@insiderfinance/totalfinance 0.1.0

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Files changed (2495) hide show
  1. package/LICENSE +201 -0
  2. package/README.md +339 -0
  3. package/STABILITY.md +23 -0
  4. package/modules/backtest/dist/artifacts.d.ts +23 -0
  5. package/modules/backtest/dist/artifacts.d.ts.map +1 -0
  6. package/modules/backtest/dist/artifacts.js +22 -0
  7. package/modules/backtest/dist/artifacts.js.map +1 -0
  8. package/modules/backtest/dist/broker.d.ts +265 -0
  9. package/modules/backtest/dist/broker.d.ts.map +1 -0
  10. package/modules/backtest/dist/broker.js +1228 -0
  11. package/modules/backtest/dist/broker.js.map +1 -0
  12. package/modules/backtest/dist/costs.d.ts +67 -0
  13. package/modules/backtest/dist/costs.d.ts.map +1 -0
  14. package/modules/backtest/dist/costs.js +171 -0
  15. package/modules/backtest/dist/costs.js.map +1 -0
  16. package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
  17. package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
  18. package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
  19. package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
  20. package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
  21. package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
  22. package/modules/backtest/dist/cross-sectional/folds.js +375 -0
  23. package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
  24. package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
  25. package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
  26. package/modules/backtest/dist/cross-sectional/grid.js +394 -0
  27. package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
  28. package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
  29. package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
  30. package/modules/backtest/dist/cross-sectional/index.js +15 -0
  31. package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
  32. package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
  33. package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
  34. package/modules/backtest/dist/cross-sectional/types.js +12 -0
  35. package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
  36. package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
  37. package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
  38. package/modules/backtest/dist/cross-sectional/validate.js +489 -0
  39. package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
  40. package/modules/backtest/dist/diagnostics.d.ts +16 -0
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  42. package/modules/backtest/dist/diagnostics.js +63 -0
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  44. package/modules/backtest/dist/environment/bench.d.ts +34 -0
  45. package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
  46. package/modules/backtest/dist/environment/bench.js +724 -0
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  48. package/modules/backtest/dist/environment/environment.d.ts +5 -0
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  50. package/modules/backtest/dist/environment/environment.js +618 -0
  51. package/modules/backtest/dist/environment/environment.js.map +1 -0
  52. package/modules/backtest/dist/environment/episode.d.ts +4 -0
  53. package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
  54. package/modules/backtest/dist/environment/episode.js +121 -0
  55. package/modules/backtest/dist/environment/episode.js.map +1 -0
  56. package/modules/backtest/dist/environment/episodes.d.ts +14 -0
  57. package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
  58. package/modules/backtest/dist/environment/episodes.js +644 -0
  59. package/modules/backtest/dist/environment/episodes.js.map +1 -0
  60. package/modules/backtest/dist/environment/features.d.ts +31 -0
  61. package/modules/backtest/dist/environment/features.d.ts.map +1 -0
  62. package/modules/backtest/dist/environment/features.js +157 -0
  63. package/modules/backtest/dist/environment/features.js.map +1 -0
  64. package/modules/backtest/dist/environment/index.d.ts +14 -0
  65. package/modules/backtest/dist/environment/index.d.ts.map +1 -0
  66. package/modules/backtest/dist/environment/index.js +12 -0
  67. package/modules/backtest/dist/environment/index.js.map +1 -0
  68. package/modules/backtest/dist/environment/limits.d.ts +63 -0
  69. package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
  70. package/modules/backtest/dist/environment/limits.js +253 -0
