The indicators are derived from the TA-Lib technical analysis library.

## Technical Indicators

#### Momentum

A momentum indicator that measures trend strength without regard for direction. ADX calculations are based on a moving average of price range expansions over a given period of time. ADX values over 25 can be seen as a moderately strong trend with values over 75 seen as a extremely strong trend. A falling ADX line does not mean a reversal but only a weakening trend.

• Average Directional Index Rating (ADXR)

The ADX Rating is calculated by taking the average of the current ADX and the ADX from the previous time period. Like the ADX, the ADX Rating ranges from 0 to 100 and reflects strengthing and weakening of trends. Since it represents an average of an ADX, it does not fluctuate as dramatically and is more robust in volatile markets than the ADX.

• Directional Movement Index (DX)

The Directional Movement Index (DX) is for identifying the strength of a trend with regard to direction. It ranges from 0 to 100 and the ADX is a moving average of the DX.

• Minus Directional Indicator (-DI)

The Minus Directional Indicator (Plus DI) is the Plus DM divided by the True Range. It is a measure of bearish trend strength.

• Minus Directional Movement (-DM)

TRAIDE Name: MINUS_DM

The Minus Directional Movement (Minus DM) is the first step towards calculating the ADX. If the price has moved down, the distance between the present low and previous low is the Minus DM. Note that the "Plus" and "Minus" don't represent negative numbers, only up or down price movements.

• Plus Directional Indicator (+DI)

The Plus Directional Indicator (Plus DI) is the Plus DM divided by the True Range. It is a measure of bullish trend strength.

• Plus Directional Movement (+DM)

The Plus Directional Movement (Plus DM) is the first step towards calculating the ADX. If the price has moved up, the distance between the present high and previous high is the Plus DM. Note that the "Plus" and "Minus" don't represent negative numbers, only up or down price movements.

• Absolute Price Oscillator (APO)

The Absoulte Price Oscillator (APO) is the difference, in pips, between two moving averages.

• On Balance Volume (OBV)

A momentum indicator that measures the changes in volume in an asset to predict that asset’s price. OBV is the cumulative sum of volume; when price increases, the current volume is added to the previous volume and when price decreases, the current volume is substracted from the previous volume.

OBV was developed with the idea that an increase in volume precedes an increase in price and a decrease in volume precedes a decrease in price. The absolute value of OBV isn’t important. What is important is the change in the OBV over time. Is the OBV trending upwards, downwards or flat?

							If the current close price is higher than the previous close price then:
$Current OBV = Previous OBV+Current Volume$
If the current close price is lower than the previous close price then:
$Current OBV = Previous OBV-Current Volume$
If the current close price is equal to the previous close price then:
$Current OBV = Previous OBV=Current Volume$
• Chaikin Accumulation Distribution Oscillator (Chaikin AD Oscillator)

An momentum indicator used to measure changes in a trend.

The AD Oscillator measures the momentum of the Chaikin Accumulation Distribution Line (AD Line). The AD Oscillator is the difference between a fast exponential moving average (EMA) and a slow EMA of the Accumulation Distribution Line.

A change in momentum in the AD Line anticipates a trend change in the asset.

The AD Oscillator is typically used to generate a buy signal when the above the zero line and a sell signal when the oscillator crosses below the zero line.

							$Money Flow Multiplier = [(Close-Low)-(High-Close)] [(High-Low)]$
$Money Flow Volume = (Money Flow Multiplier)(volume for the period)$
$Accumulation Distribution Line (ADL) = Previous ADL+Current Perod's Money Flow Volume$
$Chaikin Oscillator = (3day EMA of ADL)-(10day EMA of ADL)$

• Chaikin Accumulation Distribution Line (Chaikin AD Line)

A momentum indicator that measures the cumulative flow of money into and out of an asset.

The AD Line is typically used to verify a trend by looking for divergences in the AD Line and the price of the asset.

