QTA_Optimized

Library "QTA_Optimized"

changePercent(source)
  Returns the one-bar change percentage of the source.
  Parameters:
    source (float)

calculateKellyRatio(returns)
  Calculates the Kelly Ratio.
  Parameters:
    returns (array<float>)

calculateAdjustedKellyFraction(kellyRatio, riskTolerance, fedStance)
  Calculates the adjusted Kelly Fraction.
  Parameters:
    kellyRatio (float)
    riskTolerance (float)
    fedStance (string)

sumArray(arr)
  Sums the elements of a float array.
  Parameters:
    arr (array<float>)

calculateStdDev(returns)
  Calculates the standard deviation of an array of returns.
  Parameters:
    returns (array<float>)

calculateMaxDrawdown(returns)
  Calculates the maximum drawdown from an array of returns.
  Parameters:
    returns (array<float>)

calculateEV(avgWinReturn, winProb, avgLossReturn)
  Calculates the Expected Value (EV) of a bet.
  Parameters:
    avgWinReturn (float)
    winProb (float)
    avgLossReturn (float)

calculateTailRatio(returns)
  Calculates the Tail Ratio.
  Parameters:
    returns (array<float>)

calculateSharpeRatio(avgReturn, riskFreeRate, stdDev)
  Calculates the Sharpe Ratio.
  Parameters:
    avgReturn (float)
    riskFreeRate (float)
    stdDev (float)

calculateDownsideDeviation(returns)
  Calculates the Downside Deviation.
  Parameters:
    returns (array<float>)

calculateSortinoRatio(avgReturn, downsideDeviation)
  Calculates the Sortino Ratio.
  Parameters:
    avgReturn (float)
    downsideDeviation (float)

calculateVaR(returns, confidenceLevel)
  Calculates the Value at Risk (VaR).
  Parameters:
    returns (array<float>)
    confidenceLevel (float)

calculateCVaR(returns, varValue)
  Calculates the Conditional Value at Risk (CVaR).
  Parameters:
    returns (array<float>)
    varValue (float)

calculateRollingStdDev(returns, window)
  Calculates the rolling standard deviation of returns.
  Parameters:
    returns (array<float>)
    window (int)

calculateRollingMean(returns, window)
  Calculates the rolling mean of returns.
  Parameters:
    returns (array<float>)
    window (int)

determineMarketRegime(priceChanges)
  Determines the market regime based on price changes.
  Parameters:
    priceChanges (array<float>)

classifyVolatilityRegime(volatility)
  Classifies the volatility regime.
  Parameters:
    volatility (array<float>)