FemtoTrader 85ca5be258 Implements new indicator - RSV - Rogers-Satchell volatility (#8183) ...

* implement Rogers-Satchell volatility

* naming RSVolat to avoid confusion between volume and volatility

* fix InitializeIndicator call

* fix AcceptsRenkoBarsAsInput test

* add symbol parameter to InitializeIndicator

* Update RogersSatchellVolatility.cs

* some fixes after review

* Return 0 when Open High Low or Close is 0

* IBaseDataBar

2024-07-29 14:47:16 -03:00

..

equity/usa/shortable

Adds Rebate and Fee Rates to Shortable Provider (#7840)

2024-03-13 16:04:33 -03:00

greeks

Change default American Option Pricing model to Binomial CRR model (#7426)

2023-08-18 14:34:46 -03:00

greeksindicator/american

Allow smoothing in Implied Volatility and add forward tree model (#7820)

2024-03-04 11:00:04 -03:00

symbol-properties

Reduce test files size (#8084)

2024-06-24 13:03:43 -03:00

00010101_05_example_psychsignal_testdata.csv

Address review

2019-07-09 17:46:15 -07:00

20151224_quote_american.zip

Adds ZipEntryNameSubscriptionFactory

2016-03-17 10:55:47 -04:00

aapl_chain.csv

Fixes inability to parse negative strike prices in SecurityIdentifier (#4953)

2020-11-30 15:45:36 -03:00

aapl_fine_fundamental.json

Add JSON deserialization test for FineFundamental

2018-05-07 21:43:11 +02:00

alpha_indicator_datatest.csv

Alpha Indicator #6985 (#7566)

2023-11-24 11:31:15 -03:00

arms_data.txt

Modify advance decline indicators (#7032)

2023-03-02 15:48:20 -03:00

bi_datatest.csv

Beta indicator (#6042)

2021-11-15 15:57:24 -03:00

CashTestingStrategy.csv

Consolidates transaction handlers to use the IBrokerage interface

2015-01-25 17:12:10 -03:00

custom_future_chris_cme_es1.csv

Remove Quandl from LEAN (#6110)

2022-01-12 12:10:20 -03:00

custom_future_chris_cme_es2.csv

Remove Quandl from LEAN (#6110)

2022-01-12 12:10:20 -03:00

daily-stock-picker-backtest.csv

Updates Dropbox Algorithms

2020-02-12 23:58:03 +00:00

daily-stock-picker-live.csv

Updates Dropbox Algorithms

2020-02-12 23:58:03 +00:00

dwac_supertrend.txt

Super Trend Indicator (#6013)

2021-11-17 12:19:26 -03:00

eurusd60_dem.txt

Adds DeM indicator (#5002)

2020-12-15 08:29:55 -03:00

eurusd_candle_patterns.txt

Adds test files for more patterns

2016-02-24 00:56:54 +01:00

ewz_candle_patterns.txt

Adds test files for more patterns

2016-02-24 00:56:54 +01:00

FillForwardBars.zip

Fix fill forward unit tests (#7070)

2023-03-15 12:45:04 -03:00

FillForwardStrictEndTimeDailyRegressionAlgorithm.zip

Daily data time adjustment (#8001)

2024-05-20 17:28:03 -03:00

FillForwardStrictEndTimeHourRegressionAlgorithm.zip

Daily data time adjustment (#8001)

2024-05-20 17:28:03 -03:00

FillForwardStrictEndTimeMinuteRegressionAlgorithm.zip

Daily data time adjustment (#8001)

2024-05-20 17:28:03 -03:00

frama.txt

Adds FRAMA external data testing

2016-05-26 11:27:28 +01:00

FuturesExpiryFunctionsTestData.xml

Fix micro gold expirations (#8117)

2024-07-01 14:12:20 -03:00

fxVolumeDaily.csv

FXCM Forex Real volume and Transactions ToolBox Project (#1025)

2017-08-28 16:25:52 -04:00

fxVolumeHourly.csv

FXCM Forex Real volume and Transactions ToolBox Project (#1025)

2017-08-28 16:25:52 -04:00

fxVolumeMinute.csv

FXCM Forex Real volume and Transactions ToolBox Project (#1025)

2017-08-28 16:25:52 -04:00

generate_reference_data_from_talib.py

implements generate_reference_data_from_talib.py (#8196)

