Implementing your own indicator

Categorization of your indicator

Categorization of indicators is done to better understand implementation of indicators, not to understand the role of each indicator. To better understand the role of each indicator other categories such as moving averages, momentum indicators, volatility indicators are better suited.

SISO indicators (🔢 🔢)

A SISO indicator takes one simple observation (price of an asset, volume of assets traded...) and output just one value for this observation.

SMA, EMA are good examples of such indicator category (but also most of others moving average indicators).

SIMO indicators (🔢 Ⓜ️)

The very famous BB (Bollinger Bands developed by financial analyst John Bollinger) indicator is an example of SIMO indicator. Like a SISO indicator it takes one simple value at a time. But contrary to SISO indicator, SIMO indicators generate several values at a time (upper band, central value, lower band in the case of Bollinger Bands indicator).

MISO indicators (🕯️ 🔢)

OnlineTechnicalIndicators have also some MISO indicators ie indicators which takes several values at a time. It can be candlestick OHLCV data for example. Average True Range (ATR) is an example of such an indicator. It's the average of true ranges over the specified period. ATR measures volatility, taking into account any gaps in the price movement. It was developed by a very prolific author named J. Welles Wilder (also author of RSI, ParabolicSAR and ADX).

MIMO indicators (🕯️ Ⓜ️)

The last implementation type of indicator are MIMO indicators ie indicator which take several values at a time (such a candlestick data) and ouput several values at a time. Stochastic oscillator (Stoch also known as KD indicator) is an example of such indicator implementation category). It was developed in the late 1950s by a technical analyst named Georges Lane. This method attempts to predict price turning points by comparing the closing price of a security to its price range. Such indicator ouputs 2 values at a time : k and d.

Steps to implement your own indicator

1. First step to implement your own indicator is to categorized it in the SISO, SIMO, MISO, MIMO category.

2. Look at indicator dependencies and try to find out an existing indicator of similar category with similar features used.

3. Watch existing code of an indicator of a similar category with quite similar dependencies.

4. Copy file into src\indicators directory with same name for struct and filename (that's important for tests)

5. Increment number of indicators in test_indicators_interface.jl

   @test length(files) == ... # number of indicators

6. Create unit tests (in the correct category) and ensure they are passing.