@insiderfinance/totalfinance 0.1.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/LICENSE +201 -0
- package/README.md +339 -0
- package/STABILITY.md +23 -0
- package/modules/backtest/dist/artifacts.d.ts +23 -0
- package/modules/backtest/dist/artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/artifacts.js +22 -0
- package/modules/backtest/dist/artifacts.js.map +1 -0
- package/modules/backtest/dist/broker.d.ts +265 -0
- package/modules/backtest/dist/broker.d.ts.map +1 -0
- package/modules/backtest/dist/broker.js +1228 -0
- package/modules/backtest/dist/broker.js.map +1 -0
- package/modules/backtest/dist/costs.d.ts +67 -0
- package/modules/backtest/dist/costs.d.ts.map +1 -0
- package/modules/backtest/dist/costs.js +171 -0
- package/modules/backtest/dist/costs.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts +21 -0
- package/modules/backtest/dist/cross-sectional/engine.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/engine.js +1399 -0
- package/modules/backtest/dist/cross-sectional/engine.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts +134 -0
- package/modules/backtest/dist/cross-sectional/folds.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/folds.js +375 -0
- package/modules/backtest/dist/cross-sectional/folds.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts +142 -0
- package/modules/backtest/dist/cross-sectional/grid.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/grid.js +394 -0
- package/modules/backtest/dist/cross-sectional/grid.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts +18 -0
- package/modules/backtest/dist/cross-sectional/index.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/index.js +15 -0
- package/modules/backtest/dist/cross-sectional/index.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts +331 -0
- package/modules/backtest/dist/cross-sectional/types.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/types.js +12 -0
- package/modules/backtest/dist/cross-sectional/types.js.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts +22 -0
- package/modules/backtest/dist/cross-sectional/validate.d.ts.map +1 -0
- package/modules/backtest/dist/cross-sectional/validate.js +489 -0
- package/modules/backtest/dist/cross-sectional/validate.js.map +1 -0
- package/modules/backtest/dist/diagnostics.d.ts +16 -0
- package/modules/backtest/dist/diagnostics.d.ts.map +1 -0
- package/modules/backtest/dist/diagnostics.js +63 -0
- package/modules/backtest/dist/diagnostics.js.map +1 -0
- package/modules/backtest/dist/environment/bench.d.ts +34 -0
- package/modules/backtest/dist/environment/bench.d.ts.map +1 -0
- package/modules/backtest/dist/environment/bench.js +724 -0
- package/modules/backtest/dist/environment/bench.js.map +1 -0
- package/modules/backtest/dist/environment/environment.d.ts +5 -0
- package/modules/backtest/dist/environment/environment.d.ts.map +1 -0
- package/modules/backtest/dist/environment/environment.js +618 -0
- package/modules/backtest/dist/environment/environment.js.map +1 -0
- package/modules/backtest/dist/environment/episode.d.ts +4 -0
- package/modules/backtest/dist/environment/episode.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episode.js +121 -0
- package/modules/backtest/dist/environment/episode.js.map +1 -0
- package/modules/backtest/dist/environment/episodes.d.ts +14 -0
- package/modules/backtest/dist/environment/episodes.d.ts.map +1 -0
- package/modules/backtest/dist/environment/episodes.js +644 -0
- package/modules/backtest/dist/environment/episodes.js.map +1 -0
- package/modules/backtest/dist/environment/features.d.ts +31 -0
- package/modules/backtest/dist/environment/features.d.ts.map +1 -0
- package/modules/backtest/dist/environment/features.js +157 -0
- package/modules/backtest/dist/environment/features.js.map +1 -0
- package/modules/backtest/dist/environment/index.d.ts +14 -0
- package/modules/backtest/dist/environment/index.d.ts.map +1 -0
- package/modules/backtest/dist/environment/index.js +12 -0
- package/modules/backtest/dist/environment/index.js.map +1 -0
- package/modules/backtest/dist/environment/limits.d.ts +63 -0
- package/modules/backtest/dist/environment/limits.d.ts.map +1 -0
- package/modules/backtest/dist/environment/limits.js +253 -0
- package/modules/backtest/dist/environment/limits.js.map +1 -0
- package/modules/backtest/dist/environment/reward.d.ts +5 -0
- package/modules/backtest/dist/environment/reward.d.ts.map +1 -0
- package/modules/backtest/dist/environment/reward.js +80 -0
- package/modules/backtest/dist/environment/reward.js.map +1 -0
- package/modules/backtest/dist/environment/types.d.ts +540 -0
- package/modules/backtest/dist/environment/types.d.ts.map +1 -0
- package/modules/backtest/dist/environment/types.js +2 -0
- package/modules/backtest/dist/environment/types.js.map +1 -0
- package/modules/backtest/dist/environment/validate.d.ts +23 -0
- package/modules/backtest/dist/environment/validate.d.ts.map +1 -0
- package/modules/backtest/dist/environment/validate.js +264 -0
- package/modules/backtest/dist/environment/validate.js.map +1 -0
- package/modules/backtest/dist/event-driven.d.ts +111 -0
- package/modules/backtest/dist/event-driven.d.ts.map +1 -0
- package/modules/backtest/dist/event-driven.js +325 -0
- package/modules/backtest/dist/event-driven.js.map +1 -0
- package/modules/backtest/dist/execution/conformance.d.ts +33 -0
- package/modules/backtest/dist/execution/conformance.d.ts.map +1 -0
- package/modules/backtest/dist/execution/conformance.js +269 -0
- package/modules/backtest/dist/execution/conformance.js.map +1 -0
- package/modules/backtest/dist/execution/fill-models.d.ts +35 -0
- package/modules/backtest/dist/execution/fill-models.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-models.js +375 -0
- package/modules/backtest/dist/execution/fill-models.js.map +1 -0
- package/modules/backtest/dist/execution/fill-order.d.ts +55 -0
- package/modules/backtest/dist/execution/fill-order.d.ts.map +1 -0
- package/modules/backtest/dist/execution/fill-order.js +156 -0
- package/modules/backtest/dist/execution/fill-order.js.map +1 -0
- package/modules/backtest/dist/execution/index.d.ts +33 -0
- package/modules/backtest/dist/execution/index.d.ts.map +1 -0
- package/modules/backtest/dist/execution/index.js +27 -0
- package/modules/backtest/dist/execution/index.js.map +1 -0
- package/modules/backtest/dist/execution/intrabar.d.ts +46 -0
- package/modules/backtest/dist/execution/intrabar.d.ts.map +1 -0
- package/modules/backtest/dist/execution/intrabar.js +130 -0
- package/modules/backtest/dist/execution/intrabar.js.map +1 -0
- package/modules/backtest/dist/execution/normalized.d.ts +56 -0
- package/modules/backtest/dist/execution/normalized.d.ts.map +1 -0
- package/modules/backtest/dist/execution/normalized.js +154 -0
- package/modules/backtest/dist/execution/normalized.js.map +1 -0
- package/modules/backtest/dist/execution/policy.d.ts +84 -0
- package/modules/backtest/dist/execution/policy.d.ts.map +1 -0
- package/modules/backtest/dist/execution/policy.js +341 -0
- package/modules/backtest/dist/execution/policy.js.map +1 -0
- package/modules/backtest/dist/execution/types.d.ts +217 -0
- package/modules/backtest/dist/execution/types.d.ts.map +1 -0
- package/modules/backtest/dist/execution/types.js +8 -0
- package/modules/backtest/dist/execution/types.js.map +1 -0
- package/modules/backtest/dist/execution/validate.d.ts +35 -0
- package/modules/backtest/dist/execution/validate.d.ts.map +1 -0
- package/modules/backtest/dist/execution/validate.js +666 -0
- package/modules/backtest/dist/execution/validate.js.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts +12 -0
- package/modules/backtest/dist/generated/validation-specs.d.ts.map +1 -0
- package/modules/backtest/dist/generated/validation-specs.js +1129 -0
- package/modules/backtest/dist/generated/validation-specs.js.map +1 -0
- package/modules/backtest/dist/index.d.ts +33 -0
- package/modules/backtest/dist/index.d.ts.map +1 -0
- package/modules/backtest/dist/index.js +28 -0
- package/modules/backtest/dist/index.js.map +1 -0
- package/modules/backtest/dist/options/chain.d.ts +68 -0
- package/modules/backtest/dist/options/chain.d.ts.map +1 -0
- package/modules/backtest/dist/options/chain.js +303 -0
- package/modules/backtest/dist/options/chain.js.map +1 -0
- package/modules/backtest/dist/options/engine.d.ts +28 -0
- package/modules/backtest/dist/options/engine.d.ts.map +1 -0
- package/modules/backtest/dist/options/engine.js +1859 -0
- package/modules/backtest/dist/options/engine.js.map +1 -0
- package/modules/backtest/dist/options/index.d.ts +23 -0
- package/modules/backtest/dist/options/index.d.ts.map +1 -0
- package/modules/backtest/dist/options/index.js +21 -0
- package/modules/backtest/dist/options/index.js.map +1 -0
- package/modules/backtest/dist/options/tearsheet.d.ts +77 -0
- package/modules/backtest/dist/options/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/options/tearsheet.js +205 -0
- package/modules/backtest/dist/options/tearsheet.js.map +1 -0
- package/modules/backtest/dist/options/types.d.ts +571 -0
- package/modules/backtest/dist/options/types.d.ts.map +1 -0
