All entries below are compiled into the current binary. They consume public
trades and publish one finite f64 through quince.get("<name>"). A dash in
Parameters means that the directive takes no arguments. period is the
lookback length in trades; alpha is an exponential smoothing factor.
@using custom_ema:20
on trade(t) {
feature ema = quince.get("custom_ema")
}
Some indicators require warm-up and therefore do not yield a value until enough
trades have arrived. Statistical and microstructure features are descriptive;
they must be replay-tested rather than interpreted as a standalone order signal.
Indicator Parameters Description
custom_smaperiodSimple moving average of trade price; a slow, stable price baseline. custom_emaperiodExponentially weighted moving average of price, with more weight on recent trades. custom_wmaperiodLinearly weighted moving average that emphasizes newer prices. custom_demaperiodDouble EMA, reducing lag relative to a single EMA. custom_temaperiodTriple EMA, a more aggressive lag-reduced moving average. custom_kamaperiod, fast, slowKaufman adaptive moving average; adapts smoothing to directional efficiency. custom_linear_regressionperiodRolling least-squares slope of price, expressing local trend direction. custom_momentumperiodDifference between current price and the price period trades ago. custom_rocperiodPercentage rate of change over a rolling trade lookback. custom_rsiperiodRelative Strength Index computed from trade-to-trade gains and losses. custom_cmoperiodChande Momentum Oscillator, a signed gain/loss momentum measure. custom_macd_signalfast, slow, signalMACD signal line derived from fast and slow EMAs of price. custom_trixperiodRate of change of a triple-smoothed EMA; suppresses short-term noise. custom_stochastic_kperiodCurrent price position within its rolling high-low range. custom_williams_rperiodInverted high-low range oscillator indicating price location near extremes. custom_vortexperiodDirectional-movement ratio over a rolling trade window. custom_efficiency_ratio— Price displacement divided by total absolute path; values near one indicate a clean move. custom_zscoreperiodPrice distance from its rolling mean in rolling standard deviations.
Indicator Parameters Description
custom_atrperiodTrade-level average true range, using absolute consecutive price changes. custom_true_range— Absolute change from the previous trade price. custom_bollinger_widthperiodWidth of a rolling price band; a compact proxy for dispersion. custom_donchian_widthperiodDifference between the rolling high and low price. custom_historical_volatilityperiodRolling volatility of log returns. custom_ewma_volatilityalphaExponentially weighted volatility of log returns. custom_parkinson_volatilityperiodParkinson-scaled rolling root-mean-square of trade log returns. custom_return_variance— Online variance of log returns. custom_return_skewness— Online skewness of log returns; identifies asymmetry in return distribution. custom_return_kurtosis— Online excess-tailedness measure of log returns. custom_log_return— Natural logarithm of current price divided by previous price.
Indicator Parameters Description
signed_volume— Cumulative buy quantity minus sell quantity. custom_signed_volume_ratio— Signed volume normalized by cumulative total volume. custom_buy_volume_ratio— Cumulative fraction of traded quantity initiated by buyers. custom_obv— On-balance volume: volume added or subtracted according to price direction. custom_cvd— Cumulative volume delta: buy quantity minus sell quantity over time. custom_vwap— Cumulative volume-weighted average trade price. custom_vwmaperiodRolling volume-weighted moving average of price. custom_mfiperiodMoney Flow Index based on typical-price changes and traded quantity. custom_money_flow— Signed typical-price times quantity flow. custom_force_indexalphaSmoothed price-change times quantity measure. custom_chaikin_oscillatorfast_alpha, slow_alphaDifference between fast and slow exponentially smoothed money flow. custom_volume_rocperiodPercentage rate of change of trade quantity. custom_volume_zscoreperiodTrade quantity relative to its rolling mean and deviation. custom_large_trade_ratiothresholdCumulative share of trades whose quantity meets the threshold. custom_average_trade_size— Running arithmetic mean of trade quantity.
Indicator Parameters Description
custom_trade_imbalance— Buy-versus-sell trade-count imbalance. custom_trade_intensity— Trade arrival intensity estimated from event timestamps. custom_price_impact— Absolute price move per unit of current trade quantity. custom_tick_direction— Sign of the most recent trade-to-trade price move. custom_tick_run_length— Length of the current uninterrupted directional tick run. custom_median_price— Running midpoint of the observed minimum and maximum trade price. custom_typical_price— Current trade price, exposed through an explicit custom-indicator contract. custom_logistic_regressionlearning_rate, l2Online logistic model of trade log returns; emits model buy-pressure probability in [0, 1].
Begin with one feature per hypothesis: trend (custom_ema or
custom_linear_regression), volatility (custom_ewma_volatility), flow
(custom_cvd or custom_buy_volume_ratio), or microstructure
(custom_price_impact). Treat closely related variants as correlated features,
not independent confirmation. Keep a strategy in shadow/replay mode until its
fee- and slippage-adjusted out-of-sample behavior is understood.