@invinite-org/chartlang-runtime 1.0.2
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/CHANGELOG.md +2690 -0
- package/LICENSE +21 -0
- package/README.md +57 -0
- package/dist/buildComputeContext.d.ts +21 -0
- package/dist/buildComputeContext.d.ts.map +1 -0
- package/dist/buildComputeContext.js +48 -0
- package/dist/buildComputeContext.js.map +1 -0
- package/dist/createScriptRunner.d.ts +111 -0
- package/dist/createScriptRunner.d.ts.map +1 -0
- package/dist/createScriptRunner.js +234 -0
- package/dist/createScriptRunner.js.map +1 -0
- package/dist/emit/alert.d.ts +46 -0
- package/dist/emit/alert.d.ts.map +1 -0
- package/dist/emit/alert.js +71 -0
- package/dist/emit/alert.js.map +1 -0
- package/dist/emit/alertConditionEmission.d.ts +15 -0
- package/dist/emit/alertConditionEmission.d.ts.map +1 -0
- package/dist/emit/alertConditionEmission.js +53 -0
- package/dist/emit/alertConditionEmission.js.map +1 -0
- package/dist/emit/draw/annotations/arrow.d.ts +42 -0
- package/dist/emit/draw/annotations/arrow.d.ts.map +1 -0
- package/dist/emit/draw/annotations/arrow.js +40 -0
- package/dist/emit/draw/annotations/arrow.js.map +1 -0
- package/dist/emit/draw/annotations/arrowMarkDown.d.ts +36 -0
- package/dist/emit/draw/annotations/arrowMarkDown.d.ts.map +1 -0
- package/dist/emit/draw/annotations/arrowMarkDown.js +40 -0
- package/dist/emit/draw/annotations/arrowMarkDown.js.map +1 -0
- package/dist/emit/draw/annotations/arrowMarkUp.d.ts +36 -0
- package/dist/emit/draw/annotations/arrowMarkUp.d.ts.map +1 -0
- package/dist/emit/draw/annotations/arrowMarkUp.js +40 -0
- package/dist/emit/draw/annotations/arrowMarkUp.js.map +1 -0
- package/dist/emit/draw/annotations/arrowMarker.d.ts +40 -0
- package/dist/emit/draw/annotations/arrowMarker.d.ts.map +1 -0
- package/dist/emit/draw/annotations/arrowMarker.js +40 -0
- package/dist/emit/draw/annotations/arrowMarker.js.map +1 -0
- package/dist/emit/draw/annotations/text.d.ts +41 -0
- package/dist/emit/draw/annotations/text.d.ts.map +1 -0
- package/dist/emit/draw/annotations/text.js +44 -0
- package/dist/emit/draw/annotations/text.js.map +1 -0
- package/dist/emit/draw/boxes/circle.d.ts +42 -0
- package/dist/emit/draw/boxes/circle.d.ts.map +1 -0
- package/dist/emit/draw/boxes/circle.js +44 -0
- package/dist/emit/draw/boxes/circle.js.map +1 -0
- package/dist/emit/draw/boxes/ellipse.d.ts +42 -0
- package/dist/emit/draw/boxes/ellipse.d.ts.map +1 -0
- package/dist/emit/draw/boxes/ellipse.js +40 -0
- package/dist/emit/draw/boxes/ellipse.js.map +1 -0
- package/dist/emit/draw/boxes/marker.d.ts +43 -0
- package/dist/emit/draw/boxes/marker.d.ts.map +1 -0
- package/dist/emit/draw/boxes/marker.js +49 -0
- package/dist/emit/draw/boxes/marker.js.map +1 -0
- package/dist/emit/draw/boxes/path.d.ts +43 -0
- package/dist/emit/draw/boxes/path.d.ts.map +1 -0
- package/dist/emit/draw/boxes/path.js +40 -0
- package/dist/emit/draw/boxes/path.js.map +1 -0
- package/dist/emit/draw/boxes/polyline.d.ts +43 -0
- package/dist/emit/draw/boxes/polyline.d.ts.map +1 -0
- package/dist/emit/draw/boxes/polyline.js +40 -0
- package/dist/emit/draw/boxes/polyline.js.map +1 -0
- package/dist/emit/draw/boxes/rectangle.d.ts +40 -0
- package/dist/emit/draw/boxes/rectangle.d.ts.map +1 -0
- package/dist/emit/draw/boxes/rectangle.js +40 -0
- package/dist/emit/draw/boxes/rectangle.js.map +1 -0
- package/dist/emit/draw/boxes/rotatedRectangle.d.ts +45 -0
- package/dist/emit/draw/boxes/rotatedRectangle.d.ts.map +1 -0
- package/dist/emit/draw/boxes/rotatedRectangle.js +40 -0
- package/dist/emit/draw/boxes/rotatedRectangle.js.map +1 -0
- package/dist/emit/draw/boxes/triangle.d.ts +42 -0
- package/dist/emit/draw/boxes/triangle.d.ts.map +1 -0
- package/dist/emit/draw/boxes/triangle.js +40 -0
- package/dist/emit/draw/boxes/triangle.js.map +1 -0
- package/dist/emit/draw/channels/disjointChannel.d.ts +43 -0
- package/dist/emit/draw/channels/disjointChannel.d.ts.map +1 -0
- package/dist/emit/draw/channels/disjointChannel.js +40 -0
- package/dist/emit/draw/channels/disjointChannel.js.map +1 -0
- package/dist/emit/draw/channels/flatTopBottom.d.ts +44 -0
- package/dist/emit/draw/channels/flatTopBottom.d.ts.map +1 -0
- package/dist/emit/draw/channels/flatTopBottom.js +40 -0
- package/dist/emit/draw/channels/flatTopBottom.js.map +1 -0
- package/dist/emit/draw/channels/regressionTrend.d.ts +49 -0
- package/dist/emit/draw/channels/regressionTrend.d.ts.map +1 -0
- package/dist/emit/draw/channels/regressionTrend.js +44 -0
- package/dist/emit/draw/channels/regressionTrend.js.map +1 -0
- package/dist/emit/draw/channels/trendChannel.d.ts +43 -0
- package/dist/emit/draw/channels/trendChannel.d.ts.map +1 -0
- package/dist/emit/draw/channels/trendChannel.js +40 -0
- package/dist/emit/draw/channels/trendChannel.js.map +1 -0
- package/dist/emit/draw/containers/frame.d.ts +42 -0
- package/dist/emit/draw/containers/frame.d.ts.map +1 -0
- package/dist/emit/draw/containers/frame.js +47 -0
- package/dist/emit/draw/containers/frame.js.map +1 -0
- package/dist/emit/draw/containers/group.d.ts +47 -0
- package/dist/emit/draw/containers/group.d.ts.map +1 -0
- package/dist/emit/draw/containers/group.js +44 -0
- package/dist/emit/draw/containers/group.js.map +1 -0
- package/dist/emit/draw/curves/arc.d.ts +44 -0
- package/dist/emit/draw/curves/arc.d.ts.map +1 -0
- package/dist/emit/draw/curves/arc.js +40 -0
- package/dist/emit/draw/curves/arc.js.map +1 -0
- package/dist/emit/draw/curves/brush.d.ts +44 -0
- package/dist/emit/draw/curves/brush.d.ts.map +1 -0
- package/dist/emit/draw/curves/brush.js +43 -0
- package/dist/emit/draw/curves/brush.js.map +1 -0
- package/dist/emit/draw/curves/curve.d.ts +43 -0
- package/dist/emit/draw/curves/curve.d.ts.map +1 -0
- package/dist/emit/draw/curves/curve.js +40 -0
- package/dist/emit/draw/curves/curve.js.map +1 -0
- package/dist/emit/draw/curves/doubleCurve.d.ts +46 -0
- package/dist/emit/draw/curves/doubleCurve.d.ts.map +1 -0
- package/dist/emit/draw/curves/doubleCurve.js +40 -0
- package/dist/emit/draw/curves/doubleCurve.js.map +1 -0
- package/dist/emit/draw/curves/highlighter.d.ts +43 -0
- package/dist/emit/draw/curves/highlighter.d.ts.map +1 -0
- package/dist/emit/draw/curves/highlighter.js +43 -0
- package/dist/emit/draw/curves/highlighter.js.map +1 -0
- package/dist/emit/draw/curves/pen.d.ts +41 -0
- package/dist/emit/draw/curves/pen.d.ts.map +1 -0
- package/dist/emit/draw/curves/pen.js +40 -0
- package/dist/emit/draw/curves/pen.js.map +1 -0
- package/dist/emit/draw/cycles/cyclicLines.d.ts +41 -0
- package/dist/emit/draw/cycles/cyclicLines.d.ts.map +1 -0
- package/dist/emit/draw/cycles/cyclicLines.js +44 -0
- package/dist/emit/draw/cycles/cyclicLines.js.map +1 -0
- package/dist/emit/draw/cycles/sineLine.d.ts +40 -0
- package/dist/emit/draw/cycles/sineLine.d.ts.map +1 -0
- package/dist/emit/draw/cycles/sineLine.js +44 -0
- package/dist/emit/draw/cycles/sineLine.js.map +1 -0
- package/dist/emit/draw/cycles/timeCycles.d.ts +40 -0
- package/dist/emit/draw/cycles/timeCycles.d.ts.map +1 -0
- package/dist/emit/draw/cycles/timeCycles.js +44 -0
- package/dist/emit/draw/cycles/timeCycles.js.map +1 -0
- package/dist/emit/draw/elliott/elliottCorrectionWave.d.ts +39 -0
- package/dist/emit/draw/elliott/elliottCorrectionWave.d.ts.map +1 -0
- package/dist/emit/draw/elliott/elliottCorrectionWave.js +43 -0
- package/dist/emit/draw/elliott/elliottCorrectionWave.js.map +1 -0
- package/dist/emit/draw/elliott/elliottDoubleCombo.d.ts +44 -0
- package/dist/emit/draw/elliott/elliottDoubleCombo.d.ts.map +1 -0
- package/dist/emit/draw/elliott/elliottDoubleCombo.js +43 -0
- package/dist/emit/draw/elliott/elliottDoubleCombo.js.map +1 -0
- package/dist/emit/draw/elliott/elliottImpulseWave.d.ts +42 -0
- package/dist/emit/draw/elliott/elliottImpulseWave.d.ts.map +1 -0
- package/dist/emit/draw/elliott/elliottImpulseWave.js +43 -0
- package/dist/emit/draw/elliott/elliottImpulseWave.js.map +1 -0
- package/dist/emit/draw/elliott/elliottTriangleWave.d.ts +41 -0
- package/dist/emit/draw/elliott/elliottTriangleWave.d.ts.map +1 -0
- package/dist/emit/draw/elliott/elliottTriangleWave.js +43 -0
- package/dist/emit/draw/elliott/elliottTriangleWave.js.map +1 -0
- package/dist/emit/draw/elliott/elliottTripleCombo.d.ts +44 -0
- package/dist/emit/draw/elliott/elliottTripleCombo.d.ts.map +1 -0
- package/dist/emit/draw/elliott/elliottTripleCombo.js +47 -0
- package/dist/emit/draw/elliott/elliottTripleCombo.js.map +1 -0
- package/dist/emit/draw/fibA/fibChannel.d.ts +41 -0
- package/dist/emit/draw/fibA/fibChannel.d.ts.map +1 -0
- package/dist/emit/draw/fibA/fibChannel.js +40 -0
- package/dist/emit/draw/fibA/fibChannel.js.map +1 -0
- package/dist/emit/draw/fibA/fibRetracement.d.ts +40 -0
- package/dist/emit/draw/fibA/fibRetracement.d.ts.map +1 -0
- package/dist/emit/draw/fibA/fibRetracement.js +44 -0
- package/dist/emit/draw/fibA/fibRetracement.js.map +1 -0
- package/dist/emit/draw/fibA/fibTimeZone.d.ts +41 -0
- package/dist/emit/draw/fibA/fibTimeZone.d.ts.map +1 -0
- package/dist/emit/draw/fibA/fibTimeZone.js +44 -0
- package/dist/emit/draw/fibA/fibTimeZone.js.map +1 -0
- package/dist/emit/draw/fibA/fibTrendExtension.d.ts +42 -0
- package/dist/emit/draw/fibA/fibTrendExtension.d.ts.map +1 -0
- package/dist/emit/draw/fibA/fibTrendExtension.js +44 -0
- package/dist/emit/draw/fibA/fibTrendExtension.js.map +1 -0
- package/dist/emit/draw/fibA/fibWedge.d.ts +42 -0
- package/dist/emit/draw/fibA/fibWedge.d.ts.map +1 -0
- package/dist/emit/draw/fibA/fibWedge.js +40 -0
- package/dist/emit/draw/fibA/fibWedge.js.map +1 -0
- package/dist/emit/draw/fibB/fibCircles.d.ts +41 -0
- package/dist/emit/draw/fibB/fibCircles.d.ts.map +1 -0
- package/dist/emit/draw/fibB/fibCircles.js +44 -0
- package/dist/emit/draw/fibB/fibCircles.js.map +1 -0
- package/dist/emit/draw/fibB/fibSpeedArcs.d.ts +39 -0
- package/dist/emit/draw/fibB/fibSpeedArcs.d.ts.map +1 -0
- package/dist/emit/draw/fibB/fibSpeedArcs.js +44 -0