- package/modules/backtest/dist/options/types.js +19 -0
- package/modules/backtest/dist/options/types.js.map +1 -0
- package/modules/backtest/dist/paper/index.d.ts +13 -0
- package/modules/backtest/dist/paper/index.d.ts.map +1 -0
- package/modules/backtest/dist/paper/index.js +12 -0
- package/modules/backtest/dist/paper/index.js.map +1 -0
- package/modules/backtest/dist/paper/paper.d.ts +8 -0
- package/modules/backtest/dist/paper/paper.d.ts.map +1 -0
- package/modules/backtest/dist/paper/paper.js +950 -0
- package/modules/backtest/dist/paper/paper.js.map +1 -0
- package/modules/backtest/dist/paper/types.d.ts +190 -0
- package/modules/backtest/dist/paper/types.d.ts.map +1 -0
- package/modules/backtest/dist/paper/types.js +3 -0
- package/modules/backtest/dist/paper/types.js.map +1 -0
- package/modules/backtest/dist/paper/validate.d.ts +9 -0
- package/modules/backtest/dist/paper/validate.d.ts.map +1 -0
- package/modules/backtest/dist/paper/validate.js +112 -0
- package/modules/backtest/dist/paper/validate.js.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts +37 -0
- package/modules/backtest/dist/portfolio/adapters.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/adapters.js +555 -0
- package/modules/backtest/dist/portfolio/adapters.js.map +1 -0
- package/modules/backtest/dist/portfolio/engine.d.ts +35 -0
- package/modules/backtest/dist/portfolio/engine.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/engine.js +1300 -0
- package/modules/backtest/dist/portfolio/engine.js.map +1 -0
- package/modules/backtest/dist/portfolio/index.d.ts +12 -0
- package/modules/backtest/dist/portfolio/index.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/index.js +11 -0
- package/modules/backtest/dist/portfolio/index.js.map +1 -0
- package/modules/backtest/dist/portfolio/types.d.ts +418 -0
- package/modules/backtest/dist/portfolio/types.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/types.js +8 -0
- package/modules/backtest/dist/portfolio/types.js.map +1 -0
- package/modules/backtest/dist/portfolio/validate.d.ts +26 -0
- package/modules/backtest/dist/portfolio/validate.d.ts.map +1 -0
- package/modules/backtest/dist/portfolio/validate.js +556 -0
- package/modules/backtest/dist/portfolio/validate.js.map +1 -0
- package/modules/backtest/dist/run-artifacts.d.ts +425 -0
- package/modules/backtest/dist/run-artifacts.d.ts.map +1 -0
- package/modules/backtest/dist/run-artifacts.js +1843 -0
- package/modules/backtest/dist/run-artifacts.js.map +1 -0
- package/modules/backtest/dist/signals.d.ts +110 -0
- package/modules/backtest/dist/signals.d.ts.map +1 -0
- package/modules/backtest/dist/signals.js +207 -0
- package/modules/backtest/dist/signals.js.map +1 -0
- package/modules/backtest/dist/tearsheet.d.ts +126 -0
- package/modules/backtest/dist/tearsheet.d.ts.map +1 -0
- package/modules/backtest/dist/tearsheet.js +266 -0
- package/modules/backtest/dist/tearsheet.js.map +1 -0
- package/modules/backtest/dist/types.d.ts +175 -0
- package/modules/backtest/dist/types.d.ts.map +1 -0
- package/modules/backtest/dist/types.js +29 -0
- package/modules/backtest/dist/types.js.map +1 -0
- package/modules/backtest/dist/validate.d.ts +13 -0
- package/modules/backtest/dist/validate.d.ts.map +1 -0
- package/modules/backtest/dist/validate.js +37 -0
- package/modules/backtest/dist/validate.js.map +1 -0
- package/modules/backtest/dist/vectorized.d.ts +53 -0
- package/modules/backtest/dist/vectorized.d.ts.map +1 -0
- package/modules/backtest/dist/vectorized.js +383 -0
- package/modules/backtest/dist/vectorized.js.map +1 -0
- package/modules/backtest/dist/walk-forward.d.ts +57 -0
- package/modules/backtest/dist/walk-forward.d.ts.map +1 -0
- package/modules/backtest/dist/walk-forward.js +125 -0
- package/modules/backtest/dist/walk-forward.js.map +1 -0
- package/modules/backtest/etc/backtest.api.md +139 -0
- package/modules/backtest/src/artifacts.ts +54 -0
- package/modules/backtest/src/broker.ts +1529 -0
- package/modules/backtest/src/costs.ts +225 -0
- package/modules/backtest/src/cross-sectional/engine.ts +1608 -0
- package/modules/backtest/src/cross-sectional/folds.ts +718 -0
- package/modules/backtest/src/cross-sectional/grid.ts +646 -0
- package/modules/backtest/src/cross-sectional/index.ts +76 -0
- package/modules/backtest/src/cross-sectional/types.ts +363 -0
- package/modules/backtest/src/cross-sectional/validate.ts +906 -0
- package/modules/backtest/src/diagnostics.ts +66 -0
- package/modules/backtest/src/environment/bench.ts +1022 -0
- package/modules/backtest/src/environment/environment.ts +766 -0
- package/modules/backtest/src/environment/episode.ts +146 -0
- package/modules/backtest/src/environment/episodes.ts +786 -0
- package/modules/backtest/src/environment/features.ts +184 -0
- package/modules/backtest/src/environment/index.ts +79 -0
- package/modules/backtest/src/environment/limits.ts +383 -0
- package/modules/backtest/src/environment/reward.ts +98 -0
- package/modules/backtest/src/environment/types.ts +595 -0
- package/modules/backtest/src/environment/validate.ts +415 -0
- package/modules/backtest/src/event-driven.ts +528 -0
- package/modules/backtest/src/execution/conformance.ts +346 -0
- package/modules/backtest/src/execution/fill-models.ts +410 -0
- package/modules/backtest/src/execution/fill-order.ts +261 -0
- package/modules/backtest/src/execution/index.ts +91 -0
- package/modules/backtest/src/execution/intrabar.ts +185 -0
- package/modules/backtest/src/execution/normalized.ts +216 -0
- package/modules/backtest/src/execution/policy.ts +447 -0
- package/modules/backtest/src/execution/types.ts +239 -0
- package/modules/backtest/src/execution/validate.ts +889 -0
- package/modules/backtest/src/generated/validation-specs.ts +1132 -0
- package/modules/backtest/src/index.ts +157 -0
- package/modules/backtest/src/options/chain.ts +410 -0
- package/modules/backtest/src/options/engine.ts +2240 -0
- package/modules/backtest/src/options/index.ts +68 -0
- package/modules/backtest/src/options/tearsheet.ts +327 -0
- package/modules/backtest/src/options/types.ts +573 -0
- package/modules/backtest/src/paper/index.ts +27 -0
- package/modules/backtest/src/paper/paper.ts +1288 -0
- package/modules/backtest/src/paper/types.ts +221 -0
- package/modules/backtest/src/paper/validate.ts +168 -0
- package/modules/backtest/src/portfolio/adapters.ts +651 -0
- package/modules/backtest/src/portfolio/engine.ts +1518 -0
- package/modules/backtest/src/portfolio/index.ts +64 -0
- package/modules/backtest/src/portfolio/types.ts +456 -0
- package/modules/backtest/src/portfolio/validate.ts +861 -0
- package/modules/backtest/src/run-artifacts.ts +2873 -0
- package/modules/backtest/src/signals.ts +267 -0
- package/modules/backtest/src/tearsheet.ts +425 -0
- package/modules/backtest/src/types.ts +200 -0
- package/modules/backtest/src/validate.ts +43 -0
- package/modules/backtest/src/vectorized.ts +541 -0
- package/modules/backtest/src/walk-forward.ts +215 -0
- package/modules/calendars/dist/cboe.d.ts +15 -0
- package/modules/calendars/dist/cboe.d.ts.map +1 -0
- package/modules/calendars/dist/cboe.js +16 -0
- package/modules/calendars/dist/cboe.js.map +1 -0
- package/modules/calendars/dist/crypto.d.ts +15 -0
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- package/modules/calendars/dist/crypto.js +16 -0
- package/modules/calendars/dist/crypto.js.map +1 -0
- package/modules/calendars/dist/expirations.d.ts +35 -0
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- package/modules/calendars/dist/nyse.d.ts +11 -0
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- package/modules/calendars/src/us-market.ts +86 -0
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- package/modules/cli/src/exit-codes.ts +21 -0
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- package/modules/commodities/src/internal.ts +6 -0
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- package/modules/core/dist/artifacts/analysis-artifact.d.ts +140 -0
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import * as bars from './bars.js';
|
|
27
|
+
import * as cycle from './cycle.js';
|
|
28
|
+
import * as math from './math.js';
|
|
29
|
+
import * as perf from './performance-ext.js';
|
|
30
|
+
import * as stats from './statistics.js';
|
|
31
|
+
import * as momx from './momentum-ext.js';
|
|
32
|
+
import * as ovx from './overlap-ext.js';
|
|
33
|
+
import * as trx from './trend-ext.js';
|
|
34
|
+
import * as volx from './volatility-ext.js';
|
|
35
|
+
import * as volmx from './volume-ext.js';
|
|
36
|
+
import * as pax from './price-action-ext.js';
|
|
37
|
+
import * as fx from './features-ext.js';
|
|
38
|
+
import { divergence } from './divergence.js';
|
|
39
|
+
import { rsi } from './rsi.js';
|
|
40
|
+
import { macd } from './macd.js';
|
|
41
|
+
import { bbands } from './bands.js';
|
|
42
|
+
import { candlesticks } from './candlesticks.js';
|
|
43
|
+
import { cdlDoji, cdlInside, cdlZ } from './candle-aliases.js';
|
|
44
|
+
/**
|
|
45
|
+
* Compiler-checked runtime domain for {@link IndicatorCategory} — `satisfies` makes a missing or
|
|
46
|
+
* misspelled member a type error here, so the table cannot drift from the union it teaches.
