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Indicators

CurrentModule = Trading

The basic Components like Open, Close, High, Low, Volume and their Difference or RelativeDifference components can be used to generate derived Components like:

  • [SMA{horizon, base_T}](@ref SMA): simple moving average over a window/horizon
  • [EMA{horizon, base_T}](@ref EMA): exponential moving average over a window/horizon
  • [MovingStdDev{horizon, base_T}](@ref MovingStdDev): moving standard deviation over a window/horizon
  • [RSI{horizon, base_T}](@ref RSI): moving relative strength index over a window/horizon
  • [Bollinger{horizon, base_T}](@ref Bollinger): Up and Down Bollinger bands

These indicators can be requested by Strategy systems for example:

struct TestStrat <: System

Overseer.requested_components(::TestStrat) = (SMA{20, Close}, RSI{14, Open})

This leads that for any asset that TestStrat should be used on will automatically generate these derived Indicators as the data flows in. It is also used by new_entities to iterate over the new entities in a AssetLedger that hold the requested components for a given Strategy. reset! on the other hand clears all the data for the requested components of a strategy in a AssetLedger. This is useful for example to not use the data of the previous day when calculating moving averages etc.

function update(s::TestStrat, trader, asset_ledgers)
    curt = current_time(trader)
    if is_market_open(curt)
        for l in asset_ledgers
            # This clears the SMA{20, Close} and RSI{14, Open} Components from l
            reset!(l, s)
        end
    end
    for l in asset_ledgers
        for e in new_entities(l, s)
            # do something with e

            # e[SMA{20, Close}] accesses the SMA
            # e[RSI{14, Open}] accesses the RSI
        end
    end
end

Each e in the above example will be seen only once. See the Strategies tutorial for more info.

Reference

Trading.SMA
Trading.MovingStdDev
Trading.EMA
Trading.RSI
Trading.Bollinger
Trading.Sharpe
Trading.new_entities
Trading.reset!(::Trading.AssetLedger, ::Any)

[Systems](@id indicator_systems)

Trading.SMACalculator
Trading.MovingStdDevCalculator
Trading.EMACalculator
Trading.RSICalculator
Trading.BollingerCalculator
Trading.SharpeCalculator