- package/dist/emit/draw/fibB/fibSpeedArcs.js.map +1 -0
- package/dist/emit/draw/fibB/fibSpeedFan.d.ts +39 -0
- package/dist/emit/draw/fibB/fibSpeedFan.d.ts.map +1 -0
- package/dist/emit/draw/fibB/fibSpeedFan.js +44 -0
- package/dist/emit/draw/fibB/fibSpeedFan.js.map +1 -0
- package/dist/emit/draw/fibB/fibSpiral.d.ts +41 -0
- package/dist/emit/draw/fibB/fibSpiral.d.ts.map +1 -0
- package/dist/emit/draw/fibB/fibSpiral.js +44 -0
- package/dist/emit/draw/fibB/fibSpiral.js.map +1 -0
- package/dist/emit/draw/fibB/fibTrendTime.d.ts +45 -0
- package/dist/emit/draw/fibB/fibTrendTime.d.ts.map +1 -0
- package/dist/emit/draw/fibB/fibTrendTime.js +44 -0
- package/dist/emit/draw/fibB/fibTrendTime.js.map +1 -0
- package/dist/emit/draw/gann/gannBox.d.ts +39 -0
- package/dist/emit/draw/gann/gannBox.d.ts.map +1 -0
- package/dist/emit/draw/gann/gannBox.js +44 -0
- package/dist/emit/draw/gann/gannBox.js.map +1 -0
- package/dist/emit/draw/gann/gannFan.d.ts +39 -0
- package/dist/emit/draw/gann/gannFan.d.ts.map +1 -0
- package/dist/emit/draw/gann/gannFan.js +44 -0
- package/dist/emit/draw/gann/gannFan.js.map +1 -0
- package/dist/emit/draw/gann/gannSquare.d.ts +38 -0
- package/dist/emit/draw/gann/gannSquare.d.ts.map +1 -0
- package/dist/emit/draw/gann/gannSquare.js +44 -0
- package/dist/emit/draw/gann/gannSquare.js.map +1 -0
- package/dist/emit/draw/gann/gannSquareFixed.d.ts +35 -0
- package/dist/emit/draw/gann/gannSquareFixed.d.ts.map +1 -0
- package/dist/emit/draw/gann/gannSquareFixed.js +44 -0
- package/dist/emit/draw/gann/gannSquareFixed.js.map +1 -0
- package/dist/emit/draw/handle.d.ts +37 -0
- package/dist/emit/draw/handle.d.ts.map +1 -0
- package/dist/emit/draw/handle.js +118 -0
- package/dist/emit/draw/handle.js.map +1 -0
- package/dist/emit/draw/index.d.ts +5 -0
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- package/dist/emit/draw/index.js.map +1 -0
- package/dist/emit/draw/lines/crossLine.d.ts +37 -0
- package/dist/emit/draw/lines/crossLine.d.ts.map +1 -0
- package/dist/emit/draw/lines/crossLine.js +40 -0
- package/dist/emit/draw/lines/crossLine.js.map +1 -0
- package/dist/emit/draw/lines/horizontalLine.d.ts +33 -0
- package/dist/emit/draw/lines/horizontalLine.d.ts.map +1 -0
- package/dist/emit/draw/lines/horizontalLine.js +40 -0
- package/dist/emit/draw/lines/horizontalLine.js.map +1 -0
- package/dist/emit/draw/lines/horizontalRay.d.ts +36 -0
- package/dist/emit/draw/lines/horizontalRay.d.ts.map +1 -0
- package/dist/emit/draw/lines/horizontalRay.js +40 -0
- package/dist/emit/draw/lines/horizontalRay.js.map +1 -0
- package/dist/emit/draw/lines/line.d.ts +43 -0
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- package/dist/emit/draw/lines/line.js +43 -0
- package/dist/emit/draw/lines/line.js.map +1 -0
- package/dist/emit/draw/lines/trendAngle.d.ts +38 -0
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- package/dist/emit/draw/lines/trendAngle.js.map +1 -0
- package/dist/emit/draw/lines/verticalLine.d.ts +33 -0
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- package/dist/emit/draw/lines/verticalLine.js +40 -0
- package/dist/emit/draw/lines/verticalLine.js.map +1 -0
- package/dist/emit/draw/namespace.d.ts +26 -0
- package/dist/emit/draw/namespace.d.ts.map +1 -0
- package/dist/emit/draw/namespace.js +186 -0
- package/dist/emit/draw/namespace.js.map +1 -0
- package/dist/emit/draw/patterns/abcdPattern.d.ts +40 -0
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- package/dist/emit/draw/patterns/cypherPattern.d.ts +43 -0
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- package/dist/emit/draw/patterns/cypherPattern.js.map +1 -0
- package/dist/emit/draw/patterns/headAndShoulders.d.ts +42 -0
- package/dist/emit/draw/patterns/headAndShoulders.d.ts.map +1 -0
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- package/dist/emit/draw/patterns/threeDrivesPattern.d.ts +43 -0
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- package/dist/emit/draw/patterns/trianglePattern.d.ts +41 -0
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- package/dist/emit/draw/patterns/xabcdPattern.d.ts +41 -0
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- package/dist/emit/draw/pitchforks/pitchfan.d.ts +39 -0
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// Copyright (c) 2026 Invinite. Licensed under the MIT License.
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// See the LICENSE file in the repo root for full license text.
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//
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// Ported from invinite/src/components/trading-chart/indicators/historical-volatility.ts
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// (commit 078f41fe2569d659d5aba726da8bcb5d3e2ced02, © Invinite).
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// Re-licensed MIT for chartlang. See PLAN.md §3.1 for the
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// provenance contract; the math is the reference, the code style is not.
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// Structural choices (callsite-id slot, Series<T> proxy, replaceHead
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// mode) follow chartlang's primitive shape — NOT invinite's
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// IndicatorPlugin shape. The rolling log-returns window is folded
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// incrementally per bar (one append per close, one head-replace per
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// tick) rather than invinite's full-array recompute. The Phase-1
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// `lib/rollingStddev` helper is the full-recompute reference the
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// property test asserts against.
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import { Float64RingBuffer } from "../ringBuffer.js";
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import { makeSeriesView, makeShiftedSeriesView } from "../seriesView.js";
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import { readSourceValue } from "./lib/sourceValue.js";
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const DEFAULT_ANNUALISATION_FACTOR = 365;
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function getCtx() {
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const ctx = ACTIVE_RUNTIME_CONTEXT.current;
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if (ctx === null) {
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throw new Error("ta.historicalVolatility called outside an active script step");
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}
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return ctx;
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}
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function initSlot(length, annualisationFactor, capacity) {
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return {
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outBuffer,
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series: makeSeriesView(outBuffer),
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length,
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annualisationFactor,
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logReturnsWindow: new Float64RingBuffer(length),
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sumX: 0,
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sumX2: 0,
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shiftedViews: new Map(),
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};
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}
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function viewForOffset(slot, offset) {
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if (offset === 0)
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return slot.series;
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let view = slot.shiftedViews.get(offset);
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if (view === undefined) {
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view = makeShiftedSeriesView(slot.outBuffer, offset);
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slot.shiftedViews.set(offset, view);
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}
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return view;
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}
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function logReturn(prev, cur) {
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}
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return Math.log(cur / prev);
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}
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function windowStdDev(window, sumX, sumX2) {
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const n = window.length;
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// Defensive: callers gate on `length === capacity` so n > 0 here.
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/* c8 ignore next */
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return Number.NaN;
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const mean = sumX / n;
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const variance = sumX2 / n - mean * mean;
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return Math.sqrt(Math.max(0, variance));
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}
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/**
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* has been folded into the running sums (which would otherwise poison
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* every subsequent recompute) — restores the running invariant from
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* the live window contents. O(length) but only runs when needed.