|
|
47
|
+
*/
|
|
48
|
+
const INDICATOR_CATEGORIES = [
|
|
49
|
+
'transform',
|
|
50
|
+
'moving-average',
|
|
51
|
+
'momentum',
|
|
52
|
+
'trend',
|
|
53
|
+
'volatility',
|
|
54
|
+
'volume',
|
|
55
|
+
'cycle',
|
|
56
|
+
'math',
|
|
57
|
+
'performance',
|
|
58
|
+
'statistic',
|
|
59
|
+
'candlestick',
|
|
60
|
+
'price-action',
|
|
61
|
+
'custom',
|
|
62
|
+
];
|
|
63
|
+
const CATEGORY_DOMAIN_IS_TOTAL = true;
|
|
64
|
+
void CATEGORY_DOMAIN_IS_TOTAL;
|
|
65
|
+
const REGISTRY = new Map();
|
|
66
|
+
const INPUT_KINDS = ['series', 'bars', 'pair'];
|
|
67
|
+
/** Throw unless `inputs` is a member of {@link INPUT_KINDS} (an unchecked `inputs` used to register
|
|
68
|
+
* fine and then mis-route as `'pair'` in every registry-driven probe — silent degradation). */
|
|
69
|
+
function requireInputs(functionName, inputs, name) {
|
|
70
|
+
if (!INPUT_KINDS.includes(inputs)) {
|
|
71
|
+
throw new InputError(`${functionName}: inputs must be one of ${INPUT_KINDS.join(' | ')}. Received ${typeof inputs === 'string' ? `"${inputs}"` : String(inputs)}.`, { code: ErrorCode.InputInvalidEnum, context: { name, inputs } });
|
|
72
|
+
}
|
|
73
|
+
}
|
|
74
|
+
/** Throw when a default is declared for a parameter that is not in `parameters` (registry junk). */
|
|
75
|
+
function requireDefaultsSubsetOfParams(functionName, name, parameters, defaults) {
|
|
76
|
+
// Null is a wrong-typed value, not a second spelling of "no defaults" (the 350c2796 ruling).
|
|
77
|
+
if (defaults === null) {
|
|
78
|
+
throw new InputError(`${functionName}: "${name}" defaults must be an object when provided — omit the field for an indicator with no defaults. Received null.`, { code: ErrorCode.InputWrongType, context: { name } });
|
|
79
|
+
}
|
|
80
|
+
if (!defaults)
|
|
81
|
+
return;
|
|
82
|
+
for (const key of Object.keys(defaults)) {
|
|
83
|
+
if (!parameters.includes(key)) {
|
|
84
|
+
throw new InputError(`${functionName}: "${name}" declares a default for "${key}", which is not in parameters [${parameters.join(', ')}].`, { code: ErrorCode.InputOutOfRange, context: { name, key, parameters } });
|
|
85
|
+
}
|
|
86
|
+
}
|
|
87
|
+
}
|
|
88
|
+
/** Register an already-built indicator facade with metadata. Throws on a duplicate name. */
|
|
89
|
+
const REGISTERED_INDICATOR_KEYS = [
|
|
90
|
+
'name',
|
|
91
|
+
'category',
|
|
92
|
+
'inputs',
|
|
93
|
+
'parameters',
|
|
94
|
+
'defaults',
|
|
95
|
+
'conventions',
|
|
96
|
+
'indicator',
|
|
97
|
+
'output',
|
|
98
|
+
];
|
|
99
|
+
export function register(entry) {
|
|
100
|
+
requireArgumentObject('register', 'entry', entry);
|
|
101
|
+
// Law 12: a `defualts` typo must teach, not silently register an indicator with no defaults.
|
|
102
|
+
ensureKnownKeys('register', 'entry', entry, REGISTERED_INDICATOR_KEYS);
|
|
103
|
+
// A malformed entry must never pollute the registry: warmup probes and listIndicators iterate every
|
|
104
|
+
// registered entry, so junk here breaks unrelated calls later (first-touch law).
|
|
105
|
+
if (typeof entry.name !== 'string' ||
|
|
106
|
+
entry.name.length === 0 ||
|
|
107
|
+
typeof entry.indicator !== 'function' ||
|
|
108
|
+
!Array.isArray(entry.parameters)) {
|
|
109
|
+
throw new InputError('register: entry needs { name, category, inputs, parameters: string[], indicator } — see defineIndicator.', { code: ErrorCode.InputWrongType, context: { name: entry.name } });
|
|
110
|
+
}
|
|
111
|
+
// Category drives discovery (`listIndicators('momentum')`), so junk here hides the indicator
|
|
112
|
+
// from every categorized listing — an omitted or misspelled category teaches its whole domain.
|
|
113
|
+
if (!INDICATOR_CATEGORIES.includes(entry.category)) {
|
|
114
|
+
throw new InputError(`register: entry.category must be one of ${INDICATOR_CATEGORIES.join(' | ')}. Received ${entry.category === undefined ? 'undefined' : entry.category === null ? 'null' : JSON.stringify(entry.category)}.`, {
|
|
115
|
+
code: ErrorCode.InputInvalidEnum,
|
|
116
|
+
context: { name: entry.name, category: entry.category, allowed: [...INDICATOR_CATEGORIES] },
|
|
117
|
+
});
|
|
118
|
+
}
|
|
119
|
+
// Conventions are echoed by every `.explain()` — junk here would be DISCLOSED as truth.
|
|
120
|
+
if (entry.conventions !== undefined &&
|
|
121
|
+
(entry.conventions === null ||
|
|
122
|
+
typeof entry.conventions !== 'object' ||
|
|
123
|
+
Array.isArray(entry.conventions))) {
|
|
124
|
+
throw new InputError(`register: entry.conventions must be an object of named convention choices when provided. Received ${entry.conventions === null ? 'null' : Array.isArray(entry.conventions) ? 'an array' : typeof entry.conventions}.`, {
|
|
125
|
+
code: ErrorCode.InputWrongType,
|
|
126
|
+
context: { name: entry.name, conventions: entry.conventions },
|
|
127
|
+
});
|
|
128
|
+
}
|
|
129
|
+
requireInputs('register', entry.inputs, entry.name);
|
|
130
|
+
requireDefaultsSubsetOfParams('register', entry.name, entry.parameters, entry.defaults);
|
|
131
|
+
// Wave 6 §4: every registered indicator must declare valid output metadata, so discovery never lies
|
|
132
|
+
// by omission (the registry-driven describe/search all read it).
