@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/nan-policy.d.ts ADDED
@@ -0,0 +1,42 @@
1
+ /**
2
+ * Interior-NaN policy for windowed (subtract-on-evict) accumulators — INTERNAL, not an entrypoint.
3
+ *
4
+ * A rolling indicator that keeps a running sum and subtracts the evicted sample is O(1) per bar, but
5
+ * it has a latch: `sum += NaN` makes the sum NaN forever, and the later `sum -= NaN` never repairs it
6
+ * (NaN − NaN is NaN). One missing print in a feed therefore poisoned every subsequent value of that
7
+ * indicator for the rest of the series — silently, since the output still looked like a number-shaped
8
+ * NaN rather than an error.
9
+ *
10
+ * The policy, which matches pandas' rolling semantics ("flows through, then recovers"):
11
+ *
12
+ * 1. the running sum only ever accumulates FINITE samples (a non-finite sample contributes 0), so
13
+ * the accumulator itself can never latch;
14
+ * 2. a per-window count of the non-finite samples gates EMISSION — while the window still holds
15
+ * one, the indicator emits `NaN`;
16
+ * 3. the bar the bad sample leaves the window, the count returns to zero and the indicator resumes
17
+ * emitting the same values it would have produced had the sample never been seen.
18
+ *
19
+ * Indicators whose state is a RECURSION (KAMA, VIDYA, VFI's smoothing EMA) additionally HOLD that
20
+ * recursion while the window is dirty rather than feeding it a NaN — feeding it would latch the
21
+ * filter forever, which is the same bug in a different shape. Their post-gap values are therefore
22
+ * finite and correct going forward, but (unlike the pure-window indicators) not bit-identical to the
23
+ * gap-free series, because the recursion legitimately saw fewer updates.
24
+ *
25
+ * ±Infinity is treated exactly like NaN: it latches a running sum just as permanently (`Inf − Inf`
26
+ * is NaN) and no aligned output may leak an infinity.
27
+ */
28
+ /** A sample that must never enter a running sum: `NaN` or `±Infinity`. */
29
+ export declare function isDirtySample(x: number): boolean;
30
+ /**
31
+ * How many samples of a window are non-finite. Used to rebuild the emission gate from a restored
32
+ * snapshot without adding a state key (JSON serializes `NaN` as `null`, which is non-finite too, so
33
+ * a round-tripped dirty window stays dirty).
34
+ */
35
+ export declare function dirtySamples(xs: ArrayLike<number>): number;
36
+ /**
37
+ * `dirtySamples` over parallel windows that are pushed and evicted TOGETHER (a paired/tripled
38
+ * accumulator such as CMO's up/down or Vortex's VM+/VM−/TR): a row counts once when any of its
39
+ * columns is non-finite, matching the single counter those streams maintain.
40
+ */
41
+ export declare function dirtyRows(...windows: readonly ArrayLike<number>[]): number;
42
+ //# sourceMappingURL=nan-policy.d.ts.map
package/modules/technical-analysis/dist/nan-policy.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"nan-policy.d.ts","sourceRoot":"","sources":["../src/nan-policy.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;GA0BG;AAEH,0EAA0E;AAC1E,wBAAgB,aAAa,CAAC,CAAC,EAAE,MAAM,GAAG,OAAO,CAEhD;AAED;;;;GAIG;AACH,wBAAgB,YAAY,CAAC,EAAE,EAAE,SAAS,CAAC,MAAM,CAAC,GAAG,MAAM,CAI1D;AAED;;;;GAIG;AACH,wBAAgB,SAAS,CAAC,GAAG,OAAO,EAAE,SAAS,SAAS,CAAC,MAAM,CAAC,EAAE,GAAG,MAAM,CAQ1E"}
package/modules/technical-analysis/dist/nan-policy.js ADDED
@@ -0,0 +1,60 @@
1
+ /**
2
+ * Interior-NaN policy for windowed (subtract-on-evict) accumulators — INTERNAL, not an entrypoint.
3
+ *
4
+ * A rolling indicator that keeps a running sum and subtracts the evicted sample is O(1) per bar, but
5
+ * it has a latch: `sum += NaN` makes the sum NaN forever, and the later `sum -= NaN` never repairs it
6
+ * (NaN − NaN is NaN). One missing print in a feed therefore poisoned every subsequent value of that
7
+ * indicator for the rest of the series — silently, since the output still looked like a number-shaped
8
+ * NaN rather than an error.