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*/
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function recomputeSums(slot) {
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let sumX = 0;
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let sumX2 = 0;
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for (let i = 0; i < slot.logReturnsWindow.length; i += 1) {
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anyNaN = true;
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break;
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}
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sumX += v;
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sumX2 += v * v;
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}
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if (anyNaN) {
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slot.sumX = Number.NaN;
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slot.sumX2 = Number.NaN;
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}
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else {
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slot.sumX = sumX;
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slot.sumX2 = sumX2;
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}
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}
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function closeValue(slot, src) {
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const lr = logReturn(slot.prevSrc, src);
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if (slot.logReturnsWindow.length < slot.logReturnsWindow.capacity) {
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slot.logReturnsWindow.append(lr);
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if (Number.isFinite(lr)) {
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slot.sumX += lr;
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slot.sumX2 += lr * lr;
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}
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else {
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slot.sumX = Number.NaN;
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slot.sumX2 = Number.NaN;
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}
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slot.prevSrc = src;
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return Number.NaN;
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}
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const outgoing = slot.logReturnsWindow.at(slot.logReturnsWindow.length - 1);
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slot.logReturnsWindow.append(lr);
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if (!Number.isFinite(lr)) {
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slot.sumX = Number.NaN;
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slot.sumX2 = Number.NaN;
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}
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else if (!Number.isFinite(slot.sumX) ||
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/* c8 ignore next */
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!Number.isFinite(outgoing)) {
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// A previous NaN poisoned the running sums; rebuild from the
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// live window. NaN inside short-circuits to NaN. The
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// `!Number.isFinite(outgoing)` half of the OR is defensive —
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// outgoing comes from the live window head and is only NaN
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// when a NaN was previously appended, which also poisoned
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// `sumX` (covered by the first half of the OR).
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recomputeSums(slot);
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}
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else {
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slot.sumX = slot.sumX - outgoing + lr;
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slot.sumX2 = slot.sumX2 - outgoing * outgoing + lr * lr;
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}
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slot.prevSrc = src;
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if (!Number.isFinite(slot.sumX))
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return Number.NaN;
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const sd = windowStdDev(slot.logReturnsWindow, slot.sumX, slot.sumX2);
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return sd * Math.sqrt(slot.annualisationFactor) * 100;
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}
|
|
137
|
+
function tickValue(slot, src) {
|
|
138
|
+
if (slot.logReturnsWindow.length < slot.logReturnsWindow.capacity)
|
|
139
|
+
return Number.NaN;
|
|
140
|
+
const lr = logReturn(slot.prevSrc, src);
|
|
141
|
+
if (!Number.isFinite(lr) || !Number.isFinite(slot.sumX))
|
|
142
|
+
return Number.NaN;
|
|
143
|
+
const oldestInHead = slot.logReturnsWindow.at(0);
|
|
144
|
+
// Defensive: the close-side advance appends a finite lr (otherwise
|
|
145
|
+
// sumX is poisoned and we returned at the guard above). The window
|
|
146
|
+
// head can only be NaN if a prior NaN was appended, which is
|
|
147
|
+
// already covered by the sumX guard.
|
|
148
|
+
/* c8 ignore next */
|
|
149
|
+
if (!Number.isFinite(oldestInHead))
|
|
150
|
+
return Number.NaN;
|
|
151
|
+
const sumX = slot.sumX - oldestInHead + lr;
|
|
152
|
+
const sumX2 = slot.sumX2 - oldestInHead * oldestInHead + lr * lr;
|
|
153
|
+
const n = slot.logReturnsWindow.length;
|
|
154
|
+
const mean = sumX / n;
|
|
155
|
+
const variance = sumX2 / n - mean * mean;
|
|
156
|
+
return Math.sqrt(Math.max(0, variance)) * Math.sqrt(slot.annualisationFactor) * 100;
|
|
157
|
+
}
|
|
158
|
+
/**
|
|
159
|
+
* Historical Volatility — sub-pane line. Standard deviation of log
|
|
160
|
+
* returns annualised + percent-scaled. Use `annualisationFactor: 365`
|
|
161
|
+
* for crypto / 24-7 series (the default), `252` for trading-day
|
|
162
|
+
* equity series. NaN through warmup (`[0, length − 1]`) — the first
|
|
163
|
+
* log return lands at bar 1 and the window needs `length` of them.
|
|
164
|
+
* NaN inputs (≤ 0 or non-finite source) yield NaN log-returns; any
|
|
165
|
+
* NaN inside the window short-circuits the output to NaN.
|
|
166
|
+
*
|
|
167
|
+
* @formula lr[t] = ln(src[t] / src[t − 1]) ;
|
|
168
|
+
* hv[t] = stddev(lr[t − length + 1..= t]) · sqrt(annualisationFactor) · 100
|
|
169
|
+
* @warmup length
|
|
170
|
+
* @anchors annualisationFactor
|
|
171
|
+
* @since 0.2
|
|
172
|
+
* @stable
|
|
173
|
+
*
|
|
174
|
+
* `opts.offset` shifts the returned series so `series.current` reads
|
|
175
|
+
* the value `offset` bars ago (PLAN.md §9.1).
|
|
176
|
+
*
|
|
177
|
+
* @example
|
|
178
|
+
* // import { ta } from "@invinite-org/chartlang-core";
|
|
179
|
+
* // const hv = ta.historicalVolatility(bar.close, 10);
|
|
180
|
+
* // plot(hv);
|
|
181
|
+
*/
|
|
182
|
+
export function historicalVolatility(slotId, source, length, opts) {
|
|
183
|
+
const ctx = getCtx();
|
|
184
|
+
let slot = ctx.stream.taSlots.get(slotId);
|
|
185
|
+
if (slot === undefined) {
|
|
186
|
+
const annualisationFactor = opts?.annualisationFactor ?? DEFAULT_ANNUALISATION_FACTOR;
|
|
187
|
+
slot = initSlot(length, annualisationFactor, ctx.stream.ohlcv.close.capacity);
|
|
188
|
+
ctx.stream.taSlots.set(slotId, slot);
|
|
189
|
+
}
|