  71. package/modules/backtest/dist/environment/limits.js.map +1 -0
  72. package/modules/backtest/dist/environment/reward.d.ts +5 -0
  73. package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
  74. package/modules/backtest/dist/environment/reward.js +80 -0
  75. package/modules/backtest/dist/environment/reward.js.map +1 -0
  76. package/modules/backtest/dist/environment/types.d.ts +540 -0
  77. package/modules/backtest/dist/environment/types.d.ts.map +1 -0
  78. package/modules/backtest/dist/environment/types.js +2 -0
  79. package/modules/backtest/dist/environment/types.js.map +1 -0
  80. package/modules/backtest/dist/environment/validate.d.ts +23 -0
  81. package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
  82. package/modules/backtest/dist/environment/validate.js +264 -0
  83. package/modules/backtest/dist/environment/validate.js.map +1 -0
  84. package/modules/backtest/dist/event-driven.d.ts +111 -0
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  86. package/modules/backtest/dist/event-driven.js +325 -0
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  88. package/modules/backtest/dist/execution/conformance.d.ts +33 -0
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  91. package/modules/backtest/dist/execution/conformance.js.map +1 -0
  92. package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
  93. package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
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  95. package/modules/backtest/dist/execution/fill-models.js.map +1 -0
  96. package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
  97. package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
  98. package/modules/backtest/dist/execution/fill-order.js +156 -0
  99. package/modules/backtest/dist/execution/fill-order.js.map +1 -0
  100. package/modules/backtest/dist/execution/index.d.ts +33 -0
  101. package/modules/backtest/dist/execution/index.d.ts.map +1 -0
  102. package/modules/backtest/dist/execution/index.js +27 -0
  103. package/modules/backtest/dist/execution/index.js.map +1 -0
  104. package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
  105. package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
  106. package/modules/backtest/dist/execution/intrabar.js +130 -0
  107. package/modules/backtest/dist/execution/intrabar.js.map +1 -0
  108. package/modules/backtest/dist/execution/normalized.d.ts +56 -0
  109. package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
  110. package/modules/backtest/dist/execution/normalized.js +154 -0
  111. package/modules/backtest/dist/execution/normalized.js.map +1 -0
  112. package/modules/backtest/dist/execution/policy.d.ts +84 -0
  113. package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
  114. package/modules/backtest/dist/execution/policy.js +341 -0
  115. package/modules/backtest/dist/execution/policy.js.map +1 -0
  116. package/modules/backtest/dist/execution/types.d.ts +217 -0
  117. package/modules/backtest/dist/execution/types.d.ts.map +1 -0
  118. package/modules/backtest/dist/execution/types.js +8 -0
  119. package/modules/backtest/dist/execution/types.js.map +1 -0
  120. package/modules/backtest/dist/execution/validate.d.ts +35 -0
  121. package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
  122. package/modules/backtest/dist/execution/validate.js +666 -0
  123. package/modules/backtest/dist/execution/validate.js.map +1 -0
  124. package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
  125. package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
  126. package/modules/backtest/dist/generated/validation-specs.js +1129 -0
  127. package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
  128. package/modules/backtest/dist/index.d.ts +33 -0
  129. package/modules/backtest/dist/index.d.ts.map +1 -0
  130. package/modules/backtest/dist/index.js +28 -0
  131. package/modules/backtest/dist/index.js.map +1 -0
  132. package/modules/backtest/dist/options/chain.d.ts +68 -0
  133. package/modules/backtest/dist/options/chain.d.ts.map +1 -0
  134. package/modules/backtest/dist/options/chain.js +303 -0
  135. package/modules/backtest/dist/options/chain.js.map +1 -0
  136. package/modules/backtest/dist/options/engine.d.ts +28 -0
  137. package/modules/backtest/dist/options/engine.d.ts.map +1 -0
  138. package/modules/backtest/dist/options/engine.js +1859 -0
  139. package/modules/backtest/dist/options/engine.js.map +1 -0
  140. package/modules/backtest/dist/options/index.d.ts +23 -0
  141. package/modules/backtest/dist/options/index.d.ts.map +1 -0