							$Money Flow Multiplier = [(Close-Low)-(High-Close)] [(High-Low)]$
$Money Flow Volume = (Money Flow Multiplier)(volume for the period)$
$Accumulation Distribution Line (ADL) = Previous ADL+Current Perod's Money Flow Volume$

• Bollinger Bands (BBANDS)

A volatility indicator consisting of an n-period moving average, an upper band at k time an n-period standard deviation and a lower band at k times an n-period standard deviation.

The Bollinger Bands are used as a volatility indicator. When the market is more volatile, the space between the bands increases. Typically, the closer the price is to the upper band, the more overbought the market is and the closer the prices are to the lower band, the more oversold the market is.

							$Middle Band = n-period moving average$
$Upper Band = n-period moving average+(n-period standard deviation*k)$
$Lower Band = n-period moving average-(n-period standard deviation*k)$

• True Range (TRANGE or TR)

A volatility indicator that measures the current price relative to the highs and lows of an asset. It is the basis for the Average True Range (ATR).

Larger True Range values indicate larger price movements and that there is a lot of pressure behind the price move.

							Calculated as the greater of:
$1.High for the period less the low for the period.$
$2.High for the presiod less the close for the previous period.$
$3.Close of the previous period less the low for the current period.$

• Average True Range (ATR)

A volatility indicator that measures the average amount of activity for an asset.

The ATR does not measure the direction of the trend.

The idea behind the ATR is that large or increasing ranges suggest enthusiasm to buy or sell the asset; prices will continue to move in their current direction of momentum.

							$Current ATR=[(Prior ATR)(Number of Periods - 1)+Current True Range]/Number of Periods$

• Normalized Average True Range (NATR)

A volatility indicator that measures the average amount of activity for an asset that is normalized over the entire dataset.

The NATR does not measure the direction of the trend.

The idea behind the NATR is that large or increasing ranges suggest enthusiasm to buy or sell the asset; prices will continue to move in their current direction of momentum.

							$Current ATR=[(Prior ATR)(Number of Periods - 1)+Current True Range]/Number of Periods$
$nATR= Current ATR-ATRmin ATRmax-ATRmin$

• Variance

Variance measures how similar the current close price is to the rest of the close prices in the date range. It is the standard deviation squared.

Variance is typically used as a proxy for volatility. Larger numbers indicate more variation in the dataset.

							$Variance= ∑(Xi-X¯) n-1$

• Standard Deviation (Std. Dev.)

The Standard deviation measures how similar the current close price is to the rest of the close prices in the date range. It is the square root of the variance.

The Std. Dev. can be used as a proxy for market volatility. Larger numbers indicate more variation in the dataset.

							$Std. Dev.= ∑(Xi-X¯) n-1$

• Minimum and Maximum Ratio

The ratio of the maximum price to the minimum price over n-periods.

							$Minimum to maximum ratio= minimum price over n-periods maximum price over n-periods$

• Minimum Price Difference

The difference between the lowest low and the current close price over a given number of periods.

							$Minimum Price Difference= Current Close Price-Minimum price over the past n periods$

• Maximum Price Difference

The difference between the highest high and the current close price over a given number of periods.

							$Maximum Price Difference= Current Close Price-Maximum price over the past n periods$

• Parabolic Stop and Reverse (Parabolic SAR)

A momentum indicator used to determine in what direction an asset is trending and at what point the trend will reverse.

When the Parabolic SAR is below the price of an asset, the asset is considered to be in a bullish trend and when the price of the asset is below the Parabolic SAR, the asset is considered to be in a bearish trend. When a new high price has been reached, the Parabolic SAR marks the most recent low price. As new highs are reached, the Parabolic SAR will accelerate with the trend until it catches up to the asset price. Once the Parabolic SAR meets the price of the asset, it provides a signal indicating that the trend is over and will act the same in the new direction of the trend.

The Parabolic SAR can be used to determine when an asset is trending, in what direction it is trending and when it has changed direction. It can also be used to monitor the strength of a trend for an asset.

Typically, large values indicate that the asset is in a strong trend as price is accelerating away from the SAR. Values near zero indicate that the asset is due for a reversal or the trend is slowing and large negative values indicate the asset is in a strong down trend.