|
190
|
+
const src = readSourceValue(source);
|
|
191
|
+
if (ctx.isTick) {
|
|
192
|
+
slot.outBuffer.replaceHead(tickValue(slot, src));
|
|
193
|
+
}
|
|
194
|
+
else {
|
|
195
|
+
slot.outBuffer.append(closeValue(slot, src));
|
|
196
|
+
}
|
|
197
|
+
return viewForOffset(slot, opts?.offset ?? 0);
|
|
198
|
+
}
|
|
199
|
+
//# sourceMappingURL=historicalVolatility.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"historicalVolatility.js","sourceRoot":"","sources":["../../src/ta/historicalVolatility.ts"],"names":[],"mappings":"AAAA,+DAA+D;AAC/D,+DAA+D;AAC/D,EAAE;AACF,wFAAwF;AACxF,mEAAmE;AACnE,0DAA0D;AAC1D,yEAAyE;AACzE,qEAAqE;AACrE,4DAA4D;AAC5D,kEAAkE;AAClE,oEAAoE;AACpE,iEAAiE;AACjE,iEAAiE;AACjE,iCAAiC;AAIjC,OAAO,EAAE,iBAAiB,EAAE,MAAM,kBAAkB,CAAC;AACrD,OAAO,EAAE,sBAAsB,EAAuB,MAAM,sBAAsB,CAAC;AACnF,OAAO,EAAE,cAAc,EAAE,qBAAqB,EAAE,MAAM,kBAAkB,CAAC;AACzE,OAAO,EAAuB,eAAe,EAAE,MAAM,sBAAsB,CAAC;AAE5E,MAAM,4BAA4B,GAAG,GAAG,CAAC;AAgBzC,SAAS,MAAM;IACX,MAAM,GAAG,GAAG,sBAAsB,CAAC,OAAO,CAAC;IAC3C,IAAI,GAAG,KAAK,IAAI,EAAE,CAAC;QACf,MAAM,IAAI,KAAK,CAAC,8DAA8D,CAAC,CAAC;IACpF,CAAC;IACD,OAAO,GAAG,CAAC;AACf,CAAC;AAED,SAAS,QAAQ,CAAC,MAAc,EAAE,mBAA2B,EAAE,QAAgB;IAC3E,MAAM,SAAS,GAAG,IAAI,iBAAiB,CAAC,QAAQ,CAAC,CAAC;IAClD,OAAO;QACH,SAAS;QACT,MAAM,EAAE,cAAc,CAAS,SAAS,CAAC;QACzC,MAAM;QACN,mBAAmB;QACnB,gBAAgB,EAAE,IAAI,iBAAiB,CAAC,MAAM,CAAC;QAC/C,IAAI,EAAE,CAAC;QACP,KAAK,EAAE,CAAC;QACR,OAAO,EAAE,MAAM,CAAC,GAAG;QACnB,YAAY,EAAE,IAAI,GAAG,EAAE;KAC1B,CAAC;AACN,CAAC;AAED,SAAS,aAAa,CAAC,IAAY,EAAE,MAAc;IAC/C,IAAI,MAAM,KAAK,CAAC;QAAE,OAAO,IAAI,CAAC,MAAM,CAAC;IACrC,IAAI,IAAI,GAAG,IAAI,CAAC,YAAY,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC;IACzC,IAAI,IAAI,KAAK,SAAS,EAAE,CAAC;QACrB,IAAI,GAAG,qBAAqB,CAAS,IAAI,CAAC,SAAS,EAAE,MAAM,CAAC,CAAC;QAC7D,IAAI,CAAC,YAAY,CAAC,GAAG,CAAC,MAAM,EAAE,IAAI,CAAC,CAAC;IACxC,CAAC;IACD,OAAO,IAAI,CAAC;AAChB,CAAC;AAED,SAAS,SAAS,CAAC,IAAY,EAAE,GAAW;IACxC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,GAAG,CAAC,IAAI,IAAI,IAAI,CAAC,IAAI,GAAG,IAAI,CAAC,EAAE,CAAC;QAC3E,OAAO,MAAM,CAAC,GAAG,CAAC;IACtB,CAAC;IACD,OAAO,IAAI,CAAC,GAAG,CAAC,GAAG,GAAG,IAAI,CAAC,CAAC;AAChC,CAAC;AAED,SAAS,YAAY,CAAC,MAAyB,EAAE,IAAY,EAAE,KAAa;IACxE,MAAM,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC;IACxB,kEAAkE;IAClE,oBAAoB;IACpB,IAAI,CAAC,IAAI,CAAC;QAAE,OAAO,MAAM,CAAC,GAAG,CAAC;IAC9B,MAAM,IAAI,GAAG,IAAI,GAAG,CAAC,CAAC;IACtB,MAAM,QAAQ,GAAG,KAAK,GAAG,CAAC,GAAG,IAAI,GAAG,IAAI,CAAC;IACzC,OAAO,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,QAAQ,CAAC,CAAC,CAAC;AAC5C,CAAC;AAED;;;;;GAKG;AACH,SAAS,aAAa,CAAC,IAAY;IAC/B,IAAI,IAAI,GAAG,CAAC,CAAC;IACb,IAAI,KAAK,GAAG,CAAC,CAAC;IACd,IAAI,MAAM,GAAG,KAAK,CAAC;IACnB,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,IAAI,CAAC,gBAAgB,CAAC,MAAM,EAAE,CAAC,IAAI,CAAC,EAAE,CAAC;QACvD,MAAM,CAAC,GAAG,IAAI,CAAC,gBAAgB,CAAC,EAAE,CAAC,IAAI,CAAC,gBAAgB,CAAC,MAAM,GAAG,CAAC,GAAG,CAAC,CAAC,CAAC;QACzE,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,CAAC,CAAC,EAAE,CAAC;YACtB,MAAM,GAAG,IAAI,CAAC;YACd,MAAM;QACV,CAAC;QACD,IAAI,IAAI,CAAC,CAAC;QACV,KAAK,IAAI,CAAC,GAAG,CAAC,CAAC;IACnB,CAAC;IACD,IAAI,MAAM,EAAE,CAAC;QACT,IAAI,CAAC,IAAI,GAAG,MAAM,CAAC,GAAG,CAAC;QACvB,IAAI,CAAC,KAAK,GAAG,MAAM,CAAC,GAAG,CAAC;IAC5B,CAAC;SAAM,CAAC;QACJ,IAAI,CAAC,IAAI,GAAG,IAAI,CAAC;QACjB,IAAI,CAAC,KAAK,GAAG,KAAK,CAAC;IACvB,CAAC;AACL,CAAC;AAED,SAAS,UAAU,CAAC,IAAY,EAAE,GAAW;IACzC,MAAM,EAAE,GAAG,SAAS,CAAC,IAAI,CAAC,OAAO,EAAE,GAAG,CAAC,CAAC;IACxC,IAAI,IAAI,CAAC,gBAAgB,CAAC,MAAM,GAAG,IAAI,CAAC,gBAAgB,CAAC,QAAQ,EAAE,CAAC;QAChE,IAAI,CAAC,gBAAgB,CAAC,MAAM,CAAC,EAAE,CAAC,CAAC;QACjC,IAAI,MAAM,CAAC,QAAQ,CAAC,EAAE,CAAC,EAAE,CAAC;YACtB,IAAI,CAAC,IAAI,IAAI,EAAE,CAAC;YAChB,IAAI,CAAC,KAAK,IAAI,EAAE,GAAG,EAAE,CAAC;QAC1B,CAAC;aAAM,CAAC;YACJ,IAAI,CAAC,IAAI,GAAG,MAAM,CAAC,GAAG,CAAC;YACvB,IAAI,CAAC,KAAK,GAAG,MAAM,CAAC,GAAG,CAAC;QAC5B,CAAC;QACD,IAAI,CAAC,OAAO,GAAG,GAAG,CAAC;QACnB,OAAO,MAAM,CAAC,GAAG,CAAC;IACtB,CAAC;IACD,MAAM,QAAQ,GAAG,IAAI,CAAC,gBAAgB,CAAC,EAAE,CAAC,IAAI,CAAC,gBAAgB,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC;IAC5E,IAAI,CAAC,gBAAgB,CAAC,MAAM,CAAC,EAAE,CAAC,CAAC;IACjC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,EAAE,CAAC,EAAE,CAAC;QACvB,IAAI,CAAC,IAAI,GAAG,MAAM,CAAC,GAAG,CAAC;QACvB,IAAI,CAAC,KAAK,GAAG,MAAM,CAAC,GAAG,CAAC;IAC5B,CAAC;SAAM,IACH,CAAC,MAAM,CAAC,QAAQ,CAAC,IAAI,CAAC,IAAI,CAAC;QAC3B,oBAAoB;QACpB,CAAC,MAAM,CAAC,QAAQ,CAAC,QAAQ,CAAC,EAC5B,CAAC;QACC,6DAA6D;QAC7D,qDAAqD;QACrD,6DAA6D;QAC7D,2DAA2D;QAC3D,0DAA0D;QAC1D,gDAAgD;QAChD,aAAa,CAAC,IAAI,CAAC,CAAC;IACxB,CAAC;SAAM,CAAC;QACJ,IAAI,CAAC,IAAI,GAAG,IAAI,CAAC,IAAI,GAAG,QAAQ,GAAG,EAAE,CAAC;QACtC,IAAI,CAAC,KAAK,GAAG,IAAI,CAAC,KAAK,GAAG,QAAQ,GAAG,QAAQ,GAAG,EAAE,GAAG,EAAE,CAAC;IAC5D,CAAC;IACD,IAAI,CAAC,OAAO,GAAG,GAAG,CAAC;IACnB,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,IAAI,CAAC,IAAI,CAAC;QAAE,OAAO,MAAM,CAAC,GAAG,CAAC;IACnD,MAAM,EAAE,GAAG,YAAY,CAAC,IAAI,CAAC,gBAAgB,EAAE,IAAI,CAAC,IAAI,EAAE,IAAI,CAAC,KAAK,CAAC,CAAC;IACtE,OAAO,EAAE,GAAG,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,mBAAmB,CAAC,GAAG,GAAG,CAAC;AAC1D,CAAC;AAED,SAAS,SAAS,CAAC,IAAY,EAAE,GAAW;IACxC,IAAI,IAAI,CAAC,gBAAgB,CAAC,MAAM,GAAG,IAAI,CAAC,gBAAgB,CAAC,QAAQ;QAAE,OAAO,MAAM,CAAC,GAAG,CAAC;IACrF,MAAM,EAAE,GAAG,SAAS,CAAC,IAAI,CAAC,OAAO,EAAE,GAAG,CAAC,CAAC;IACxC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,EAAE,CAAC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,IAAI,CAAC,IAAI,CAAC;QAAE,OAAO,MAAM,CAAC,GAAG,CAAC;IAC3E,MAAM,YAAY,GAAG,IAAI,CAAC,gBAAgB,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;IACjD,mEAAmE;IACnE,mEAAmE;IACnE,6DAA6D;IAC7D,qCAAqC;IACrC,oBAAoB;IACpB,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,YAAY,CAAC;QAAE,OAAO,MAAM,CAAC,GAAG,CAAC;IACtD,MAAM,IAAI,GAAG,IAAI,CAAC,IAAI,GAAG,YAAY,GAAG,EAAE,CAAC;IAC3C,MAAM,KAAK,GAAG,IAAI,CAAC,KAAK,GAAG,YAAY,GAAG,YAAY,GAAG,EAAE,GAAG,EAAE,CAAC;IACjE,MAAM,CAAC,GAAG,IAAI,CAAC,gBAAgB,CAAC,MAAM,CAAC;IACvC,MAAM,IAAI,GAAG,IAAI,GAAG,CAAC,CAAC;IACtB,MAAM,QAAQ,GAAG,KAAK,GAAG,CAAC,GAAG,IAAI,GAAG,IAAI,CAAC;IACzC,OAAO,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,QAAQ,CAAC,CAAC,GAAG,IAAI,CAAC,IAAI,CAAC,IAAI,CAAC,mBAAmB,CAAC,GAAG,GAAG,CAAC;AACxF,CAAC;AAED;;;;;;;;;;;;;;;;;;;;;;;GAuBG;AACH,MAAM,UAAU,oBAAoB,CAChC,MAAc,EACd,MAAsB,EACtB,MAAc,EACd,IAAa;IAEb,MAAM,GAAG,GAAG,MAAM,EAAE,CAAC;IACrB,IAAI,IAAI,GAAG,GAAG,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,MAAM,CAAuB,CAAC;IAChE,IAAI,IAAI,KAAK,SAAS,EAAE,CAAC;QACrB,MAAM,mBAAmB,GAAG,IAAI,EAAE,mBAAmB,IAAI,4BAA4B,CAAC;QACtF,IAAI,GAAG,QAAQ,CAAC,MAAM,EAAE,mBAAmB,EAAE,GAAG,CAAC,MAAM,CAAC,KAAK,CAAC,KAAK,CAAC,QAAQ,CAAC,CAAC;QAC9E,GAAG,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,MAAM,EAAE,IAAI,CAAC,CAAC;IACzC,CAAC;IACD,MAAM,GAAG,GAAG,eAAe,CAAC,MAAM,CAAC,CAAC;IACpC,IAAI,GAAG,CAAC,MAAM,EAAE,CAAC;QACb,IAAI,CAAC,SAAS,CAAC,WAAW,CAAC,SAAS,CAAC,IAAI,EAAE,GAAG,CAAC,CAAC,CAAC;IACrD,CAAC;SAAM,CAAC;QACJ,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,UAAU,CAAC,IAAI,EAAE,GAAG,CAAC,CAAC,CAAC;IACjD,CAAC;IACD,OAAO,aAAa,CAAC,IAAI,EAAE,IAAI,EAAE,MAAM,IAAI,CAAC,CAAC,CAAC;AAClD,CAAC"}
|
package/dist/ta/hma.d.ts
ADDED
|
@@ -0,0 +1,28 @@
|
|
|
1
|
+
import type { HmaOpts, Series } from "@invinite-org/chartlang-core";
|
|
2
|
+
import { type ScalarOrSeries } from "./lib/sourceValue.js";
|
|
3
|
+
/**
|
|
4
|
+
* Hull moving average — `WMA(2·WMA(src, N/2) − WMA(src, N), sqrt(N))`.
|
|
5
|
+
* Composes three WMA sub-slots derived from the parent slot id
|
|
6
|
+
* (`${slotId}/half`, `${slotId}/full`, `${slotId}/final`). The intermediate
|
|
7
|
+
* `diff = 2·halfWMA − fullWMA` is a scalar passed into the final WMA;
|
|
8
|
+
* no separate primitive owns the diff stream. Warmup is the full chain:
|
|
9
|
+
* `length + ceil(sqrt(length)) − 2`. Tick-mode propagates through every
|
|
10
|
+
* sub-slot's replace-head branch.
