data,
		sref< size_t >	dynamic_period,
		size_t	max_period
	)

Returns the smallest value in data over the given dynamic_period. max_period is the maximum value that dynamic_period is allowed to have.

Parameters

data	The data.
dynamic_period	The dynamic period.
max_period	The maximum period.

Returns: The minimum value.

sref< double > tsa::POW	(	sref< double >	base,
		double	exponent
	)

Returns base raised to the power of exponent.

Parameters

base	The base.
exp	The exponent.

Returns: A sref<double>

sref< double > tsa::POW_DYN	(	sref< double >	base,
		sref< double >	exponent
	)

Returns base raised to the power of exponent.

Parameters

base	The base.
exponent	The exponent.

Returns: A sref<double>

sref< double > tsa::ROLLING_SUM ( sref< double > value )

Returns the rolling sum of all value items since the start of the strategy.

Parameters

value The value.

Returns: A sref<double>

sref< double > tsa::SAFE_DIVIDE	(	sref< double >	numerator,
		sref< double >	denominator,
		double	denominator_adjust = `1e-9`
	)

Divides numerator by denominator. If denominator is 0.0, then denominator_adjust is used instead of denominator to avoid division by zero.

Parameters

numerator	The numerator.
denominator	The denominator.
denominator_adjust	The denominator adjust.

Returns: A sref<double>

sref< double > tsa::SIN ( sref< double > arg )

Computes the sine of arg (measured in radians).

Parameters

arg	The argument.

Returns: A sref<double>

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

Returns the Symmetric Moving Average over the given period. (Alias for AVERAGE())

Parameters

ser	The data.
period	The period.

Returns: A sref<double>

sref< double > tsa::SQRT ( sref< double > value )

Returns the square root of value.

Parameters

value The value.

Returns: A sref<double>

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

Returns the population standard deviation of data over given period.

Parameters

data	The data.
period	The period.

Returns: A sref<double>

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

Returns the sum of data over the given period.

Parameters

data	The data.
period	The period.

Returns: A sref<double>

sref< double > tsa::SUM	(	sref< double >	data,
		sref< size_t >	dynamic_period,
		size_t	max_period
	)

Returns the sum of data over the given dynamic_period. max_period is the maximum value that dynamic_period is allowed to have.

Parameters

data	The data.
dynamic_period	The dynamic period.
max_period	The maximum period.

Returns: A sref<double>

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

Returns the 'sum of deviations from custom_mean' over the given period. Only the current value of custom_mean is used.

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

Returns the 'sum of negatives' over the given period.

Parameters

data	The data.
period	The period.

Returns: The total number of negative.

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

Returns the 'sum of positives' over the given period.

Parameters

data	The data.
period	The period.

Returns: The total number of position.

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

Returns the 'sum of squares' over the given period.

Parameters

data	The data.
period	The period.

Returns: The total number of sq.

sref< double > tsa::TAN ( sref< double > arg )

Computes the tangent of arg, measured in radians.

Parameters

arg	The argument.

Returns: A sref<double>

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

Returns the population variance of data over given period.

Parameters

data	The data.
period	The period.

Returns: A sref<double>

Functions

Detailed Description

Function Documentation