9
+ *
10
+ * The policy, which matches pandas' rolling semantics ("flows through, then recovers"):
11
+ *
12
+ * 1. the running sum only ever accumulates FINITE samples (a non-finite sample contributes 0), so
13
+ * the accumulator itself can never latch;
14
+ * 2. a per-window count of the non-finite samples gates EMISSION — while the window still holds
15
+ * one, the indicator emits `NaN`;
16
+ * 3. the bar the bad sample leaves the window, the count returns to zero and the indicator resumes
17
+ * emitting the same values it would have produced had the sample never been seen.
18
+ *
19
+ * Indicators whose state is a RECURSION (KAMA, VIDYA, VFI's smoothing EMA) additionally HOLD that
20
+ * recursion while the window is dirty rather than feeding it a NaN — feeding it would latch the
21
+ * filter forever, which is the same bug in a different shape. Their post-gap values are therefore
22
+ * finite and correct going forward, but (unlike the pure-window indicators) not bit-identical to the
23
+ * gap-free series, because the recursion legitimately saw fewer updates.
24
+ *
25
+ * ±Infinity is treated exactly like NaN: it latches a running sum just as permanently (`Inf − Inf`
26
+ * is NaN) and no aligned output may leak an infinity.
27
+ */
28
+ /** A sample that must never enter a running sum: `NaN` or `±Infinity`. */
29
+ export function isDirtySample(x) {
30
+ return !Number.isFinite(x);
31
+ }
32
+ /**
33
+ * How many samples of a window are non-finite. Used to rebuild the emission gate from a restored
34
+ * snapshot without adding a state key (JSON serializes `NaN` as `null`, which is non-finite too, so
35
+ * a round-tripped dirty window stays dirty).
36
+ */
37
+ export function dirtySamples(xs) {
38
+ let n = 0;
39
+ for (let i = 0; i < xs.length; i++)
40
+ if (!Number.isFinite(xs[i]))
41
+ n++;
42
+ return n;
43
+ }
44
+ /**
45
+ * `dirtySamples` over parallel windows that are pushed and evicted TOGETHER (a paired/tripled
46
+ * accumulator such as CMO's up/down or Vortex's VM+/VM−/TR): a row counts once when any of its
47
+ * columns is non-finite, matching the single counter those streams maintain.
48
+ */
49
+ export function dirtyRows(...windows) {
50
+ const first = windows[0];
51
+ if (first === undefined)
52
+ return 0;
53
+ let n = 0;
54
+ for (let i = 0; i < first.length; i++) {
55
+ if (windows.some((w) => !Number.isFinite(w[i])))
56
+ n++;
57
+ }
58
+ return n;
59
+ }
60
+ //# sourceMappingURL=nan-policy.js.map
package/modules/technical-analysis/dist/nan-policy.js.map ADDED
@@ -0,0 +1 @@
1
+ {"version":3,"file":"nan-policy.js","sourceRoot":"","sources":["../src/nan-policy.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;;;;;;;;;;;;;;;GA0BG;AAEH,0EAA0E;AAC1E,MAAM,UAAU,aAAa,CAAC,CAAS;IACrC,OAAO,CAAC,MAAM,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC;AAC7B,CAAC;AAED;;;;GAIG;AACH,MAAM,UAAU,YAAY,CAAC,EAAqB;IAChD,IAAI,CAAC,GAAG,CAAC,CAAC;IACV,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,EAAE,CAAC,MAAM,EAAE,CAAC,EAAE;QAAE,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,EAAE,CAAC,CAAC,CAAE,CAAC;YAAE,CAAC,EAAE,CAAC;IACtE,OAAO,CAAC,CAAC;AACX,CAAC;AAED;;;;GAIG;AACH,MAAM,UAAU,SAAS,CAAC,GAAG,OAAqC;IAChE,MAAM,KAAK,GAAG,OAAO,CAAC,CAAC,CAAC,CAAC;IACzB,IAAI,KAAK,KAAK,SAAS;QAAE,OAAO,CAAC,CAAC;IAClC,IAAI,CAAC,GAAG,CAAC,CAAC;IACV,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,KAAK,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;QACtC,IAAI,OAAO,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,MAAM,CAAC,QAAQ,CAAC,CAAC,CAAC,CAAC,CAAE,CAAC,CAAC;YAAE,CAAC,EAAE,CAAC;IACxD,CAAC;IACD,OAAO,CAAC,CAAC;AACX,CAAC"}
package/modules/technical-analysis/dist/oscillators.d.ts ADDED
@@ -0,0 +1,377 @@
1
+ /**
2
+ * Momentum oscillators (spec §13.3).