|
|
11
|
+
*
|
|
12
|
+
* @formula halfLen = floor(length / 2) ;
|
|
13
|
+
* sqrtLen = round(sqrt(length)) ;
|
|
14
|
+
* half = WMA(source, halfLen) ;
|
|
15
|
+
* full = WMA(source, length) ;
|
|
16
|
+
* diff = 2 · half − full ;
|
|
17
|
+
* out = WMA(diff, sqrtLen)
|
|
18
|
+
* @warmup length + ceil(sqrt(length)) − 2
|
|
19
|
+
* @since 0.2
|
|
20
|
+
* @stable
|
|
21
|
+
*
|
|
22
|
+
* @example
|
|
23
|
+
* // import { ta } from "@invinite-org/chartlang-core";
|
|
24
|
+
* // const h = ta.hma(bar.close, 21);
|
|
25
|
+
* // plot(h);
|
|
26
|
+
*/
|
|
27
|
+
export declare function hma(slotId: string, source: ScalarOrSeries, length: number, _opts?: HmaOpts): Series<number>;
|
|
28
|
+
//# sourceMappingURL=hma.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"hma.d.ts","sourceRoot":"","sources":["../../src/ta/hma.ts"],"names":[],"mappings":"AAYA,OAAO,KAAK,EAAE,OAAO,EAAE,MAAM,EAAE,MAAM,8BAA8B,CAAC;AAGpE,OAAO,EAAE,KAAK,cAAc,EAAmB,MAAM,sBAAsB,CAAC;AAe5E;;;;;;;;;;;;;;;;;;;;;;;GAuBG;AACH,wBAAgB,GAAG,CACf,MAAM,EAAE,MAAM,EACd,MAAM,EAAE,cAAc,EACtB,MAAM,EAAE,MAAM,EACd,KAAK,CAAC,EAAE,OAAO,GAChB,MAAM,CAAC,MAAM,CAAC,CAkBhB"}
|
package/dist/ta/hma.js
ADDED
|
@@ -0,0 +1,64 @@
|
|
|
1
|
+
// Copyright (c) 2026 Invinite. Licensed under the MIT License.
|
|
2
|
+
// See the LICENSE file in the repo root for full license text.
|
|
3
|
+
//
|
|
4
|
+
// Ported from invinite/src/components/trading-chart/indicators/hma.ts
|
|
5
|
+
// (commit 078f41fe2569d659d5aba726da8bcb5d3e2ced02, © Invinite).
|
|
6
|
+
// Re-licensed MIT for chartlang. See PLAN.md §3.1 for the
|
|
7
|
+
// provenance contract; the math is the reference, the code style is not.
|
|
8
|
+
// Structural choices (callsite-id slot, Series<T> proxy, replaceHead
|
|
9
|
+
// mode) follow chartlang's primitive shape — NOT invinite's
|
|
10
|
+
// IndicatorPlugin shape. The HMA primitive composes three WMA sub-
|
|
11
|
+
// slots derived from the parent slot id.
|
|
12
|
+
import { ACTIVE_RUNTIME_CONTEXT } from "../runtimeContext.js";
|
|
13
|
+
import { readSourceValue } from "./lib/sourceValue.js";
|
|
14
|
+
import { wma } from "./wma.js";
|
|
15
|
+
function getCtx() {
|
|
16
|
+
const ctx = ACTIVE_RUNTIME_CONTEXT.current;
|
|
17
|
+
if (ctx === null) {
|
|
18
|
+
throw new Error("ta.hma called outside an active script step");
|
|
19
|
+
}
|
|
20
|
+
return ctx;
|
|
21
|
+
}
|
|
22
|
+
/**
|
|
23
|
+
* Hull moving average — `WMA(2·WMA(src, N/2) − WMA(src, N), sqrt(N))`.
|
|
24
|
+
* Composes three WMA sub-slots derived from the parent slot id
|
|
25
|
+
* (`${slotId}/half`, `${slotId}/full`, `${slotId}/final`). The intermediate
|
|
26
|
+
* `diff = 2·halfWMA − fullWMA` is a scalar passed into the final WMA;
|
|
27
|
+
* no separate primitive owns the diff stream. Warmup is the full chain:
|
|
28
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* `length + ceil(sqrt(length)) − 2`. Tick-mode propagates through every
|
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* sub-slot's replace-head branch.
|
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*
|
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* @formula halfLen = floor(length / 2) ;
|
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* sqrtLen = round(sqrt(length)) ;
|
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* half = WMA(source, halfLen) ;
|
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* full = WMA(source, length) ;
|
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* diff = 2 · half − full ;
|
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* out = WMA(diff, sqrtLen)
|
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* @warmup length + ceil(sqrt(length)) − 2
|
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* @since 0.2
|
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* @stable
|
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*
|
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* @example
|
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|
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* // import { ta } from "@invinite-org/chartlang-core";
|
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* // const h = ta.hma(bar.close, 21);
|
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* // plot(h);
|
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*/
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export function hma(slotId, source, length, _opts) {
|
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const ctx = getCtx();
|
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const halfLen = Math.max(1, Math.floor(length / 2));
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const sqrtLen = Math.max(1, Math.round(Math.sqrt(length)));
|
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const src = readSourceValue(source);
|
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const halfSeries = wma(`${slotId}/half`, src, halfLen);
|
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const fullSeries = wma(`${slotId}/full`, src, length);
|
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const ha = halfSeries.current;
|
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const fa = fullSeries.current;
|
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|
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const diff = Number.isFinite(ha) && Number.isFinite(fa) ? 2 * ha - fa : Number.NaN;
|
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const finalSeries = wma(`${slotId}/final`, diff, sqrtLen);
|
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let slot = ctx.stream.taSlots.get(slotId);
|
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if (slot === undefined) {
|
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slot = { series: finalSeries };
|
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ctx.stream.taSlots.set(slotId, slot);
|
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}
|
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return slot.series;
|
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}
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//# sourceMappingURL=hma.js.map
|
|
@@ -0,0 +1 @@
|
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1
|
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{"version":3,"file":"hma.js","sourceRoot":"","sources":["../../src/ta/hma.ts"],"names":[],"mappings":"AAAA,+DAA+D;AAC/D,+DAA+D;AAC/D,EAAE;AACF,sEAAsE;AACtE,mEAAmE;AACnE,0DAA0D;AAC1D,yEAAyE;AACzE,qEAAqE;AACrE,4DAA4D;AAC5D,mEAAmE;AACnE,yCAAyC;AAIzC,OAAO,EAAE,sBAAsB,EAAuB,MAAM,sBAAsB,CAAC;AACnF,OAAO,EAAuB,eAAe,EAAE,MAAM,sBAAsB,CAAC;AAC5E,OAAO,EAAE,GAAG,EAAE,MAAM,UAAU,CAAC;AAM/B,SAAS,MAAM;IACX,MAAM,GAAG,GAAG,sBAAsB,CAAC,OAAO,CAAC;IAC3C,IAAI,GAAG,KAAK,IAAI,EAAE,CAAC;QACf,MAAM,IAAI,KAAK,CAAC,6CAA6C,CAAC,CAAC;IACnE,CAAC;IACD,OAAO,GAAG,CAAC;AACf,CAAC;AAED;;;;;;;;;;;;;;;;;;;;;;;GAuBG;AACH,MAAM,UAAU,GAAG,CACf,MAAc,EACd,MAAsB,EACtB,MAAc,EACd,KAAe;IAEf,MAAM,GAAG,GAAG,MAAM,EAAE,CAAC;IACrB,MAAM,OAAO,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC,KAAK,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC;IACpD,MAAM,OAAO,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC;IAC3D,MAAM,GAAG,GAAG,eAAe,CAAC,MAAM,CAAC,CAAC;IACpC,MAAM,UAAU,GAAG,GAAG,CAAC,GAAG,MAAM,OAAO,EAAE,GAAG,EAAE,OAAO,CAAC,CAAC;IACvD,MAAM,UAAU,GAAG,GAAG,CAAC,GAAG,MAAM,OAAO,EAAE,GAAG,EAAE,MAAM,CAAC,CAAC;IACtD,MAAM,EAAE,GAAG,UAAU,CAAC,OAAO,CAAC;IAC9B,MAAM,EAAE,GAAG,UAAU,CAAC,OAAO,CAAC;IAC9B,MAAM,IAAI,GAAG,MAAM,CAAC,QAAQ,CAAC,EAAE,CAAC,IAAI,MAAM,CAAC,QAAQ,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,GAAG,EAAE,GAAG,EAAE,CAAC,CAAC,CAAC,MAAM,CAAC,GAAG,CAAC;IACnF,MAAM,WAAW,GAAG,GAAG,CAAC,GAAG,MAAM,QAAQ,EAAE,IAAI,EAAE,OAAO,CAAC,CAAC;IAE1D,IAAI,IAAI,GAAG,GAAG,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,MAAM,CAAwB,CAAC;IACjE,IAAI,IAAI,KAAK,SAAS,EAAE,CAAC;QACrB,IAAI,GAAG,EAAE,MAAM,EAAE,WAAW,EAAE,CAAC;QAC/B,GAAG,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,MAAM,EAAE,IAAI,CAAC,CAAC;IACzC,CAAC;IACD,OAAO,IAAI,CAAC,MAAM,CAAC;AACvB,CAAC"}
|
|
@@ -0,0 +1,42 @@
|
|
|
1
|
+
import type { IchimokuOpts, IchimokuResult } from "@invinite-org/chartlang-core";
|
|
2
|
+
/**
|
|
3
|
+
* Ichimoku Cloud — five-line trend / cloud overlay. Composes six
|
|
4
|
+
* `ta.highest` / `ta.lowest` sub-slots (Tenkan high+low, Kijun
|
|
5
|
+
* high+low, Senkou B high+low) — the same composition seam
|
|
6
|
+
* `ta.donchian` uses — so a fix to either rolling-extreme primitive
|
|
7
|
+
* flows in for free. Forward-displaced Senkou A / Senkou B and
|
|
8
|
+
* backward-displaced Chikou are produced via per-slot delay ring
|
|
9
|
+
* buffers of capacity `displacement + 1`.
|
|
10
|
+
*
|
|
11
|
+
* `chikou.current` returns `close[t − displacement]` (the close from
|
|
12
|
+
* `displacement` bars ago, plotted at today's position — the
|
|
13
|
+
* lagging-span semantic). Renderer-side, the script author may
|
|
14
|
+
* choose to draw it at the visually-offset position; the runtime
|
|
15
|
+
* exposes the backward-shifted value so script-author conditionals
|
|
16
|
+
* (cross / alert) see meaningful data.
