Helpers for the vanilla strategies that compute indicators. More...

#include <algotradelib/analytics>
#include <cstddef>
#include <optional>
#include <stdexcept>

Include dependency graph for signal.hpp:

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Classes
struct	algotradelib::strategy::vanilla::Crossing
	The last two values of an indicator line, for testing a crossing. More...

Namespaces
namespace	algotradelib
	The library: broker-neutral types (core), and the modules below.
namespace	algotradelib::strategy
	What a strategy sees and emits: events, intents, the portfolio, reconciliation and risk limits.
namespace	algotradelib::strategy::vanilla
	The strategies this library ships (buy and hold, crossovers, mean reversion, sizing, liquidation).

Functions
std::optional< Crossing >	algotradelib::strategy::vanilla::last_two (const math::Vector &line)
	Returns the last two values of a line.
math::Vector	algotradelib::strategy::vanilla::adjusted_ema (math::SeriesView values, math::Scalar alpha, std::size_t min_observed=1)
	Computes the bias-adjusted exponential moving average.
math::Vector	algotradelib::strategy::vanilla::exponential_line (math::SeriesView closes, std::size_t span)
	Computes the exponential moving average MovingAverageCrossover reads.
std::optional< math::SeriesView >	algotradelib::strategy::vanilla::trailing (math::SeriesView values, std::size_t count)
	Returns the last count + 1 rows of a series.

Detailed Description

Helpers for the vanilla strategies that compute indicators.

Needs a linear algebra backend (ATL_USE_EIGEN=ON). BuyAndHold and TimedLiquidation do not.

Definition in file signal.hpp.

Classes