Zorro algo trading functions by category

Time series analyis

Open Source
AC Accelerator Oscillator ✔
ADO Accumulation/Distribution Oscillator ✔
AGC Automatic gain control ✔
ADX Average Directional Movement Index ✔
ADXR Average Directional Movement Rating ✔
Alligator Alligator 3-line indicator ✔
ALMA Arnaud Legoux Moving Average ✔
Amplitude Amplitude of series ✔
AO Awesome Oscillator ✔
APO Absolute Price Oscillator ✔
Aroon Aroon Indicator ✔
AroonOsc Aroon Oscillator ✔
ATR Average True Range, original ✔
ATRS Average True Range, simple MA ✔
AvgPrice Average Price ✔
BandPass Bandpass filter  
BBands Bollinger Bands ✔
BBOsc Bollinger Bands oscillator ✔
Beta Beta value ✔
BOP Balance Of Power ✔
Butterworth Butterworth filter ✔
CBI Cold Blood Index  
CCI Commodity Channel Index ✔
CCYI Correlation Cycle Indicator ✔
CCYIR Correlation Cycle Indicator rate of change ✔
CCYIState Correlation Cycle Market State ✔
ccyMax Strongest Forex pair ✔
ccyMin Weakest Forex pair ✔
ccyReset Initialize currency strength ✔
ccySet Define currency strength ✔
ccyStrength Get currency strength ✔
CDL... 60 traditional candle patterns ✔
CGOsc Center Of Gravity oscillator ✔
ChandelierLong Chandelier exit long ✔
ChandelierShort Chandelier exit short ✔
Chikou Ichimoku Chikou line ✔
CI Choppiness Index ✔
CMO Chande Momentum Oscillator ✔
concave Curve concavity  
ConnorsRSI Connors RSI indicator ✔
Coral Coral indicator ✔
Correlation Pearson correlation coefficient ✔
COT Commitment Of Traders report ✔
COT_CommercialPos COT commercials net position ✔
COT_CommercialIndex COT index ✔
COT_OpenInterest COT open interest ✔
Covariance Covariance coefficient ✔
crossOver Curve cross over  
crossOverF Fuzzy cross over  
crossUnder Curve cross under  
crossUnderF Fuzzy cross under  
CTI Correlation Trend Indicator ✔
dayClose Day close ✔
dayHigh Day high ✔
dayLow Day low ✔
dayOpen Day open ✔
dayPivot Day pivot ✔
DChannel Donchian Channel ✔
DCOsc Donchian Channel Oscillator ✔
Decycle Ehlers' Decycler ✔
DEMA Double Exponential Moving Average ✔
Divergence Pricve / Oscillator peak line divergence ✔
DominantPeriod Fundamental price oscillation  
DominantPhase Fundamental price phase  
DPO Detrended Price Oscillator ✔
DX Directional Movement Index ✔
EMA Exponential Moving Average ✔
ER Efficiency Ratio ✔
FIR3 Finite Impulse Response filter, 3 taps  
FIR4 Finite Impulse Response filter, 4 taps  
FIR6 Finite Impulse Response filter, 6 taps  
falling Curve falling  
fallingF Curve falling, fuzzy  
findIdx Find element  
Fisher Fisher transform ✔
FisherInv Inverse Fisher transform ✔
FisherN Fisher transform with normalization ✔
FractalDimension Fractal Dimension ✔
FractalHigh High Fractal indicator ✔
FractalLow Low Fractal indicator ✔
frechet Frechet pattern detection  
Gauss Gauss filter  
HAClose Haiken Ashi Close ✔
HAHigh Haiken Ashi High ✔
HALow Haiken Ashi Low ✔
HAOpen Haiken Ashi Open ✔
HH Highest High ✔
HMA Hull Moving Average ✔
HighPass Wide highpass filter  
HighPass1 1-pole highpass filter  
HighPass2 2-pole highpass filter ✔
HTDcPeriod Hilbert transform cycle period ✔
HTDcPhase Hilbert transform cycle phase ✔
HTPhasor Hilbert transform phasor components ✔
HTSine Hilbert transform sine wave ✔
HTTrendline Hilbert transform instantaneous trendline ✔
HTTrendMode Hilbert transform trend indicator ✔
Hurst Hurst exponent ✔
IBS Internal Bar Strength ✔
Ichimoku Ichimoku indicator ✔
KAMA Kaufman Adaptive Moving Average ✔
KAMA2 KAMA with individual settings ✔
Keltner Keltner channel ✔
Laguerre Laguerre lowpass filter ✔
line Line position at a given bar ✔
LinearReg Linear regression ✔
LinearRegAngle Linear regression angle ✔
LinearRegIntercept Linear regression intercept ✔
LinearRegSlope Linear regression slope ✔
