bortexz.tacos — io.github.bortexz/tacos 0.1.0

accumulation-distribution-line clj

(accumulation-distribution-line tl {:keys [close high low volume] :as sources})

Returns tuple of [adl money-flow-multiplier money-flow-volume] indicators.

Reference:

• https://www.tradingview.com/support/solutions/43000501770-accumulation-distribution-adl/

Sources:

• close
• high
• low
• volume

aroon-oscillator clj

(aroon-oscillator tl {:keys [high low]} {:keys [period] :as opts})

Returns tuple of nodes [aroon-oscillator aroon-up aroon-down], vals between 0 and 1

Reference:

• https://www.investopedia.com/terms/a/aroonoscillator.asp

Sources:

• high
• low

Opts:

• period

average-base-range clj

(average-base-range tl
                    {:keys [high low] :as sources}
                    {:keys [avg-indicator period]
                     :or {avg-indicator relative-moving-average}})

moving average of base-range.

Sources:

• high
• low

Opts:

• avg-indicator defaults to relative-moving-average, must accept source as :src
• period passed to avg-indicator as :period

average-directional-index clj

(average-directional-index tl
                           {:keys [close high low] :as sources}
                           {:keys [adx-avg-indicator adx-avg-opts
                                   range-indicator range-opts line-avg-indicator
                                   line-avg-opts]
                            :or {adx-avg-indicator exponential-moving-average
                                 range-indicator average-true-range
                                 line-avg-indicator exponential-moving-average}
                            :as opts})

Returns tuple of [adx di+ di-] nodes, where adx is between 0 and 1.

Reference:

• https://www.investopedia.com/ask/answers/112814/how-average-directional-index-adx-calculated-and-what-formula.asp

Sources:

• close
• high
• low

Opts:

• range-indicator range indicator to use, will be called with top level sources. Defaults to average-true-range
• range-opts if specified, overrides top level opts passed to range indicator.
• line-avg-indicator defaults to exponential-moving-average
• line-avg-opts if specified, overrides top level opts passed to line-avg-indicator
• adx-avg-indicator defaults to exponential-moving-average
• adx-avg-opts if specified, overrides top level opts on adx-avg-indicator

average-true-range clj

(average-true-range tl
                    {:keys [close high low] :as sources}
                    {:keys [avg-indicator period]
                     :or {avg-indicator relative-moving-average}})

moving average of true-range.

Reference:

• https://www.investopedia.com/terms/a/atr.asp (ATR)

Sources:

• close
• high
• low

Opts:

• avg-indicator defaults to relative-moving-average, must accept source as :src
• period passed to avg-indicator as :period

base-range clj

(base-range tl {:keys [high low]})

high - low

Sources:

• high
• low

bollinger-bands clj

(bollinger-bands tl
                 {:keys [src] :as sources}
                 {:keys [avg-indicator period avg-opts stdev-opts multiplier]
                  :or {avg-indicator simple-moving-average}
                  :as opts})

Returns tuple of nodes [upper middle lower] for bollinger bands.

Reference:

• https://www.investopedia.com/terms/b/bollingerbands.asp

Sources:

• src

Opts:

• avg-indicator for middle band. Defaults to simple-moving-average, must accept source as :src
• avg-opts if specified, overrides top level opts for avg-indicator
• stdev-opts if specified, overrides top level opts for standard-deviation

chandelier-exits clj

(chandelier-exits tl
                  {:keys [close high low] :as sources}
                  {:keys [range-indicator range-opts highest-opts lowest-opts
                          multiplier]
                   :or {range-indicator average-true-range}
                   :as opts})

Returns tuple of chandelier exits nodes [long short]

Reference:

• https://school.stockcharts.com/doku.php?id=technical_indicators:chandelier_exit

Sources:

• close
• high
• low

Opts:

• range-indicator Defaults to average-true-range, will be passed top level sources.
• range-opts if specified, overrides top level opts passed to range-indicator
• highest-opts if specified, overrides top level opts passed to highest-val
• lowest-opts if specified, overrides top level opts passed to lowest-val
• multiplier

commodity-channel-index clj

(commodity-channel-index
  tl
  {:keys [src] :as sources}
  {:keys [avg-indicator avg-opts mean-dev-opts period constant-factor]
   :or {avg-indicator simple-moving-average constant-factor 0.015}
   :as opts})

Reference:

• https://www.tradingtechnologies.com/xtrader-help/x-study/technical-indicator-definitions/commodity-channel-index-cci/

Sources:

• src can be any number series, although the original formula specifies typical price to be hlc3.

