Volatility

Aberration

Similar to Keltner Channels.

Sources

Request #46

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `5`	`None`
`atr_length`	`int`	ATR period. Default: `15`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	4 columns

Acceleration Bands

This indicator, by Price Headley, creates lower and upper bands centered around a moving average based on a ratio of it's High-Low range.

Sources

tradingtechnologies

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `10`	`None`
`c`	`int`	Multiplier. Default: `4`	`None`
`mamode`	`str`	See `help(ta.ma)`. Default: `"sma"`	`None`
`drift`	`int`	Difference amount. Default: `1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	3 columns

Average True Range

This indicator attempts to quantify volatility with a focus on gaps or limit moves.

Sources

tradingview

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `14`	`None`
`mamode`	`str`	See `help(ta.ma)`. Default: `"rma"`	`None`
`talib`	`bool`	If installed, use TA Lib. Default: `True`	`None`
`prenan`	`bool`	Sets initial values to `np.nan` based on `drift`. Default: `False`	`None`
`drift`	`int`	Difference amount. Default: `1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`percent`	`bool`	Return as percent. Default: `False`
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

ATR Trailing Stop

This indicator attempts to identify exits for long and short positions. To determine trend, it uses a moving average with a scalable ATR.

Sources

motivewave

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `14`	`None`
`ma_length`	`int`	MA Length. Default: `20`	`None`
`k`	`int`	ATR multiplier. Default: `3`	`None`
`mamode`	`str`	See `help(ta.ma)`. Default: `"ema"`	`None`
`talib`	`bool`	If installed, use TA Lib. Default: `True`	`None`
`drift`	`int`	Difference amount. Default: `1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`percent`	`bool`	Return as percent. Default: `False`
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

NOTICE

Thanks to all those that have sponsored and dontated to the library in the past! Your support has been greatly appreciated!

However, future releases are on definite hold until 100+ donations of $150+ have been received via Buy Me a Coffee.

Help keep this library and application the best in it's class!

Bollinger Bands

This indicator, by John Bollinger, attempts to quantify volatility by creating lower and upper bands centered around a moving average.

Sources

tradingview

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `5`	`None`
`lower_std`	`IntFloat`	Lower standard deviation. Default: `2.0`	`None`
`upper_std`	`IntFloat`	Upper standard deviation. Default: `2.0`	`None`
`ddof`	`int`	Degrees of Freedom to use. Default: `0`	`None`
`mamode`	`str`	See `help(ta.ma)`. Default: `"sma"`	`None`
`talib`	`bool`	If installed, use TA Lib. Default: `True`	`None`
`ddof`	`int`	By default, uses Pandas `ddof=1`. For Numpy calculation, use `0`. Default: `1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	5 columns

Note

TA Lib does not have a ddof parameter.
The divisor used in calculations is: N - ddof, where N is the number of elements. To use ddof, set talib=False.

Chandelier Exit

This indicator attempts to identify trailing stop-losses based on ATR.

Sources

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`close`	`Series`	`close` Series	required
`high_length`	`int`	Highest high period. Default: `22`	`None`
`low_length`	`int`	Lowest low period. Default: `22`	`None`
`atr_length`	`int)`	ATR length. Default: `14`	`None`
`multiplier`	`float`	Lower & Upper Bands scalar. Default: `2.0`	`None`
`mamode`	`str`	See `help(ta.ma)`. Default: `"rma"`	`None`
`talib`	`bool`	If installed, use TA Lib. Default: `True`	`None`
`use_close`	`bool`	Use `max(high_length, low_length)` for the `close`. Default: `False`	`None`
`drift`	`int`	Difference amount. Default: `1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	3 columns

Donchian Channels

This indicator attempt to quantify volatility similarily to Bollinger Bands and Keltner Channels.

Sources

tradingview

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`lower_length`	`int`	Lower period. Default: `20`	`None`
`upper_length`	`int`	Upper period. Default: `20`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	3 columns

Holt-Winter Channel

This indicator creates a three-parameter moving average using the "Holt-Winters" method.

Sources

rengel8 (2021-08-11) based on the implementation from "MetaTrader 5"
mql5

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`scalar`	`float`	Channel scalar. Default: `1`	`None`
`channels`	`bool`	Return width and percentage columns. Default: `True`	`None`
`na`	`float`	Smoothed series in range `[0, 1]`. Default: `0.2`	`None`
`nb`	`float`	Trend value in range `[0, 1]`. Default: `0.1`	`None`
`nc`	`float`	Seasonality value in range `[0, 1]`. Default: `0.1`	`None`
`nd`	`float`	Channel value in range `[0, 1]`. Default: `0.1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	3 columns

Keltner Channels

This indicator attempts to identify volatility similarily to Bollinger Bands and Donchian Channels.

