Momentum Indicator

Rate of Change

Syntax: roc(period)

Arguments:

• period - the length of period to use in the calculation

Return: A time series of values representing the rate of change for the input time series.

Description: The rate of change (ROC) is a momentum indicator that measures the proportional change in the input time series. It is calculated as the difference between the current value and a prior value, divided by the prior value.

Example:

roc_values = SPY.close -> roc(15)

Relative Strength Index

Definition: Normalizes a time series based on the recent values.

Syntax: rsi(length)

Arguments: length = the number of previous values to use in the calculation.

Return: A time series of values, normalized to a range of +/- 100.

Description: Harmonization, or normalization, transforms data to enable operations, such as adding or averaging, on disparate time series (eg, asset prices).

Example:

normalized = SPY.close -> rsi(30)

True Strength Index

Definition: Calculates the True Strength Index, which is a momentum indicator that uses double smoothing to reduce lag.

Syntax: tsi(shortLength, longLength, averageLength)

Arguments:

• longLength: The number of previous values to use for the long trend line calculation.

• shortLength: The number of previous values to use for the short trend line calculation.

• avgLength: The number of previous values to use in the averaging calculation.

Return: Time series of true strength index values with a range of +/- 100.

Description: It is calculated by smoothing out the difference between two exponential moving averages of an asset's price and dividing it by the sum of the smoothed difference and a third exponential moving average.

Example:

tsiValues = SPY.close -> tsi(30, 90, 60)

Market Momentum Indicator

Definition: Calculates the difference between the value of the current value of a time series and a previous value.

Syntax: mom(length)

Arguments: length = number of values back used in the calculation

Return: Time series of differences

Description: Market momentum can be used as a measure of market sentiment.

Example:

momValue = SPY.close -> mom(20)

Directional Oscillator

Name: dx

Definition: Determines whether a current value is greater than, less than, or equal to a previous value. The resulting value is +1, -1, or 0, respectively, times a scale factor.

Syntax: dx(length, scale)

Arguments:

• length: number of values back used in the calculation

• scale: scale factor for values (default = 100)

Return: Time series of directional values

Description: Compares the current value to a previous value. The output value is +1, -1, or 0, if the current value is greater than, less than, or equal to the previous value, respectively, multiplied by a scale factor.

Example:

SPY.close -> dx(15)
SPY.close -> dx(50, scale=1.0)