2024-07-22 14:50:24 -03:00

generate_reference_data_from_talipp.py

Implements new indicator - RSV - Rogers-Satchell volatility (#8183)

2024-07-29 14:47:16 -03:00

generate_reference_data_from_tulip.py

add script using tulipy (#8194)

2024-07-22 14:43:33 -03:00

mcclellan_data.csv

Fix EMA first value calculation (#7173)

2023-04-11 17:43:25 -03:00

multizip.zip

Adds Compression.Unzip overload supporting zip entry name

2016-03-17 09:47:45 -04:00

SampleMarketHoursDatabase.json

Support extended market hours for futures (#6522)

2022-08-18 10:56:44 -03:00

spx_lwma.csv

Update LinearWeightedMovingAverage (#7798)

2024-02-20 16:51:06 -03:00

spy_10_min.txt

Adds initial impl of RenkoConsolidator

2015-03-28 17:21:30 -04:00

spy_acceleration_bands_20_4.txt

Tests passed

2017-08-29 15:27:15 -03:00

spy_ad_osc.txt

Fix EMA first value calculation (#7173)

2023-04-11 17:43:25 -03:00

spy_ad.txt

Adds AccumulationDistribution and AccumulationDistributionOscillator indicators

2016-02-08 11:09:56 -05:00

spy_alma.txt

ALMA and test implemented.

2017-05-02 10:42:01 -03:00

spy_ao.txt

Adds the Awesome Oscillator (#5005)

2020-12-11 20:46:07 -03:00

spy_apo.txt

Adds AbsolutePriceOscillator indicator (APO)

2016-03-23 20:53:08 +01:00

spy_aps.txt

Feature Augen Price Spike Indicator (#5713)

2021-07-09 20:07:15 -03:00

spy_arima.csv

Feature #5098 - Time Series Indicators (#5099)

2021-02-01 20:17:49 -03:00

spy_aroon_oscillator.txt

Initial commit

2015-01-12 12:03:33 -03:00

spy_asi.csv

Add Wilder Accumulative Swing Index (#5476)

2021-04-16 10:54:02 -03:00

spy_atr_wilder.txt

Adds unit test for AverageTrueRange with MovingAverageType.Wilders

2018-03-21 00:15:54 +00:00

spy_atr.txt

Added test data for proposed new indicators

2015-01-12 15:37:21 -03:00

spy_bollinger_bands.txt

More Bollinger Indicators

2020-06-30 11:02:59 +03:00

spy_bop.txt

Adds Balance Of Power indicator

2016-02-04 12:57:18 -05:00

spy_candle_patterns.txt

Adds CandlestickPatternTests class with data file

2016-02-24 00:56:54 +01:00

spy_cmf.txt

Adds ChaikinMoneyFlow indicator (#4986)

2020-12-11 18:04:17 -03:00

spy_cmo.txt

Adds ChandeMomentumOscillator indicator

2016-02-08 11:10:39 -05:00

spy_coppock_curve.csv

Coppock Curve indicator implementation

2018-01-30 12:05:13 -03:00

spy_dema.txt

Fix EMA first value calculation (#7173)

2023-04-11 17:43:25 -03:00

spy_do.csv

Feature 1076 implementing an indicator derivative oscillator (#7884)

2024-04-17 16:34:57 -03:00

spy_dpo.csv

DetrendedPriceOscillator indicator.

2017-10-11 09:56:57 -03:00

spy_ema.csv

Fix EMA first value calculation (#7173)

2023-04-11 17:43:25 -03:00

spy_emv.txt

Feature emv indicator addition (#4591)

2020-08-24 09:54:58 -03:00

spy_heikin_ashi.txt

Adds Heikin-Ashi indicator

2016-02-19 03:01:39 +01:00

spy_hma.txt

HullMovingAverage, tests and helper method implemented

2017-04-27 20:52:27 -03:00

spy_kama.txt

Adds Kaufman Adaptive Moving Average indicator (KAMA)

2016-03-07 23:22:37 +01:00

spy_ker.txt

Kaufman Efficiency Ratio Indicator (#6050)

2021-12-04 18:55:09 -03:00

spy_logr14.txt

added test data and set file properties to copy to the bin directory if newer.

