📊Built-In Indicators

This page goes over all the basic built-in indicators to embrace a sandbox environment. Some of the indicators haven't been rigorously tested with the new DSL changes, so they may change.

Moving Average (SMA)

  • Description: Calculates the Simple Moving Average (SMA) over a specified period.

  • Parameters:

    • period (int): The number of periods over which to calculate the average.

    • start (str): The start date for the calculation.

    • end (str): The end date for the calculation.

Example Usage:

sma_command = SMACommand(start="2023-01-01", end="2023-06-30", period=14)
sma_result = sma_command.execute(data_provider)

Relative Strength Index (RSI)

  • Description: Calculates the Relative Strength Index (RSI), a momentum oscillator that measures the speed and change of price movements.

  • Parameters:

    • period (int): The number of periods over which to calculate the RSI. Default is 14.

    • start (str): The start date for the calculation.

    • end (str): The end date for the calculation.

Example Usage:

rsi_command = RSICommand(start="2023-01-01", end="2023-06-30", period=14)
rsi_result = rsi_command.execute(data_provider)

Moving Average Convergence Divergence (MACD)

  • Description: Calculates the Moving Average Convergence Divergence (MACD), a trend-following momentum indicator that shows the relationship between two moving averages of a security’s price.

  • Parameters:

    • fast_period (int): The short period for the fast-moving average. Default is 12.

    • slow_period (int): The long period for the slow-moving average. Default is 26.

    • signal_period (int): The period for the signal line (usually 9). Default is 9.

    • start (str): The start date for the calculation.

    • end (str): The end date for the calculation.

Example Usage:

macd_command = MACDCommand(start="2023-01-01", end="2023-06-30", fast_period=12, slow_period=26, signal_period=9)
macd_result = macd_command.execute(data_provider)

Bollinger Bands

  • Description: Calculates Bollinger Bands, which are a type of statistical chart characterizing the prices and volatility over time, using a formulaic method.

  • Parameters:

    • period (int): The number of periods over which to calculate the moving average. Default is 20.

    • std_dev (float): The number of standard deviations to use for the bands. Default is 2.

    • start (str): The start date for the calculation.

    • end (str): The end date for the calculation.

Example Usage:

bollinger_command = BollingerBandsCommand(start="2023-01-01", end="2023-06-30", period=20, std_dev=2)
sma, upper_band, lower_band = bollinger_command.execute(data_provider)

Exponential Moving Average (EMA)

  • Description: Calculates the Exponential Moving Average (EMA), a type of moving average that places greater weight and significance on the most recent data points.

  • Parameters:

    • period (int): The number of periods over which to calculate the average. Default is 14.

    • start (str): The start date for the calculation.

    • end (str): The end date for the calculation.

Example Usage:

ema_command = EMACommand(start="2023-01-01", end="2023-06-30", period=14)
ema_result = ema_command.execute(data_provider)

Average True Range (ATR)

  • Description: Calculates the Average True Range (ATR), a measure of market volatility.

  • Parameters:

    • period (int): The number of periods over which to calculate the ATR. Default is 14.

    • start (str): The start date for the calculation.

    • end (str): The end date for the calculation.

Example Usage:

atr_command = ATRCommand(start="2023-01-01", end="2023-06-30", period=14)
atr_result = atr_command.execute(data_provider)

Volume Weighted Average Price (VWAP)

  • Description: Calculates the Volume Weighted Average Price (VWAP), a trading benchmark used by traders that gives the average price a security has traded at throughout the day, based on both volume and price.

  • Parameters:

    • start (str): The start date for the calculation.

    • end (str): The end date for the calculation.

Example Usage:

vwap_command = VWAPCommand(start="2023-01-01", end="2023-06-30")
vwap_result = vwap_command.execute(data_provider)
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