  142. package/modules/backtest/dist/options/index.js +21 -0
  143. package/modules/backtest/dist/options/index.js.map +1 -0
  144. package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
  145. package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
  146. package/modules/backtest/dist/options/tearsheet.js +205 -0
  147. package/modules/backtest/dist/options/tearsheet.js.map +1 -0
  148. package/modules/backtest/dist/options/types.d.ts +571 -0
  149. package/modules/backtest/dist/options/types.d.ts.map +1 -0
  150. package/modules/backtest/dist/options/types.js +19 -0
  151. package/modules/backtest/dist/options/types.js.map +1 -0
  152. package/modules/backtest/dist/paper/index.d.ts +13 -0
  153. package/modules/backtest/dist/paper/index.d.ts.map +1 -0
  154. package/modules/backtest/dist/paper/index.js +12 -0
  155. package/modules/backtest/dist/paper/index.js.map +1 -0
  156. package/modules/backtest/dist/paper/paper.d.ts +8 -0
  157. package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
  158. package/modules/backtest/dist/paper/paper.js +950 -0
  159. package/modules/backtest/dist/paper/paper.js.map +1 -0
  160. package/modules/backtest/dist/paper/types.d.ts +190 -0
  161. package/modules/backtest/dist/paper/types.d.ts.map +1 -0
  162. package/modules/backtest/dist/paper/types.js +3 -0
  163. package/modules/backtest/dist/paper/types.js.map +1 -0
  164. package/modules/backtest/dist/paper/validate.d.ts +9 -0
  165. package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
  166. package/modules/backtest/dist/paper/validate.js +112 -0
  167. package/modules/backtest/dist/paper/validate.js.map +1 -0
  168. package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
  169. package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
  170. package/modules/backtest/dist/portfolio/adapters.js +555 -0
  171. package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
  172. package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
  173. package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
  174. package/modules/backtest/dist/portfolio/engine.js +1300 -0
  175. package/modules/backtest/dist/portfolio/engine.js.map +1 -0
  176. package/modules/backtest/dist/portfolio/index.d.ts +12 -0
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  180. package/modules/backtest/dist/portfolio/types.d.ts +418 -0
  181. package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
  182. package/modules/backtest/dist/portfolio/types.js +8 -0
  183. package/modules/backtest/dist/portfolio/types.js.map +1 -0
  184. package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
  185. package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
  186. package/modules/backtest/dist/portfolio/validate.js +556 -0
  187. package/modules/backtest/dist/portfolio/validate.js.map +1 -0
  188. package/modules/backtest/dist/run-artifacts.d.ts +425 -0
  189. package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
  190. package/modules/backtest/dist/run-artifacts.js +1843 -0
  191. package/modules/backtest/dist/run-artifacts.js.map +1 -0
  192. package/modules/backtest/dist/signals.d.ts +110 -0
  193. package/modules/backtest/dist/signals.d.ts.map +1 -0
  194. package/modules/backtest/dist/signals.js +207 -0
  195. package/modules/backtest/dist/signals.js.map +1 -0
  196. package/modules/backtest/dist/tearsheet.d.ts +126 -0
  197. package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
  198. package/modules/backtest/dist/tearsheet.js +266 -0
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  200. package/modules/backtest/dist/types.d.ts +175 -0
  201. package/modules/backtest/dist/types.d.ts.map +1 -0
  202. package/modules/backtest/dist/types.js +29 -0
  203. package/modules/backtest/dist/types.js.map +1 -0
  204. package/modules/backtest/dist/validate.d.ts +13 -0
  205. package/modules/backtest/dist/validate.d.ts.map +1 -0
  206. package/modules/backtest/dist/validate.js +37 -0
  207. package/modules/backtest/dist/validate.js.map +1 -0
  208. package/modules/backtest/dist/vectorized.d.ts +53 -0
  209. package/modules/backtest/dist/vectorized.d.ts.map +1 -0
  210. package/modules/backtest/dist/vectorized.js +383 -0
  211. package/modules/backtest/dist/vectorized.js.map +1 -0
  212. package/modules/backtest/dist/walk-forward.d.ts +57 -0
  213. package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
  214. package/modules/backtest/dist/walk-forward.js +125 -0
  215. package/modules/backtest/dist/walk-forward.js.map +1 -0