LL Lowest Low ✔
LowPass Lowpass filter  
LSMA Least Squares Moving Average ✔
MACD Moving Average Convergence/Divergence ✔
MACDExt MACD with various MA types ✔
MACDFix MACD with standard parameters ✔
MAMA MESA Adaptive Moving Average ✔
MovingAverage Moving Average with given type ✔
MovingAverage
VariablePeriod
Moving Average with variable period ✔
MatchIndex Index of best match ✔
MaxVal Highest value ✔
MaxIndex Index of highest value ✔
Median Median filter  
MedPrice Center price of candle ✔
MidPoint Center value of period ✔
MidPrice Center price of period ✔
MinVal Lowest value ✔
MinIndex Index of lowest value ✔
MinMax Lowest and highest values ✔
MinMaxIndex Indexes of lowest and highest values ✔
MMI Market Meanness Index ✔
MinusDI Minus Directional Indicator ✔
MinusDM Minus Directional Movement ✔
Mode Most frequent value ✔
Mom Momentum ✔
Moment Mean, variance, skew, kurtosis ✔
MovingAverage Moving Average with various MA types ✔
NATR Normalized Average True Range ✔
Normalize Normalize to -1 .. +1 ✔
NumInRange Count ranges in interval ✔
NumDn Count of falling elements ✔
NumRiseFall Length of streak ✔
NumUp Count of rising elements ✔
NumWhiteBlack Difference of white and black candles ✔
OBV On Balance Volume ✔
peak Curve peak  
peakF Curve peak, fuzzy  
Percentile Percentile  
PercentRank Percent rank  
Pivot Pivot point ✔
PlusDI Plus Directional Indicator ✔
PlusDM Plus Directional Movement ✔
polyfit Polynomial regression  
polynom Regression polynomial  
PPO Percentage Price Oscillator ✔
predict Curve peak / crossover prediction  
predictMove Predict price move by statistics ✔
predictSeason Predict price move by seasonal analysis ✔
ProfitFactor Ratio of positive to negative returns ✔
QLSMA Quadratic Least Squares Moving Average ✔
R2 Determination coefficient  
Resistance Resistance line ✔
RET Rate of change between two points ✔
rising Curve rising  
risingF Curve rising, fuzzy  
ROC Rate of change ✔
ROCP Rate of change percentage ✔
ROCR Rate of change ratio ✔
ROCL Logarithmic return ✔
ROCR100 Rate of change ratio, 100 scale ✔
Roof Ehlers' roofing filter ✔
RSI Relative Strength Index, original ✔
RSIS Relative Strength Index, simple MA ✔
RVI Ehlers' Relative Vigor Index ✔
SAR Parabolic SAR ✔
SemiMoment Mean, downside variance, skew, kurtosis ✔
SentimentLW Williams' Market Sentiment ✔
SentimentG Genesis Sentiment Index ✔
ShannonEntropy Randomness metric ✔
ShannonGain Expected gain rate ✔
Sharpe Sharpe ratio ✔
SIROC Smoothed Rate of Change ✔
slope Line through minima or maxima ✔
SMA Simple Moving Average ✔
SMAP Average of positive values ✔
SMom Smoothed Momentum ✔
Smooth Ehlers' super-smoother ✔
Sortino Sortino ratio ✔
Spearman Spearman's rank correlation coefficient ✔
Spectrum Spectral analysis  
StdDev Standard deviation ✔
Stoch Stochastic oscillator ✔
StochEhlers Ehlers' predictive stochastic ✔
StochF Stochastic Fast ✔
StochRSI Stochastic RSI ✔
Sum Sum of elements ✔
SumDn Sum of falling elements ✔
SumUp Sum of rising elements ✔
Support Support line ✔
T3 Triple smoothed MA ✔
TEMA Triple EMA ✔
touch Curve touches another  
Trima Triangular Moving Average ✔
Trix TEMA rate of change ✔
TrueRange True range ✔
TSF Time Series Forecast ✔
TSI Trend Strength Index  
TypPrice Typical price ✔
UltOsc Ultimate Oscillator ✔
UO Universal Oscillator ✔
Variance Variance ✔
valley Curve valley  
valleyF Curve valley, fuzzy  
Volatility Annualized volatility ✔
VolatilityC Chaikin Volatility indicator ✔
VolatilityMM Min/Max volatility ✔
VolatilityOV Empirical volatility ✔
WCLPrice Weighted Close Price ✔
WillR Williams' Percent Range ✔
WMA Weighted Moving Average ✔
yield Riskfree interest rate ✔
ZigZag ZigZag indicator ✔
ZMA Zero-lag Moving Average ✔
     