2015-08-27 00:40:49 -04:00

spy_mass_index_25.txt

Test passed

2017-09-01 14:40:26 -03:00

spy_max.txt

Adds new tests with data files for Minimum and Maximum indicators

2016-03-20 15:20:00 +01:00

spy_mfi.txt

Add sum indicator and use it for the SMA and MFI. Add left and right Reset for CompositeIndicator Reset with test. Reset sum on SMA reset with test. Update test helper to parse for Volume. Update test data for MFI to include volume.

2015-03-09 22:47:37 -04:00

spy_midpoint.txt

Adds MidPoint indicator (MIDPOINT)

2016-03-21 21:20:11 +01:00

spy_midprice.txt

Merge branch 'midprice-indicator' of https://github.com/StefanoRaggi/Lean into StefanoRaggi-trix-indicator

2016-03-22 11:14:54 -04:00

spy_min.txt

Adds new tests with data files for Minimum and Maximum indicators

2016-03-20 15:20:00 +01:00

spy_natr.txt

Adds Normalized Average True Range indicator (NATR)

2016-02-15 14:51:34 -05:00

spy_ohlcv.txt

Hooks up BrokerageSetupHandler to initialize algo from brokerage-setup-handler

2015-02-21 15:10:55 -05:00

spy_parabolic_SAR.txt

Added test data for proposed new indicators

2015-01-12 15:37:21 -03:00

spy_pivot_pnt_hl.txt

Implements PivotPointsHighLow indicator + tests (#5352)

2021-05-24 11:09:07 -03:00

spy_ppo.txt

Adds PercentagePriceOscillator indicator (PPO)

2016-03-23 21:15:39 +01:00

spy_qqq_corr.csv

correlation as lean indicator #6983 (#7543)

2023-11-13 20:40:14 -03:00

spy_rdv.txt

Relative Daily Volume Indicator (#5747)

2021-07-28 18:02:34 -03:00

spy_rocr.txt

Adds RateOfChangeRatio indicator

2016-02-12 10:56:54 -05:00

spy_rvi.txt

Feature 4999 -- Adds RVI (#5041)

2021-01-08 11:11:00 -03:00

spy_si.csv

Add Wilder Accumulative Swing Index (#5476)

2021-04-16 10:54:02 -03:00

spy_sortino.csv

Add Sortino indicator (#6696)

2022-10-28 18:12:33 -03:00

spy_sr.txt

Adds SharpeRatio indicator (#5348)

2021-03-11 13:35:08 -08:00

spy_stc.txt

Fix EMA first value calculation (#7173)

2023-04-11 17:43:25 -03:00

spy_swiss.txt

Add SWISS test data. Various fixes

2016-06-08 09:41:54 +01:00

spy_t3.txt

T3 volume factor now optional, also updated tests to use 0.7 default value

2016-02-13 13:14:00 +01:00

spy_tema.txt

Fix EMA first value calculation (#7173)

2023-04-11 17:43:25 -03:00

spy_tr.txt

Adds TrueRange indicator

2016-02-08 11:10:38 -05:00

spy_trima.txt

Adds TriangularMovingAverage indicator

2016-02-08 11:09:55 -05:00

spy_trix.txt

Fix EMA first value calculation (#7173)

2023-04-11 17:43:25 -03:00

spy_tsf.csv

Implement Time Series Forecast Indicator (#7654)

2024-01-04 16:20:29 -03:00

spy_tsi.csv

Fix EMA first value calculation (#7173)

2023-04-11 17:43:25 -03:00

spy_ultosc.txt

Adds Ultimate Oscillator indicator (ULTOSC)

2016-03-19 23:09:18 +01:00

spy_valueatrisk.csv

Implement Risk Metrics: Value At Risk (#7757)

2024-02-26 11:02:20 -03:00

spy_var.txt

Adds Variance indicator

2016-02-04 17:18:13 -05:00

spy_vidya.txt

Chande Variable Index Dynamic Average (VIDYA) Indicator (#7797)

2024-02-26 10:55:01 -03:00

spy_with_adx.txt

Refactors AverageDirectionalIndex and AverageDirectionalMovementIndexRating

2018-11-02 22:53:20 +00:00

spy_with_cci.txt

Added test data for proposed new indicators

2015-01-12 15:37:21 -03:00

spy_with_chop.csv

Implements new indicator CHOP - Choppiness Index (#8178)