Sources

tradingview

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `20`	`None`
`scalar`	`float`	Band scalar. Default: `2`	`None`
`mamode`	`str`	See `help(ta.ma)`. Default: `"ema"`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`tr`	`bool`	Use True Range calculation. Otherwise use `high - low` for range computation. Default: `True`
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	3 columns

Mass Index

This indicator attempts to use a High-Low Range to identify trend reversals based on range expansions.

Sources

stockcharts

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`fast`	`int`	Fast period. Default: `9`	`None`
`slow`	`int`	Slow period. Default: `25`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

NOTICE

Thanks to all those that have sponsored and dontated to the library in the past! Your support has been greatly appreciated!

However, future releases are on definite hold until 100+ donations of $150+ have been received via Buy Me a Coffee.

Help keep this library and application the best in it's class!

Normalized Average True Range

This indicator applies a normalizer to Average True Range.

Sources

tradingtechnologies

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `20`	`None`
`scalar`	`float`	Scalar. Default: `100`	`None`
`mamode`	`str`	See `help(ta.ma)`. Default: `"ema"`	`None`
`talib`	`bool`	If installed, use TA Lib. Default: `True`	`None`
`prenan`	`bool`	Sets initial values to `np.nan` based on `drift`. Default: `False`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Warning

TA-Lib Correlation: np.float64(0.9506743353852364)

Tip

Corrective contributions welcome!

Price Distance

This indicator attempts to quantify the magnitude covered by price movements.

Sources

prorealcode

Parameters:

Name	Type	Description	Default
`open_`	`Series`	`open` Series	required
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`close`	`Series`	`close` Series	required
`drift`	`int`	Difference amount. Default: `1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Relative Volatility Index

This indicator attempts to quantify volatility using standard deviation.

Sources

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	`None`
`low`	`Series`	`low` Series	`None`
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `14`	`None`
`scalar`	`float`	Bands scalar. Default: `100`	`None`
`refined`	`bool`	Use 'refined' calculation which is the average of RVI(high) and RVI(low) instead of RVI(close). Default: `False`	`None`
`thirds`	`bool`	Average of `high`, `low` and `close`. Default: `False`	`None`
`mamode`	`str`	See `help(ta.ma)`. Default: `"ema"`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	3 columns

Elders Thermometer

This indicator, by Dr Alexander Elder, attempts to quantify volatility.

Sources

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`length`	`int`	The period. Default: `20`	`None`
`long`	`int`	Buy factor. Default: `2`	`None`
`short`	`float`	Sell factor. Default: `0.5`	`None`
`mamode`	`str`	See `help(ta.ma)`. Default: `"ema"`	`None`
`asint`	`int`	Returns as int. Default: `True`	`None`
`drift`	`int`	Difference amount. Default: `1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`DataFrame`	4 columns

True Range

This indicator attempts to quantify a High-Low range including potential gap scenarios.

Sources

macroption

Parameters:

Name	Type	Description	Default
`high`	`Series`	`high` Series	required
`low`	`Series`	`low` Series	required
`close`	`Series`	`close` Series	required
`talib`	`bool`	If installed, use TA Lib. Default: `True`	`None`
`prenan`	`bool`	Sets initial values to `nan` based on `drift`. Default: `False`	`None`
`drift`	`int`	Difference amount. Default: `1`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

Warning

TA-Lib Correlation: np.float64(0.9999999999999999)

Tip

Corrective contributions welcome!

Ulcer Index

This indicator, by Peter Martin, attempts to quantify downside volatility with a Quadratic Mean.

Sources

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `14`	`None`
`scalar`	`float`	Bands scalar. Default: `100`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`everget`	`value`	Use Evergets' TradingView SMA. Default: `False`
`fillna`	`value`	`pd.DataFrame.fillna(value)`

Returns:

Type	Description
`Series`	1 column

NOTICE

Thanks to all those that have sponsored and dontated to the library in the past! Your support has been greatly appreciated!

However, future releases are on definite hold until 100+ donations of $150+ have been received via Buy Me a Coffee.

Help keep this library and application the best in it's class!