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Stochastic Oscillator

Created by George Lane, the Stochastic Oscillator, also known as KDJ Index, is a momentum oscillator that compares current price with recent highs and lows and is presented on a scale of 0 to 100. [Discuss] 💬

chart for Stochastic Oscillator

// C# usage syntax (standard)
IEnumerable<StochResult> results =
  quotes.GetStoch(lookbackPeriods, signalPeriods, smoothPeriods);

// advanced customization
IEnumerable<StochResult> results =
  quotes.GetStoch(lookbackPeriods, signalPeriods, smoothPeriods,
                  kFactor, dFactor, movingAverageType);

Parameters

lookbackPeriods int - Lookback period (N) for the oscillator (%K). Must be greater than 0. Default is 14.

signalPeriods int - Smoothing period for the signal (%D). Must be greater than 0. Default is 3.

smoothPeriods int - Smoothing period (S) for the Oscillator (%K). “Slow” stochastic uses 3, “Fast” stochastic uses 1. Must be greater than 0. Default is 3.

kFactor double - Optional. Weight of %K in the %J calculation. Must be greater than 0. Default is 3.

dFactor double - Optional. Weight of %D in the %J calculation. Must be greater than 0. Default is 2.

movingAverageType MaType - Optional. Type of moving average (SMA or SMMA) used for smoothing. See MaType options below. Default is MaType.SMA.

Historical quotes requirements

You must have at least N+S periods of quotes to cover the warmup periods.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

MaType options

These are the supported moving average types:

MaType.SMA - Simple Moving Average (default)

MaType.SMMA - Smoothed Moving Average

Response

IEnumerable<StochResult>

This method returns a time series of all available indicator values for the quotes provided.
It always returns the same number of elements as there are in the historical quotes.
It does not return a single incremental indicator value.
The first N+S-2 periods will have null Oscillator values since there’s not enough data to calculate.

⚞ Convergence warning: The first N+100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods when using MaType.SMMA. Standard use of MaType.SMA does not have convergence-related precision errors.

StochResult

Date DateTime - Date from evaluated TQuote

Oscillator or K double - %K Oscillator

Signal or D double - %D Simple moving average of Oscillator

PercentJ or J double - %J is the weighted divergence of %K and %D: %J = kFactor × %K - dFactor × %D

Note: aliases of K, D, and J are also provided. They can be used interchangeably with the standard outputs.

Utilities

See Utilities and helpers for more information.

Chaining

Results can be further processed on Oscillator with additional chain-enabled indicators.

// example
var results = quotes
    .GetStoch(..)
    .GetSlope(..);

This indicator must be generated from quotes and cannot be generated from results of another chain-enabled indicator or method.