Technical Indicators in Finance

Oscillators

• Chaikin Oscillator: trend-following tool that operates well in markets with a well-defined cyclical pattern
• Chaikin Money Flow (CMF): calculates the ratio of the Chaikin Accumulation Distribution value to the total volume
• Cycle Channel Index: reveals sub-cycles by measuring the difference between the 40-period SMA and price
• Divergence Index: uses the ratio between the number of outstanding shares, the current price, and the volume of both the next and previous periods
• Elastic VWAP: measures the range from the open to the close and divides by range
• Relative Vigor Index: uses the squared difference between two EMAs and compares them in a Stochastic fashion
• Short Cycle Indicator: based on the squared difference between two EMAs, reacts to changing volatility
• Stochastic: measures the relative position within the range of the lookback period
• Tick Volume Oscillator: double-smoothed, used to confirm price direction
• TRIX: EMA of an EMA of an EMA, triple-smoothed exponential
• True Strength Index: double-smoothed, has less lag than expected, corrects potential flaws in CMF
• Twiggs Money Flow: uses William's Buying Pressure and Wilder's True Range concepts
• Ultimate Oscillator: calculates a ratio based on the position of the close to the average price of the intra-day data over 7, 14, and 28 periods
• Volume Accumulator: calculates a ratio based on the position of the close to the average price of the intra-day data

Breadth

• Advance Decline Index: uses the AD value and accumulates it like OBV
• Advance-Declines: most simple breadth measure, # of Advancers LESS # of Decliners
• Arms Index: ratio of 2 Ratios, ratio of stocks advancing and declining & a ratio of volume of advancing volume to declining volume
• Bolton-Tremblay: considers the net advancing stocks compared to the number of stocks that were unchanged
• Breadth Thrust: calculates ratio of Advancers to Advance + Decline, smoothed with a 10-period SMA
• McClellan Oscillator: uses a MACD type expression to further smooth
• New Highs & Lows: price-based sentiment indicator
• Shultz: considers Advances as a percentage of the total number of stocks, R = Reversal Value

Measuring

• Pivot Points: calculated by comparing current bar to previous high & low
• Retracements: drawn lines from the start through the end of Fibonacci Retracement Levels
• Speed Lines: drawn lines from the start through the end of Fibonacci Retracement Levels
• Vertical Target (P&F): calculated by comparing current bar to previous high & low, Vt = Pl + (FRxRC)

Trend

• Geometric Moving Average: uses a concept of buying pressure and selling pressure
• Keltner Channels: calculates the average of the bar range
• Simple Moving Average: average of the previous 10 values
• STARC Bands: uses traditional ATR's in the calculation
• Trend Line: manually drawn, under troughs uptrend, above peaks in downtrend
• Triangular Moving Average: takes a SMA & calculates a SMA with half the period length
• Triangular Weighted Moving Average: gives more weight to the middle of the period
• Variable EMA: adapts to volatility, slows down when prices are congested
• Volume Weighted Average Price: examines every tick in the period, prices are weighted by the total volume at that price
• Weighted Moving Average: gives extra weight to recent data, most recent price (in 10 period) is multiplied by 10
• Wilder Moving Average: ( (Periods - 1) x (Yesterday's MA) + Price ) / Periods

Indicators

• Pivot Points: Calculated by comparing current bar to previous high & low.
• Retracements: Drawn lines from the start through the end of Fibonacci Retracement.
• Speed Lines: Levels; Vt = Pl + (FRxRC); Vt = Vertical Target; Pl = Lowest Box Price; FR = Size; RC = Reversal Count.
• Vertical Target (P&F): Measuring the size of First Reversal (Box Count x Box Size); Accumulation/Distribution.
• A/D Oscillator: Measures buying and selling pressure using direction to separate volume into buying and selling pressure.
• Aspray's Demand Oscillator: Looks for relationships within the same dataset by increasing the lookback interval and doing a correlation on a linear regression.
• AutoCorrelation: Measures relationships within the same dataset by increasing the lookback interval and doing a correlation on a linear regression.
• Average Directional Index (ADX): Measures the strength of the trend while DMI's show direction.
• Bollinger Bandwidth Indicator: Measures volatility based on the distance between the high and low band.
• Chaikin Accumulation/Distribution: Uses buying and selling pressure; Last Updated: 8:39 12/1/2020 EST.