3
+ *
4
+ * StochRSI, PPO, APO, CCI, CMO, the ROC family, Momentum, Williams %R, TRIX, Ultimate Oscillator,
5
+ * Awesome Oscillator, KST, TSI, Connors RSI, Fisher Transform, DPO, and the MACDEXT / MACDFIX MACD
6
+ * variants. RSI, Stochastic and the base MACD live in their own modules. Each indicator is a
7
+ * serializable stream wrapped into the aligned batch+stream facade.
8
+ */
9
+ import { type BarInput, type IndicatorStream, type TechnicalAnalysisSnapshot } from './framework.js';
10
+ import { type MacdPoint } from './macd.js';
11
+ export interface RocParameters {
12
+ /** Lookback. Defaults to 10 for roc/rocp/rocr/rocr100/momentum; echoed via `.explain()`. */
13
+ period?: number;
14
+ }
15
+ type RocMode = 'roc' | 'rocp' | 'rocr' | 'rocr100' | 'mom';
16
+ declare class RocStream implements IndicatorStream<number, number> {
17
+ private buf;
18
+ value: number | null;
19
+ private readonly period;
20
+ private readonly mode;
21
+ constructor(parameters: {
22
+ period: number;
23
+ mode: RocMode;
24
+ });
25
+ next(value: number): number | null;
26
+ toJSON(): TechnicalAnalysisSnapshot;
27
+ static restore(mode: RocMode): (s: TechnicalAnalysisSnapshot) => RocStream;
28
+ }
29
+ export declare const roc: import("./framework.js").Indicator<RocParameters, number, number>;
30
+ export declare const rocp: import("./framework.js").Indicator<RocParameters, number, number>;
31
+ export declare const rocr: import("./framework.js").Indicator<RocParameters, number, number>;
32
+ export declare const rocr100: import("./framework.js").Indicator<RocParameters, number, number>;
33
+ export declare const momentum: import("./framework.js").Indicator<RocParameters, number, number>;
34
+ export interface PeriodParameters {
35
+ period: number;
36
+ }
37
+ declare class CmoStream implements IndicatorStream<number, number> {
38
+ private readonly period;
39
+ private prev;
40
+ private ups;
41
+ private downs;
42
+ private sumUp;
43
+ private sumDown;
44
+ /** Non-finite samples inside the window — the interior-NaN gate (see `./nan-policy`). */
45
+ private nanCount;
46
+ value: number | null;
47
+ constructor(period: number);
48
+ next(value: number): number | null;
49
+ toJSON(): TechnicalAnalysisSnapshot;
50
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): CmoStream;
51
+ }
52
+ export interface CmoParameters {
53
+ /** Lookback. Defaults to 14; echoed via `.explain()`. */
54
+ period?: number;
55
+ /** Reproduce TA-Lib's Wilder-smoothed CMO (`2·RSI − 100`) instead of Chande's simple sums. */
56
+ talib?: boolean;
57
+ }
58
+ export declare const cmo: import("./framework.js").Indicator<CmoParameters, number, number>;
59
+ export interface ApoParameters {
60
+ fast?: number;
61
+ slow?: number;
62
+ }
63
+ export interface PpoParameters {
64
+ fast?: number;
65
+ slow?: number;
66
+ signal?: number;
67
+ }
68
+ export interface PpoPoint {
69
+ ppo: number;
70
+ signal: number;
71
+ histogram: number;
72
+ }
73
+ declare class ApoStream implements IndicatorStream<number, number> {
74
+ private fast;
75
+ private slow;
76
+ value: number | null;
77
+ constructor(parameters: {
78
+ fast: number;
79
+ slow: number;
80
+ });
81
+ next(value: number): number | null;