Opts:

• avg-indicator defaults to simple-moving-average, must accept src as :src
• avg-opts if specified, overrides top level opts on avg-indicator
• mean-dev-opts if specified, overrides top level opts on internal mean-deviation
• constant-factor double. defaults to 0.015

delta-source clj

(delta-source {:keys [input] :as sources} {:keys [max-size] :as opts})

Sources:

• input input node that contain partial timeseries of new items to introduce into the graph.

Opts:

• max-size the maximum size used for tacos.timeseries/delta-timeline.

Returns tuple of nodes [delta-tl src] that can be used to introduce new values into a graph of derived timeseries:

• delta-tl is a node that emits tacos.timeseries/delta-timeline using max-size and the timestamps of timeseries in input.
• src is a timeseries node that accumulates new values from input, up to a maximum of max-size, presumably to be used as the source for other derived timeseries.

derived clj

(derived tl sources compute-ts)

Creates a new derived timeseries node (a.k.a indicator) given the following args:

• tl A graphcom node whose emitted value implements [[tacos.timeseires/Timeline]].
• sources Map of dependency nodes. Timeline node will be merged into sources under ::timeline keyword automatically.
• compute-ts 3-arity fn that will be called with args [current-value sources-values timestamp], and must return the value of this timeseries at timestamp. Note that timestamp can be any type that can be compared with compare. You could use integers (e.g epoch milliseconds), java.time instants, ISO strings, etc

Returns node that will emit a derived timeseries as value.

donchian-channels clj

(donchian-channels tl
                   {:keys [high low]}
                   {:keys [highest-opts lowest-opts] :as opts})

Returns tuple of [mid high low] nodes

Sources:

• high
• low

Opts:

• highest-opts if specified, overrides top level opts on highest-val
• lowest-opts if specified, overrides top level opts on lowest-val

Reference:

• https://www.investopedia.com/terms/d/donchianchannels.asp

double-exponential-moving-average clj

(double-exponential-moving-average tl
                                   {:keys [src] :as sources}
                                   {:keys [ema1-opts ema2-opts period]
                                    :as opts})

Reference:

• https://www.tradingview.com/support/solutions/43000589132-double-exponential-moving-average-ema/

Sources:

• src

Opts:

• period sent to internal exponential moving averages
• multiplier sent to internal exponential moving averages
• ema1-opts if specified, will be used instead of top level opts for ema1
• ema2-opts if specified, will be used instead of top level opts for ema2

envelope clj

(envelope tl {:keys [src]} {:keys [multiplier]})

Returns tuple of nodes [upper lower], where: pos = src + (src * multiplier) neg = src - (src * multiplier)

Sources:

• `src

Opts:

• multiplier percentage number. e.g. 0.01 will create a 1% envelope around src.

exponential-moving-average clj

(exponential-moving-average tl
                            {:keys [src] :as sources}
                            {:keys [multiplier period]})

Reference:

• https://www.tradingview.com/support/solutions/43000592270-exponential-moving-average/

Sources:

• src

Opts:

• period
• multiplier defaults to (/ 2 (inc period)).

heikin-ashi clj

(heikin-ashi tl {:keys [open close high low] :as sources})

Returns node that calculates Heikin ashi candles whose values are maps of keys #{:open :close :high :low}

Sources:

• open
• close
• high
• low

Reference:

• https://www.investopedia.com/trading/heikin-ashi-better-candlestick/

highest-val clj

(highest-val tl {:keys [src] :as sources} {:keys [period] :as opts})

