Chaikin Oscillator

Created by Marc Chaikin, the Chaikin Oscillator is the difference between fast and slow Exponential Moving Averages (EMA) of the Accumulation/Distribution Line (ADL). [Discuss] 💬

// C# usage syntax
IReadOnlyList<ChaikinOscResult> results =
  bars.ToChaikinOsc(fastPeriods, slowPeriods);

Parameters

param	type	description
fastPeriods	int	Number of periods (F) in the ADL fast EMA. Must be greater than 0 and smaller than S. Default is 3.
slowPeriods	int	Number of periods (S) in the ADL slow EMA. Must be greater than F. Default is 10.

Historical price bars requirements

You must have at least 2×S or S+100 periods of bars, whichever is more, to cover the warmup and convergence periods. Since this uses a smoothing technique, we recommend you use at least S+250 data points prior to the intended usage date for better precision.

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

Response

IReadOnlyList<ChaikinOscResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first S-1 periods will have null values for Oscillator since there's not enough data to calculate.

🚩 ⚞ Convergence warning

The first S+100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

ChaikinOscResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
MoneyFlowMultiplier	double	Money Flow Multiplier
MoneyFlowVolume	double	Money Flow Volume
Adl	double	Accumulation Distribution Line (ADL)
Oscillator	double	Chaikin Oscillator

🚩

absolute values in MFV, ADL, and Oscillator are somewhat meaningless. Use with caution.

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

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

// example
var results = bars
    .ToChaikinOsc(..)
    .ToSlope(..);

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

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

ChaikinOscList chaikinOscList = new(fastPeriods, slowPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  chaikinOscList.Add(bar);
}

// based on `ICollection<ChaikinOscResult>`
IReadOnlyList<ChaikinOscResult> results = chaikinOscList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
ChaikinOscHub observer = barHub.ToChaikinOscHub(fastPeriods, slowPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<ChaikinOscResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.