|
|
17
|
+
*
|
|
18
|
+
* @formula tenkan[t] = (highest(high, conversionLength) + lowest(low, conversionLength)) / 2 ;
|
|
19
|
+
* kijun[t] = (highest(high, baseLength) + lowest(low, baseLength)) / 2 ;
|
|
20
|
+
* senkouARaw = (tenkan + kijun) / 2 ;
|
|
21
|
+
* senkouBRaw = (highest(high, leadingSpanBLength) + lowest(low, leadingSpanBLength)) / 2 ;
|
|
22
|
+
* senkouA[t] = senkouARaw[t − displacement] ;
|
|
23
|
+
* senkouB[t] = senkouBRaw[t − displacement] ;
|
|
24
|
+
* chikou[t] = close[t − displacement]
|
|
25
|
+
* @anchors displacement, conversionLength, baseLength, leadingSpanBLength
|
|
26
|
+
* @warmup max(conversionLength, baseLength, leadingSpanBLength) + displacement − 1
|
|
27
|
+
* @since 0.2
|
|
28
|
+
* @stable
|
|
29
|
+
*
|
|
30
|
+
* `opts.offset` shifts all five outputs in lockstep (PLAN.md §9.1).
|
|
31
|
+
*
|
|
32
|
+
* @example
|
|
33
|
+
* // import { ta } from "@invinite-org/chartlang-runtime";
|
|
34
|
+
* // const i = ta.ichimoku("slot");
|
|
35
|
+
* // plot(i.tenkan);
|
|
36
|
+
* // plot(i.kijun);
|
|
37
|
+
* // plot(i.senkouA);
|
|
38
|
+
* // plot(i.senkouB);
|
|
39
|
+
* // plot(i.chikou);
|
|
40
|
+
*/
|
|
41
|
+
export declare function ichimoku(slotId: string, opts?: IchimokuOpts): IchimokuResult;
|
|
42
|
+
//# sourceMappingURL=ichimoku.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"ichimoku.d.ts","sourceRoot":"","sources":["../../src/ta/ichimoku.ts"],"names":[],"mappings":"AAgBA,OAAO,KAAK,EAAE,YAAY,EAAE,cAAc,EAAE,MAAM,8BAA8B,CAAC;AAqHjF;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;GAsCG;AACH,wBAAgB,QAAQ,CAAC,MAAM,EAAE,MAAM,EAAE,IAAI,CAAC,EAAE,YAAY,GAAG,cAAc,CA8D5E"}
|
|
@@ -0,0 +1,188 @@
|
|
|
1
|
+
// Copyright (c) 2026 Invinite. Licensed under the MIT License.
|
|
2
|
+
// See the LICENSE file in the repo root for full license text.
|
|
3
|
+
//
|
|
4
|
+
// Ported from invinite/src/components/trading-chart/indicators/ichimoku.ts
|
|
5
|
+
// (commit 078f41fe2569d659d5aba726da8bcb5d3e2ced02, © Invinite).
|
|
6
|
+
// Re-licensed MIT for chartlang. See PLAN.md §3.1 for the
|
|
7
|
+
// provenance contract; the math is the reference, the code style is not.
|
|
8
|
+
// Structural choices (callsite-id slot, Series<T> proxy, replaceHead
|
|
9
|
+
// mode) follow chartlang's primitive shape — NOT invinite's
|
|
10
|
+
// IndicatorPlugin shape. Ichimoku composes six `ta.highest` / `ta.lowest`
|
|
11
|
+
// sub-slots (one pair each for Tenkan / Kijun / Senkou B) — the same
|
|
12
|
+
// composition seam `donchian.ts` uses — so a fix to highest/lowest
|
|
13
|
+
// flows in for free. The forward-displaced Senkou A / Senkou B and
|
|
14
|
+
// backward-displaced Chikou are produced via per-slot delay ring
|
|
15
|
+
// buffers of capacity `displacement + 1`.
|
|
16
|
+
import { Float64RingBuffer } from "../ringBuffer.js";
|
|
17
|
+
import { ACTIVE_RUNTIME_CONTEXT } from "../runtimeContext.js";
|
|
18
|
+
import { makeSeriesView, makeShiftedSeriesView } from "../seriesView.js";
|
|
19
|
+
import { highest } from "./highest.js";
|
|
20
|
+
import { lowest } from "./lowest.js";
|
|
21
|
+
const DEFAULT_CONVERSION_LENGTH = 9;
|
|
22
|
+
const DEFAULT_BASE_LENGTH = 26;
|
|
23
|
+
const DEFAULT_LEADING_SPAN_B_LENGTH = 52;
|
|
24
|
+
const DEFAULT_DISPLACEMENT = 26;
|
|
25
|
+
function getCtx() {
|
|
26
|
+
const ctx = ACTIVE_RUNTIME_CONTEXT.current;
|
|
27
|
+
if (ctx === null) {
|
|
28
|
+
throw new Error("ta.ichimoku called outside an active script step");
|
|
29
|
+
}
|
|
30
|
+
return ctx;
|
|
31
|
+
}
|
|
32
|
+
function midpoint(hi, lo) {
|
|
33
|
+
if (!Number.isFinite(hi) || !Number.isFinite(lo))
|
|
34
|
+
return Number.NaN;
|
|
35
|
+
return (hi + lo) / 2;
|
|
36
|
+
}
|
|
37
|
+
function spanAverage(a, b) {
|
|
38
|
+
if (!Number.isFinite(a) || !Number.isFinite(b))
|
|
39
|
+
return Number.NaN;
|
|
40
|
+
return (a + b) / 2;
|
|
41
|
+
}
|
|
42
|
+
function delayedValue(delay, displacement) {
|
|
43
|
+
if (delay.length <= displacement)
|
|
44
|
+
return Number.NaN;
|
|
45
|
+
return delay.at(displacement);
|
|
46
|
+
}
|
|
47
|
+
function initSlot(capacity, conversionLength, baseLength, leadingSpanBLength, displacement) {
|
|
48
|
+
const tenkanBuffer = new Float64RingBuffer(capacity);
|
|
49
|
+
const kijunBuffer = new Float64RingBuffer(capacity);
|
|
50
|
+
const senkouABuffer = new Float64RingBuffer(capacity);
|
|
51
|
+
const senkouBBuffer = new Float64RingBuffer(capacity);
|
|
52
|
+
const chikouBuffer = new Float64RingBuffer(capacity);
|
|
53
|
+
// The delay ring buffers need only `displacement + 1` slots — at
|
|
54
|
+
// each close we append the new raw value; `at(displacement)`
|
|
55
|
+
// returns the value from `displacement` closes ago.
|
|
56
|
+
const delayCap = displacement + 1;
|
|
57
|
+
return {
|
|
58
|
+
outputs: Object.freeze({
|
|
59
|
+
tenkan: makeSeriesView(tenkanBuffer),
|
|
60
|
+
kijun: makeSeriesView(kijunBuffer),
|
|
61
|
+
senkouA: makeSeriesView(senkouABuffer),
|
|
62
|
+
senkouB: makeSeriesView(senkouBBuffer),
|
|
63
|
+
chikou: makeSeriesView(chikouBuffer),
|
|
64
|
+
}),
|
|
65
|
+
tenkanBuffer,
|
|
66
|
+
kijunBuffer,
|
|
67
|
+
senkouABuffer,
|
|
68
|
+
senkouBBuffer,
|
|
69
|
+
chikouBuffer,
|
|
70
|
+
conversionLength,
|
|
71
|
+
baseLength,
|
|
72
|
+
leadingSpanBLength,
|
|
73
|
+
displacement,
|
|
74
|
+
senkouADelay: new Float64RingBuffer(delayCap),
|
|
75
|
+
senkouBDelay: new Float64RingBuffer(delayCap),
|
|
76
|
+
closeDelay: new Float64RingBuffer(delayCap),
|
|
77
|
+
shiftedResults: new Map(),
|
|
78
|
+
};
|
|
79
|
+
}
|
|
80
|
+
function resultForOffset(slot, offset) {
|
|
81
|
+
if (offset === 0)
|
|
82
|
+
return slot.outputs;
|
|
83
|
+
let cached = slot.shiftedResults.get(offset);
|
|
84
|
+
if (cached === undefined) {
|
|
85
|
+
cached = Object.freeze({
|
|
86
|
+
tenkan: makeShiftedSeriesView(slot.tenkanBuffer, offset),
|
|
87
|
+
kijun: makeShiftedSeriesView(slot.kijunBuffer, offset),
|
|
88
|
+
senkouA: makeShiftedSeriesView(slot.senkouABuffer, offset),
|
|
89
|
+
senkouB: makeShiftedSeriesView(slot.senkouBBuffer, offset),
|
|
90
|
+
chikou: makeShiftedSeriesView(slot.chikouBuffer, offset),
|
|
91
|
+
});
|
|
92
|
+
slot.shiftedResults.set(offset, cached);
|
|
93
|
+
}
|
|
94
|
+
return cached;
|
|
95
|
+
}
|
|
96
|
+
/**
|
|
97
|
+
* Ichimoku Cloud — five-line trend / cloud overlay. Composes six
|
|
98
|
+
* `ta.highest` / `ta.lowest` sub-slots (Tenkan high+low, Kijun
|
|
99
|
+
* high+low, Senkou B high+low) — the same composition seam
|
|
100
|
+
* `ta.donchian` uses — so a fix to either rolling-extreme primitive
|
|
101
|
+
* flows in for free. Forward-displaced Senkou A / Senkou B and
|
|
102
|
+
* backward-displaced Chikou are produced via per-slot delay ring
|
|
103
|
+
* buffers of capacity `displacement + 1`.
|
|
104
|
+
*
|
|
105
|
+
* `chikou.current` returns `close[t − displacement]` (the close from
|
|
106
|
+
* `displacement` bars ago, plotted at today's position — the
|
|
107
|
+
* lagging-span semantic). Renderer-side, the script author may
|
|
108
|
+
* choose to draw it at the visually-offset position; the runtime
|
|
109
|
+
* exposes the backward-shifted value so script-author conditionals
|
|
110
|
+
* (cross / alert) see meaningful data.
|
|
111
|
+
*
|
|
112
|
+
* @formula tenkan[t] = (highest(high, conversionLength) + lowest(low, conversionLength)) / 2 ;
|
|
113
|
+
* kijun[t] = (highest(high, baseLength) + lowest(low, baseLength)) / 2 ;
|
|
114
|
+
* senkouARaw = (tenkan + kijun) / 2 ;
|
|
115
|
+
* senkouBRaw = (highest(high, leadingSpanBLength) + lowest(low, leadingSpanBLength)) / 2 ;
|
|
116
|
+
* senkouA[t] = senkouARaw[t − displacement] ;
|
|
117
|
+
* senkouB[t] = senkouBRaw[t − displacement] ;
|
|
118
|
+
* chikou[t] = close[t − displacement]
|
|
119
|
+
* @anchors displacement, conversionLength, baseLength, leadingSpanBLength
|
|
120
|
+
* @warmup max(conversionLength, baseLength, leadingSpanBLength) + displacement − 1
|
|
121
|
+
* @since 0.2
|
|
122
|
+
* @stable
|
|
123
|
+
*
|
|
124
|
+
* `opts.offset` shifts all five outputs in lockstep (PLAN.md §9.1).
