Comment on page
Momentum Indicator
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)
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)
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)
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 calculationReturn: Time series of differences
Description: Market momentum can be used as a measure of market sentiment.
Example:
momValue = SPY.close -> mom(20)
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 calculationscale: 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)