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Indicators & Oscillators

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Indicators & Oscillators

Keltner Channel

Bands plotted a multiple of average true range above and below an exponential moving average of price.

Middle Line = 20-period EMA; Upper Channel = Middle + 2 x ATR; Lower Channel = Middle - 2 x ATR
Indicators & Oscillators

Lagging Indicator

An indicator that confirms a move after it is under way, typically built by smoothing price over a lookback window.

Test: the indicator averages or smooths past values, so its turning point necessarily follows price's own qualitative
Indicators & Oscillators

Leading Indicator

An indicator claimed to change before price does, usually built from the rate of change rather than the level of price.

Test: the indicator's construction emphasises the most recent periods so that it turns before a smoothed measure would qualitative
Indicators & Oscillators

Lookback Period

The number of past periods an indicator examines when computing its current value.

Test: the indicator's value at time t depends on data from t - n + 1 through t, and on nothing earlier days
Indicators & Oscillators

MACD

The moving average convergence divergence indicator: the difference between a fast and a slow exponential moving average of price.

MACD Line = 12-period EMA - 26-period EMA; Signal Line = 9-period EMA of the MACD Line
Indicators & Oscillators

MACD Histogram

The difference between the MACD line and its signal line, plotted as bars around a zero axis.

Histogram = MACD Line - Signal Line
Indicators & Oscillators

Market Breadth

The extent to which a market's move is shared across its constituents rather than concentrated in a few.

Measures include advance-decline ratio, percentage of securities above their 200-day moving average, and new highs minus new lows %
Indicators & Oscillators

Momentum Indicator

An indicator measuring the speed of price change rather than its level or direction.

Momentum = Current Close - Close n periods ago
Indicators & Oscillators

Money Flow Index

An oscillator bounded 0 to 100 that applies the RSI calculation to price multiplied by volume rather than to price alone.

MFI = 100 - 100 / (1 + Money Flow Ratio), where the ratio is Positive Money Flow / Negative Money Flow over n periods and Money Flow = Typical Price x Volume ratio (x, times)
Indicators & Oscillators

Moving Average

The average price over a fixed number of recent periods, recalculated as each new period is added.

Moving Average = Sum of the last n Closing Prices / n
Indicators & Oscillators

Moving Average Crossover

The point at which a shorter moving average crosses above or below a longer one.

Test: Short-Period Moving Average crosses through Long-Period Moving Average, in either direction qualitative
Indicators & Oscillators

On-Balance Volume

A running total that adds a period's volume when the close rises and subtracts it when the close falls.

OBV = Previous OBV + Volume if Close > Previous Close; - Volume if Close < Previous Close; unchanged if equal shares
Indicators & Oscillators

Oscillator

An indicator that moves within a bounded range, used to describe the pace of price change rather than its direction.

Test: the indicator's output is confined between fixed limits, such as 0 to 100 or -100 to +100 qualitative
Indicators & Oscillators

Overbought

A description of an oscillator reading above a conventional upper threshold, such as RSI above 70.

Test: oscillator value exceeds its conventional upper threshold, typically 70 for RSI or 80 for stochastics qualitative
Indicators & Oscillators

Oversold

A description of an oscillator reading below a conventional lower threshold, such as RSI below 30.

Test: oscillator value falls below its conventional lower threshold, typically 30 for RSI or 20 for stochastics qualitative
Indicators & Oscillators

Parabolic SAR

A trailing stop-and-reverse indicator that plots dots which accelerate toward price as a move extends.

SAR = Prior SAR + Acceleration Factor x (Extreme Point - Prior SAR), with the factor rising by a step each time a new extreme is made
Indicators & Oscillators

Price Oscillator

The difference between two moving averages of price, expressed either in absolute terms or as a percentage.

Percentage Price Oscillator = (Short-Period MA - Long-Period MA) / Long-Period MA x 100 %
Indicators & Oscillators

Put-Call Ratio

The ratio of put option activity to call option activity, measured by volume or by open interest.

Put-Call Ratio = Put Volume / Call Volume, or Put Open Interest / Call Open Interest ratio (x, times)
Indicators & Oscillators

Rate of Change

The percentage change in price over a fixed number of periods.

ROC = (Current Close - Close n periods ago) / Close n periods ago x 100 %
Indicators & Oscillators

Relative Strength

The performance of one security measured against another security or an index over the same period.

Relative Strength = Security Price / Benchmark Price, tracked over time; or Security Return - Benchmark Return %
Indicators & Oscillators

Relative Strength Index

An oscillator bounded between 0 and 100 that compares the average size of recent gains with the average size of recent losses.

RSI = 100 - 100 / (1 + RS), where RS = Average Gain over n periods / Average Loss over n periods ratio (x, times)
Indicators & Oscillators

Signal Line

A moving average of an indicator's own values, plotted alongside it to mark where the indicator turns relative to its own trend.

Signal Line = Moving Average of the Indicator's values over a stated period qualitative
Indicators & Oscillators

Simple Moving Average

A moving average that weights every period in the window equally.

SMA = (P1 + P2 + ... + Pn) / n
Indicators & Oscillators

Smoothing Period

The number of periods an indicator averages over, controlling how much noise it removes and how much it lags.

Test: increasing the smoothing period reduces the variance of the indicator's output and increases its lag days