Returns highest value of latest period items

Sources:

• src

Opts:

• period

hl2 clj

(hl2 tl {:keys [high low]})

(high + low)/2

Sources:

• high
• low

hlc3 clj

(hlc3 tl {:keys [high low close]})

(high+low+close)/3

Sources:

• high
• low
• close

hull-moving-average clj

(hull-moving-average tl {:keys [src] :as sources} {:keys [period] :as opts})

Reference:

• https://www.tradingview.com/support/solutions/43000589149-hull-moving-average/

Sources:

• src

Opts:

• period

kaufman-adaptive-moving-average clj

(kaufman-adaptive-moving-average tl
                                 {:keys [src] :as sources}
                                 {:keys [er-period slow-period fast-period]})

Reference:

• https://school.stockcharts.com/doku.php?id=technical_indicators:kaufman_s_adaptive_moving_average (KAMA)

Sources:

• src

Opts:

• er-period period to use on kaufman-efficiency-ratio
• slow-period
• fast-period

kaufman-efficiency-ratio clj

(kaufman-efficiency-ratio tl
                          {:keys [src] :as sources}
                          {:keys [period] :as opts})

Reference:

• https://school.stockcharts.com/doku.php?id=technical_indicators:kaufman_s_adaptive_moving_average (ER)

Sources:

• src

Opts:

• period

keltner-channels clj

(keltner-channels tl
                  {:keys [close high low src] :as sources}
                  {:keys [avg-indicator avg-opts range-indicator range-opts
                          multiplier]
                   :or {avg-indicator exponential-moving-average
                        range-indicator average-true-range}
                   :as opts})

Returns tuple of nodes [upper middle lower]

Reference:

• https://www.tradingview.com/support/solutions/43000502266-keltner-channels-kc/

Sources:

• close (atr)
• high (atr)
• low (atr)
• src (middle band)

Opts:

• avg-indicator for middle band. Defaults to exponential-moving-average, will be passed top level sources.
• avg-opts if specified, overrides top level opts for avg-indicator
• range-indicator for use as range indicator. Defaults to average-true-range. Will be passed top level sources unchanged.
• range-opts if specified, overrides top level opts for range indicator.
• multiplier

lowest-val clj

(lowest-val tl {:keys [src] :as sources} {:keys [period] :as opts})

Returns lowest value of latest period items

Sources:

• src

Opts:

• period

map-some clj

(map-some tl f n1)

(map-some tl f n1 n2)

(map-some tl f n1 n2 n3)

(map-some tl f n1 n2 n3 n4)

(map-some tl f n1 n2 n3 n4 & nodes)

Returns node that applies f to each timestamp value of each node, when current timestamp values for all nodes are non-nil.

e.g:

• sum each timestamp's val of different timeseries (map-some tl + x y z)
• mean of x,y,z nodes (map-some tl (fn [& xs] (/ (reduce + 0 xs) (count xs))) x y z)

mean clj

(mean tl & srcv)

Returns node that computes the mean of all nodes specified.

e.g ohlc4 = (mean tl open close high low) where open,close,high,low are indicators of each candle value.

mean-deviation clj

(mean-deviation tl
                {:keys [src] :as sources}
                {:keys [period avg-indicator avg-opts]
                 :or {avg-indicator simple-moving-average}
                 :as opts})

deviation of prices from a moving average.

Sources:

• src

Opts:

• avg-indicator defaults to simple-moving-average, must accept a source under :src key
• period
• avg-opts overrides top level opts for avg-indicator if specified

momentum clj

(momentum tl sources)

(momentum tl {:keys [src] :as sources} {:keys [period] :or {period 1}})

src(i) - src(i-period)

Sources:

• src

Opts:

• period Defaults to 1.

moving-average-convergence-divergence clj

(moving-average-convergence-divergence tl
                                       {:keys [src] :as sources}
                                       {:keys [signal-avg-indicator signal-opts]
                                        :or {signal-avg-indicator
                                               exponential-moving-average}
                                        :as opts})

