New_Concepts_in_Technical_Trading_Systems

2023年12月29日

Library "New_Concepts_in_Technical_Trading_Systems"
A library for trading with mathematical indicators as described by J. Welles Wilder Jr. in 1978

psar(highSeries, lowSeries, closeSeries, start, increment, max)
  psar calculates the parabolic SAR for the given series. Uses defaults as described by Wilder
  Parameters:
    highSeries (float): the series of high price values
    lowSeries (float): the series of low price values
    closeSeries (float): the series of close price values
    start (float): the initial acceleration factor
    increment (float): amount the acceleration factor is incremented each step
    max (float): the maximum acceleration factor
  Returns: the value of the stop and reverse price

momentum(closeSeries)
  momentum calculates the momentum value, representing an acceleration of the current trend direction. Also calculates the trend balancing point which is a pivot to the momentum increasing or decreasing.
  Parameters:
    closeSeries (float): the series of close price values
  Returns: the value of the momentum and the next trend balance point

2023年12月30日

版本注释

v2 - where I realized the I've gotten the concepts wrong when looking at momentum.

I previously thought the trend balancing point was the same for long and short directions, which gave me weird results using a strategy on top of it. Realizing that, I thought it to be much more ergonomic using separate functions for the balance points instead of returning a tuple of values.

new:
nextTrendBalancePointShort(closeSeries)
  calculates the trend balance point for the next candle when short
  Parameters:
    closeSeries (float): the series of close price values
  Returns: the point the price must close above in order to reverse the current position

nextTrendBalancePointLong(closeSeries)
  calculates the trend balance point for the next candle when long
  Parameters:
    closeSeries (float): the series of close price values
  Returns: the point the price must close below in order to reverse the current position

changed:
psar(highSeries, lowSeries, closeSeries, start, increment, max)
  calculates the parabolic SAR for the given series. Uses defaults as described by Wilder
  Parameters:
    highSeries (float): the series of high price values
    lowSeries (float): the series of low price values
    closeSeries (float): the series of close price values
    start (float): the initial acceleration factor
    increment (float): amount the acceleration factor is incremented each step
    max (float): the maximum acceleration factor
  Returns: the value of the stop and reverse price

momentum(closeSeries)
  calculates the momentum value, representing an acceleration of the current trend direction
  Parameters:
    closeSeries (float): the series of close price values
  Returns: the value of the momentum