							For a rising SAR:
$Current SAR= Prior SAR+Prior AF(Prior EP-Prior SAR)$
Where:
$Extreme Point(EP) =The highest high of the current trend$
$Acceleration Factor(AF) =How quickly the SAR accelerates towards the close price.$

• Instantaneous Trendline (Hilbert Transform)

Price Minus HTTrendLine is the difference, in pips, between the current price and the Hilber Transform Trendline (HT Trendline). The HT Trendline is a technique used to find a de-trended signal for the current bar using a representation of both amplitude and phase length of the current market conditions. It has less lag than a conventional moving average and, in theory, should be less prone to false signals.

• Weighted Moving Average (WMA)

Price Minus WMA is the difference, in pips, between the current price and a Weighted Moving Average (WMA). The WMA places an emphasis on recent prices. It can be used to identify a new trend or breakout but is prone to false signals.

• Triangular Moving Average (TRIMA)

Price Minus TRIMA is the difference, in pips, between the current price and a Triangular Moving Average (TRIMA). The TRIMA represents the average prices but puts the most weight on the middle prices of the last n-periods. It is less prone to false signals and can be used to identify a strong/growing trend.

TRAIDE uses PRICE_MINUS_TRIMA or the difference between the price and the triangular moving average.

• Triple Exponential Moving Average (TEMA)

Price Minus TEMA is the difference, in pips, between the current price and a Triple Exponential Moving Average (TEMA). The TEMA is able to quickly adapt to changing price movements but could be sensitive to false breakouts.

• Triple Exponential Moving Average (T3)

Price Minus T3 is the difference, in pips, between the current price and a Tillson's T3 Moving Average (T3). The T3 attempts to improve an exponential moving average by improving the smoothing effect. It can be used to identify strong/growing trends but with less false breakouts than a traditional exponential moving average.

• Simple Moving Average (SMA)

The average price of an asset over a given number of periods. Each data point is weighted equally.

Simple moving averages are typically used to determine whether or not an asset is trending. If the price of an asset is trading above a moving average, that would indicate a bullish trend while prices trading below the moving average would indicate a bearish trend. Shorter-period moving averages are more responsive to price changes while longer-period moving averages are less responsive. Typically, two moving averages are used together and when the shorter-period, or fast, SMA crosses above the longer-period, or slow, SMA, the asset is in a bullish trend and vice versa.

							Where X is the price of an asset:
$SMA= X1+...+Xn n$

• MESA Adaptive Moving Average (MAMA and FAMA)

A composite of two moving averages; MAMA and FAMA. MAMA acts as a moving average similar to an EMA while FAMA acts as a moving average that finds common levels for support and resistance.

• Kaufman Adaptive Moving Average (KAMA)

Price Minus KAMA is the difference, in pips, between the current price and a Kaufman's Adaptive Moving Average (KAMA). The KAMA is a moving average designed to account for market noise and volatility. It is useful to identify trends in volatile market conditions.

• Exponential Moving Average (EMA)

Price Minus EMA is the difference between the current price and an exponential moving average (EMA). It is more sensitive than a simple moving average by giving more weight to the most recent data but can also be more prone to false signals.

• Double Exponential Moving Average (DEMA)

Price Minus DEMA is the difference, in pips, between the current price and a double exponential moving average (DEMA). A DEMA tends to be more sensitive and gives more weight to the most recent price movements. It can be used to identify short-term breakouts but can be prone to false signals.

• Moving Average Cross (MAC2)

The Moving Average Cross is the difference, in pips, between two moving averages. It can be used to identify the strength and direction of a trend.

• Momentum (MOM)

The Momentum indicator (MOM) is a simple way to measure the direction and momentum of a trend. It looks at the difference between the current price and the price n-periods ago.

• Williams’ %R

Williams %R is a momentum indicator that is the inverse of the Stoch FastK. It is the current close relative to the highest high over the last n-periods. It is an oscillator bounded between 0 and -100.

• Rate of Change (ROC)

The percent change in price over a specified number of periods.