82
+ toJSON(): TechnicalAnalysisSnapshot;
83
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): ApoStream;
84
+ }
85
+ export declare const apo: import("./framework.js").Indicator<ApoParameters, number, number>;
86
+ declare class PpoStream implements IndicatorStream<number, PpoPoint> {
87
+ private fast;
88
+ private slow;
89
+ private signalEma;
90
+ value: PpoPoint | null;
91
+ constructor(parameters: {
92
+ fast: number;
93
+ slow: number;
94
+ signal: number;
95
+ });
96
+ next(value: number): PpoPoint | null;
97
+ toJSON(): TechnicalAnalysisSnapshot;
98
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): PpoStream;
99
+ }
100
+ export declare const ppo: import("./framework.js").Indicator<PpoParameters, number, PpoPoint>;
101
+ export interface StochRsiParameters {
102
+ rsiPeriod?: number;
103
+ stochPeriod?: number;
104
+ kPeriod?: number;
105
+ dPeriod?: number;
106
+ }
107
+ export interface StochRsiPoint {
108
+ k: number;
109
+ d: number;
110
+ }
111
+ declare class StochRsiStream implements IndicatorStream<number, StochRsiPoint> {
112
+ private rsi;
113
+ private rsiBuf;
114
+ private kSma;
115
+ private dSma;
116
+ private lastK;
117
+ value: StochRsiPoint | null;
118
+ private readonly stochPeriod;
119
+ constructor(parameters: {
120
+ rsiPeriod: number;
121
+ stochPeriod: number;
122
+ kPeriod: number;
123
+ dPeriod: number;
124
+ });
125
+ next(value: number): StochRsiPoint | null;
126
+ toJSON(): TechnicalAnalysisSnapshot;
127
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): StochRsiStream;
128
+ }
129
+ export declare const stochRsi: import("./framework.js").Indicator<StochRsiParameters, number, StochRsiPoint>;
130
+ declare class TrixStream implements IndicatorStream<number, number> {
131
+ private e1;
132
+ private e2;
133
+ private e3;
134
+ private prev;
135
+ value: number | null;
136
+ constructor(period: number);
137
+ next(value: number): number | null;
138
+ toJSON(): TechnicalAnalysisSnapshot;
139
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): TrixStream;
140
+ }
141
+ /**
142
+ * TRIX — the 1-bar rate of change of a triple-smoothed EMA, in percent.
143
+ *
144
+ * Warmup is TA-Lib's TRIX lookback, `3·(period − 1) + 1`: the triple EMA itself first exists at
145
+ * `3·(period − 1)`, and the rate of change needs the bar after that.
146
+ */
147
+ export declare const trix: import("./framework.js").Indicator<{
148
+ period?: number;
149
+ }, number, number>;
150
+ /**
151
+ * Detrended Price Oscillator, Pring's causal form: `close[t − shift] − SMA(close, period)[t]` with
152
+ * `shift = ⌊period/2⌋ + 1` (the same lag pandas-ta applies with `centered=True`, but resolved
153
+ * BACKWARD so no value depends on a future bar).
154
+ *
155
+ * The SMA needs `period` bars and the lagged close needs `shift + 1`, and for a very short period the
156
+ * SECOND is the binding one: `period ≤ 2` puts `close[t − shift]` outside a `period`-deep buffer, and
157
+ * indexing it produced `undefined − sma` = NaN for the whole series. The window is sized to
158
+ * `max(period, shift + 1)` so every period is well defined; for `period ≥ 3` (`shift + 1 ≤ period`)
159
+ * the warmup and every value are exactly as before.
