Indicators

1. Trend Indicators
1. moving-avg
2. moving-sd
3. EMA
4. EMA-generator
5. MACD
6. MACD-generator
7. parabolic-SAR
2. Momentum Indicators
1. ROC
2. RSI
3. RSI-generator
3. Volatility indicators
1. ATR
2. keltner-channel

This page introduces the API related to calculating stock market indicators. All the functions here without extra specified, will calculate indicator for the current date, according to the global date pointer.

Trend Indicators

moving-avg

Calculate the n days' moving average of a security.

Return

Double, if the security exists. nil otherwise.

Example

=> (moving-avg "28636" 10)

moving-sd

Calculate the n days' moving standard deviation of a security.

Return

Double, if the security exists. nil otherwise.

Example

=> (moving-sd "28636" 10)

EMA

Calculate the EMA of a security. If called the first time, will return the EMA-CYCLE-day moving average. After this, EMA will be updated based on its definition. This update process is automatic.

Relevant Parameter

EMA-CYCLE: the length of moving average when EMA first called.

Return

Double, if the security exists. nil otherwise.

Example

=> (EMA "28636")

EMA-generator

Generator of the EMA function for the specified cycle.

Return

EMA function having the same usage as above with a different cycle.

Example

=> (def EMA10 (EMA-generator 10))
=> (EMA10 "28636")
8.0375
=> (def EMA20 (EMA-generator 20))
=> (= (EMA20 "28636") (EMA "28636"))
true

MACD

Calculate the Moving average convergence / divergence of a security.

Relevant Parameter

MACD-SIGNAL: the cycle of the signal EMA MACD-SHORT: the cycle of the short EMA MACD-LONG: the cycle of the long EMA

Return

A sequence, [{MACD} {Signal EMA} {Short EMA} {Long EMA}], if the security exists. nil otherwise.

Example

=> (MACD "28636")
[-0.34999999999999787 11.182222222222222 11.185 11.534999999999998]

MACD-generator

Generator of the MACD function for the specified cycle.

Return

MACD function having the same usage as above with a different cycle.

Example

=> (def MACD102030 (MACD-generator 10 20 30))
=> (MACD102030 "28636")
[-0.03958333333333286 8.0375 8.70625 8.745833333333334]
=> (def MACD91226 (MACD-generator 9 12 26))
=> (= (MACD91226 "28636") (MACD "28636"))
true

parabolic-SAR

This function calculates the Parabolic Stop and Reverse (SAR).

Parameters:

• permno - the symbol of a security
• mode - "lazy" or "non-lazy
• af - acceleration factor
• prev-psar - SAR value of the previous period

Output:

• parabolic-SAR

Possible usages:

(let [prev-close (Double/parseDouble (get (first (get-prev-n-days :PRC 1 "OMFGA")) :PRC))]
    (println (parabolic-SAR "OMFGA" "non-lazy" 0.2 prev-close))
)

Momentum Indicators

ROC

This function calculates the Rate of Change (ROC) indicator.

Parameters:

• permno - the name of the security
• n - time window

Output:

• ROC

Possible usages:

(println (ROC "58043" 20)

RSI

This function calculates the Relative Strength Index (RSI) indicator.

Parameters:

• permno - the name of the security

Output:

• RSI

Related Parameter:

• RSI-CYCLE: By default 14.

Possible usages:

(RSI "58043" 20)

RSI-generator

This function generates user-defined Relative Strength Index (RSI) calculator.

Parameters:

• n - time window

Output:

• RSI

Possible usages:

=> (def RSI10 (RSI-generator 10))
=> (RSI10 "28636")
52.67
=> (def RSI14 (RSI-generator 14))
=> (= (RSI14 "28636") (RSI "28636"))
true

Volatility indicators

ATR

This function calculates standard deviation of a stock for the last n days.

Parameters:

• permno - the name of the security
• n - average of the daily TR values for the last n days

Possible usages:

=> (ATR "28637" 10)

keltner-channel

This function calculates the Keltner Channel value of a stock for the last n days.

Parameters:

• permno - the name of the security
• window - time window

Possible usages:

=> (keltner-channel "28637" 10)