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double | tsa::momentum (const series< double > &cl, size_t period) |
| Returns the difference between the current value of the series and the value period bars ago. More...
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double | tsa::rate_of_change (const series< double > &series, size_t period) |
| Returns the 'ROC' which is the percentage difference between the current value of the series and the value period bars ago. More...
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double | tsa::relative_strenght (const series< double > &series_a, const series< double > &series_b, size_t period) |
| Returns the 'relative strength', which is a measure of how series_a out-performed or under-performed series_b over the given period. More...
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double | tsa::true_range (const series< double > &hi, const series< double > &lo, const series< double > &cl) |
| Returns the 'true range' where the 'range' is the difference between the bar's high and low price, and the 'true range' is the range adjusted to include any overnight gaps. More...
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double | tsa::typical_price (double high, double low, double close) |
| Returns the 'typical price', which is the average of a bar's high,low,close prices. (high + low + close) / 3.0. More...
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double | tsa::volatility (const series< double > &series, size_t period) |
| This function calculates a measure of volatility by analyzing the price changes between bars over the given period. This value is then 'annualized'. For the 'annualization' to be accurate, the function must be given the correct numberOfIntervalsInYear. For 'daily' price series, the default numberOfIntervalsInYear of 252 can be used, which corresponds to the number of trading days (in the United States) per year. More...
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double tsa::volatility |
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const series< double > & |
series, |
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size_t |
period |
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This function calculates a measure of volatility by analyzing the price changes between bars over the given period. This value is then 'annualized'. For the 'annualization' to be accurate, the function must be given the correct numberOfIntervalsInYear. For 'daily' price series, the default numberOfIntervalsInYear of 252 can be used, which corresponds to the number of trading days (in the United States) per year.
If used with intraday data, the numberOfIntervalsInYear will be roughly 252 * [num bars per day].
- Parameters
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series | The series. |
period | The period. |
- Returns
- A double.