Markets & trading

 
adviseLong/Short Machine learning indicator  
algo Select algorithm  
asset Select asset  
assetAdd Add asset to list  
assetHistory Download price history  
assetList Select asset list  
assetSource Set up online data source  
assetType Type of asset  
assign Convert portfolio weights  
brokerAccount Retrieve account status  
brokerAsset Download asset parameters  
brokerCommand Send special command to broker
brokerRequest Send a REST API request to broker  
brokerTrades Download list of open positons  
cancelTrade Undo trade  
combo Combine options to a combo ✔
comboAdd Add option to a combo  
comboContract Return contract of a combo leg ✔
comboLeg Select a combo leg  
comboLegs Return number of combo legs  
comboMargin Calculate the margin cost of a combo ✔
comboStrike Return strike of given combo leg ✔
comboPremium Calculate combo premium ✔
comboProfit Calculate combo profit ✔
comboRisk Calculate maximum possible loss ✔
comboType Detect type of a combo ✔
contract Select option/future contract  
contractCheck Check for termination  
contractCPD Price probability analysis  
contractDays Contract duration  
contractDelta Delta value from strike ✔
contractExercise Exercise option  
contractFind Find contract by parameter  
contractIntrinsic Intrinsic value ✔
contractMargin Calculate contract margin ✔
contractNext Next contract in chain  
contractPosition Get current position size  
contractPrice Get current value  
contractProfit Get current profit/loss  
contractRecord Save contract chain to history ✔
contractRoll Roll expired contract forward ✔
contractSellUnderlying Sell assigned stock from exercised contracts ✔
contractStrike Strike value from Delta ✔
contractUnderlying Unadjusted underlying price ✔
contractUpdate Load contract chain  
contractVal Calculate option value ✔
contractVol Calculate implied volatiltiy ✔
cpd Predicted price probability  
cpdv Price at given probability  
dataDownload Market data from online source  
dataFromCSV Market data from CSV file  
dataFromQuandl Market reports from Quandl™ ✔
distribute Calculate portfolio weights  
enterLong/Short Open position  
enterTrade Add position from template  
exitLong/Short Close one or several positions  
exitTrade Close selected position  
for(trades...) Enumerate trades, assets, algos  
frame Timeframe state  
frameSync Timeframe synchronization  
knapsack Optimize asset amounts  
loadStatus Load system status  
login Connect to broker  
loop Loop through assets/algos  
marketVal Bar value (spread)  
marketVol Bar value (volume)  
markowitz Mean-variance optimization  
markowitzReturn Max return for given variance  
markowitzVariance Min variance for given return  
optimize Optimal parameter value  
orderCVD Order flow analysis  
orderUpdate Read order book  
price Mean price at bar  
priceClose Close at bar  
priceHigh High at bar  
priceLow Low at bar  
priceOpen Open at bar  
priceQuote Enter current price  
priceRecord Save price to history  
priceSet Modify price at bar  
results Statistics of trade results  
saveStatus Save system status  
seriesO/H/L/C Price series  
suspended Trading permission  
tradeUpdate Resize or update trade parameters  
tradeUpdatePool Synchronize virtual and pool trades  
 