Breadth

• Advance -Declines: Simple breadth measure; # of Advancers LESS # of Decliners.
• Arms Index: Ratio of 2 Ratios; Ratio of stocks advancing and declining & a ratio of volume of advancing volume to declining volume.
• Bolton-Tremblay: Considers the net advancing stocks compared to the number of stocks that were unchanged.
• Breadth Thrust: Calculates ratio of Advancers to Advance + Decline; Smooth with a 10-period SMA.
• McClellan Oscillator: Uses a MACD type expression to further smooth; See calculation Slide 9, Breadth.
• New Highs & Lows: Price Based Sentiment Indicator; See calculation Slide 13, Breadth.
• Shultz: Only considers Advances as a percentage of the total number of stocks; CAD.

Oscillators

• Chaikin Money Flow: CMF = (Sum of Chaikin A/D) / (Sum of Total Volume).
• Chaikin Oscillator: Takes the Chaikin AD and applies a 3-day EMA and a 10-day EMA; Also includes Bollinger Bands for which signals to follow.
• Cycle Channel Index: Trend-following tool that operates well in markets with a well-defined cyclical pattern.
• Cycle Difference: Reveals sub-cycles; Add a 40-period SMA and then measure the difference between the average and price.
• Directional Movement Indicator: DMI+ is the ratio between +DM & 14-period ATR; DMI- is the opposite.
• Divergence Index: DI = (Fast MA - Slow MA) / (SD (Price(today) - Price(today-1), Slow Period)^2; Band = SD(D1, Slow Period).
• Elastic VWAP: Measures the range from the open to the close and divides by range from high to low.
• Relative Vigor Index: Uses a ratio between the number of outstanding shares, the current price & the volume of both the next and previous periods.
• Short Cycle Indicator: Reacts to changing volatility; See calculation Slide 32, Cycles Analysis.
• Stochastic: Uses High and Low prices and measures relative position within the range of the lookback period.
• Tick Volume Oscillator: Used to confirm price direction; Tick Volume is double smoothed.
• TRIX: EMA of an EMA of an EMA; Triple Smoothed Exponential.
• True Strength Index: Double Smoothed; Has less lag than expected and is still very smooth; Corrects potential flaws in CMF by using Wilder's True Range.
• Twiggs Money Flow: Usines William's Buying Pressure & Wilder's True Range concepts.
• Ultimate Oscillator: Uses William's Buying Pressure & Wilder's True Range concepts over 7, 14, & 28 periods.
• Volume Accumulator: Calculates a ratio based on the position of the close to the average price of the intra-day data; See calculation Slide 8, Shultz.

Breadth (continued)

• Sibbett's Demand Index: Smooths volume by using the avtivity of past N-days; See calculation Slide 6, Breadth.
• Thrust Oscillator: Considers the net of advancing and declining stocks as well as their volume; See calculation Slide 12, Breadth.
• Upside/Downside Ratio: UDR = Advancing Volume / Declining Volume; 0-1 is the limit of the downside range when stocks are declining; Upside is not bounded when stocks are advancing.

Chart

• Equivolume - Richard Arms': Takes the unique view of substituting volume for time on the x-axis; Bars with more volume are wider.

Cycles

• Periodogram: Uses Sine and Cosine to break up all cycles into their components.

Fundamental

• Short Interest: Represents the number of shares being held short.
• Open Interest: Number of outstanding futures contracts that need to be traded before contract expiry; Unique to futures markets.

Measuring

• Fibonacci Retracements: Watch retracement levels for signs of reversal.
• Horizontal Target (P&F): Ht = Pl + (WxR); Ht = Upside Target; Pl = Lowest Box Price; W = Width of Formation.