							$ROC= 100* (Close-Close n-periods ago) (Close n periods ago)$

• Relative Strength Index (RSI)

A momentum indicator that measures the magnitude of the recent gains to recent losses to determine overbought oversold conditions.

• Balance of Power (BoP)

The Balance of Power (BOP) measures the strength of buying pressure against the strength of selling pressure. Since it calculated only over one period, is used to identify pivot points or the continuation of a trend.

• Chande Momentum Oscillator (CMO)

The Chande Momentum Indicator (CMO) measures the strength and direction of a trend, as well as identify overbought and oversold conditions. It is the difference between the sum of all recent gains divided by the sum of all recent losses, and is range bound between 0 and 100.

• Ultimate Oscillator

The Ultimate Oscillator (Ult Oscillator) is a momentum oscillator designed to capture momentum across three different time frames.

A momentum indicator that measures the level of the RSI relative to its high-low range over n-periods. It applies the Stochastics formula to RSI values. The Stochastic RSI fluctates between 0 and 1.

The STOCHRSI_FASK_MINUS_FASTD takes the difference between the FastK and FastD Stochastic RSI values.

							$Stochastic RSI= (RSI-Lowest low RSI) (Highest high RSI-Lowest low RSI)$
$STOCHRSI_FASK_MINUS_FASTD= FastK-FastD$

• Stochastic RSI (FastD)

The Stochastic RSI FastD is an n-period moving average of the StochRSI FastK. It is an oscillator bound between 0 and 1.

• Stochastic RSI (FastK)

The Stochastic RSI FastD is an n-period moving average of the StochRSI FastK. It is an oscillator bound between 0 and 1.

• Stochastic Fast (FastK FastD Difference)

A momentum indicator that measures the current price relative to the recent highs and lows.

• Stochastic Fast (FastD)

The Stochastic Fast FastD is a n-period moving average of the Stochastic Fast FastK. It is a momentum indicator that shows the speed and direction of a trend but is less prone to false signals than the SlowK.

• Stochastic Fast (FastK)

The Stochastic Fast FastK is a momentum indicator that shows the current price relative to the high-low range over the last n-periods. It measures both momentum and direction of a trend.

• Stochastic (SlowK SlowD Difference)

The Stochastic SlowK is equal to the Stoch Fast FastD. It is a n-period moving average of the Stoch Fast FastK. It shows the strength and direction of a trend but is less prone to false signals than the Stoch Fast FastK.

• Stochastic (SlowD)

The Stochastic SlowD is a n-period moving average of the Stoch SlowK. It is a momentum indicator that shows the speed and direction of a trend but is even less prone to false signals than the Stoch SlowK.

• Stochastic (SlowK or %K)

A momentum indicator that measures the current price relative to the recent highs and lows.

• MACD (Histogram)

The MACD Histogram is the difference between the MACD Line and MACD Signal. The MACD Histogram measures the momentum and direction of a trend, and can also be used as a divergence indicator.

• MACD (Signal Line)

The MACD Signal is a moving average of the MACD Line, usually a 9-period EMA. It can also be used to measure the strength and direction of a trend but can help diminish false breakouts.

• MACD (MACD Line)

The MACD Line is the difference between two moving averages, usually a 12-period EMA and 26-period EMA, and measures the strength and direction of a trend.

• Commodity Channel Index (CCI)

A momentum indicator used to identify a new trend and outlier condtions. The CCI measures the current price level relative to a typical price level over a given number of periods.

The CCI is relatively high when prices are far above their avereage and relatively low when prices are far below their average. In these conditions, the CCI can be used to identify overbought and oversold markets.

							$CCI= (Typical price-n-period moving average of Typical price) (0.015*mean deviation)$
$Typical price= n-period High+n-period low+close 3$


• Percentage Price Oscillator (PPO)

A momentum indicator that measures the difference between two moving averages as a percentage.

							$PPO= 100* (n-period moving average-(longer) n-period moving average) ((longer) n-period moving average)$

• Aroon (AROON_UP_MINUS_DOWN)

A momentum indicator used to identify the beginning and strength of a trend. The AROON_UP_MINUS_DOWN is the same as an Aroon Oscillator and is the difference between the Aroon Up and Aroon Down lines. It measures the number of periods since a high or low.