Math & misc

 
abs Magnitude  
aboveF Fuzzy >=  
andF Fuzzy && (and)  
asin Arc sine  
acos Arc cosine  
atan Arc tangent  
atan2 Arc tangent, high precision  
belowF Fuzzy <=  
between Range check  
betweenF Fuzzy range check  
cdf Gaussian cumulative distribution  
ceil Round up  
center Center about median  
changed Change of value ✔
clamp Limits  
compress Scale to +/-100  
cos Cosine  
cosh Hyperbolic cosine
cum Accumulation function ✔
diff Change since last bar  
dnorm Gaussian probability  
equalF Fuzzy ==  
erf Statistical error function  
exp Exponential  
filter 1D covolution filter  
fix0 Safe division ✔
floor Round down  
fmod Fractional modulo  
fuzzy Defuzzyfication  
genNoise Random noise ✔
genSine Sine wave chirp ✔
genSquare Square wave chirp ✔
hmac Cryptographic hash  
ifelse Conditional assignment  
invalid Invalid value  
log Logarithm  
max Maximum  
min Minimum  
modf Fractional part  
normalize Normalize to +/-100  
notF Fuzzy ! (not)  
once First occurrence  
orF Fuzzy || (or)  
pow Nth power, Nth root  
qnorm Gaussian distribution value  
random Random number generator  
ref Value at bar ✔
renorm Multiply and normalize  
round Round to next integer  
roundto Round to next step  
scale Center and scale to +/-100  
seed Random number initialization  
sign Sign  
sin Sine  
sinh Hyperbolic sine  
sqrt Square root  
tan Tangent  
tanh Hyperbolic tangent  
valuewhen Conditional array access ✔
zscore Z-Score  
     

Time / date

 
at Event at time of day ✔
barssince Bars since condition became true ✔
day Day of month  
dmy YYYYMMDD to OLE time/date ✔
dom Days in month  
dow Day of week  
dst Daylight saving time  
hour UTC hour  
ldow Day of week at time zone  
lhour Hour at time zone  
ltod HHMM at time zone  
market Market open time  
minute Minute  
minutesAgo Bar distance in minutes  
minutesWithin Bar length in minutes
month Month at given bar  
mtu OLE time/date from Unix time  
ndow N-th weekday of month  
nthDay Date of n-th weekday of month ✔
second Second with microseconds  
tdm Trading day of month  
timeOffset Bar at given time  
tom Trading days in month  
tod HHMM time of day  
tow DHHMM time of week  
ltow DHHMM at time zone  
utm Unix time  
wdate OLE time/date  
wdateBar OLE time/date at bar  
wdatef OLE time/date from string  
week Week number  
workday Workday or holiday  
year Year at given bar  
ymd OLE time/date to YYYYMMDD ✔
     

Data structures

 
atof String to var  
atoi String to int  
conv Convert array or time series  
dataAppend Extend dataset  
dataAppendRow Extend dataset by row  
dataChart Plot dataset content  
dataClip Remove records  
dataCol Extract data column  
dataCompress Remove duplicates  
dataFind Find date/time in dataset  
dataLoad Load dataset  
dataInt Get integer from field  
dataMerge Merge two datasets  
dataNew Create dataset  
dataParse Create dataset from CSV  
dataParseJSON Create OHLC dataset from JSON  
dataSave Save dataset  
dataSaveCSV Save dataset to CSV  
dataSet Set dataset field  
dataSize Get dataset format  
dataSort Sort dataset by date  
dataStr Get string from field  
dataVar Get variable from field  
filter Convolution filter  
matrix Matrix / vector creation  
me Matrix element  
matAdd Matrix addition  
matMul Matrix multiplication  
matScale Matrix scaling  
matSet Matrix copy  
matSub Matrix subtraction  
matTrans Matrix transpose  
randomize Shuffle array or time series  
renorm Normalize array  
ref Reference past value  
rev Reverse array or time series  
series Create time series  
sftoa Convert number to string  
shift Shift array or time series  
sortData Sort array  
sortIdx Create sort index  
sortRank Create ranking list  
strcat Append string  
strcmp Compare strings  
strcpy Copy string  
strlen String length  
strstr Find substring  
strchr Find character  
strrchr Find character from end  
strtok Tokenize string  
strvar Variable from ini string  
strtext Text from ini string  
strdate Time/date to string  
strf Variables to string  
strx Replace substrings  
strxc Replace characters  
strmid Strip string  
strcount Count characters  
strw Wide string  
stridx String to index  
strxid Index to string  
strtr Trade ID string  
strcon Contract ID string  
sprintf Print into string  
sscanf Parse string  
ve Vector element  
     