Returns tuple of indicators [macd-line signal histogram]. macd-line = macd-line(src, opts) See [[macd-line]] signal = signal-avg-indicator(macd, signal-opts) hist = macd - signal

Reference:

• https://www.tradingview.com/support/solutions/43000502344-macd-moving-average-convergence-divergence/

Sources will be passed to moving-average-convergence-divergence-line, if using defaults:

• src

Opts are those accepted by moving-average-convergence-divergence-line, plus:

• signal-avg-indicator defaults to exponential-moving-average, must accept source as :src key
• signal-opts

moving-average-convergence-divergence-line clj

(moving-average-convergence-divergence-line
  tl
  {:keys [src] :as sources}
  {:keys [fast-avg-indicator fast-sources fast-opts slow-avg-indicator
          slow-sources slow-opts]
   :or {fast-avg-indicator simple-moving-average
        slow-avg-indicator simple-moving-average}})

MACD base line. ma(src, fast-opts) - ma(src, slow-opts).

Sources:

• src

Opts:

• fast-avg-indicator defaults to exponential-moving-average
• fast-sources if specified, overrides top level sources passed to fast-avg-indicator
• fast-opts passed to fast-avg-indicator
• slow-avg-indicator defaults to exponential-moving-average
• slow-sources if specified, overrides top level sources passed to slow-avg-indicator
• slow-opts passed to slow-avg-indicator

ohlc4 clj

(ohlc4 tl {:keys [open high low close]})

(open+high+low+close)/4

Sources:

• open
• high
• low
• close

on-balance-volume clj

(on-balance-volume tl {:keys [src volume] :as sources})

Reference:

• https://www.investopedia.com/terms/o/onbalancevolume.asp

Sources:

• src
• volume

parabolic-stop-and-reverse clj

(parabolic-stop-and-reverse tl
                            {:keys [close high low] :as sources}
                            {:keys [start increment max-value]})

Reference:

• https://www.investopedia.com/trading/introduction-to-parabolic-sar/

Reference impl:

• https://github.com/ta4j/ta4j/blob/master/ta4j-core/src/main/java/org/ta4j/core/indicators/ParabolicSarIndicator.java

Sources:

• close
• high
• low

Opts:

• start
• increment
• max-value

Values are maps of:

• ct current-trend (true if uptrend, false if downtrend)
• sar sar val
• af acceleration factor
• ep extreme point

percentage-price-oscillator clj

(percentage-price-oscillator tl
                             {:keys [src] :as sources}
                             {:keys [signal-avg-indicator signal-opts]
                              :or {signal-avg-indicator
                                     exponential-moving-average}
                              :as opts})

returns tuple of indicators [ppo-line signal histogram], ppo-line vals between -100 and 100. Similar to moving-average-convergence-divergence, but returns percentage instead of absolute price changes.

Reference:

• https://www.investopedia.com/terms/p/ppo.asp

Sources:

• src

Opts are those accepted by [[ppo-line]], plus:

• signal-avg-indicator defaults to exponential-moving-average, must accept a source on :src key
• signal-opts passed to signal-avg-indicator

percentage-price-oscillator-line clj

(percentage-price-oscillator-line
  tl
  {:keys [src] :as sources}
  {:keys [fast-avg-indicator fast-sources fast-opts slow-avg-indicator
          slow-sources slow-opts]
   :or {fast-avg-indicator exponential-moving-average
        slow-avg-indicator exponential-moving-average}})

percentage-price-oscillator base line, values between -1 and 1.

Sources:

• src

Opts:

• fast-avg-indicator defaults to exponential-moving-average
• fast-sources if specified, overrides top level sources passed to fast-avg-indicatorº
• fast-opts passed to fast-avg-indicator
• slow-avg-indicator defaults to exponential-moving-average
• slow-opts passed to slow-avg-indicator

rate-of-change clj

(rate-of-change tl sources)

(rate-of-change tl
                {:keys [src] :as sources}
                {:keys [period nan-val] :or {period 1 nan-val Double/NaN}})

(src - src(i-period)) / src(i-period), vals between -1 and 1, except the case when src(i-period) is zero, then returns opt nan-val

Sources:

• src

Opts:

• period Defaults to 1.
• nan-val defaults to Double/NaN

refined-relative-volatility-index clj

(refined-relative-volatility-index
  tl
  {:keys [high low] :as sources}
  {:keys [avg-indicator avg-opts stdev-opts period] :as opts})

(rvi(high) + rvi(low) / 2), with values between 0 and 1.