  216. package/modules/backtest/etc/backtest.api.md +139 -0
  217. package/modules/backtest/src/artifacts.ts +54 -0
  218. package/modules/backtest/src/broker.ts +1529 -0
  219. package/modules/backtest/src/costs.ts +225 -0
  220. package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
  221. package/modules/backtest/src/cross-sectional/folds.ts +718 -0
  222. package/modules/backtest/src/cross-sectional/grid.ts +646 -0
  223. package/modules/backtest/src/cross-sectional/index.ts +76 -0
  224. package/modules/backtest/src/cross-sectional/types.ts +363 -0
  225. package/modules/backtest/src/cross-sectional/validate.ts +906 -0
  226. package/modules/backtest/src/diagnostics.ts +66 -0
  227. package/modules/backtest/src/environment/bench.ts +1022 -0
  228. package/modules/backtest/src/environment/environment.ts +766 -0
  229. package/modules/backtest/src/environment/episode.ts +146 -0
  230. package/modules/backtest/src/environment/episodes.ts +786 -0
  231. package/modules/backtest/src/environment/features.ts +184 -0
  232. package/modules/backtest/src/environment/index.ts +79 -0
  233. package/modules/backtest/src/environment/limits.ts +383 -0
  234. package/modules/backtest/src/environment/reward.ts +98 -0
  235. package/modules/backtest/src/environment/types.ts +595 -0
  236. package/modules/backtest/src/environment/validate.ts +415 -0
  237. package/modules/backtest/src/event-driven.ts +528 -0
  238. package/modules/backtest/src/execution/conformance.ts +346 -0
  239. package/modules/backtest/src/execution/fill-models.ts +410 -0
  240. package/modules/backtest/src/execution/fill-order.ts +261 -0
  241. package/modules/backtest/src/execution/index.ts +91 -0
  242. package/modules/backtest/src/execution/intrabar.ts +185 -0
  243. package/modules/backtest/src/execution/normalized.ts +216 -0
  244. package/modules/backtest/src/execution/policy.ts +447 -0
  245. package/modules/backtest/src/execution/types.ts +239 -0
  246. package/modules/backtest/src/execution/validate.ts +889 -0
  247. package/modules/backtest/src/generated/validation-specs.ts +1132 -0
  248. package/modules/backtest/src/index.ts +157 -0
  249. package/modules/backtest/src/options/chain.ts +410 -0
  250. package/modules/backtest/src/options/engine.ts +2240 -0
  251. package/modules/backtest/src/options/index.ts +68 -0
  252. package/modules/backtest/src/options/tearsheet.ts +327 -0
  253. package/modules/backtest/src/options/types.ts +573 -0
  254. package/modules/backtest/src/paper/index.ts +27 -0
  255. package/modules/backtest/src/paper/paper.ts +1288 -0
  256. package/modules/backtest/src/paper/types.ts +221 -0
  257. package/modules/backtest/src/paper/validate.ts +168 -0
  258. package/modules/backtest/src/portfolio/adapters.ts +651 -0
  259. package/modules/backtest/src/portfolio/engine.ts +1518 -0
  260. package/modules/backtest/src/portfolio/index.ts +64 -0
  261. package/modules/backtest/src/portfolio/types.ts +456 -0
  262. package/modules/backtest/src/portfolio/validate.ts +861 -0
  263. package/modules/backtest/src/run-artifacts.ts +2873 -0
  264. package/modules/backtest/src/signals.ts +267 -0
  265. package/modules/backtest/src/tearsheet.ts +425 -0
  266. package/modules/backtest/src/types.ts +200 -0
  267. package/modules/backtest/src/validate.ts +43 -0
  268. package/modules/backtest/src/vectorized.ts +541 -0
  269. package/modules/backtest/src/walk-forward.ts +215 -0
  270. package/modules/calendars/dist/cboe.d.ts +15 -0
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  298. package/modules/calendars/etc/calendars.api.md +22 -0
  299. package/modules/calendars/src/cboe.ts +17 -0
  300. package/modules/calendars/src/crypto.ts +17 -0
  301. package/modules/calendars/src/expirations.ts +200 -0
  302. package/modules/calendars/src/index.ts +23 -0
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package/modules/technical-analysis/dist/momentum.d.ts ADDED
@@ -0,0 +1,15 @@
1
+ /**
2
+ * Momentum & oscillator family (concept entrypoint).
3
+ *
4
+ * Bundles RSI, MACD, the base momentum oscillators (`./oscillators`) and the extended
5
+ * modern-momentum set (`./momentum-ext`). Consumers import one concept —
6
+ * `@insiderfinance/totalfinance/technical-analysis/momentum` — instead of the per-split modules. The per-indicator deep imports
7
+ * (`@insiderfinance/totalfinance/technical-analysis/rsi`, `@insiderfinance/totalfinance/technical-analysis/macd`, `@insiderfinance/totalfinance/technical-analysis/oscillators`) remain available
8
+ * (design law #9).
