Crate sliding_features
source ·Expand description
The sliding_features crate provides modular, chainable sliding windows for various signal processing function and technical indicators
Structs
ALMA - Arnaud Legoux Moving Average
reference: https://forex-station.com/download/file.php?id=3326661&sid=d6b440bfbba5e1905b4c75188c2797ce
Add View a to b
Shannon entropy sliding window over values,
where a positive / negative values are interpreted as true / false
John Ehlers Center of Gravity Indicator
from: https://mesasoftware.com/papers/TheCGOscillator.pdf
Provides a float value to other views
John Ehlers Correlation Trend Indicator
from: https://financial-hacker.com/petra-on-programming-a-unique-trend-indicator/
Cumulative Sliding Window with a chained view
John Ehlers Cyber Cycle Indicator
from: https://www.mesasoftware.com/papers/TheInverseFisherTransform.pdf
Divide View a by b
EMA - Exponential Moving Average
Echo always return the last value just like an echo
John Ehlers Fisher Transform Indicator
from: http://www.mesasoftware.com/papers/UsingTheFisherTransform.pdf
Greater Than or Equal
Will allow values >= clipping_point tough and clip other values to the clipping point
A sliding High - Low Normalizer
Lower Than or Equal filter,
which only allows values lower than the specified clipping point through
John Ehlers Laguerre Filter
from: http://mesasoftware.com/papers/TimeWarp.pdf
John Ehlers LaguerreRSI
from: http://mesasoftware.com/papers/TimeWarp.pdf
Multiply View a by b
John Ehlers MyRSI
from: http://www.mesasoftware.com/papers/Noise%20Elimination%20Technology.pdf
John Ehlers Noise elimination technology using kendall correlation
from http://www.mesasoftware.com/papers/Noise%20Elimination%20Technology.pdf
A PolarizedFractalEfficiency indicator with output range [-1.0 and 1.0] rather than [-100, 100]
it is also possible to use a custom moving average instead of the default EMA in the original
Rate of Change Indicator
Relative Strength Index Indicator
John Ehlers ReFlex Indicator
from: https://financial-hacker.com/petra-on-programming-a-new-zero-lag-indicator/
Roofing Filter by John Ehlers
From paper: http://www.stockspotter.com/files/PredictiveIndicators.pdf
SMA - Simple Moving Average
Subtract View a from b
John Ehlers SuperSmoother filter
from https://www.mesasoftware.com/papers/PredictiveIndicatorsForEffectiveTrading%20Strategies.pdf
Applies the Tanh function to the output of its View component
John Ehlers TrendFlex Indicators
from: https://financial-hacker.com/petra-on-programming-a-new-zero-lag-indicator/
Variance Stabilizing Centering Transform Sliding Window
Variance Stabilizing Transform uses the standard deviation to normalize values
Welford online algorithm for computing mean and variance on-the-fly
over a sliding window
Traits
The most important Trait, defining methods which each sliding feature needs to implement