|
|
133
|
+
requireOutputMetadata('register', entry.name, entry.output);
|
|
134
|
+
if (REGISTRY.has(entry.name)) {
|
|
135
|
+
throw new InputError(`register: Indicator "${entry.name}" is already registered.`, {
|
|
136
|
+
code: ErrorCode.RegistryDuplicateIndicator,
|
|
137
|
+
context: { name: entry.name },
|
|
138
|
+
});
|
|
139
|
+
}
|
|
140
|
+
// Everything the registry keeps is a frozen copy of what the caller passed, so the caller's own
|
|
141
|
+
// objects are no longer reachable from the facade's allowlist or from any read accessor.
|
|
142
|
+
const stored = Object.freeze({
|
|
143
|
+
name: entry.name,
|
|
144
|
+
category: entry.category,
|
|
145
|
+
inputs: entry.inputs,
|
|
146
|
+
parameters: frozenCopy(entry.parameters),
|
|
147
|
+
...(entry.defaults ? { defaults: frozenCopy(entry.defaults) } : {}),
|
|
148
|
+
...(entry.conventions ? { conventions: frozenCopy(entry.conventions) } : {}),
|
|
149
|
+
// NOT copied: the facade is the callable thing being registered, and its identity is the point.
|
|
150
|
+
indicator: entry.indicator,
|
|
151
|
+
output: frozenCopy(entry.output),
|
|
152
|
+
});
|
|
153
|
+
// The disclosure-law choke point: bind the declared defaults (echoed by `.explain()`) and the
|
|
154
|
+
// input kind (first-element shape checks) onto the facade itself, so direct calls disclose too.
|
|
155
|
+
// Bound from `stored`, never from `entry` — binding the caller's array is what made the runtime
|
|
156
|
+
// allowlist editable from outside.
|
|
157
|
+
bindIndicatorMetadata(stored.indicator, {
|
|
158
|
+
...(stored.defaults ? { defaults: stored.defaults } : {}),
|
|
159
|
+
inputs: stored.inputs,
|
|
160
|
+
// Law 12: the declared parameter names become the facade's runtime allowlist.
|
|
161
|
+
...(stored.parameters ? { parameters: stored.parameters } : {}),
|
|
162
|
+
// The same choke point carries the conventions, so a direct `rsi(closes).explain()` discloses
|
|
163
|
+
// Wilder smoothing exactly as the registry-driven discovery path does.
|
|
164
|
+
...(stored.conventions ? { conventions: stored.conventions } : {}),
|
|
165
|
+
});
|
|
166
|
+
REGISTRY.set(stored.name, stored);
|
|
167
|
+
}
|
|
168
|
+
/** Build an aligned batch+stream indicator and register it. Returns the facade. */
|
|
169
|
+
export function defineIndicator(definition) {
|
|
170
|
+
requireArgumentObject('defineIndicator', 'definition', definition);
|
|
171
|
+
if (typeof definition.name !== 'string' ||
|
|
172
|
+
definition.name.length === 0 ||
|
|
173
|
+
typeof definition.stream !== 'function' ||
|
|
174
|
+
typeof definition.restore !== 'function' ||
|
|
175
|
+
typeof definition.nan !== 'function') {
|
|
176
|
+
throw new InputError('defineIndicator: definition needs { name, inputs, stream(parameters), restore(snapshot), nan(parameters) } — a malformed definition must not pollute the registry.', {
|
|
177
|
+
code: ErrorCode.InputWrongType,
|
|
178
|
+
context: { name: definition.name },
|
|
179
|
+
});
|
|
180
|
+
}
|
|
181
|
+
requireInputs('defineIndicator', definition.inputs, definition.name);
|
|
182
|
+
requireOutputMetadata('defineIndicator', definition.name, definition.output);
|
|
183
|
+
const indicator = makeIndicator(definition.stream, definition.restore, definition.nan, definition.defaults);
|
|
184
|
+
register({
|
|
185
|
+
name: definition.name,
|
|
186
|
+
category: definition.category ?? 'custom',
|
|
187
|
+
inputs: definition.inputs,
|
|
188
|
+
parameters: definition.parameters ?? [],
|
|
189
|
+
...(definition.defaults ? { defaults: definition.defaults } : {}),
|
|
190
|
+
...(definition.conventions ? { conventions: definition.conventions } : {}),
|
|
191
|
+
indicator: indicator,
|
|
192
|
+
output: definition.output,
|
|
193
|
+
});
|
|
194
|
+
return indicator;
|
|
195
|
+
}
|
|
196
|
+
/**
|
|
197
|
+
* The registered entry for `name`, or `undefined`.
|
|
198
|
+
*
|
|
199
|
+
* The result is DEEPLY FROZEN. It is a view of the registry, not a copy to edit: mutating it used to
|
|
200
|
+
* reach the facade's own validation allowlist.
|
|
201
|
+
*/
|
|
202
|
+
export function getIndicator(name) {
|
|
203
|
+
return REGISTRY.get(name);
|
|
204
|
+
}
|
|
205
|
+
export function hasIndicator(name) {
|
|
206
|
+
return REGISTRY.has(name);
|
|
207
|
+
}
|
|
208
|
+
/** Every registered indicator (optionally one category). The ARRAY is fresh; the entries are frozen. */
|
|
209
|
+
export function listIndicators(category) {
|
|
210
|
+
const all = [...REGISTRY.values()];
|
|
211
|
+
return category ? all.filter((e) => e.category === category) : all;
|
|
212
|
+
}
|
|
213
|
+
export function indicatorCategories() {
|
|
214
|
+
return [...new Set([...REGISTRY.values()].map((e) => e.category))];
|
|
215
|
+
}
|
|
216
|
+
const BUILTINS = {
|
|
217
|
+
transform: [
|
|
218
|
+
['typicalPrice', transforms.typicalPrice, builtinMetadata.typicalPriceMetadata],
|
|
219
|
+
['medianPrice', transforms.medianPrice, builtinMetadata.medianPriceMetadata],
|
|
220
|
+
['weightedClose', transforms.weightedClose, builtinMetadata.weightedCloseMetadata],
|
|
221
|
+
['averagePrice', transforms.averagePrice, builtinMetadata.averagePriceMetadata],
|
|
222
|
+
['realBody', transforms.realBody, builtinMetadata.realBodyMetadata],
|
|
223
|
+
['upperShadow', transforms.upperShadow, builtinMetadata.upperShadowMetadata],
|
|
224
|
+
['lowerShadow', transforms.lowerShadow, builtinMetadata.lowerShadowMetadata],
