Time series analyis

Source code included 
AC 
Accelerator Oscillator 
✔ 
ADO 
Accumulation/Distribution Oscillator 
✔ 
AGC 
Automatic gain control 
✔ 
ADX 
Average Directional Movement Index 
✔ 
ADXR 
Average Directional Movement Rating 
✔ 
Alligator 
Alligator 3line 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 
✔ 
ccyMax 
Strongest Forex pair 
✔ 
ccyMin 
Weakest Forex pair 
✔ 
ccyReset 
Initialize currency strength 
✔ 
ccySet 
Define currency strength 
✔ 
ccyStrength 
Get currency strength 
✔ 
CDL2Crows... 
60 classic 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 

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 
✔ 
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 
1pole highpass filter 

HighPass2 
2pole 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 
✔ 
LinearReg 
Linear regression 
✔ 
LinearRegAngle 
Linear regression angle 
✔ 
LinearRegIntercept 
Linear regression intercept 
✔ 
LinearRegSlope 
Linear regression slope 
✔ 
LL 
Lowest Low 
✔ 
LowPass 
Lowpass filter 

MACD 
Moving Average Convergence/Divergence 
✔ 
MACDExt 
MACD with various MA types 
✔ 
MACDFix 
MACD with standard parameters 
✔ 
MAMA 
MESA Adaptive Moving Average 
✔ 
MAVariablePeriod 
Moving Average with variable period 
✔ 
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 
✔ 
peak 
Curve peak 

peakF 
Curve peak, fuzzy 

Percentile 
Percentile 

PercentRank 
Percent rank 

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 
✔ 
rising 
Curve rising 

risingF 
Curve rising, fuzzy 

R2 
Determination coefficient 

RET 
Rate of change between two points 
✔ 
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 
✔ 
SentimentLW 
Williams' Market Sentiment 
✔ 
SentimentG 
Genesis Sentiment Index 
✔ 
ShannonEntropy 
Randomness metric 
✔ 
ShannonGain 
Expected gain rate 
✔ 
SIROC 
Smoothed Rate of Change 
✔ 
SMA 
Simple Moving Average 
✔ 
SMom 
Smoothed Momentum 
✔ 
Smooth 
Ehlers' supersmoother 
✔ 
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 
✔ 
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 rate at bar 
✔ 
ZigZag 
ZigZag indicator 
✔ 
ZMA 
Zerolag Moving Average 
✔ 



Markets & trading


adviseLong 
General machine learning indicator 

adviseShort 
General machine learning indicator 

algo 
Select algorithm 

asset 
Select asset 

assetAdd 
Add asset to list 

assetHistory 
Download price history 

assetList 
Select asset list 

assetType 
Type of asset 

brokerAccount 
Download account data from selected broker 

brokerAsset 
Download asset parameters 

brokerCommand 
Send special command to broker 

cancelTrade 
Undo trade 

combo 
Combine options to a combo 
✔ 
comboAdd 
Add option to a combo 

comboLeg 
Select a combo leg 

comboLegs 
Return number of combo legs 

comboStrike 
Return strike of given combo leg 
✔ 
comboPremium 
Calculate combo premium 
✔ 
comboRisk 
Calculate maximum possible loss 
✔ 
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 
✔ 
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 

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 
Open long position 

enterShort 
Open short position 

exitLong 
Close long positions 

exitShort 
Close short positions 

exitTrade 
Close selected position 

for(trades...) 
Enumerate trades, assets, algos 

frame 
Timeframe state 

frameSync 
Timeframe synchronization 

loadStatus 
Load system status 

login 
Connect to broker 

loop 
Loop through assets/algos 

marketVal 
Bar value (spread) 

marketVol 
Bar value (volume) 

markowitz 
Meanvariance 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 

suspended 
Trading permission 




Math


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 

clamp 
Limits 

compress 
Scale to +/100 

cos 
Cosine 

cosh 
Hyperbolic cosine 

diff 
Change since last bar 

dnorm 
Gaussian probability 

equalF 
Fuzzy == 

exp 
Exponential 

filter 
Covolution filter 

floor 
Round down 

genNoise 
Random noise 
✔ 
genSine 
Sine wave chirp 
✔ 
genSquare 
Square wave chirp 
✔ 
ifelse 
Conditional assignment 

fuzzy 
Defuzzyfication 

log 
Logarithm 

max 
Maximum 

min 
Minimum 

modf 
Fractional part 

normalize 
Normalize to +/100 

notF 
Fuzzy ! (not) 

orF 
Fuzzy  (or) 

pow 
Nth power, Nth root 

qnorm 
Gaussian distribution value 

random 
Random number generator 

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 

zscore 
ZScore 




Time / date


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 
Minute inside bar 

month 
Month at given bar 

ndow 
Nth weekday of month 

nthDay 
Date of nth 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 

dataClip 
Remove records 

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 

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 

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 systemwide variable 

http_transfer 
Load data from website 

http_send 
Send HTTP command 

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 

plotCorrelogram 
Plot correlation 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 
Percycle profit histogram 
✔ 
plotYear 
Annual seasonal analysis 
✔ 
printf 
Print message 

print 
Print to target 

progress 
Progress bar 

putvar 
Set systemwide 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


exec 
Run external program 

free 
Free memory space 

GetProcAddress 
Get DLL function 

is 
System state 

isf 
Flag state 

LoadLibrary 
Open DLL 

lock 
Lock process 

malloc 
Allocate memory space 

memcmp 
Compare memory space 

memcpy 
Copy memory space 

memory 
Get memory allocation 

memset 
Fill memory space 

mode 
System flag state 

quit 
Terminate simulation 

realloc 
Change memory space 

require 
Require software version 

res 
Reset system flag 

resf 
Reset flag 

set 
Set system flag 

setf 
Set flag 

timer 
Performance timer 

unlock 
Unlock process 

version 
Software version 

wait 
Pause 

watch, _POS 
Debugging info 

Win32 API 
Windows API functions 

zInit 
Initialize multiprocess communication 

zClose 
Stop process 

zData 
Exchange process information 

zOpen 
Start process 

zStatus 
Get process status 




Optional usersupplied functions


bar 
Special bar definition 

click 
Button click function 

callback 
Callback for broker API and messages 

cleanup 
Run once at the end 

evaluate 
Evaluate strategy results 

main 
Run once at the begin. 

neural 
External machine learning and prediction 

objective 
Optimization objective 

order 
Special order transmission 

run 
Run at any bar 

tick 
Run at any incoming price 

tock 
Run at fixed time intervals 

tmf 
Trade micromanagement 