2024-07-22 12:14:53 -03:00

spy_with_don50.txt

Modify DonchianChannel.cs and spy_with_don50.csv (#7329)

2023-06-21 15:26:58 -03:00

spy_with_fisher.txt

Fixes FishTransform Indicator

2019-05-13 17:57:08 +01:00

spy_with_ForceIndex.csv

Implements new indicator ForceIndex (#8155)

2024-07-16 11:14:14 -03:00

spy_with_hilbert.csv

Fixes bug in Hilbert Transform indicator (#7203)

2023-04-21 12:01:52 -03:00

spy_with_ibs.csv

Implements new indicator IBS - Internal Bar Strength (#8151)

2024-07-11 16:13:31 -03:00

spy_with_ichimoku.csv

Minor corrections in Tests project

2017-03-02 21:48:36 -03:00

spy_with_ichimoku.ods

Added original .ods file for Ichimoku test data

2015-06-26 11:38:07 +08:00

spy_with_indicators.txt

Adds unit test for RelativeStrengthIndex with MovingAverageType.Wilders

2018-03-21 00:18:08 +00:00

spy_with_keltner.csv

Creates the Keltner Channel indicators with KCH short code

2015-09-14 16:44:24 -04:00

spy_with_macd.txt

Fixes MACD's Signal and Histogram warming up

2018-03-06 20:03:15 -03:00

spy_with_McGinleyDynamic.csv

implements McGinleyDynamic (#8189)

2024-07-10 11:41:56 -03:00

spy_with_obv.txt

Fixed OnBalanceVolume indicator always returning zero

2015-12-19 23:07:03 +01:00

spy_with_rma.csv

Relative Moving Average Indicator (#6297)

2022-04-25 13:13:20 -03:00

spy_with_roc50.txt

Additional test data for new indicators

2015-03-11 17:16:03 -05:00

spy_with_rocp50.txt

Additional test data for new indicators

2015-03-11 17:16:03 -05:00

spy_with_rsv.csv

Implements new indicator - RSV - Rogers-Satchell volatility (#8183)

2024-07-29 14:47:16 -03:00

spy_with_sobv.csv

Implements new indicator - SOBV - Smoothed On Balance Volume (#8180)

2024-07-22 18:27:52 -03:00

spy_with_stoch12k3.txt

Additional test data for new indicators

2015-03-11 17:16:03 -05:00

spy_with_StochRSI.csv

Implements new indicator StochRSI - Stochastic Relative Strength Index (#8163)

2024-07-19 09:26:39 -03:00

spy_with_vwap.txt

Adds VWAP indicator via WeightedBy indicator extension

2016-04-21 19:34:52 -03:00

spy_with_vwma.csv

Implements new indicator VWMA - Volume Weighted Moving Average (#8161)

2024-07-16 11:14:39 -03:00

spy_with_williamsR14.txt

Additional test data for new indicators

2015-03-11 17:16:03 -05:00

spy_with_zlema.csv

Implement new indicator - ZLEMA - Zero Lag Exponential Moving Average (#8148)

2024-07-08 11:58:05 -03:00

stock_prices.csv

Changes NLTK Data Location and Adds mlfinlab Package

2019-11-12 22:30:04 +00:00

target_downside_deviation.csv

Add Sortino indicator (#6696)

2022-10-28 18:12:33 -03:00

test_cash_equity.xml

Adds unit test modeling the test_cash algo

2015-04-02 18:53:03 -04:00

test_cash_fills.xml

Adds unit test modeling the test_cash algo

2015-04-02 18:53:03 -04:00

test_forex_equity.xml

Initial implementation of Margin and Portfolio models

2015-04-13 20:51:43 -04:00

test_forex_fills_jwb_quantity.xml

Initial implementation of Margin and Portfolio models

2015-04-13 20:51:43 -04:00

test_forex_fills_mch_quantity.xml

Initial implementation of Margin and Portfolio models

2015-04-13 20:51:43 -04:00

test_forex_fills.xml

Initial implementation of Margin and Portfolio models

2015-04-13 20:51:43 -04:00

test_report_data.json

Standardize trade count statistic (#7827)

2024-03-06 14:52:34 -03:00

tp_datatest.csv

Market profile indicator (#5891)

2021-09-03 20:18:44 -03:00

vp_datatest.csv

Market profile indicator (#5891)

2021-09-03 20:18:44 -03:00