|
|
225
|
+
['candleRange', transforms.candleRange, builtinMetadata.candleRangeMetadata],
|
|
226
|
+
['trueRange', transforms.trueRange, builtinMetadata.trueRangeMetadata],
|
|
227
|
+
['gap', transforms.gap, builtinMetadata.gapMetadata],
|
|
228
|
+
['heikinAshi', transforms.heikinAshi, builtinMetadata.heikinAshiMetadata],
|
|
229
|
+
['returns', series.returns, builtinMetadata.returnsMetadata],
|
|
230
|
+
['logReturns', series.logReturns, builtinMetadata.logReturnsMetadata],
|
|
231
|
+
['rollingVolatility', series.rollingVolatility, builtinMetadata.rollingVolatilityMetadata],
|
|
232
|
+
],
|
|
233
|
+
'moving-average': [
|
|
234
|
+
['sma', ma.sma, builtinMetadata.smaMetadata],
|
|
235
|
+
['ema', ma.ema, builtinMetadata.emaMetadata],
|
|
236
|
+
['wma', ma.wma, builtinMetadata.wmaMetadata],
|
|
237
|
+
['rma', ma.rma, builtinMetadata.rmaMetadata],
|
|
238
|
+
['dema', ma.dema, builtinMetadata.demaMetadata],
|
|
239
|
+
['tema', ma.tema, builtinMetadata.temaMetadata],
|
|
240
|
+
['trima', ma.trima, builtinMetadata.trimaMetadata],
|
|
241
|
+
['t3', ma.t3, builtinMetadata.t3Metadata],
|
|
242
|
+
['kama', ma.kama, builtinMetadata.kamaMetadata],
|
|
243
|
+
['hma', ma.hma, builtinMetadata.hmaMetadata],
|
|
244
|
+
['zlema', ma.zlema, builtinMetadata.zlemaMetadata],
|
|
245
|
+
['alma', ma.alma, builtinMetadata.almaMetadata],
|
|
246
|
+
['vidya', ma.vidya, builtinMetadata.vidyaMetadata],
|
|
247
|
+
['mcginley', ma.mcginley, builtinMetadata.mcginleyMetadata],
|
|
248
|
+
['superSmoother', ma.superSmoother, builtinMetadata.superSmootherMetadata],
|
|
249
|
+
['vwma', ma.vwma, builtinMetadata.vwmaMetadata],
|
|
250
|
+
['rollingVwap', ma.rollingVwap, builtinMetadata.rollingVwapMetadata],
|
|
251
|
+
['anchoredVwap', ma.anchoredVwap, builtinMetadata.anchoredVwapMetadata],
|
|
252
|
+
['frama', ma.frama, builtinMetadata.framaMetadata],
|
|
253
|
+
['mama', ma.mama, builtinMetadata.mamaMetadata],
|
|
254
|
+
['movingAverage', stats.movingAverage, builtinMetadata.movingAverageMetadata],
|
|
255
|
+
['midpoint', stats.midpoint, builtinMetadata.midpointMetadata],
|
|
256
|
+
['midprice', stats.midprice, builtinMetadata.midpriceMetadata],
|
|
257
|
+
['fwma', ovx.fwma, builtinMetadata.fwmaMetadata],
|
|
258
|
+
['sineWma', ovx.sineWma, builtinMetadata.sineWmaMetadata],
|
|
259
|
+
['pascalWma', ovx.pascalWma, builtinMetadata.pascalWmaMetadata],
|
|
260
|
+
['symmetricWma', ovx.symmetricWma, builtinMetadata.symmetricWmaMetadata],
|
|
261
|
+
['jma', ovx.jma, builtinMetadata.jmaMetadata],
|
|
262
|
+
[
|
|
263
|
+
'holtWinterMovingAverage',
|
|
264
|
+
ovx.holtWinterMovingAverage,
|
|
265
|
+
builtinMetadata.holtWinterMovingAverageMetadata,
|
|
266
|
+
],
|
|
267
|
+
[
|
|
268
|
+
'rainbowMovingAverage',
|
|
269
|
+
ovx.rainbowMovingAverage,
|
|
270
|
+
builtinMetadata.rainbowMovingAverageMetadata,
|
|
271
|
+
],
|
|
272
|
+
['movingAverageRibbon', ovx.movingAverageRibbon, builtinMetadata.movingAverageRibbonMetadata],
|
|
273
|
+
[
|
|
274
|
+
'gannHighLowActivator',
|
|
275
|
+
ovx.gannHighLowActivator,
|
|
276
|
+
builtinMetadata.gannHighLowActivatorMetadata,
|
|
277
|
+
],
|
|
278
|
+
['vwapBands', ovx.vwapBands, builtinMetadata.vwapBandsMetadata],
|
|
279
|
+
['sessionVwap', ovx.sessionVwap, builtinMetadata.sessionVwapMetadata],
|
|
280
|
+
['rollingAnchoredVwap', ovx.rollingAnchoredVwap, builtinMetadata.rollingAnchoredVwapMetadata],
|
|
281
|
+
],
|
|
282
|
+
momentum: [
|
|
283
|
+
['rsi', rsi, builtinMetadata.rsiMetadata],
|
|
284
|
+
['macd', macd, builtinMetadata.macdMetadata],
|
|
285
|
+
['roc', osc.roc, builtinMetadata.rocMetadata],
|
|
286
|
+
['rocp', osc.rocp, builtinMetadata.rocpMetadata],
|
|
287
|
+
['rocr', osc.rocr, builtinMetadata.rocrMetadata],
|
|
288
|
+
['rocr100', osc.rocr100, builtinMetadata.rocr100Metadata],
|
|
289
|
+
['momentum', osc.momentum, builtinMetadata.momentumMetadata],
|
|
290
|
+
['cmo', osc.cmo, builtinMetadata.cmoMetadata],
|
|
291
|
+
['apo', osc.apo, builtinMetadata.apoMetadata],
|
|
292
|
+
['ppo', osc.ppo, builtinMetadata.ppoMetadata],
|
|
293
|
+
['stochRsi', osc.stochRsi, builtinMetadata.stochRsiMetadata],
|
|
294
|
+
['trix', osc.trix, builtinMetadata.trixMetadata],
|
|
295
|
+
['dpo', osc.dpo, builtinMetadata.dpoMetadata],
|
|
296
|
+
['tsi', osc.tsi, builtinMetadata.tsiMetadata],
|
|
297
|
+
['kst', osc.kst, builtinMetadata.kstMetadata],
|
|
298
|
+
['connorsRsi', osc.connorsRsi, builtinMetadata.connorsRsiMetadata],
|
|
299
|
+
['macdExt', osc.macdExt, builtinMetadata.macdExtMetadata],
|
|
300
|
+
['macdFix', osc.macdFix, builtinMetadata.macdFixMetadata],
|
|
301
|
+
['cci', osc.cci, builtinMetadata.cciMetadata],
|
|
302
|
+
['williamsR', osc.williamsR, builtinMetadata.williamsRMetadata],
|
|
303
|
+
['awesomeOscillator', osc.awesomeOscillator, builtinMetadata.awesomeOscillatorMetadata],
|
|
304
|
+
['ultimateOscillator', osc.ultimateOscillator, builtinMetadata.ultimateOscillatorMetadata],
|
|
305
|
+
['fisherTransform', osc.fisherTransform, builtinMetadata.fisherTransformMetadata],
|
|
306
|
+
['stochastic', bars.stochastic, builtinMetadata.stochasticMetadata],
|
|
307
|
+
// A true alias of `stochastic` (same facade object): with the default `smoothK: 1` the
|
|
308
|
+
// stochastic IS the fast stochastic (TA-Lib STOCHF). The declared defaults are identical by
|
|
309
|
+
// construction — both names share one disclosure slot.