9
+ */
10
+ export { rsi } from './rsi.js';
11
+ export { macd } from './macd.js';
12
+ export * from './oscillators.js';
13
+ export * from './momentum-ext.js';
14
+ export type { PeriodParameters } from './oscillators.js';
15
+ //# sourceMappingURL=momentum.d.ts.map
package/modules/technical-analysis/dist/momentum.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"momentum.d.ts","sourceRoot":"","sources":["../src/momentum.ts"],"names":[],"mappings":"AAAA;;;;;;;;GAQG;AACH,OAAO,EAAE,GAAG,EAAE,MAAM,UAAU,CAAC;AAC/B,OAAO,EAAE,IAAI,EAAE,MAAM,WAAW,CAAC;AACjC,cAAc,kBAAkB,CAAC;AACjC,cAAc,mBAAmB,CAAC;AAGlC,YAAY,EAAE,gBAAgB,EAAE,MAAM,kBAAkB,CAAC"}
package/modules/technical-analysis/dist/momentum.js ADDED
@@ -0,0 +1,14 @@
1
+ /**
2
+ * Momentum & oscillator family (concept entrypoint).
3
+ *
4
+ * Bundles RSI, MACD, the base momentum oscillators (`./oscillators`) and the extended
5
+ * modern-momentum set (`./momentum-ext`). Consumers import one concept —
6
+ * `@insiderfinance/totalfinance/technical-analysis/momentum` — instead of the per-split modules. The per-indicator deep imports
7
+ * (`@insiderfinance/totalfinance/technical-analysis/rsi`, `@insiderfinance/totalfinance/technical-analysis/macd`, `@insiderfinance/totalfinance/technical-analysis/oscillators`) remain available
8
+ * (design law #9).
9
+ */
10
+ export { rsi } from './rsi.js';
11
+ export { macd } from './macd.js';
12
+ export * from './oscillators.js';
13
+ export * from './momentum-ext.js';
14
+ //# sourceMappingURL=momentum.js.map
package/modules/technical-analysis/dist/momentum.js.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"momentum.js","sourceRoot":"","sources":["../src/momentum.ts"],"names":[],"mappings":"AAAA;;;;;;;;GAQG;AACH,OAAO,EAAE,GAAG,EAAE,MAAM,UAAU,CAAC;AAC/B,OAAO,EAAE,IAAI,EAAE,MAAM,WAAW,CAAC;AACjC,cAAc,kBAAkB,CAAC;AACjC,cAAc,mBAAmB,CAAC"}
package/modules/technical-analysis/dist/moving-averages.d.ts ADDED
@@ -0,0 +1,344 @@
1
+ /**
2
+ * Moving averages (spec §13.3).
3
+ *
4
+ * The core three (SMA, EMA, WMA) plus the extended family: Wilder/RMA, DEMA, TEMA, TRIMA, T3, KAMA,
5
+ * MAMA/FAMA, HMA, ZLEMA, ALMA, VIDYA, FRAMA, McGinley Dynamic, Ehlers Super Smoother, volume-weighted
6
+ * MA, and rolling / anchored VWAP. Every one is a serializable stream wrapped into the aligned
7
+ * batch+stream facade by `makeIndicator`, so batch output equals stream output by construction.