The Aroon is shown in percentage terms and fluctates between 0 and 100.

							$Aroon Up= (n-periods-Days since n-period high) n-periods *100$
$Aroon Down= (n-periods-Days since n-period low) n-periods *100$
$AROON_UP_MINUS_DOWN= Aroon Up-Aroon Downw$

• Aroon (Aroon Up)

The Aroon Up is the number of periods since an x-period new high. It is a measure of bullish trend strength. For example, a 14-period Aroon Up is the number of days since the most recent 14-period high.

• Aroon (Aroon Down)

The Aroon Down is the number of periods since an x-period new low. It is a measure of bearish trend strength. For example, a 14-period Aroon Down is the number of days since the most recent 14-period low.

• Money Flow Index (MFI or Volume-weighted Relative Strength Index (RSI))

Uses price and volume to measure buying and selling pressure. MFI is sometimes referred to as a volume-weighted RSI because it takes into account the high, low and close price to derive a typical price over a specified number of periods and then uses the RSI formula to calculate the final value.

• ## Fundamental

• Crude Oil: Brent - EU

The daily price of Brent Crude Oil in Europe, not seasonally adjusted. The currencies of large importers and exporters of crude oil tend to be correlated to the price of oil. Exporters, such as Canada, Russia and the UK, tend to see their currencies appriecaite with a higher price of oil, while importers such as the US, Japan, and Australia tend to see their currencies depreciate with a lower price. Data source: http://www.eia.gov/dnav/pet/pet_pri_spt_s1_d.htm

• VIX

The CBOE Volatility Index® (VIXz) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. Since its introduction in 1993, VIX has been considered to be the world's premier barometer of investor sentiment and market volatility. The S&P 500 is broadly tied to the USD leading to the VIX being an important indicator for near-term volatility and sentiment with USD related pairs, particularly the EUR/USD. Data Source: https://www.cboe.com/micro/vix/historical.aspx

• GBP Effective Rate

The GBP Effective Exchange Rate is a measure of the value of the GBP against a basket of other currencies. It is calculated as a weighted average of the exchange rates, expressed as an index relative to a base date. The Effective Exchange Rate can be seen as the value of the GBP independent of other currency pairs and can be used in a strength/weakness analyses of the currency. Data Source: http://www.bankofengland.co.uk/boeapps/iadb/fromshowcolumns.asp?Travel=NIxAZxI3xSCx&ShadowPage=1&FromCategoryList=Yes&CategID=6&NewMeaningId=RSTEZ&HighlightCatValueDisplay=Exchange+rate+%28effective%29+-+sterling&ActualResNumPerPage=21X&TotalNumResults=21&ShowData.x=47&ShowData.y=9&XNotes=Y&C=IIT&XNotes2=Y

• AUD Open Market Positions

The Reserve Bank of Australia Open Market Operations Intended Size of Operation is what the Reserve Bank expects would be a sufficient injection/withdrawal of Exchange Settlement (ES) funds from the banking system that would result in the cost of interbank borrowing and lending of unsecured overnight funds being consistent with the current Cash Rate Target. Open Market Operations at used by central banks to control the money supply. The increase and decrease of the Intended Size of Operation are used to align the rate with the central bank's targe rate. Withdrawal of funds is shown as a negative (-) figure. Data Source: http://www.rba.gov.au/mkt-operations/resources/statistics.html

• Fed Funds Rate (US)

The interest rate at which a depository institution lends funds held at the Federal Reserve to another depository institution overnight. One of the most important indicators of the strength of the US economy as higher interest rates represent confidence in the economy with changes in the target rate affecting every industry. Changes in the Fed Funds rate also has large ramifications in the forex market as currencies with higher interest rates tend to appreciate versus currencies with a lower interest rate with traders looking to gain interest by buying the currency with a higher interest rate in what's known as a "Carry trade". Data source: https://research.stlouisfed.org/fred2/series/DFF#

• Gold Pirces (USD)

