43 Indicators to Build Algorithmic Trading Strategies

Algorithmic trading involves the use of mathematical models and computer programs to make trading decisions automatically.

Traders often rely on various technical indicators to create effective trading strategies.

In this article, we will explore and explain a variety of indicators, categorizing them into different types such as Trend-Following, Mean-Reversion, Break-Out, Momentum, Volume, and Oscillators.

Trend-Following Indicators

1. Simple Moving Average (SMA)

The Simple Moving Average is a basic indicator that calculates the average price over a specified period, smoothing out price fluctuations. It is used to identify the general direction of the trend.

2. Exponential Moving Average (EMA)

Similar to SMA, the Exponential Moving Average gives more weight to recent prices, making it more responsive to changes. It helps traders identify trends quickly.

3. Weighted Moving Average (WMA)

Weighted Moving Average assigns different weights to each price, giving more importance to recent data. It is a variation of the EMA.

4. Bollinger Bands

Bollinger Bands consist of a middle band (SMA) and two outer bands representing standard deviations. They help identify overbought and oversold conditions, as well as potential break-out points.

5. Donchian Channel

Donchian Channels define the highest high and lowest low over a specified period, helping traders identify break-out points.

6. Gann Fans

Gann Fans use lines at different angles to identify trend strength and potential reversal points.

Mean-Reversion Indicators

7. Relative Strength Index (RSI)

RSI measures the magnitude of recent price changes to evaluate overbought or oversold conditions. It ranges from 0 to 100.

8. Stochastic Oscillator

The Stochastic Oscillator compares a closing price to its price range over a specific period, indicating potential reversal points.

9. Williams %R

Williams %R is an oscillator that measures the close relative to the high-low range over a specific period, helping identify overbought and oversold conditions.

Break-Out Indicators

10. Bollinger Bandwidth Indicator

This indicator measures the distance between the upper and lower Bollinger Bands, providing insights into volatility. A low bandwidth may indicate a potential break-out.

11. Chaikin Accumulation/Distribution

This indicator combines price and volume to identify buying and selling pressure, assisting in predicting potential break-outs.

12. Volume Weighted MACD

The Moving Average Convergence Divergence (MACD) with volume weighting helps identify potential break-out points.

Momentum Indicators

13. Momentum Oscillator

Momentum measures the rate of change of prices, helping traders identify trends and potential reversal points.

14. Rate of Change (ROC)

ROC measures the percentage change in price over a specified period, assisting in identifying momentum.

15. Ultimate Oscillator

The Ultimate Oscillator combines multiple timeframes to identify overbought and oversold conditions.

Volume Indicators

16. On-Balance Volume (OBV)

OBV helps identify trends by allocating volume to buyers on up days and sellers on down days.

17. Volume Weighted Average Price (VWAP)

VWAP considers every tick in a period and weights prices by total volume, providing a benchmark for assessing price movements.

18. Volume Accumulator Oscillator

This oscillator calculates a ratio based on the position of the close relative to the average price, assisting in identifying trends.

Oscillators

19. A/D Oscillator

Accumulation/Distribution Oscillator measures buying and selling pressure based on open, high, low, and close prices.

20. Aspray's Demand Oscillator

Uses direction to separate volume into buying pressure and selling pressure, assisting in identifying trends.

21. AutoCorrelation Oscillator

Looks for relationships within the same dataset by increasing the lookback interval and doing a correlation on a linear regression.

22. Average Directional Index (ADX)

ADX measures the strength of the trend while Directional Movement Indicators (DMI) show direction.

23. Chaikin Oscillator

Takes the Chaikin Accumulation Distribution and applies a 3-day EMA and a 10-day EMA, also including Bollinger Bands.

24. Cycle Channel Index Oscillator

A trend-following tool that operates well in markets with a well-defined cyclical pattern.

25. Cycle Difference Oscillator

Adds a 40-period SMA and then measures the difference between the average and price, revealing sub-cycles.

26. Directional Movement Indicator

Uses Wilder Moving Average for +DM & -DM and measures the trend's strength.

27. Divergence Index

Measures the divergence between fast and slow moving averages, helping identify potential trend changes.

28. Elastic VWAP Oscillator

Uses a ratio between the number of outstanding shares, the current price, and the volume of both the next and previous periods.

29. Fisher Transform Oscillator

Takes the distribution of prices and changes it to one that is approximately Gaussian using natural logarithms.

30. Force Index Oscillator

Change in closes multiplied by the volume, helping identify potential trend reversals.

31. Herrick Payoff Index

A futures indicator that uses both volume and open interest, providing insights into potential market strength.

32. Hilbert Transform Oscillator

Separates the cycle phase into two components: Quadrature and InPhase, built from four bars using quadratics.

33. Intraday Intensity Oscillator

Uses the distribution of daily trading range and the relationship of the close to the high and low, helping identify potential trends.

34. Money Flow Index (MFI)

Measures upwards and downwards movements and calculates a ratio, helping identify potential trend reversals.

35. Normalized Volume Oscillator

Turns today's volume into a percentage of average volume over a look-back period.

36. Oscillator

Difference between two moving averages, slow and fast, with peaks and troughs showing trend strength.

37. Positive/Negative Volume Index

Splits the concept of price-adjusted volume into positive and negative components.

38. Price & Volume Trend Oscillator

Applies volume to the daily percentage change in price, assisting in identifying potential trends.

39. Rate of Change Oscillator

Measures momentum per bar, with the shape remaining the same but values differing.

40. Relative Vigor Index

Measures the range from the open to the close and divides by the range from high to low.

41. Short Cycle Indicator

Based on the squared difference between two EMAs, compared in a Stochastic fashion, reacting to changing volatility.

42. Tick Volume Oscillator

Similar to Wilder's RSI Oscillator, using double-smoothed tick volume to confirm price direction.

43. TRIX Oscillator

EMA of an EMA of an EMA, providing a triple smoothed exponential indicator.

44. True Strength Index Oscillator

Double smoothed with less lag than expected, providing a very smooth trend indicator.

This comprehensive explanation of key technical indicators aims to provide traders with a foundational understanding of the tools available for analyzing markets.

Keep in mind that each indicator serves a specific purpose and should be used in conjunction with other tools and analysis methods for more robust trading strategies.

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