8
+ */
9
+ import { type BarInput, type IndicatorStream, type TechnicalAnalysisSnapshot } from './framework.js';
10
+ export interface PeriodParameters {
11
+ period: number;
12
+ }
13
+ declare class SmaStream implements IndicatorStream<number, number> {
14
+ private readonly period;
15
+ private buf;
16
+ private sum;
17
+ /** Non-finite samples inside the window — the interior-NaN gate (see `./nan-policy`). */
18
+ private nanCount;
19
+ value: number | null;
20
+ constructor(period: number);
21
+ next(value: number): number | null;
22
+ toJSON(): TechnicalAnalysisSnapshot;
23
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): SmaStream;
24
+ }
25
+ declare class EmaStream implements IndicatorStream<number, number> {
26
+ private readonly period;
27
+ private count;
28
+ private seedSum;
29
+ private ema;
30
+ private readonly k;
31
+ value: number | null;
32
+ constructor(period: number);
33
+ next(value: number): number | null;
34
+ toJSON(): TechnicalAnalysisSnapshot;
35
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): EmaStream;
36
+ }
37
+ declare class WmaStream implements IndicatorStream<number, number> {
38
+ private readonly period;
39
+ private buf;
40
+ value: number | null;
41
+ constructor(period: number);
42
+ next(value: number): number | null;
43
+ toJSON(): TechnicalAnalysisSnapshot;
44
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): WmaStream;
45
+ }
46
+ declare class RmaStream implements IndicatorStream<number, number> {
47
+ private readonly period;
48
+ private count;
49
+ private seedSum;
50
+ private rma;
51
+ value: number | null;
52
+ constructor(period: number);
53
+ next(value: number): number | null;
54
+ toJSON(): TechnicalAnalysisSnapshot;
55
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): RmaStream;
56
+ }
57
+ declare class DemaStream implements IndicatorStream<number, number> {
58
+ private ema1;
59
+ private ema2;
60
+ value: number | null;
61
+ constructor(period: number);
62
+ next(value: number): number | null;
63
+ toJSON(): TechnicalAnalysisSnapshot;
64
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): DemaStream;
65
+ }
66
+ declare class TemaStream implements IndicatorStream<number, number> {
67
+ private ema1;
68
+ private ema2;
69
+ private ema3;
70
+ value: number | null;
71
+ constructor(period: number);
72
+ next(value: number): number | null;
73
+ toJSON(): TechnicalAnalysisSnapshot;
74
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): TemaStream;
75
+ }
76
+ declare class TrimaStream implements IndicatorStream<number, number> {
77
+ private readonly period;
78
+ private buf;
79
+ private readonly weights;
80
+ private readonly denom;
81
+ value: number | null;
82
+ constructor(period: number);
83
+ next(value: number): number | null;
84
+ toJSON(): TechnicalAnalysisSnapshot;
85
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): TrimaStream;
86
+ }
87
+ export interface T3Parameters {
88
+ period: number;
89
+ /** Tillson volume factor (0–1). Default 0.7. */
90
+ volumeFactor?: number;
91
+ }
92
+ declare class T3Stream implements IndicatorStream<number, number> {
93
+ private e;
94
+ private readonly c1;
95
+ private readonly c2;
96
+ private readonly c3;
97
+ private readonly c4;
98
+ value: number | null;
99
+ constructor(parameters: {
100
+ period: number;
101
+ volumeFactor: number;
102
+ });
103
+ next(value: number): number | null;
104
+ toJSON(): TechnicalAnalysisSnapshot;
105
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): T3Stream;
106
+ }
107
+ export interface KamaParameters {
108
+ period: number;
109
+ /** Fast EMA constant period. Default 2. */
110
+ fast?: number;
111
+ /** Slow EMA constant period. Default 30. */
112
+ slow?: number;
113
+ }
114
+ declare class KamaStream implements IndicatorStream<number, number> {
115
+ private prices;
116
+ private diffs;
117
+ private volatilitySum;
118
+ /** Non-finite samples inside the volatility window — the interior-NaN gate (`./nan-policy`). */
119
+ private nanCount;
120
+ private kama;
121
+ private readonly fastSC;
122
+ private readonly slowSC;
123
+ value: number | null;
124
+ private readonly period;
125
+ constructor(parameters: {
126
+ period: number;
127
+ fast: number;
128
+ slow: number;
129
+ });
130
+ next(value: number): number | null;
131
+ toJSON(): TechnicalAnalysisSnapshot;
132
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): KamaStream;
133
+ }
134
+ declare class HmaStream implements IndicatorStream<number, number> {
135
+ private wmaHalf;
136
+ private wmaFull;
137
+ private wmaSqrt;