The daily price of Gold in USD in London from the Deutsche Bundesbank. There is a strong correlation between the price of gold and movements in the forex market. Looking beyond the history of the "gold standard", gold is used as a hedge against inflation, is widely traded on global markets with import/export numbers affecting global trade balances, and is purchased by central banks as a way to control the supply and demand of the currency. Besides being a heavily traded commodity, gold can also be used as a proxie to measure the value of a currency and changes in both price and import/export balances have a large impact in global markets. Data source: http://www.bundesbank.de/Navigation/EN/Statistics/Time_series_databases/Macro_economic_time_series/its_list_node.html?listId=www_s331_b01015_3

• EuroDollar Deposit Rate 6m

Changes in the 6 month EuroDollar Deposit Rate can be used as a proxy for the market's expectations of where policy rates, such as the Fed Funds rate, will be in 6 months. Increases in EuroDollar Deposit Rates can be seen as expectations that domestic interest rates will rise. EuroDollar Deposit rates tend to be more liquid than fed funds futures making them a more sensitive proxy for changing interest rates. Data source: http://www.federalreserve.gov/releases/h15/data.htm

• EURIBOR (1 month)

The Euro Interbank Offered Rate (EURIBOR) is the rate at which Euro interbank term deposits within the Euro zone are offered by one Prime Bank. It is computed as an average of daily quotes provided for thirteen maturities by a panel of 57 of the most active Banks in the Euro zone. It can be seen as the EU equivalent of the Fed Funds Rate and can be used to represent confidence in the EU economy. Data Source: https://www.banque-france.fr/en/economics-statistics/rates/main-euro-area-interbank-market-rates.html

• EONIA (Daily)

The Euro Overnight Index Average (EONIA): rate calculated by the ECB and disseminated by the EBF (European Banking Federation). It is the weighted average of all uncollateralized overnight loans made by the banks included in the calculation of Euribor. Different from the EURIBOR as it is just overnight interest rates and does not include term loans; it can be seen as the 1-day EURIBOR. The EONIA is used as the short-term confidence in the EU markets. Data source: https://www.banque-france.fr/en/economics-statistics/rates/main-euro-area-interbank-market-rates.html

• Economic Uncertainty

The daily news-based Economic Policy Uncertainty Index is based on newspaper archives from Access World New's NewsBank service. The NewsBank Access World News database contains the archives of thousands of newspapers and other news sources from across the globe. While NewsBank has a wide range of news sources, from newspapers to magazines to newswire services, the analysis was conduced only utilizing newspaper sources.

It was restricted to newspapers in the United States, of which NewsBank covers well over 1000. These newspapers range from large national papers like USA Today to small local newspapers across the country. The primary measure for this index is the number of articles that contain at least one term from each of 3 sets of terms. The first set is economic or economy. The second is uncertain or uncertainty. The third set is legislation or deficit or regulation or congress or federal reserve or white house. Data Source: http://www.policyuncertainty.com/us_daily.html

• Equity Markets Uncertainty

The Equity Market-related Economic Uncertainty is measured through an analysis of news articles containing terms related to equity market uncertainty. It uses newspapers from Access World New's NewsBank service. The NewsBank Access World News database contains the archives of thousands of newspapers and other news sources from across the globe. While NewsBank has a wide range of news sources, from newspapers to magazines to newswire services, the analysis was done only utilizing newspaper sources.

It is restricted to newspapers in the United States, of which NewsBank covers well over 1000. These newspapers range from large national papers like USA Today to small local newspapers across the country. The data spans from 1985 to 2013. To construct the index, month-by-month searches of each paper were performed, starting in January of 1985, for terms related to economic and policy uncertainty. In particular, it searches for articles containing the term 'uncertainty' or 'uncertain', the terms 'economic' or 'economy' and one or more of the following terms: 'equity market', 'equity price', 'stock market', or 'stock price'. In other words, to meet the criteria for inclusion the article must include terms in all three categories pertaining to uncertainty, the economy, and the stock market. Data Source: http://www.policyuncertainty.com/equity_uncert.html