Indicators
Current indicators on the platform and their source code from TA-Lib: Technical Analysis Library.
Last updated
Current indicators on the platform and their source code from TA-Lib: Technical Analysis Library.
Last updated
The full TA-Lib library can be found here.
The indicators used by the bots are supplied wholly by the vetted open-source library, TA-Lib. For the curious, all function definitions and inputs are available in the downloadable source code. The definitions for each indicator may differ slightly from their interpretation in some brokerage platforms. The difference is brokers don't provide the source code - we do.
All historical daily indicators in the auto trading platform are cached pre-market based on yesterday's close, which makes an indicator a true N-day indicator.
The autotrading platform's indicators are based on a Daily (D) time frame.
The intraday option on the daily indicator shifts all indicator bars forward, and instead of using the most recent close as the final daily bar, it uses the current market price. This interpretation is more in-line with how a brokerage might display values on its platform.
Example: RSI(30) would use the 29 days (N-1) of EOD (end of day) prices, and the 30th value (Nth) would be the intraday price at the time the automation is run.
In contrast, a true intraday indicator would be plotted using an aggregation period, or time-series, of less than 1 day and use a lookback function to match the time series. Example: If you plotted a 30 period RSI on a 15-minute chart, your lookback would include the last 30, 15-minute bars.
Implied Volatility (IV) is the parameter component of an option pricing model, such as the Black-Scholes model, which gives the market price of an option. Implied volatility shows how the marketplace views where volatility should be in the future.
IV Rank is describing how the IV relates to where it has been over the past year (52 weeks) by the formula:
The IV Rank of each security is calculated every morning and cached for use by the bots throughout the day. This data is supplied directly by our data provider. Implied Volatility is derived using the analytical formulas of the Black-Scholes model. Model-free price and implied rates are used as an input parameter to the model.
The IVR number produced by the autotrading platform is provided directly by the data provider and may vary from your brokerage platform. This is due to the brokerage making its own proprietary calculations.
Although the IVR calculation is only comprised of 3 data points, you may notice variance between the reported IVR values by the bots, values reported by brokers, or values reported by other volatility sources. The reason why is two-fold.
Recall that implied volatility is not directly observable, and is, therefore, a derived metric usually calculated using a closed-form options pricing model. The biggest unknown is the proprietary pricing model that's being applied to the raw data to derive IV by each IVR source.
There are many pricing models to choose from BSM, Binomial, Trinomial, finite difference, Monte-Carlo, or even the ultra-academic "model-free" methods. Depending on which model is used, the reported implied volatility values will differ. Volatility sources rarely state which model is being used in the calculation.
The primary reason for the difference in calculations is where those black box IV calculations place the high and low IV over the last 52 weeks, or 252 trading days. The IVR reported by the bots uses the high/low implied volatility from the set of all instantaneous IV tracked over the last 252 trading days. In other words, all intraday recorded IV is considered, which yields a much more accurate value for IVR.
In contrast, other sources may use only the daily closing IV value over 252 trading days, then determine the high and low from that data set. It is also possible other sources are using the daily average, the high/low weekly average over 52 weeks, etc.
Unless both the pricing model and the method of high/low determination are known, it is very difficult to compare IVR from different sources.
This compares the current real-time reading of the VIX to the referenced value. The VIX is a real-time market index representing the market’s expectations for volatility over the coming 30 days.
The CBOE VIX index is a benchmark index where expected future volatility is calculated based on put and call option pricing in the S&P 500 index (SPX options). The VIX index is a 30-day representation of volatility expectations for the S&P 500.
Volume is not a cached N-day indicator and is measured in real-time on a daily basis and displayed as the current day's cumulative volume. This cumulative volume will build throughout the day as more shares or contracts are traded.
The standard deviation formula is the generic mathematical formula in standard usage, comprised of closing values for the last n days. 1 standard deviation on our platform is equivalent to the 30-day standard deviation of the underlying's price.
Standard Deviation can be used as part of the decision recipe for [Symbol] price [increased] [2 std devs] since [1 day ago]
This decision is asking the following question, what is the 30-day std dev on the underlying? How does the price difference between dates X and Y compare to the sd30? The answer is read as, "The price move during the period in question encompassed the equivalent of 1.00 standard deviations"
The technical indicators found in the Screener and automation decisions offer default technical signals for Buy, Sell, or Neutral states. The table below expands on the default settings and how the various technical states are determined for each indicator.