138
+ value: number | null;
139
+ constructor(period: number);
140
+ next(value: number): number | null;
141
+ toJSON(): TechnicalAnalysisSnapshot;
142
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): HmaStream;
143
+ }
144
+ declare class ZlemaStream implements IndicatorStream<number, number> {
145
+ private buf;
146
+ private ema;
147
+ private readonly lag;
148
+ value: number | null;
149
+ constructor(period: number);
150
+ next(value: number): number | null;
151
+ toJSON(): TechnicalAnalysisSnapshot;
152
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): ZlemaStream;
153
+ }
154
+ export interface AlmaParameters {
155
+ period: number;
156
+ /** Phase offset 0–1 (1 = responsive, 0 = smooth). Default 0.85. */
157
+ offset?: number;
158
+ /** Gaussian width. Default 6. */
159
+ sigma?: number;
160
+ }
161
+ declare class AlmaStream implements IndicatorStream<number, number> {
162
+ private buf;
163
+ private readonly weights;
164
+ private readonly denom;
165
+ value: number | null;
166
+ constructor(parameters: {
167
+ period: number;
168
+ offset: number;
169
+ sigma: number;
170
+ });
171
+ next(value: number): number | null;
172
+ toJSON(): TechnicalAnalysisSnapshot;
173
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): AlmaStream;
174
+ }
175
+ export interface VidyaParameters {
176
+ period: number;
177
+ /** CMO lookback driving the volatility index. Default = period. */
178
+ cmoPeriod?: number;
179
+ }
180
+ declare class VidyaStream implements IndicatorStream<number, number> {
181
+ private prev;
182
+ private ups;
183
+ private downs;
184
+ private sumUp;
185
+ private sumDown;
186
+ /** Non-finite samples inside the CMO window — the interior-NaN gate (see `./nan-policy`). */
187
+ private nanCount;
188
+ private vidya;
189
+ private readonly alpha;
190
+ value: number | null;
191
+ private readonly cmoPeriod;
192
+ constructor(parameters: {
193
+ period: number;
194
+ cmoPeriod: number;
195
+ });
196
+ next(value: number): number | null;
197
+ toJSON(): TechnicalAnalysisSnapshot;
198
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): VidyaStream;
199
+ }
200
+ /**
201
+ * McGinley Dynamic (John R. McGinley) — an EMA-like average whose smoothing constant self-adjusts by
202
+ * the ratio of price to the current average, so it speeds up in fast markets and slows in quiet ones.
203
+ * Registered as `mcginley`; pandas-ta calls it `mcgd`.
204
+ */
205
+ declare class McGinleyStream implements IndicatorStream<number, number> {
206
+ private readonly period;
207
+ private md;
208
+ value: number | null;
209
+ constructor(period: number);
210
+ next(value: number): number | null;
211
+ toJSON(): TechnicalAnalysisSnapshot;
212
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): McGinleyStream;
213
+ }
214
+ declare class SuperSmootherStream implements IndicatorStream<number, number> {
215
+ private p1;
216
+ private s1;
217
+ private s2;
218
+ private readonly c1;
219
+ private readonly c2;
220
+ private readonly c3;
221
+ value: number | null;
222
+ constructor(period: number);
223
+ next(value: number): number | null;
224
+ toJSON(): TechnicalAnalysisSnapshot;
225
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): SuperSmootherStream;
226
+ }
227
+ declare class VwmaStream implements IndicatorStream<BarInput, number> {
228
+ private readonly period;
229
+ private pv;
230
+ private volumes;
231
+ private sumPV;
232
+ private sumV;
233
+ /** Non-finite samples inside the window — the interior-NaN gate (see `./nan-policy`). */
234
+ private nanCount;
235
+ value: number | null;
236
+ constructor(period: number);
237
+ next(bar: BarInput): number | null;
238
+ toJSON(): TechnicalAnalysisSnapshot;
239
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): VwmaStream;
240
+ }
241
+ declare class RollingVwapStream implements IndicatorStream<BarInput, number> {
242
+ private readonly period;
243
+ private pv;
244
+ private volumes;
245
+ private sumPV;
246
+ private sumV;
247
+ /** Non-finite samples inside the window — the interior-NaN gate (see `./nan-policy`). */
248
+ private nanCount;
249
+ value: number | null;
250
+ constructor(period: number);
251
+ next(bar: BarInput): number | null;
252
+ toJSON(): TechnicalAnalysisSnapshot;
253
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): RollingVwapStream;
254
+ }
255
+ export interface AnchoredVwapParameters {
256
+ /** Bar index (0-based) from which accumulation starts. Bars before the anchor emit null. */
257
+ anchor: number;
258
+ }
259
