Trading System API  3.0
Library for Simulating and Deploying Trading and Investment Strategies
Math / Statistical Functions

Classes

struct  tsa::r_tuple
 Return tuple of LinearRegression function. More...
 

Functions

double tsa::average (const series< double > &data, size_t period)
 Returns the the average value of data with given period.
 
double tsa::average_variable (const series< double > &data, size_t var_period, size_t max_period)
 Returns the the average value of data with a variable period, where the period is capped at max_period.
 
double tsa::average_weighted (const series< double > &data, size_t period)
 Returns the weighted average value of data over given period.
 
double tsa::cap (double number, double max)
 Returns the lower of number or max.
 
double tsa::cap_floor (double number, double min, double max)
 Returns number if number is between max and min, else max if above, or min if below.
 
double tsa::const_e (void)
 Returns the value of E as 2.718281828459045235.
 
double tsa::const_phi (void)
 Returns the value of Phi (Golden Ratio) as 1.61803398874989.
 
double tsa::const_pi (void)
 defines the value of Pi as 3.14159265358979323846264.
 
double tsa::correlation (const series< double > &x, const series< double > &y, size_t period)
 Returns the correlation coefficient of series and series over given period.
 
double tsa::degrees (double radians)
 Converts radians to degrees.
 
double tsa::floor (double number, double min)
 Returns the higher of number or min.
 
double tsa::highest (const series< double > &series, size_t period)
 Returns the highest value found in series over given .
 
r_tuple tsa::linear_regression (const series< double > &series, size_t period)
 Returns various regression measures of series against time over given period.
 
double tsa::lowest (const series< double > &series, size_t period)
 Returns the smallest value found in series over given .
 
double tsa::max (const series< double > &series, size_t period)
 Returns the highest value found in series over given .
 
double tsa::min (const series< double > &series, size_t period)
 Returns the smallest value found in series over given .
 
double tsa::radians (double degrees)
 Converts degrees to radians.
 
double tsa::safe_divide (double numerator, double denominator, double denominator_adjust=10e-9)
 This function avoids 'division by zero' errors by adding denominator_adjust to denominator when it is equal to 0.0.
 
double tsa::sqrt (double arg)
 Returns the square root of the given argument. Throws an exception if given arg is smaller than 0.0.
 
double tsa::square (double arg)
 Returns a square of the given argument. Same as std::pow(arg,2).
 
double tsa::stdev (const series< double > &data, size_t period)
 Returns the population standard deviation in data over period.
 
int64_t tsa::trunc (double value)
 Returns the integer portion of value.
 
double tsa::variance (const series< double > &data, size_t period)
 Returns the population variance in data over period.
 
double tsa::WMA (const series< double > &data, size_t period)
 Returns the weighted average value of data over given period.
 

Detailed Description