160
+ */
161
+ declare class DpoStream implements IndicatorStream<number, number> {
162
+ private readonly period;
163
+ /** Trailing closes, newest last; capacity `capacity`. */
164
+ private buf;
165
+ /** Σ of the last `period` closes (finite samples only — see `./nan-policy`). */
166
+ private sum;
167
+ private nanCount;
168
+ private readonly shift;
169
+ private readonly capacity;
170
+ value: number | null;
171
+ constructor(period: number);
172
+ next(value: number): number | null;
173
+ toJSON(): TechnicalAnalysisSnapshot;
174
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): DpoStream;
175
+ }
176
+ export declare const dpo: import("./framework.js").Indicator<PeriodParameters, number, number>;
177
+ export interface TsiParameters {
178
+ long?: number;
179
+ short?: number;
180
+ signal?: number;
181
+ }
182
+ export interface TsiPoint {
183
+ tsi: number;
184
+ signal: number;
185
+ }
186
+ declare class TsiStream implements IndicatorStream<number, TsiPoint> {
187
+ private prev;
188
+ private mLong;
189
+ private mShort;
190
+ private aLong;
191
+ private aShort;
192
+ private signalEma;
193
+ value: TsiPoint | null;
194
+ constructor(parameters: {
195
+ long: number;
196
+ short: number;
197
+ signal: number;
198
+ });
199
+ next(value: number): TsiPoint | null;
200
+ toJSON(): TechnicalAnalysisSnapshot;
201
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): TsiStream;
202
+ }
203
+ export declare const tsi: import("./framework.js").Indicator<TsiParameters, number, TsiPoint>;
204
+ export interface KstParameters {
205
+ rocPeriods?: [number, number, number, number];
206
+ smaPeriods?: [number, number, number, number];
207
+ signal?: number;
208
+ }
209
+ export interface KstPoint {
210
+ kst: number;
211
+ signal: number;
212
+ }
213
+ declare class KstStream implements IndicatorStream<number, KstPoint> {
214
+ private rocs;
215
+ private smas;
216
+ private signalSma;
217
+ value: KstPoint | null;
218
+ constructor(parameters: {
219
+ rocPeriods: number[];
220
+ smaPeriods: number[];
221
+ signal: number;
222
+ });
223
+ next(value: number): KstPoint | null;
224
+ toJSON(): TechnicalAnalysisSnapshot;
225
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): KstStream;
226
+ }
227
+ export declare const kst: import("./framework.js").Indicator<KstParameters, number, KstPoint>;
228
+ export interface ConnorsRsiParameters {
229
+ rsiPeriod?: number;
230
+ streakPeriod?: number;
231
+ rankPeriod?: number;
232
+ }
233
+ declare class ConnorsRsiStream implements IndicatorStream<number, number> {
234
+ private priceRsi;
235
+ private streakRsi;
236
+ private prev;
237
+ private streak;
238
+ private rocBuf;
239
+ value: number | null;
240
+ private readonly rankPeriod;
241
+ constructor(parameters: {
242
+ rsiPeriod: number;
243
+ streakPeriod: number;
244
+ rankPeriod: number;
245
+ });
246
+ next(value: number): number | null;
247
+ toJSON(): TechnicalAnalysisSnapshot;
248
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): ConnorsRsiStream;
249
+ }
250
+ export declare const connorsRsi: import("./framework.js").Indicator<ConnorsRsiParameters, number, number>;
251
+ declare class CciStream implements IndicatorStream<BarInput, number> {
252
+ private readonly period;
253
+ private buf;
254
+ private sum;
255
+ /** Non-finite samples inside the window — the interior-NaN gate (see `./nan-policy`). */
256
+ private nanCount;
257
+ value: number | null;
258
+ constructor(period: number);
259
+ next(bar: BarInput): number | null;
260
+ toJSON(): TechnicalAnalysisSnapshot;
261
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): CciStream;
262
+ }
263
+ export declare const cci: import("./framework.js").Indicator<{
264
+ period?: number;
265
+ }, BarInput, number>;
266
+ declare class WilliamsRStream implements IndicatorStream<BarInput, number> {
267
+ private readonly period;
268
+ private highs;
269
+ private lows;
270
+ value: number | null;
271
+ constructor(period: number);
272
+ next(bar: BarInput): number | null;
273
+ toJSON(): TechnicalAnalysisSnapshot;
274
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): WilliamsRStream;
275
+ }
276
+ export declare const williamsR: import("./framework.js").Indicator<{
277