+ declare class AnchoredVwapStream implements IndicatorStream<BarInput, number> {
260
+ private readonly anchor;
261
+ private idx;
262
+ private cumPV;
263
+ private cumV;
264
+ value: number | null;
265
+ constructor(anchor: number);
266
+ next(bar: BarInput): number | null;
267
+ toJSON(): TechnicalAnalysisSnapshot;
268
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): AnchoredVwapStream;
269
+ }
270
+ export interface MamaParameters {
271
+ /** Fast adaptation limit. Default 0.5. */
272
+ fastLimit?: number;
273
+ /** Slow adaptation limit. Default 0.05. */
274
+ slowLimit?: number;
275
+ }
276
+ export interface MamaPoint {
277
+ mama: number;
278
+ fama: number;
279
+ }
280
+ declare class MamaStream implements IndicatorStream<BarInput, MamaPoint> {
281
+ private count;
282
+ private price;
283
+ private smooth;
284
+ private detrender;
285
+ private i1;
286
+ private q1;
287
+ private i2;
288
+ private q2;
289
+ private re;
290
+ private im;
291
+ private period;
292
+ private smoothPeriod;
293
+ private phase;
294
+ private mama;
295
+ private fama;
296
+ value: MamaPoint | null;
297
+ private readonly fastLimit;
298
+ private readonly slowLimit;
299
+ constructor(parameters: {
300
+ fastLimit: number;
301
+ slowLimit: number;
302
+ });
303
+ next(bar: BarInput): MamaPoint | null;
304
+ toJSON(): TechnicalAnalysisSnapshot;
305
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): MamaStream;
306
+ }
307
+ export interface FramaParameters {
308
+ /** Lookback (rounded up to an even number). Default 16. */
309
+ period: number;
310
+ }
311
+ declare class FramaStream implements IndicatorStream<BarInput, number> {
312
+ private highs;
313
+ private lows;
314
+ private closes;
315
+ private frama;
316
+ private readonly n;
317
+ value: number | null;
318
+ constructor(period: number);
319
+ next(bar: BarInput): number | null;
320
+ toJSON(): TechnicalAnalysisSnapshot;
321
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): FramaStream;
322
+ }
323
+ export declare const sma: import("./framework.js").Indicator<PeriodParameters, number, number>;
324
+ export declare const ema: import("./framework.js").Indicator<PeriodParameters, number, number>;
325
+ export declare const wma: import("./framework.js").Indicator<PeriodParameters, number, number>;
326
+ export declare const rma: import("./framework.js").Indicator<PeriodParameters, number, number>;
327
+ export declare const dema: import("./framework.js").Indicator<PeriodParameters, number, number>;
328
+ export declare const tema: import("./framework.js").Indicator<PeriodParameters, number, number>;
329
+ export declare const trima: import("./framework.js").Indicator<PeriodParameters, number, number>;
330
+ export declare const t3: import("./framework.js").Indicator<T3Parameters, number, number>;
331
+ export declare const kama: import("./framework.js").Indicator<KamaParameters, number, number>;
332
+ export declare const hma: import("./framework.js").Indicator<PeriodParameters, number, number>;
333
+ export declare const zlema: import("./framework.js").Indicator<PeriodParameters, number, number>;
334
+ export declare const alma: import("./framework.js").Indicator<AlmaParameters, number, number>;
335
+ export declare const vidya: import("./framework.js").Indicator<VidyaParameters, number, number>;
336
+ export declare const mcginley: import("./framework.js").Indicator<PeriodParameters, number, number>;
337
+ export declare const superSmoother: import("./framework.js").Indicator<PeriodParameters, number, number>;
338
+ export declare const vwma: import("./framework.js").Indicator<PeriodParameters, BarInput, number>;
339
+ export declare const rollingVwap: import("./framework.js").Indicator<PeriodParameters, BarInput, number>;
340
+ export declare const anchoredVwap: import("./framework.js").Indicator<AnchoredVwapParameters, BarInput, number>;
341
+ export declare const frama: import("./framework.js").Indicator<FramaParameters, BarInput, number>;
342
+ export declare const mama: import("./framework.js").Indicator<MamaParameters, BarInput, MamaPoint>;
343
+ export { SmaStream, EmaStream, WmaStream, RmaStream, DemaStream, TemaStream, TrimaStream, T3Stream, KamaStream, HmaStream, ZlemaStream, AlmaStream, VidyaStream, McGinleyStream, SuperSmootherStream, VwmaStream, RollingVwapStream, AnchoredVwapStream, FramaStream, MamaStream, };
344
+ //# sourceMappingURL=moving-averages.d.ts.map
package/modules/technical-analysis/dist/moving-averages.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ 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