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Technical Analysis Library written in Elixir

License: MIT License

Elixir 100.00%

technical analysis elixir ta ta-lib trading finance

talib's Introduction

Technical Analysis for Elixir

Talib provides easy access to indicators, oscillators and several utility functions.

It's currently a work in progress; updates will be pushed on a regular basis.

Features

Utility
- Change
- Gain
- High
- Loss
- Low
- Occur
Average
- Mean
- Median
- Midrange
- Mode
Moving Average
- Cumulative
- Exponential
- Simple
- Smoothed
Indicator
- MACD (Moving Average Convergence Divergence)
- RSI (Relative Strength Index)

Why?

As I was scanning the supported functions of the widely-used library 'TA-Lib', I was missing some things I wanted to use, such as elasticity for comparison of markets and indicators like the McClellan oscillator. Besides that, the project seems abandoned as there have been no releases since 2007.

The goal of this library is to have most indicators built-in, where missing indicators can be suggested through the issue tracker and pull requests.

If there's enough demand as well as developer time, the functions will be ported to a language that will process them faster than Elixir currently can.

Changelog

This repository uses GitHub releases to manage changes in the codebase.

Contributing

To ensure correct functioning of this library, you could help out in several ways.

Auditing
Verifying the inputs and outputs of a given function and the corresponding unit tests.
Refactoring
Updating the functions to a more readable state, or a state with better performance.
Suggesting
Suggesting missing indicators or functions.
If you're willing to do this, please send a draft with expected inputs and outputs of the function.

For more information, view CONTRIBUTING.md. Thanks!

Contributors

Role	Name	Referral
Developer	Wouter Klijn	GitHub

Your name could be here!

talib's People

Stargazers

Watchers

Forkers

icyeagle hongsw djinn smartkarma buurz-forks buurzx nicholasbair nils-muller matthusby

talib's Issues

Typespecs

These should be added to the functions, for compatibility with Dialyzer / Dialyxir.

Negative and floating-point periods

Problem:
A BadPeriodError is raised (or the corresponding tuple returned) when the period is 0, but not when the period is negative or even a floating-point number.

When porting to C, this could lead to unwanted behavior when typecasting floats to integers. However, I'm not sure how the GMP library handles this case.

It should be resolved nevertheless; from a user's perspective this is unwanted behavior.

Solution:
Periods should come in the form of a non-zero unsigned integer. Anything else should raise a BadPeriodError, or return {:error, :bad_period}.

Using signalling NaN vs Nil

As I've been working with Nil and propagating these across functions, the question whether or not to use NaN for these signalling purposes arose.

So currently when there's not enough data, Nil is passed as a result, as every input value should have an output value, which is by design.

Considerations:

The TA-Lib C library uses NaN as well when missing data.
The problem with NaN is that the exact reason why NaN is returned is not clear - did we divide zero by zero? Even more important, it doesn't handle comparisons very well.
We only have to pass the information that there's no output data as there's not enough input data. R handles this using NA (Not Available).
If necessary, we could use a new atom representing this.

Sources:
https://blog.metawrap.com/2005/09/11/null-undefined-and-nan
https://blogs.janestreet.com/making-something-out-of-nothing-or-why-none-is-better-than-nan-and-null/