|
|
310
|
+
['stochFast', stats.stochFast, builtinMetadata.stochFastMetadata],
|
|
311
|
+
['bop', stats.bop, builtinMetadata.bopMetadata],
|
|
312
|
+
['bias', momx.bias, builtinMetadata.biasMetadata],
|
|
313
|
+
['cfo', momx.cfo, builtinMetadata.cfoMetadata],
|
|
314
|
+
['forecastOscillator', momx.forecastOscillator, builtinMetadata.forecastOscillatorMetadata],
|
|
315
|
+
['coppock', momx.coppock, builtinMetadata.coppockMetadata],
|
|
316
|
+
['cti', momx.cti, builtinMetadata.ctiMetadata],
|
|
317
|
+
['efficiencyRatio', momx.efficiencyRatio, builtinMetadata.efficiencyRatioMetadata],
|
|
318
|
+
['centerOfGravity', momx.centerOfGravity, builtinMetadata.centerOfGravityMetadata],
|
|
319
|
+
['psychologicalLine', momx.psychologicalLine, builtinMetadata.psychologicalLineMetadata],
|
|
320
|
+
['slope', momx.slope, builtinMetadata.slopeMetadata],
|
|
321
|
+
['trixHistogram', momx.trixHistogram, builtinMetadata.trixHistogramMetadata],
|
|
322
|
+
['smiErgodic', momx.smiErgodic, builtinMetadata.smiErgodicMetadata],
|
|
323
|
+
['pvo', momx.pvo, builtinMetadata.pvoMetadata],
|
|
324
|
+
['elderRay', momx.elderRay, builtinMetadata.elderRayMetadata],
|
|
325
|
+
['brar', momx.brar, builtinMetadata.brarMetadata],
|
|
326
|
+
['kdj', momx.kdj, builtinMetadata.kdjMetadata],
|
|
327
|
+
['relativeVigorIndex', momx.relativeVigorIndex, builtinMetadata.relativeVigorIndexMetadata],
|
|
328
|
+
['pgo', momx.pgo, builtinMetadata.pgoMetadata],
|
|
329
|
+
['volumeWeightedMacd', momx.volumeWeightedMacd, builtinMetadata.volumeWeightedMacdMetadata],
|
|
330
|
+
['inertia', momx.inertia, builtinMetadata.inertiaMetadata],
|
|
331
|
+
['laguerreRsi', momx.laguerreRsi, builtinMetadata.laguerreRsiMetadata],
|
|
332
|
+
['qqe', momx.qqe, builtinMetadata.qqeMetadata],
|
|
333
|
+
['rsx', momx.rsx, builtinMetadata.rsxMetadata],
|
|
334
|
+
['schaffTrendCycle', momx.schaffTrendCycle, builtinMetadata.schaffTrendCycleMetadata],
|
|
335
|
+
['squeeze', momx.squeeze, builtinMetadata.squeezeMetadata],
|
|
336
|
+
['squeezePro', momx.squeezePro, builtinMetadata.squeezeProMetadata],
|
|
337
|
+
[
|
|
338
|
+
'projectionOscillator',
|
|
339
|
+
momx.projectionOscillator,
|
|
340
|
+
builtinMetadata.projectionOscillatorMetadata,
|
|
341
|
+
],
|
|
342
|
+
['tdSequential', momx.tdSequential, builtinMetadata.tdSequentialMetadata],
|
|
343
|
+
['smcSweep', pax.smcSweep, builtinMetadata.smcSweepMetadata],
|
|
344
|
+
],
|
|
345
|
+
trend: [
|
|
346
|
+
['adx', bars.adx, builtinMetadata.adxMetadata],
|
|
347
|
+
['dmi', trend.dmi, builtinMetadata.dmiMetadata],
|
|
348
|
+
['plusDI', trend.plusDI, builtinMetadata.plusDIMetadata],
|
|
349
|
+
['minusDI', trend.minusDI, builtinMetadata.minusDIMetadata],
|
|
350
|
+
['plusDM', trend.plusDM, builtinMetadata.plusDMMetadata],
|
|
351
|
+
['minusDM', trend.minusDM, builtinMetadata.minusDMMetadata],
|
|
352
|
+
['dx', trend.dx, builtinMetadata.dxMetadata],
|
|
353
|
+
['adxr', trend.adxr, builtinMetadata.adxrMetadata],
|
|
354
|
+
['aroon', trend.aroon, builtinMetadata.aroonMetadata],
|
|
355
|
+
['aroonOscillator', trend.aroonOscillator, builtinMetadata.aroonOscillatorMetadata],
|
|
356
|
+
['psar', trend.psar, builtinMetadata.psarMetadata],
|
|
357
|
+
['psarExt', trend.psarExt, builtinMetadata.psarExtMetadata],
|
|
358
|
+
['supertrend', trend.supertrend, builtinMetadata.supertrendMetadata],
|
|
359
|
+
['ichimoku', trend.ichimoku, builtinMetadata.ichimokuMetadata],
|
|
360
|
+
['vortex', trend.vortex, builtinMetadata.vortexMetadata],
|
|
361
|
+
['donchianTrend', trend.donchianTrend, builtinMetadata.donchianTrendMetadata],
|
|
362
|
+
['chandelierExit', trend.chandelierExit, builtinMetadata.chandelierExitMetadata],
|
|
363
|
+
['linreg', trend.linreg, builtinMetadata.linregMetadata],
|
|
364
|
+
['linregSlope', trend.linregSlope, builtinMetadata.linregSlopeMetadata],
|
|
365
|
+
['linregIntercept', trend.linregIntercept, builtinMetadata.linregInterceptMetadata],
|
|
366
|
+
['linregAngle', trend.linregAngle, builtinMetadata.linregAngleMetadata],
|
|
367
|
+
['tsf', trend.tsf, builtinMetadata.tsfMetadata],
|
|
368
|
+
['choppinessIndex', trx.choppinessIndex, builtinMetadata.choppinessIndexMetadata],
|
|
369
|
+
['chandeKrollStop', trx.chandeKrollStop, builtinMetadata.chandeKrollStopMetadata],
|
|
370
|
+
['centralPivotRange', trx.centralPivotRange, builtinMetadata.centralPivotRangeMetadata],
|
|
371
|
+
['amat', trx.amat, builtinMetadata.amatMetadata],
|
|
372
|
+
['linearDecay', trx.linearDecay, builtinMetadata.linearDecayMetadata],
|
|
373
|
+
['exponentialDecay', trx.exponentialDecay, builtinMetadata.exponentialDecayMetadata],
|
|
374
|
+
['increasing', trx.increasing, builtinMetadata.increasingMetadata],
|
|
375
|
+
['decreasing', trx.decreasing, builtinMetadata.decreasingMetadata],
|
|
376
|
+
['longRun', trx.longRun, builtinMetadata.longRunMetadata],
|
|
377
|
+
['shortRun', trx.shortRun, builtinMetadata.shortRunMetadata],
|
|
378
|
+
['pMax', trx.pMax, builtinMetadata.pMaxMetadata],
|
|
379
|
+
['qstick', trx.qstick, builtinMetadata.qstickMetadata],
|
|
380
|
+
['ttmTrend', trx.ttmTrend, builtinMetadata.ttmTrendMetadata],
|
|
381
|
+
[
|
|
382
|
+
'verticalHorizontalFilter',
|
|
383
|
+
trx.verticalHorizontalFilter,
|
|
384
|
+
builtinMetadata.verticalHorizontalFilterMetadata,
|
|
385
|
+
],
|
|
386
|
+
['trendSignals', trx.trendSignals, builtinMetadata.trendSignalsMetadata],
|
|
387
|
+
['crossSignals', trx.crossSignals, builtinMetadata.crossSignalsMetadata],
|
|
388
|
+
],
|
|
389
|
+
volatility: [
|
|
390
|
+
['atr', bars.atr, builtinMetadata.atrMetadata],
|
|
391
|
+
['natr', vol.natr, builtinMetadata.natrMetadata],
|
|
392
|
+
['keltner', vol.keltner, builtinMetadata.keltnerMetadata],
|
|
393
|
+
['donchian', vol.donchian, builtinMetadata.donchianMetadata],
|
|
394
|
+
['parkinson', vol.parkinson, builtinMetadata.parkinsonMetadata],
|
|
395
|
+
['garmanKlass', vol.garmanKlass, builtinMetadata.garmanKlassMetadata],
|
|
396
|
+
['rogersSatchell', vol.rogersSatchell, builtinMetadata.rogersSatchellMetadata],
|
|
397
|
+
['yangZhang', vol.yangZhang, builtinMetadata.yangZhangMetadata],
|
|
398
|
+
['chaikinVolatility', vol.chaikinVolatility, builtinMetadata.chaikinVolatilityMetadata],
|
|
399
|
+
['bbands', bbands, builtinMetadata.bbandsMetadata],
|
|
400
|
+
['bollingerBandWidth', vol.bollingerBandWidth, builtinMetadata.bollingerBandWidthMetadata],
|
|
401
|
+
['bollingerPercentB', vol.bollingerPercentB, builtinMetadata.bollingerPercentBMetadata],
|
|
402
|
+
['standardDeviation', vol.standardDeviation, builtinMetadata.standardDeviationMetadata],
|
|
403
|
+
['variance', vol.variance, builtinMetadata.varianceMetadata],
|
|
404
|
+
[
|
|
405
|
+
'historicalVolatility',
|
|
406
|
+
vol.historicalVolatility,
|
|
407
|
+
builtinMetadata.historicalVolatilityMetadata,
|
|
408
|
+
],
|
|
409
|
+
['realizedVolatility', vol.realizedVolatility, builtinMetadata.realizedVolatilityMetadata],
|
|
410
|
+
[
|
|
411
|
+
'relativeVolatilityIndex',
|
|
412
|
+
vol.relativeVolatilityIndex,
|
|
413
|
+