|
|
125
|
+
*
|
|
126
|
+
* @example
|
|
127
|
+
* // import { ta } from "@invinite-org/chartlang-runtime";
|
|
128
|
+
* // const i = ta.ichimoku("slot");
|
|
129
|
+
* // plot(i.tenkan);
|
|
130
|
+
* // plot(i.kijun);
|
|
131
|
+
* // plot(i.senkouA);
|
|
132
|
+
* // plot(i.senkouB);
|
|
133
|
+
* // plot(i.chikou);
|
|
134
|
+
*/
|
|
135
|
+
export function ichimoku(slotId, opts) {
|
|
136
|
+
const ctx = getCtx();
|
|
137
|
+
const conversionLength = opts?.conversionLength ?? DEFAULT_CONVERSION_LENGTH;
|
|
138
|
+
const baseLength = opts?.baseLength ?? DEFAULT_BASE_LENGTH;
|
|
139
|
+
const leadingSpanBLength = opts?.leadingSpanBLength ?? DEFAULT_LEADING_SPAN_B_LENGTH;
|
|
140
|
+
const displacement = opts?.displacement ?? DEFAULT_DISPLACEMENT;
|
|
141
|
+
const offset = opts?.offset ?? 0;
|
|
142
|
+
const bar = ctx.stream.bar;
|
|
143
|
+
let slot = ctx.stream.taSlots.get(slotId);
|
|
144
|
+
if (slot === undefined) {
|
|
145
|
+
slot = initSlot(ctx.stream.ohlcv.close.capacity, conversionLength, baseLength, leadingSpanBLength, displacement);
|
|
146
|
+
ctx.stream.taSlots.set(slotId, slot);
|
|
147
|
+
}
|
|
148
|
+
// Compose: rolling extremes via the registered ta.highest /
|
|
149
|
+
// ta.lowest sub-slots. Each composed call advances the sub-slot on
|
|
150
|
+
// the same close (or replaces its head on the same tick).
|
|
151
|
+
const tenkanHi = highest(`${slotId}/tenkanHigh`, bar.high, conversionLength).current;
|
|
152
|
+
const tenkanLo = lowest(`${slotId}/tenkanLow`, bar.low, conversionLength).current;
|
|
153
|
+
const kijunHi = highest(`${slotId}/kijunHigh`, bar.high, baseLength).current;
|
|
154
|
+
const kijunLo = lowest(`${slotId}/kijunLow`, bar.low, baseLength).current;
|
|
155
|
+
const senkouBHi = highest(`${slotId}/senkouBHigh`, bar.high, leadingSpanBLength).current;
|
|
156
|
+
const senkouBLo = lowest(`${slotId}/senkouBLow`, bar.low, leadingSpanBLength).current;
|
|
157
|
+
const tenkan = midpoint(tenkanHi, tenkanLo);
|
|
158
|
+
const kijun = midpoint(kijunHi, kijunLo);
|
|
159
|
+
const senkouBRaw = midpoint(senkouBHi, senkouBLo);
|
|
160
|
+
const senkouARaw = spanAverage(tenkan, kijun);
|
|
161
|
+
if (ctx.isTick) {
|
|
162
|
+
// Replace the head of the delay buffers with the tick's
|
|
163
|
+
// updated raw values. `at(displacement)` then returns the
|
|
164
|
+
// SAME value as before (the displacement-shifted slot is not
|
|
165
|
+
// affected by the head's value), so the displaced output
|
|
166
|
+
// heads are stable on tick.
|
|
167
|
+
slot.senkouADelay.replaceHead(senkouARaw);
|
|
168
|
+
slot.senkouBDelay.replaceHead(senkouBRaw);
|
|
169
|
+
slot.closeDelay.replaceHead(bar.close);
|
|
170
|
+
slot.tenkanBuffer.replaceHead(tenkan);
|
|
171
|
+
slot.kijunBuffer.replaceHead(kijun);
|
|
172
|
+
slot.senkouABuffer.replaceHead(delayedValue(slot.senkouADelay, displacement));
|
|
173
|
+
slot.senkouBBuffer.replaceHead(delayedValue(slot.senkouBDelay, displacement));
|
|
174
|
+
slot.chikouBuffer.replaceHead(delayedValue(slot.closeDelay, displacement));
|
|
175
|
+
}
|
|
176
|
+
else {
|
|
177
|
+
slot.senkouADelay.append(senkouARaw);
|
|
178
|
+
slot.senkouBDelay.append(senkouBRaw);
|
|
179
|
+
slot.closeDelay.append(bar.close);
|
|
180
|
+
slot.tenkanBuffer.append(tenkan);
|
|
181
|
+
slot.kijunBuffer.append(kijun);
|
|
182
|
+
slot.senkouABuffer.append(delayedValue(slot.senkouADelay, displacement));
|
|
183
|
+
slot.senkouBBuffer.append(delayedValue(slot.senkouBDelay, displacement));
|
|
184
|
+
slot.chikouBuffer.append(delayedValue(slot.closeDelay, displacement));
|
|
185
|
+
}
|
|
186
|
+
return resultForOffset(slot, offset);
|
|
187
|
+
}
|
|
188
|
+
//# sourceMappingURL=ichimoku.js.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"ichimoku.js","sourceRoot":"","sources":["../../src/ta/ichimoku.ts"],"names":[],"mappings":"AAAA,+DAA+D;AAC/D,+DAA+D;AAC/D,EAAE;AACF,2EAA2E;AAC3E,mEAAmE;AACnE,0DAA0D;AAC1D,yEAAyE;AACzE,qEAAqE;AACrE,4DAA4D;AAC5D,0EAA0E;AAC1E,qEAAqE;AACrE,mEAAmE;AACnE,mEAAmE;AACnE,iEAAiE;AACjE,0CAA0C;AAI1C,OAAO,EAAE,iBAAiB,EAAE,MAAM,kBAAkB,CAAC;AACrD,OAAO,EAAE,sBAAsB,EAAuB,MAAM,sBAAsB,CAAC;AACnF,OAAO,EAAE,cAAc,EAAE,qBAAqB,EAAE,MAAM,kBAAkB,CAAC;AACzE,OAAO,EAAE,OAAO,EAAE,MAAM,cAAc,CAAC;AACvC,OAAO,EAAE,MAAM,EAAE,MAAM,aAAa,CAAC;AAErC,MAAM,yBAAyB,GAAG,CAAC,CAAC;AACpC,MAAM,mBAAmB,GAAG,EAAE,CAAC;AAC/B,MAAM,6BAA6B,GAAG,EAAE,CAAC;AACzC,MAAM,oBAAoB,GAAG,EAAE,CAAC;AA2BhC,SAAS,MAAM;IACX,MAAM,GAAG,GAAG,sBAAsB,CAAC,OAAO,CAAC;IAC3C,IAAI,GAAG,KAAK,IAAI,EAAE,CAAC;QACf,MAAM,IAAI,KAAK,CAAC,kDAAkD,CAAC,CAAC;IACxE,CAAC;IACD,OAAO,GAAG,CAAC;AACf,CAAC;AAED,SAAS,QAAQ,CAAC,EAAU,EAAE,EAAU;IACpC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,EAAE,CAAC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,EAAE,CAAC;QAAE,OAAO,MAAM,CAAC,GAAG,CAAC;IACpE,OAAO,CAAC,EAAE,GAAG,EAAE,CAAC,GAAG,CAAC,CAAC;AACzB,CAAC;AAED,SAAS,WAAW,CAAC,CAAS,EAAE,CAAS;IACrC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,CAAC,CAAC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,CAAC,CAAC;QAAE,OAAO,MAAM,CAAC,GAAG,CAAC;IAClE,OAAO,CAAC,CAAC,GAAG,CAAC,CAAC,GAAG,CAAC,CAAC;AACvB,CAAC;AAED,SAAS,YAAY,CAAC,KAAwB,EAAE,YAAoB;IAChE,IAAI,KAAK,CAAC,MAAM,IAAI,YAAY;QAAE,OAAO,MAAM,CAAC,GAAG,CAAC;IACpD,OAAO,KAAK,CAAC,EAAE,CAAC,YAAY,CAAC,CAAC;AAClC,CAAC;AAED,SAAS,QAAQ,CACb,QAAgB,EAChB,gBAAwB,EACxB,UAAkB,EAClB,kBAA0B,EAC1B,YAAoB;IAEpB,MAAM,YAAY,GAAG,IAAI,iBAAiB,CAAC,QAAQ,CAAC,CAAC;IACrD,MAAM,WAAW,GAAG,IAAI,iBAAiB,CAAC,QAAQ,CAAC,CAAC;IACpD,MAAM,aAAa,GAAG,IAAI,iBAAiB,CAAC,QAAQ,CAAC,CAAC;IACtD,MAAM,aAAa,GAAG,IAAI,iBAAiB,CAAC,QAAQ,CAAC,CAAC;IACtD,MAAM,YAAY,GAAG,IAAI,iBAAiB,CAAC,QAAQ,CAAC,CAAC;IACrD,iEAAiE;IACjE,6DAA6D;IAC7D,oDAAoD;IACpD,MAAM,QAAQ,GAAG,YAAY,GAAG,CAAC,CAAC;IAClC,OAAO;QACH,OAAO,EAAE,MAAM,CAAC,MAAM,CAAC;YACnB,MAAM,EAAE,cAAc,CAAS,YAAY,CAAC;YAC5C,KAAK,EAAE,cAAc,CAAS,WAAW,CAAC;YAC1C,OAAO,EAAE,cAAc,CAAS,aAAa,CAAC;YAC9C,OAAO,EAAE,cAAc,CAAS,aAAa,CAAC;YAC9C,MAAM,EAAE,cAAc,CAAS,YAAY,CAAC;SAC/C,CAAC;QACF,YAAY;QACZ,WAAW;QACX,aAAa;QACb,aAAa;QACb,YAAY;QACZ,gBAAgB;QAChB,UAAU;QACV,kBAAkB;QAClB,YAAY;QACZ,YAAY,EAAE,IAAI,iBAAiB,CAAC,QAAQ,CAAC;QAC7C,YAAY,EAAE,IAAI,iBAAiB,CAAC,QAAQ,CAAC;QAC7C,UAAU,EAAE,IAAI,iBAAiB,CAAC,QAAQ,CAAC;QAC3C,cAAc,EAAE,IAAI,GAAG,EAAE;KAC5B,CAAC;AACN,CAAC;AAED,SAAS,eAAe,CAAC,IAAkB,EAAE,MAAc;IACvD,IAAI,MAAM,KAAK,CAAC;QAAE,OAAO,IAAI,CAAC,OAAO,CAAC;IACtC,IAAI,MAAM,GAAG,IAAI,CAAC,cAAc,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC;IAC7C,IAAI,MAAM,KAAK,SAAS,EAAE,CAAC;QACvB,MAAM,GAAG,MAAM,CAAC,MAAM,CAAC;YACnB,MAAM,EAAE,qBAAqB,CAAS,IAAI,CAAC,YAAY,EAAE,MAAM,CAAC;YAChE,KAAK,EAAE,qBAAqB,CAAS,IAAI,CAAC,WAAW,EAAE,MAAM,CAAC;YAC9D,OAAO,EAAE,qBAAqB,CAAS,IAAI,CAAC,aAAa,EAAE,MAAM,CAAC;YAClE,OAAO,EAAE,qBAAqB,CAAS,IAAI,CAAC,aAAa,EAAE,MAAM,CAAC;YAClE,MAAM,EAAE,qBAAqB,CAAS,IAAI,CAAC,YAAY,EAAE,MAAM,CAAC;SACnE,CAAC,CAAC;QACH,IAAI,CAAC,cAAc,CAAC,GAAG,CAAC,MAAM,EAAE,MAAM,CAAC,CAAC;IAC5C,CAAC;IACD,OAAO,MAAM,CAAC;AAClB,CAAC;AAED;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;GAsCG;AACH,MAAM,UAAU,QAAQ,CAAC,MAAc,EAAE,IAAmB;IACxD,MAAM,GAAG,GAAG,MAAM,EAAE,CAAC;IACrB,MAAM,gBAAgB,GAAG,IAAI,EAAE,gBAAgB,IAAI,yBAAyB,CAAC;IAC7E,MAAM,UAAU,GAAG,IAAI,EAAE,UAAU,IAAI,mBAAmB,CAAC;IAC3D,MAAM,kBAAkB,GAAG,IAAI,EAAE,kBAAkB,IAAI,6BAA6B,CAAC;IACrF,MAAM,YAAY,GAAG,IAAI,EAAE,YAAY,IAAI,oBAAoB,CAAC;IAChE,MAAM,MAAM,GAAG,IAAI,EAAE,MAAM,IAAI,CAAC,CAAC;IACjC,MAAM,GAAG,GAAG,GAAG,CAAC,MAAM,CAAC,GAAG,CAAC;IAE3B,IAAI,IAAI,GAAG,GAAG,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,MAAM,CAA6B,CAAC;IACtE,IAAI,IAAI,KAAK,SAAS,EAAE,CAAC;QACrB,IAAI,GAAG,QAAQ,CACX,GAAG,CAAC,MAAM,CAAC,KAAK,CAAC,KAAK,CAAC,QAAQ,EAC/B,gBAAgB,EAChB,UAAU,EACV,kBAAkB,EAClB,YAAY,CACf,CAAC;QACF,GAAG,CAAC,MAAM,CAAC,OAAO,CAAC,GAAG,CAAC,MAAM,EAAE,IAAI,CAAC,CAAC;IACzC,CAAC;IAED,4DAA4D;IAC5D,mEAAmE;IACnE,0DAA0D;IAC1D,MAAM,QAAQ,GAAG,OAAO,CAAC,GAAG,MAAM,aAAa,EAAE,GAAG,CAAC,IAAI,EAAE,gBAAgB,CAAC,CAAC,OAAO,CAAC;IACrF,MAAM,QAAQ,GAAG,MAAM,CAAC,GAAG,MAAM,YAAY,EAAE,GAAG,CAAC,GAAG,EAAE,gBAAgB,CAAC,CAAC,OAAO,CAAC;IAClF,MAAM,OAAO,GAAG,OAAO,CAAC,GAAG,MAAM,YAAY,EAAE,GAAG,CAAC,IAAI,EAAE,UAAU,CAAC,CAAC,OAAO,CAAC;IAC7E,MAAM,OAAO,GAAG,MAAM,CAAC,GAAG,MAAM,WAAW,EAAE,GAAG,CAAC,GAAG,EAAE,UAAU,CAAC,CAAC,OAAO,CAAC;IAC1E,MAAM,SAAS,GAAG,OAAO,CAAC,GAAG,MAAM,cAAc,EAAE,GAAG,CAAC,IAAI,EAAE,kBAAkB,CAAC,CAAC,OAAO,CAAC;IACzF,MAAM,SAAS,GAAG,MAAM,CAAC,GAAG,MAAM,aAAa,EAAE,GAAG,CAAC,GAAG,EAAE,kBAAkB,CAAC,CAAC,OAAO,CAAC;IAEtF,MAAM,MAAM,GAAG,QAAQ,CAAC,QAAQ,EAAE,QAAQ,CAAC,CAAC;IAC5C,MAAM,KAAK,GAAG,QAAQ,CAAC,OAAO,EAAE,OAAO,CAAC,CAAC;IACzC,MAAM,UAAU,GAAG,QAAQ,CAAC,SAAS,EAAE,SAAS,CAAC,CAAC;IAClD,MAAM,UAAU,GAAG,WAAW,CAAC,MAAM,EAAE,KAAK,CAAC,CAAC;IAE9C,IAAI,GAAG,CAAC,MAAM,EAAE,CAAC;QACb,wDAAwD;QACxD,0DAA0D;QAC1D,6DAA6D;QAC7D,yDAAyD;QACzD,4BAA4B;QAC5B,IAAI,CAAC,YAAY,CAAC,WAAW,CAAC,UAAU,CAAC,CAAC;QAC1C,IAAI,CAAC,YAAY,CAAC,WAAW,CAAC,UAAU,CAAC,CAAC;QAC1C,IAAI,CAAC,UAAU,CAAC,WAAW,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC;QACvC,IAAI,CAAC,YAAY,CAAC,WAAW,CAAC,MAAM,CAAC,CAAC;QACtC,IAAI,CAAC,WAAW,CAAC,WAAW,CAAC,KAAK,CAAC,CAAC;QACpC,IAAI,CAAC,aAAa,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|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../src/ta/index.ts"],"names":[],"mappings":"AAGA,OAAO,EAAE,WAAW,EAAE,EAAE,EAAE,MAAM,eAAe,CAAC;AAChD,YAAY,EAAE,kBAAkB,EAAE,MAAM,eAAe,CAAC;AACxD,OAAO,EAAE,kBAAkB,EAAE,MAAM,eAAe,CAAC;AACnD,YAAY,EAAE,cAAc,EAAE,MAAM,sBAAsB,CAAC"}
|
package/dist/ta/index.js
ADDED
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"index.js","sourceRoot":"","sources":["../../src/ta/index.ts"],"names":[],"mappings":"AAAA,+DAA+D;AAC/D,+DAA+D;AAE/D,OAAO,EAAE,WAAW,EAAE,EAAE,EAAE,MAAM,eAAe,CAAC;AAEhD,OAAO,EAAE,kBAAkB,EAAE,MAAM,eAAe,CAAC"}
|
|
@@ -0,0 +1,35 @@
|
|
|
1
|
+
import type { KamaOpts, Series } from "@invinite-org/chartlang-core";
|
|
2
|
+
import { type ScalarOrSeries } from "./lib/sourceValue.js";
|
|
3
|
+
/**
|
|
4
|
+
* Kaufman's Adaptive Moving Average — an EMA-like recurrence whose
|
|
5
|
+
* smoothing constant adapts to market efficiency. The "efficiency
|
|
6
|
+
* ratio" is the directional change over the last `length` bars
|
|
7
|
+
* divided by the total path-length over the same window; high
|
|
8
|
+
* efficiency (trending) → smoothing approaches `fastAlpha`,
|
|
9
|
+
* low efficiency (chop) → smoothing approaches `slowAlpha`.
|
|
10
|
+
* Defaults: `length = 10`, `fastLength = 2`, `slowLength = 30`.
|
|
11
|
+
*
|
|
12
|
+
* NaN handling: mid-stream NaN source → KAMA carries the prior value
|
|
13
|
+
* forward (matches the EMA / SMMA recurrence convention). Zero-
|
|
14
|
+
* volatility window → `er = 0`, smoothing degenerates to `slowAlpha²`
|
|
15
|
+
* but no change occurs because `src − prev` is itself 0 in the
|
|
16
|
+
* constant-source regime.
|
|
17
|
+
*
|
|
18
|
+
* @formula fastAlpha = 2 / (fastLength + 1) ;
|
|
19
|
+
* slowAlpha = 2 / (slowLength + 1) ;
|
|
20
|
+
* change = |src[t] − src[t − length]| ;
|
|
21
|
+
* vol = Σ_{j=0..length-1} |src[t − j] − src[t − j − 1]| ;
|
|
22
|
+
* er = vol > 0 ? change / vol : 0 ;
|
|
23
|
+
* sc = (er · (fastAlpha − slowAlpha) + slowAlpha)² ;
|
|
24
|
+
* KAMA[t] = KAMA[t − 1] + sc · (src[t] − KAMA[t − 1])
|
|
25
|
+
* @warmup length
|
|
26
|
+
* @since 0.2
|
|
27
|
+
* @stable
|
|
28
|
+
*
|
|
29
|
+
* @example
|
|
30
|
+
* // import { ta } from "@invinite-org/chartlang-core";
|
|
31
|
+
* // const k = ta.kama(bar.close, { length: 10, fastLength: 2, slowLength: 30 });
|
|
32
|
+
* // plot(k);
|
|
33
|
+
*/
|
|
34
|
+
export declare function kama(slotId: string, source: ScalarOrSeries, opts?: KamaOpts): Series<number>;
|
|
35
|
+
//# sourceMappingURL=kama.d.ts.map
|
|
@@ -0,0 +1 @@
|
|
|
1
|
+
{"version":3,"file":"kama.d.ts","sourceRoot":"","sources":["../../src/ta/kama.ts"],"names":[],"mappings":"AAWA,OAAO,KAAK,EAAE,QAAQ,EAAE,MAAM,EAAE,MAAM,8BAA8B,CAAC;AAKrE,OAAO,EAAE,KAAK,cAAc,EAAmB,MAAM,sBAAsB,CAAC;AAyF5E;;;;;;;;;;;;;;;;;;;;;;;;;;;;;;GA8BG;AACH,wBAAgB,IAAI,CAAC,MAAM,EAAE,MAAM,EAAE,MAAM,EAAE,cAAc,EAAE,IAAI,CAAC,EAAE,QAAQ,GAAG,MAAM,CAAC,MAAM,CAAC,CA0B5F"}
|