TA-lib Indicators

TA-lib is a library for technical analysis of price and market data. - Includes over 200 indicators such as RSI, MACD, Moving Averages and Bollinger Bands - Price candle pattern recognition - Open Source libraries for C#, Python and .NET

Using TA-lib Indicators and Functions

To use a TA-lib indicator or function, you must import TA-lib into your algorithm.

using static TALib.Core;

Next, define any adjustable parameters for your indicator in your algorithm's class definition.

namespace MachinaEngine.Algorithm.CSharp
{
    public class MyRSIstrategy : MEAlgorithm
    {
        #region Parameters

        [Parameter("RSI Lookback")]
        public int RSIPeriod { get; set; } = 14;

By defining the RSI lookback period in this manner, you are prompting the Machina Engine to create an adjustable parameter "RSI Lookback" in the Launcher panel.

By defining this parameter as public in your algorithm's class definition, you also make the parameter (its name and value) available to other code methods in your algorithm. This will become clear in the rest of this example.

In your algorithm's Initialize() method you should declare the maximum number of tradebars (candles) your indicator(s) will need before generating usable values.

        public override void Initialize()
        {
            var barsBack = RSIPeriod;

In this case, our RSI has a default lookback period of 14 tradebars. However, we do not define var barsBack = 14; because we previously made the RSI lookback period an adjustable parameter. You might change that lookback period to 21 for a particular backtest. So, instead of having to change your code in two places, we simply pass the correct lookback period value by using RSIPeriod.

With the algorithm setup complete, we can now go to the OnTradeBar() method where the Machina Engine iterates over the list of tradebars (candles) you have requested for your backtest.

        public override void OnTradeBar(Slice slice)
        {
            foreach (Symbol symbol in slice.Symbols)
            {
                // Is tradebar history sufficient for the current symbol and period?
                if (!IsHistoryReady(symbol, MTO.PeriodSeconds))
                    continue;

                // Get the tradebars for this iteration
                var tBars = SymbolHistory(symbol, MTO.PeriodSeconds);
                // Build RSI for this iteration
                var rsi = tBars.Rsi(RSIPeriod);

                if (rsi.Rsi.Any())
                {
                    var buyArea = (rsi.Rsi.LastOrDefault().Value > 50;
                    // Make trading decisions; execute orders

                    // Plot RSI indicator below price chart
                    Plotter($"RSI", "RSI", rsi.LastOrDefault().Value, "purple", SeriesType.Line, LineStyleType.Solid, 2, true);
                }

Alphabetic List of TA-lib Indicators and Studies

List of Recognized Candle Patterns

TA-lib Math, Statistical and Price Functions

TA-lib Indicators Grouped by Type