builtinMetadata.relativeVolatilityIndexMetadata,
|
|
414
|
+
],
|
|
415
|
+
['aberration', volx.aberration, builtinMetadata.aberrationMetadata],
|
|
416
|
+
['accelerationBands', volx.accelerationBands, builtinMetadata.accelerationBandsMetadata],
|
|
417
|
+
['holtWinterChannel', volx.holtWinterChannel, builtinMetadata.holtWinterChannelMetadata],
|
|
418
|
+
['massIndex', volx.massIndex, builtinMetadata.massIndexMetadata],
|
|
419
|
+
['priceDistance', volx.priceDistance, builtinMetadata.priceDistanceMetadata],
|
|
420
|
+
['elderThermometer', volx.elderThermometer, builtinMetadata.elderThermometerMetadata],
|
|
421
|
+
['ulcerIndex', volx.ulcerIndex, builtinMetadata.ulcerIndexMetadata],
|
|
422
|
+
['atrBands', volx.atrBands, builtinMetadata.atrBandsMetadata],
|
|
423
|
+
['percentAtr', volx.percentAtr, builtinMetadata.percentAtrMetadata],
|
|
424
|
+
['volatilityStop', volx.volatilityStop, builtinMetadata.volatilityStopMetadata],
|
|
425
|
+
],
|
|
426
|
+
volume: [
|
|
427
|
+
['obv', bars.obv, builtinMetadata.obvMetadata],
|
|
428
|
+
['vwap', bars.vwap, builtinMetadata.vwapMetadata],
|
|
429
|
+
['adLine', volm.adLine, builtinMetadata.adLineMetadata],
|
|
430
|
+
['chaikinOscillator', volm.chaikinOscillator, builtinMetadata.chaikinOscillatorMetadata],
|
|
431
|
+
['chaikinMoneyFlow', volm.chaikinMoneyFlow, builtinMetadata.chaikinMoneyFlowMetadata],
|
|
432
|
+
['mfi', volm.mfi, builtinMetadata.mfiMetadata],
|
|
433
|
+
['pvt', volm.pvt, builtinMetadata.pvtMetadata],
|
|
434
|
+
['easeOfMovement', volm.easeOfMovement, builtinMetadata.easeOfMovementMetadata],
|
|
435
|
+
['forceIndex', volm.forceIndex, builtinMetadata.forceIndexMetadata],
|
|
436
|
+
['nvi', volm.nvi, builtinMetadata.nviMetadata],
|
|
437
|
+
['pvi', volm.pvi, builtinMetadata.pviMetadata],
|
|
438
|
+
['klinger', volm.klinger, builtinMetadata.klingerMetadata],
|
|
439
|
+
['vfi', volm.vfi, builtinMetadata.vfiMetadata],
|
|
440
|
+
['relativeVolume', volm.relativeVolume, builtinMetadata.relativeVolumeMetadata],
|
|
441
|
+
['cvd', volm.cvd, builtinMetadata.cvdMetadata],
|
|
442
|
+
['archerObv', volmx.archerObv, builtinMetadata.archerObvMetadata],
|
|
443
|
+
[
|
|
444
|
+
'marketFacilitationIndex',
|
|
445
|
+
volmx.marketFacilitationIndex,
|
|
446
|
+
builtinMetadata.marketFacilitationIndexMetadata,
|
|
447
|
+
],
|
|
448
|
+
['priceVolume', volmx.priceVolume, builtinMetadata.priceVolumeMetadata],
|
|
449
|
+
['priceVolumeRank', volmx.priceVolumeRank, builtinMetadata.priceVolumeRankMetadata],
|
|
450
|
+
['volumeOscillator', volmx.volumeOscillator, builtinMetadata.volumeOscillatorMetadata],
|
|
451
|
+
['williamsAd', volmx.williamsAd, builtinMetadata.williamsAdMetadata],
|
|
452
|
+
// efi / emv / kvo are the SAME facades as forceIndex / easeOfMovement / klinger, so their
|
|
453
|
+
// declared defaults must be identical — both names share one disclosure slot.
|
|
454
|
+
['efi', volmx.efi, builtinMetadata.efiMetadata],
|
|
455
|
+
['emv', volmx.emv, builtinMetadata.emvMetadata],
|
|
456
|
+
['kvo', volmx.kvo, builtinMetadata.kvoMetadata],
|
|
457
|
+
],
|
|
458
|
+
cycle: [
|
|
459
|
+
['dsp', cycle.dsp, builtinMetadata.dspMetadata],
|
|
460
|
+
['ebsw', cycle.ebsw, builtinMetadata.ebswMetadata],
|
|
461
|
+
['msw', cycle.msw, builtinMetadata.mswMetadata],
|
|
462
|
+
['htDcPeriod', cycle.htDcPeriod, builtinMetadata.htDcPeriodMetadata],
|
|
463
|
+
['htDcPhase', cycle.htDcPhase, builtinMetadata.htDcPhaseMetadata],
|
|
464
|
+
['htPhasor', cycle.htPhasor, builtinMetadata.htPhasorMetadata],
|
|
465
|
+
['htSine', cycle.htSine, builtinMetadata.htSineMetadata],
|
|
466
|
+
['htTrendMode', cycle.htTrendMode, builtinMetadata.htTrendModeMetadata],
|
|
467
|
+
['htTrendline', cycle.htTrendline, builtinMetadata.htTrendlineMetadata],
|
|
468
|
+
],
|
|
469
|
+
statistic: [
|
|
470
|
+
['beta', stats.beta, builtinMetadata.betaMetadata],
|
|
471
|
+
['correl', stats.correl, builtinMetadata.correlMetadata],
|
|
472
|
+
['rollingMin', stats.rollingMin, builtinMetadata.rollingMinMetadata],
|
|
473
|
+
['rollingMax', stats.rollingMax, builtinMetadata.rollingMaxMetadata],
|
|
474
|
+
['rollingSum', stats.rollingSum, builtinMetadata.rollingSumMetadata],
|
|
475
|
+
['rollingMinIndex', stats.rollingMinIndex, builtinMetadata.rollingMinIndexMetadata],
|
|
476
|
+
['rollingMaxIndex', stats.rollingMaxIndex, builtinMetadata.rollingMaxIndexMetadata],
|
|
477
|
+
['rollingMinMax', stats.rollingMinMax, builtinMetadata.rollingMinMaxMetadata],
|
|
478
|
+
['rollingMinMaxIndex', stats.rollingMinMaxIndex, builtinMetadata.rollingMinMaxIndexMetadata],
|
|
479
|
+
['shift', fx.shift, builtinMetadata.shiftMetadata],
|
|
480
|
+
['lag', fx.lag, builtinMetadata.lagMetadata],
|
|
481
|
+
['diff', fx.difference, builtinMetadata.diffMetadata],
|
|
482
|
+
['change', fx.change, builtinMetadata.changeMetadata],
|
|
483
|
+
['fractionalChange', fx.fractionalChange, builtinMetadata.fractionalChangeMetadata],
|
|
484
|
+
['cum', fx.cumulativeSum, builtinMetadata.cumMetadata],
|
|
485
|
+
['zScore', fx.zScore, builtinMetadata.zScoreMetadata],
|
|
486
|
+
['normalize', fx.normalize, builtinMetadata.normalizeMetadata],
|
|
487
|
+
['rescale', fx.rescale, builtinMetadata.rescaleMetadata],
|
|
488
|
+
['rollingMedian', fx.rollingMedian, builtinMetadata.rollingMedianMetadata],
|
|
489
|
+
['mad', fx.rollingMeanAbsoluteDeviation, builtinMetadata.madMetadata],
|
|
490
|
+
['standardError', fx.standardError, builtinMetadata.standardErrorMetadata],
|
|
491
|
+
['rollingRank', fx.rollingRank, builtinMetadata.rollingRankMetadata],
|
|
492
|
+
['percentRank', fx.percentRank, builtinMetadata.percentRankMetadata],
|
|
493
|
+
['rollingQuantile', fx.rollingQuantile, builtinMetadata.rollingQuantileMetadata],
|
|
494
|
+
['winsorize', fx.winsorize, builtinMetadata.winsorizeMetadata],
|
|
495
|
+
['skew', fx.skew, builtinMetadata.skewMetadata],
|
|
496
|
+
['kurtosis', fx.kurtosis, builtinMetadata.kurtosisMetadata],
|
|
497
|
+
['entropy', fx.entropy, builtinMetadata.entropyMetadata],
|
|
498
|
+
['covariance', fx.covariance, builtinMetadata.covarianceMetadata],
|
|
499
|
+
['rSquared', fx.rSquared, builtinMetadata.rSquaredMetadata],
|
|
500
|
+
['rollingRegression', fx.rollingRegression, builtinMetadata.rollingRegressionMetadata],
|
|
501
|
+
['barSince', fx.barSince, builtinMetadata.barSinceMetadata],
|
|
502
|
+
['valueWhen', fx.valueWhen, builtinMetadata.valueWhenMetadata],
|
|
503
|
+
['rollingMean', fx.rollingMean, builtinMetadata.rollingMeanMetadata],
|
|
504
|
+
['rollingBeta', fx.rollingBeta, builtinMetadata.rollingBetaMetadata],
|
|
505
|
+
['rollingCorrelation', fx.rollingCorrelation, builtinMetadata.rollingCorrelationMetadata],
|
|
506
|
+
['highestBars', fx.highestBars, builtinMetadata.highestBarsMetadata],
|
|
507
|
+
['lowestBars', fx.lowestBars, builtinMetadata.lowestBarsMetadata],
|
|
508
|
+
// `period: null` is the disclosed expanding (all-history) window — null and undefined both
|
|
509
|
+
// select it, so the echoed parameters reproduce the computation verbatim.