Input / output

 
color Define color range  
colorScale Brighten / darken color  
dataParse Create dataset from CSV  
dataParseJSON Create OHLC dataset from JSON  
email Send email  
file_append Append data to end of file  
file_appendfront Append data to begin of file  
file_content Read content of file  
file_copy Copy file  
file_date File date  
file_delete Delete file  
file_length File size  
file_next Read directory  
file_read Read file to string  
file_select Open file dialog box  
file_write Write string to file  
ftp_download Download file from FTP server  
ftp_upload Upload file to FTP server  
ftp_getdate Get file date and size from FTP server  
ftp_stop Stop the current FTP transfer  
ftp_size Size of the received file  
ftp_sent Size of the sent file  
ftp_timestamp Get file timestamp  
ftp_status FTP transfer status  
ftp_log Enables FTP logging  
getvar Get system-wide variable  
http_transfer Load data from website  
http_request Send HTTP request  
http_post Start HTTP POST transfer  
http_proxy Define a proxy server  
http_status HTTP transfer status  
http_result Retrieve received file  
http_free Stop current HTTP transfer  
keys Send keystrokes to window  
mouse Mouse position  
msg Message box  
panel Create user panel from spreadsheet  
panelFix Determine panel scroll area  
panelGet Get data from user panel  
panelLoad Load panel state  
panelMerge Merge cells on panel  
panelSave Save panel state  
panelSet Update user panel or action scrollbox  
plot Plot curve  
plotBar Plot histogram bar  
plotBuyHold Plot a buy-and-hold benchmark ✔
plotChart Update histogram  
plotContract Plot option payoff diagram ✔
plotCorrelogram Plot autocorrelation histogram ✔
plotData Get plot data for export  
plotDay Daily seasonal analysis ✔
plotDayProfit Daily profit histogram ✔
plotGraph Plot symbol  
plotHeatmap Plot heatmap matrix ✔
plotHistogram Plot a general histogram ✔
plotMAEGraph Max adverse excursions histogram ✔
plotMAEPercentGraph Max adverse excursions in percent ✔
plotMFEGraph Max favorable excursion histogram ✔
plotMFEPercentGraph Max favorable excursions in percent ✔
plotMonth Monthly seasonal analysis ✔
plotMonthProfit Monthly profit histogram ✔
plotPriceProfile Price difference histogram ✔
plotQuarterProfit Quarterly profit histogram ✔
plotTradeProfile Profit distribution histogram ✔
plotWeek Weekly seasonal analysis ✔
plotWeekProfit Weekly profit histogram ✔
plotWFOCycle WFO cycle analysis ✔
plotWFOProfit Per-cycle profit histogram ✔
plotYear Annual seasonal analysis ✔
printf Print message  
print Print to target  
progress Progress bar  
putvar Set system-wide variable  
pyInt Integer from Python variable  
pySet Send variables to Python  
pyStart Start Python session  
pyVar Double float from Python variable  
pyVec Array from Python variable  
pyX Execute Python code  
Rd Double float from R expression  
Ri Integer from R expression  
Rrun R status  
Rset Send variables to R  
Rstart Start R session  
Rv Array from R expression  
Rx Execute R expression  
report Generate performance report  
slider Slider input  
sound Play WAV file  
window Find active window  
     

System

 
call Run function at event  
exec Run external program  
free Free memory area  
GetProcAddress Get DLL function  
ignore Suppress error message  
ifelse Conditional assignment  
is System flag state  
isf Flag state of a variable  
LoadLibrary Open DLL  
lock Protect code against interruption  
malloc Allocate memory area  
memcmp Compare memory  
memcpy Copy memory area  
memory Get memory allocation  
memset Fill memory area  
of Enumerate elements in a loop  
once First condition change  
quit Terminate simulation  
realloc Change memory area  
require Require software version  
resf Reset flag of a variable
set Set or reset system flag  
setf Set flag of a variable  
timer Performance timer  
unlock Unlock code  
version Software version  
wait Pause  
watch Debugging info  
Win32 API Windows API functions  
zalloc Allocate temporary memory space  
zInit Initialize multiprocess communication  
zClose Stop process  
zData Exchange process information  
zOpen Start process  
zStatus Get process status  
     

Optional user-supplied functions

 
bar Special bar definition (Renko, Kagi, etc)  
click Button click function  
callback Callback for broker API and messages  
cleanup Run once at the end  
error Run at any error  
evaluate Evaluate strategy results  
manage Trade micromanagement  
main Run once at the begin.  
neural External machine learning and prediction  
objective Parameter optimization target  
order Special order transmission  
parameters Parameter optimization setup  
run Run at any bar  
tick Run at any incoming price  
tock Run at fixed time intervals  
     

 

 

 

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