A toolkit for technical analysis of financial time series in Julia

Functions include a range of popular studies in TA including candlesticks, price levels, momentum indicators, moving averages, volatility studies and volume analysis.

MarketTechnicals supports the TimeArray data structure found in the TimeSeries package. The data structure is lightweight and is well-suited for technical analysis algorithms.

Installation

julia> Pkg.add("MarketTechnicals")

The un-registered MarketData package provides const objects of price series data based on the TimeArray structure. The package is used in testing and benchmarking, but may also be useful prototyping trading signals.

julia> Pkg.clone("git://github.com/JuliaQuant/MarketData.jl.git")

A quick tour of the API

julia> using MarketTechnicals, MarketData

julia> findwhen(doji(ohlc))
5-element Array{Date{ISOCalendar},1}:
 1980-10-14
 1981-04-07
 1981-05-08
 1981-06-08
 1981-07-14


julia> ema(cl, 10, wilder=true)
496x1 TimeArray{Float64,1} 1980-01-16 to 1981-12-31

             Close
1980-01-16 | 108.89
1980-01-17 | 109.07
1980-01-18 | 109.27
1980-01-21 | 109.56
...
1981-12-24 | 123.44
1981-12-28 | 123.33
1981-12-29 | 123.16
1981-12-30 | 123.07
1981-12-31 | 123.02

julia> woodiespivots(ohlc)
504x7 TimeArray{Float64,2} 1980-01-04 to 1981-12-31

             s3      s2      s1      pivot   r1      r2      r3
1980-01-04 | 100.99  102.13  103.81  104.94  106.63  107.76  109.45
1980-01-07 | 103.54  104.31  105.53  106.30  107.52  108.29  109.51
1980-01-08 | 103.81  104.81  105.81  106.81  107.81  108.81  109.81
1980-01-09 | 104.45  105.37  107.45  108.37  110.45  111.37  113.45
...
1981-12-24 | 119.30  120.44  121.31  122.45  123.32  124.46  125.33
1981-12-28 | 120.31  120.94  121.80  122.43  123.29  123.92  124.78
1981-12-29 | 119.83  120.78  121.45  122.41  123.08  124.04  124.71
1981-12-30 | 119.00  120.06  120.78  121.84  122.56  123.62  124.34
1981-12-31 | 119.20  120.12  121.27  122.19  123.33  124.26  125.40