|
|
510
|
+
['tosStdevAll', fx.tosStdevAll, builtinMetadata.tosStdevAllMetadata],
|
|
511
|
+
],
|
|
512
|
+
math: [
|
|
513
|
+
['acos', math.acos, builtinMetadata.acosMetadata],
|
|
514
|
+
['asin', math.asin, builtinMetadata.asinMetadata],
|
|
515
|
+
['atan', math.atan, builtinMetadata.atanMetadata],
|
|
516
|
+
['ceil', math.ceil, builtinMetadata.ceilMetadata],
|
|
517
|
+
['cos', math.cos, builtinMetadata.cosMetadata],
|
|
518
|
+
['cosh', math.cosh, builtinMetadata.coshMetadata],
|
|
519
|
+
['exp', math.exp, builtinMetadata.expMetadata],
|
|
520
|
+
['floor', math.floor, builtinMetadata.floorMetadata],
|
|
521
|
+
['ln', math.ln, builtinMetadata.lnMetadata],
|
|
522
|
+
['log10', math.log10, builtinMetadata.log10Metadata],
|
|
523
|
+
['sin', math.sin, builtinMetadata.sinMetadata],
|
|
524
|
+
['sinh', math.sinh, builtinMetadata.sinhMetadata],
|
|
525
|
+
['sqrt', math.sqrt, builtinMetadata.sqrtMetadata],
|
|
526
|
+
['tan', math.tan, builtinMetadata.tanMetadata],
|
|
527
|
+
['tanh', math.tanh, builtinMetadata.tanhMetadata],
|
|
528
|
+
['add', math.add, builtinMetadata.addMetadata],
|
|
529
|
+
['sub', math.sub, builtinMetadata.subMetadata],
|
|
530
|
+
['mult', math.mult, builtinMetadata.multMetadata],
|
|
531
|
+
['div', math.div, builtinMetadata.divMetadata],
|
|
532
|
+
['crossover', math.crossover, builtinMetadata.crossoverMetadata],
|
|
533
|
+
['crossany', math.crossany, builtinMetadata.crossanyMetadata],
|
|
534
|
+
],
|
|
535
|
+
performance: [['drawdown', perf.drawdown, builtinMetadata.drawdownMetadata]],
|
|
536
|
+
candlestick: [
|
|
537
|
+
['cdlDoji', cdlDoji, builtinMetadata.cdlDojiMetadata],
|
|
538
|
+
['cdlInside', cdlInside, builtinMetadata.cdlInsideMetadata],
|
|
539
|
+
['cdlZ', cdlZ, builtinMetadata.cdlZMetadata],
|
|
540
|
+
],
|
|
541
|
+
'price-action': [
|
|
542
|
+
['fairValueGaps', pax.fairValueGaps, builtinMetadata.fairValueGapsMetadata],
|
|
543
|
+
['orderBlocks', pax.orderBlocks, builtinMetadata.orderBlocksMetadata],
|
|
544
|
+
['liquiditySweeps', pax.liquiditySweeps, builtinMetadata.liquiditySweepsMetadata],
|
|
545
|
+
['swingTrailingStop', pax.swingTrailingStop, builtinMetadata.swingTrailingStopMetadata],
|
|
546
|
+
['atrTrailingStop', pax.atrTrailingStop, builtinMetadata.atrTrailingStopMetadata],
|
|
547
|
+
['equalHighs', pax.equalHighs, builtinMetadata.equalHighsMetadata],
|
|
548
|
+
['equalLows', pax.equalLows, builtinMetadata.equalLowsMetadata],
|
|
549
|
+
['divergence', divergence, builtinMetadata.divergenceMetadata],
|
|
550
|
+
],
|
|
551
|
+
custom: [],
|
|
552
|
+
};
|
|
553
|
+
for (const [category, entries] of Object.entries(BUILTINS)) {
|
|
554
|
+
for (const [name, indicator, metadata] of entries) {
|
|
555
|
+
register({
|
|
556
|
+
name,
|
|
557
|
+
category,
|
|
558
|
+
...metadata,
|
|
559
|
+
parameters: [...metadata.parameters],
|
|
560
|
+
indicator,
|
|
561
|
+
output: resolveOutputMetadata(name),
|
|
562
|
+
});
|
|
563
|
+
}
|
|
564
|
+
}
|
|
565
|
+
for (const [name, indicator] of Object.entries(candlesticks)) {
|
|
566
|
+
register({
|
|
567
|
+
name,
|
|
568
|
+
category: 'candlestick',
|
|
569
|
+
...builtinMetadata.candlestickMetadata,
|
|
570
|
+
parameters: [...builtinMetadata.candlestickMetadata.parameters],
|
|
571
|
+
indicator,
|
|
572
|
+
output: resolveOutputMetadata(name),
|
|
573
|
+
});
|
|
574
|
+
}
|
|
575
|
+
// ───────────────────────── documentation generation ─────────────────────────
|
|
576
|
+
/** Render the registry as a Markdown reference table, grouped by category. */
|
|
577
|
+
export function registryMarkdown() {
|
|
578
|
+
const lines = ['# TotalFinance indicator registry', ''];
|
|
579
|
+
lines.push(`Auto-generated from \`@insiderfinance/totalfinance/technical-analysis\` — ${REGISTRY.size} registered indicators.`, '');
|
|
580
|
+
const categories = [
|
|
581
|
+
'transform',
|
|
582
|
+
'moving-average',
|
|
583
|
+
'momentum',
|
|
584
|
+
'trend',
|
|
585
|
+
'volatility',
|
|
586
|
+
'volume',
|
|
587
|
+
'cycle',
|
|
588
|
+
'math',
|
|
589
|
+
'performance',
|
|
590
|
+
'statistic',
|
|
591
|
+
'candlestick',
|
|
592
|
+
'price-action',
|
|
593
|
+
'custom',
|
|
594
|
+
];
|
|
595
|
+
for (const cat of categories) {
|
|
596
|
+
const entries = listIndicators(cat).sort((a, b) => a.name.localeCompare(b.name));
|
|
597
|
+
if (entries.length === 0)
|
|
598
|
+
continue;
|
|
599
|
+
lines.push(`## ${cat} (${entries.length})`, '');
|
|
600
|
+
lines.push('| Indicator | Inputs | Parameters | Output |', '| --- | --- | --- | --- |');
|
|
601
|
+
for (const e of entries) {
|
|
602
|
+
lines.push(`| \`${e.name}\` | ${e.inputs} | ${e.parameters.length ? e.parameters.map((p) => `\`${p}\``).join(', ') : '—'} | ${summarizeOutputShape(e.output.value)} |`);
|
|
603
|
+
}
|
|
604
|
+
lines.push('');
|
|
605
|
+
if (cat === 'volatility') {
|
|
606
|
+
// The scale law (pre-publish interface repairs, A3): an annualized estimator never guesses
|
|
607
|
+
// its bars per year, so the reference states the rule beside the table that lists them.
|
|
608
|
+
const annualized = entries
|
|
609
|
+
.filter((e) => e.parameters.includes('annualization'))
|
|
610
|
+
.map((e) => `\`${e.name}\``)
|
|
611
|
+
.join(', ');
|
|
612
|
+
lines.push(`The volatility estimators (${annualized}) require \`annualization\` — the bars per year that scales the`, 'per-bar σ: `252` for daily bars, `52` weekly, `12` monthly, or `1` to read the per-bar σ. There is no', "default, because a per-bar σ handed to `@insiderfinance/totalfinance/volatility`'s realized-vs-implied tools is silently", 'wrong by √252.', '');
|
|
613
|
+
}
|
|
614
|
+
}
|
|
615
|
+
return lines.join('\n');
|
|
616
|
+
}
|
|
617
|
+
/** A compact human summary of an output value shape for the registry Markdown (Wave 6 §4). */
|
|
618
|
+
function summarizeOutputShape(v) {
|
|
619
|
+
if (v.type === 'record')
|
|
620
|
+
return `record{${Object.keys(v.fields).sort().join(', ')}}`;
|
|
621
|
+
if (v.type === 'array')
|
|
622
|
+
return `${summarizeOutputShape(v.items)}[]`;
|
|
623
|
+
return v.type;
|
|
624
|
+
}
|
|
625
|
+
//# sourceMappingURL=registry.js.map
|