Reference:

• https://www.fmlabs.com/reference/default.htm?url=RVI.htm (RVI)

Sources:

• high
• low

Opts are those accepted by relative-volatility-index

relative-moving-average clj

(relative-moving-average tl {:keys [src] :as sources} {:keys [period]})

Relative (WildeR's) moving average, is an Exponential moving average using 1/period as multiplier.

Sources:

• src

Opts:

• period

relative-strength-g-l clj

(relative-strength-g-l tl {:keys [src] :as sources})

returns tuple of nodes [gains losses], part of relative-strength-index. gains: if (pos? x - (x-1)) then x else 0 losses: if (neg? x - (x-1)) then -x else 0

Sources:

• src

relative-strength-index clj

(relative-strength-index tl
                         {:keys [src] :as sources}
                         {:keys [avg-indicator avg-opts]
                          :or {avg-indicator relative-moving-average}
                          :as opts})

Values between 0 and 1.

Reference:

• https://www.tradingview.com/support/solutions/43000502338-relative-strength-index-rsi/

Sources

• src

Opts:

• avg-indicator used to average both relative-strength-g-l. Defaults to relative-moving-average, must accept source as :src
• avg-opts if specified, overrides top level opts passed to avg-indicator

relative-volatility-index clj

(relative-volatility-index tl
                           {:keys [src] :as sources}
                           {:keys [avg-indicator avg-opts stdev-opts period]
                            :or {avg-indicator exponential-moving-average}
                            :as opts})

Values from 0 to 1.

Reference:

• https://www.fmlabs.com/reference/default.htm?url=RVI.htm (RVIOrig)

Sources:

• src

Opts:

• avg-indicator defaults to exponential-moving-average, must accept source as :src
• stdev-opts if specified, overrides top level opts passed to relative-volatility-u-s
• avg-opts if specified, overrides top level opts passed to avg-indicator

relative-volatility-u-s clj

(relative-volatility-u-s tl {:keys [src] :as sources} {:keys [period] :as opts})

Returns nodes tuple [u s] of relative-volatility-index u and s components. Similar to relative-strength-g-l, but use standard-deviation of price-change instead of absolute price change.

Sources:

• src

Opts are those of standard-deviation

Reference:

• https://www.fmlabs.com/reference/default.htm?url=RVI.htm (RVIOrig)

simple-moving-average clj

(simple-moving-average tl {:keys [src] :as sources} {:keys [period]})

Reference:

• https://www.tradingview.com/support/solutions/43000502589-moving-average/

Sources:

• src

Opts:

• period

Notes:

• Assumes that only latest time points are added (either new later timestamp, or replacement of current latest). This should be the case most of the time. For earlier than latest arriving time points, you need to recompute all from earlier time point to latest for correct results, by specifying them on the timeline.

• Keeps an internal summatory to work on log-n (n=size of timeseries) instead of reducing tail all the time.

since-highest-val clj

(since-highest-val tl {:keys [src] :as sources} {:keys [period] :as opts})

Returns number of items since highest value on latest period items

Sources:

• src

Opts:

• period

since-lowest-val clj

(since-lowest-val tl {:keys [src] :as sources} {:keys [period] :as opts})

Returns number of items since lowest value on latest period items

Sources:

• src

Opts:

• period

smoothed-moving-average clj

(smoothed-moving-average tl {:keys [src] :as sources} {:keys [period]})

Reference:

• https://download.esignal.com/products/workstation/help/charts/studies/rmi.htm

Sources:

• src

Opts:

• period

sources-map clj

(sources-map tl sources)

Returns timeseries node whose values combine current timestamp for all sources in a hash map, under same keyword as specified in sources, when all have a value.

