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] 💬

// C# usage syntax (standard)
IReadOnlyList<StochResult> results =
  bars.ToStoch(lookbackPeriods, signalPeriods, smoothPeriods);

// advanced customization
IReadOnlyList<StochResult> results =
  bars.ToStoch(lookbackPeriods, signalPeriods, smoothPeriods,
                  kFactor, dFactor, movingAverageType);

Parameters

param	type	description
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 enum options below. Default is MaType.SMA.

Historical price bars requirements

You must have at least N+S periods of bars to cover the warmup and convergence periods.

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.

MaType enum options

These are the supported moving average types:

enum value	moving average
MaType.SMA	Simple Moving Average (default)
MaType.SMMA	Smoothed Moving Average

Response

IReadOnlyList<StochResult>

• 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 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

property	type	description
Timestamp	DateTime	Date from evaluated TBar
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

• .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
    .ToStoch(..)
    .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:

StochList stochList = new(lookbackPeriods, signalPeriods, smoothPeriods);

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

// based on `ICollection<StochResult>`
IReadOnlyList<StochResult> results = stochList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
StochHub observer = barHub.ToStochHub(lookbackPeriods, signalPeriods, smoothPeriods);

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

IReadOnlyList<StochResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.