+ period?: number;
278
+ }, BarInput, number>;
279
+ export interface AwesomeParameters {
280
+ fast?: number;
281
+ slow?: number;
282
+ }
283
+ declare class AwesomeStream implements IndicatorStream<BarInput, number> {
284
+ private fast;
285
+ private slow;
286
+ value: number | null;
287
+ constructor(parameters: {
288
+ fast: number;
289
+ slow: number;
290
+ });
291
+ next(bar: BarInput): number | null;
292
+ toJSON(): TechnicalAnalysisSnapshot;
293
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): AwesomeStream;
294
+ }
295
+ export declare const awesomeOscillator: import("./framework.js").Indicator<AwesomeParameters, BarInput, number>;
296
+ export interface UltimateParameters {
297
+ short?: number;
298
+ medium?: number;
299
+ long?: number;
300
+ }
301
+ declare class UltimateStream implements IndicatorStream<BarInput, number> {
302
+ private previousClose;
303
+ private bp;
304
+ private tr;
305
+ value: number | null;
306
+ private readonly short;
307
+ private readonly medium;
308
+ private readonly long;
309
+ constructor(parameters: {
310
+ short: number;
311
+ medium: number;
312
+ long: number;
313
+ });
314
+ private sumLast;
315
+ next(bar: BarInput): number | null;
316
+ toJSON(): TechnicalAnalysisSnapshot;
317
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): UltimateStream;
318
+ }
319
+ export declare const ultimateOscillator: import("./framework.js").Indicator<UltimateParameters, BarInput, number>;
320
+ export interface FisherParameters {
321
+ period?: number;
322
+ }
323
+ export interface FisherPoint {
324
+ fisher: number;
325
+ trigger: number;
326
+ }
327
+ declare class FisherStream implements IndicatorStream<BarInput, FisherPoint> {
328
+ private readonly period;
329
+ private highs;
330
+ private lows;
331
+ private val;
332
+ private fish;
333
+ value: FisherPoint | null;
334
+ constructor(period: number);
335
+ next(bar: BarInput): FisherPoint | null;
336
+ toJSON(): TechnicalAnalysisSnapshot;
337
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): FisherStream;
338
+ }
339
+ export declare const fisherTransform: import("./framework.js").Indicator<FisherParameters, BarInput, FisherPoint>;
340
+ export type MovingAverageType = 'sma' | 'ema' | 'wma' | 'dema' | 'tema' | 'trima' | 'rma';
341
+ export declare const MOVING_AVERAGE_TYPES: readonly MovingAverageType[];
342
+ export interface MacdExtParameters {
343
+ fast?: number;
344
+ slow?: number;
345
+ signal?: number;
346
+ fastMovingAverageType?: MovingAverageType;
347
+ slowMovingAverageType?: MovingAverageType;
348
+ signalMovingAverageType?: MovingAverageType;
349
+ }
350
+ declare class MacdExtStream implements IndicatorStream<number, MacdPoint> {
351
+ value: MacdPoint | null;
352
+ private fast;
353
+ private slow;
354
+ private signalMovingAverage;
355
+ private readonly fastType;
356
+ private readonly slowType;
357
+ private readonly signalType;
358
+ constructor({ fast, slow, signalMovingAverage, fastType, slowType, signalType, }: {
359
+ fast: IndicatorStream<number, number>;
360
+ slow: IndicatorStream<number, number>;
361
+ signalMovingAverage: IndicatorStream<number, number>;
362
+ fastType: MovingAverageType;
363
+ slowType: MovingAverageType;
364
+ signalType: MovingAverageType;
365
+ });
366
+ next(value: number): MacdPoint | null;
367
+ toJSON(): TechnicalAnalysisSnapshot;
368
+ static fromJSON(snapshot: TechnicalAnalysisSnapshot): MacdExtStream;
369
+ }
370
+ export declare const macdExt: import("./framework.js").Indicator<MacdExtParameters, number, MacdPoint>;
371
+ export interface MacdFixParameters {
372
+ signal?: number;
373
+ }
374
+ /** MACDFIX — fixed 12/26 EMA MACD with a configurable signal period (TA-Lib MACDFIX). */
375
+ export declare const macdFix: import("./framework.js").Indicator<MacdFixParameters, number, MacdPoint>;
376
+ export { RocStream, CmoStream, ApoStream, PpoStream, StochRsiStream, TrixStream, DpoStream, TsiStream, KstStream, ConnorsRsiStream, CciStream, WilliamsRStream, AwesomeStream, UltimateStream, FisherStream, MacdExtStream, };
377
+ //# sourceMappingURL=oscillators.d.ts.map
package/modules/technical-analysis/dist/oscillators.d.ts.map ADDED
@@ -0,0 +1 @@
1
+ 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