Technical indicators module for tzutrader

Pure Nim implementations of all technical indicators. Replaces pybottrader's C++ indicators with native Nim code.

Features:

Moving averages (SMA, EMA, WMA)
Momentum indicators (RSI, Stochastic, ROC)
Trend indicators (MACD, ADX)
Volatility indicators (ATR, Bollinger Bands, Standard Deviation)
Volume indicators (OBV)
Both batch and streaming modes
Memory-efficient rolling windows
NaN handling for partial data

Imports

core

Types

ATR = ref object of IndicatorBase: Streaming Average True Range
EMA = ref object of IndicatorBase: Streaming Exponential Moving Average
IndicatorBase = ref object of RootObj period*: int values*: Deque[float64] initialized*: bool: Base type for streaming indicators
MACD = ref object of IndicatorBase: Streaming MACD indicator
OBV = ref object of IndicatorBase: Streaming On-Balance Volume
RSI = ref object of IndicatorBase: Streaming Relative Strength Index
SMA = ref object of IndicatorBase: Streaming Simple Moving Average

Procs

proc addValue(ind: IndicatorBase; value: float64) {....raises: [], tags: [], forbids: [].}: Add value to indicator's rolling window
proc atr(high, low, close: seq[float64]; period: int = 14): seq[float64] {. ...raises: [], tags: [], forbids: [].}: Calculate Average True Range (ATR)

Args: high: High prices low: Low prices close: Close prices period: Number of periods (default 14)

Returns: Sequence of ATR values
proc bollinger(data: seq[float64]; period: int = 20; stdDev: float64 = 2.0): tuple[ upper, middle, lower: seq[float64]] {....raises: [], tags: [], forbids: [].}: Calculate Bollinger Bands

Args: data: Price data period: Number of periods (default 20) stdDev: Number of standard deviations (default 2.0)

Returns: Tuple of (upper band, middle band, lower band)
proc current(atr: ATR): float64 {....raises: [], tags: [], forbids: [].}: Get current ATR value
proc current(ema: EMA): float64 {....raises: [], tags: [], forbids: [].}: Get current EMA value
proc current(macd: MACD): tuple[macd, signal, histogram: float64] {....raises: [], tags: [], forbids: [].}: Get current MACD values
proc current(obv: OBV): float64 {....raises: [], tags: [], forbids: [].}: Get current OBV value
proc current(rsi: RSI): float64 {....raises: [], tags: [], forbids: [].}: Get current RSI value
proc current(sma: SMA): float64 {....raises: [], tags: [], forbids: [].}: Get current SMA value
proc ema(data: seq[float64]; period: int): seq[float64] {....raises: [], tags: [], forbids: [].}: Calculate Exponential Moving Average (EMA)

Args: data: Price data period: Number of periods for average

Returns: Sequence of EMA values
proc isFull(ind: IndicatorBase): bool {....raises: [], tags: [], forbids: [].}: Check if indicator has enough data
proc isNaN(x: float64): bool {.inline, ...raises: [], tags: [], forbids: [].}: Check if value is NaN
proc macd(data: seq[float64]; fastPeriod: int = 12; slowPeriod: int = 26; signalPeriod: int = 9): tuple[macd, signal, histogram: seq[float64]] {. ...raises: [], tags: [], forbids: [].}: Calculate MACD (Moving Average Convergence Divergence)

Args: data: Price data fastPeriod: Fast EMA period (default 12) slowPeriod: Slow EMA period (default 26) signalPeriod: Signal line EMA period (default 9)

Returns: Tuple of (MACD line, signal line, histogram)
proc nanToZero(x: float64): float64 {.inline, ...raises: [], tags: [], forbids: [].}: Convert NaN to zero
proc newATR(period: int = 14): ATR {....raises: [], tags: [], forbids: [].}: Create new ATR indicator
proc newEMA(period: int): EMA {....raises: [], tags: [], forbids: [].}: Create new EMA indicator
proc newMACD(fastPeriod: int = 12; slowPeriod: int = 26; signalPeriod: int = 9): MACD {. ...raises: [], tags: [], forbids: [].}: Create new MACD indicator
proc newOBV(): OBV {....raises: [], tags: [], forbids: [].}: Create new OBV indicator
proc newRSI(period: int = 14): RSI {....raises: [], tags: [], forbids: [].}: Create new RSI indicator
proc newSMA(period: int): SMA {....raises: [], tags: [], forbids: [].}: Create new SMA indicator
proc obv(close, volume: seq[float64]): seq[float64] {....raises: [], tags: [], forbids: [].}: Calculate On-Balance Volume (OBV)

Args: close: Close prices volume: Volume data

Returns: Sequence of OBV values
proc roc(data: seq[float64]; period: int = 12): seq[float64] {....raises: [], tags: [], forbids: [].}: Calculate Rate of Change (ROC)

Args: data: Price data period: Number of periods

Returns: Sequence of ROC values (percentage)
proc roi(initial, final: float64): float64 {....raises: [], tags: [], forbids: [].}: Calculate Return on Investment (ROI)

Args: initial: Initial value final: Final value

Returns: ROI as percentage
proc rsi(data: seq[float64]; period: int = 14): seq[float64] {....raises: [], tags: [], forbids: [].}: Calculate Relative Strength Index (RSI)

Args: data: Price data period: Number of periods (default 14)

Returns: Sequence of RSI values (0-100)
proc sma(data: seq[float64]; period: int): seq[float64] {....raises: [], tags: [], forbids: [].}: Calculate Simple Moving Average (SMA)

Args: data: Price data period: Number of periods for average

Returns: Sequence of SMA values (NaN for insufficient data)
proc stddev(data: seq[float64]; period: int): seq[float64] {....raises: [], tags: [], forbids: [].}: Calculate rolling standard deviation

Args: data: Data series period: Number of periods

Returns: Sequence of standard deviation values
proc update(atr: ATR; high, low, close: float64): float64 {....raises: [], tags: [], forbids: [].}: Update ATR with new OHLC data
proc update(ema: EMA; value: float64): float64 {....raises: [], tags: [], forbids: [].}: Update EMA with new value and return current EMA
proc update(macd: MACD; price: float64): tuple[macd, signal, histogram: float64] {. ...raises: [], tags: [], forbids: [].}: Update MACD with new price
proc update(obv: OBV; close, volume: float64): float64 {....raises: [], tags: [], forbids: [].}: Update OBV with new close/volume data
proc update(rsi: RSI; price: float64): float64 {....raises: [], tags: [], forbids: [].}: Update RSI with new price and return current RSI
proc update(sma: SMA; value: float64): float64 {....raises: [], tags: [], forbids: [].}: Update SMA with new value and return current SMA
proc wma(data: seq[float64]; period: int): seq[float64] {....raises: [], tags: [], forbids: [].}: Calculate Weighted Moving Average (WMA)

Args: data: Price data period: Number of periods for average

Returns: Sequence of WMA values

src/tzutrader/indicators

Imports

Types

Procs