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fintech-algorithms

Market Breadth and Internals

28 algorithms · 5 families · D04

Advance/Decline Breadth

Net Advances contract calculateNetAdvances(request)
Advance/Decline Ratio contract calculateAdvanceDeclineRatio(snapshot)
Cumulative Advance/Decline Line contract calculateCumulativeAdvanceDeclineLine(contract, events, knowledgeCutoff)
Normalized Advance/Decline Line contract calculateNormalizedAdLine(records, options)
Absolute Breadth Index contract evaluateAbsoluteBreadthIndex(request)

McClellan Family

Traditional McClellan Oscillator contract calculateMcClellanValues(netAdvances)
Ratio-Adjusted McClellan Oscillator contract calculate(records, cutoff)
Traditional McClellan Summation Index contract calculate(records, cutoff)
Ratio-Adjusted Summation Index (RASI) contract calculate(records, cutoff)
McClellan Volume Oscillator contract calculate(records, cutoff)
McClellan Volume Summation Index contract calculate(records, cutoff)

High/Low and Trend Breadth

New Highs–New Lows contract calculate(records, decisionTime)
High-Low Ratio contract calculate(records, decisionTime)
High-Low Index contract calculate(records, decisionTime)
Percent Above 20-Day MA contract evaluateSnapshot(snapshot, decisionTime)
Percent Above 50-Day MA contract evaluateSnapshot(snapshot, decisionTime)
Percent Above 200-Day MA contract evaluateSnapshot(snapshot, decisionTime)

Thrust and Pressure

Zweig Breadth Thrust verified calculate(rows, emaLength, lowThreshold, highThreshold, maxSessions)
Arms Index (TRIN) verified calculate(row)
Advance/Decline Volume Line verified calculate(rows, seed)
Upside/Downside Volume Ratio verified calculate(row)
Cumulative TICK verified calculate(rows, seed, intervalSeconds)
Breadth-Divergence Detector verified calculate(rows, left, right, minPriceChange, minBreadthSeparation, breadthScale)

Concentration and Diffusion

Top-N Index Contribution verified calculate(rows, topN)
Herfindahl Constituent Concentration verified calculate(rows)
Effective Number of Constituents verified calculate(rows)
Sector Diffusion Index verified calculate(rows, tolerance)
Factor Diffusion Index verified calculate(rows, tolerance)