E.g candles (sources-map tl {:high high :low low :close close :open open}) will have values as map of {:open ,,, :close ,,, :high ,,, :low ,,,}.

Useful to combine multiple indicators that share the same timeline into one to use it as a single timeseries.

spread-map clj

(spread-map tl map-source {:keys [ks transform] :or {transform identity}})

Given a timeseries node map-source that has maps as values and map of opts, returns a map of new nodes with keys ks where values are new nodes that each one contains the values of key in map-src, possibly transformed.

Sources:

• map-source

Opts:

• ks set of keys to extract as indicators
• transform function to transform each of the values, if needed. Defaults to identity.

E.g (spread-map tl candles-node [:open :close :high :low]) returns a map of nodes #{:open :close :high :low} each one with the corresponding candle value.

standard-deviation clj

(standard-deviation tl {:keys [src] :as sources} {:keys [period]})

standard deviation of prices during period

Sources:

• src

Opts:

• period

stochastic-kline clj

(stochastic-kline tl {:keys [close high low] :as sources} {:keys [period]})

non-smoothed k-line component of stochastic-oscillator, between 0 and 1.

Sources:

• close
• high
• low

Opts:

• period

stochastic-oscillator clj

(stochastic-oscillator tl
                       {:keys [close high low] :as sources}
                       {:keys [k-line-opts avg-k-indicator avg-k-opts
                               avg-d-indicator avg-d-opts]
                        :or {avg-k-indicator simple-moving-average
                             avg-d-indicator simple-moving-average}})

returns tuple of nodes [k-line d-line] of stochastic oscillator, with vals between 0 and 1.

Reference:

• https://www.tradingview.com/support/solutions/43000502332-stochastic-stoch/

Sources:

• close
• high
• low

Opts:

• k-line-opts opts passed to stochastic-kline
• avg-k-indicator defaults to simple-moving-average, must accept source as :src
• avg-k-opts passed to avg-k-indicator
• avg-d-indicator defaults to simple-moving-average, must accept source as :src
• avg-d-opts passed to avg-d-indicator

supertrend clj

(supertrend tl
            {:keys [close high low] :as sources}
            {:keys [multiplier range-indicator range-opts]
             :or {range-indicator average-true-range}
             :as opts})

Reference impl:

• https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/supertrend.py

Sources:

• close
• high
• low

Opts:

• range-indicator defaults to average-true-range, will be passed top level sources
• range-opts if specified, overrides top level opts for range-indicator
• multiplier

Values are map of:

• trend e/o #{:long :short}
• value number
• _upper
• _lower

triple-exponential-moving-average clj

(triple-exponential-moving-average tl
                                   {:keys [src] :as sources}
                                   {:keys [period ema1-opts ema2-opts ema3-opts]
                                    :as opts})

Reference:

• https://www.tradingview.com/support/solutions/43000591346-triple-ema/

Sources:

• src

Opts:

• period sent to internal exponential moving averages
• multiplier sent to internal exponential moving averages
• ema1-opts if specified, will be used instead of top level opts for ema1
• ema2-opts if specified, will be used instead of top level opts for ema2
• ema3-opts if specified, will be used instead of top level opts for ema3

true-range clj

(true-range tl {:keys [close high low] :as sources})

Reference:

• https://www.investopedia.com/terms/a/atr.asp (TR)

Sources:

• close
• high
• low

volume-weighted-moving-average clj

(volume-weighted-moving-average tl
                                {:keys [src volume] :as sources}
                                {:keys [period]})

Calculates volume-weighted-moving-average where given price and volume are timeseries nodes.

Reference:

• https://www.tradingsetupsreview.com/volume-weighted-moving-average-vwma/

Sources:

• price
• volume

Opts:

• period

weighted-moving-average clj

(weighted-moving-average tl {:keys [src] :as sources} {:keys [period]})

Reference:

• https://www.tradingview.com/support/solutions/43000594680-weighted-moving-average/

Sources:

• src

Opts:

• period