@thi.ng/transducers-stats 2.1.136 → 2.2.0

package/CHANGELOG.md

@@ -1,6 +1,6 @@
 # Change Log
 
-- **Last updated**: 2024-10-05T12:12:32Z
+- **Last updated**: 2024-11-03T16:41:34Z
 - **Generator**: [thi.ng/monopub](https://thi.ng/monopub)
 
 All notable changes to this project will be documented in this file.
@@ -9,6 +9,17 @@ See [Conventional Commits](https://conventionalcommits.org/) for commit guidelin
 **Note:** Unlisted _patch_ versions only involve non-code or otherwise excluded changes
 and/or version bumps of transitive dependencies.
 
+## [2.2.0](https://github.com/thi-ng/umbrella/tree/@thi.ng/transducers-stats@2.2.0) (2024-11-03)
+
+#### 🚀 Features
+
+- add moving min/max, update donchian ([188d11a](https://github.com/thi-ng/umbrella/commit/188d11a))
+  - add movingMaximum() transducer
+  - add movingMinimum() transducer
+  - refactor donchian()
+  - add internal Deque helper class
+  - add tests
+
 ### [2.1.113](https://github.com/thi-ng/umbrella/tree/@thi.ng/transducers-stats@2.1.113) (2024-04-08)
 
 #### ♻️ Refactoring

package/README.md

@@ -49,6 +49,8 @@ transforming ES6 iterator (generator) instead of a transducer.
 - [HMA (Hull Moving Average)](https://github.com/thi-ng/umbrella/tree/develop/packages/transducers-stats/src/hma.ts)
 - [MACD (Moving Average Convergence/Divergence)](https://github.com/thi-ng/umbrella/tree/develop/packages/transducers-stats/src/macd.ts)
 - [Momentum](https://github.com/thi-ng/umbrella/tree/develop/packages/transducers-stats/src/momentum.ts)
+- [Moving Maximum](https://github.com/thi-ng/umbrella/tree/develop/packages/transducers-stats/src/moving-maximum.ts)
+- [Moving Minimum](https://github.com/thi-ng/umbrella/tree/develop/packages/transducers-stats/src/moving-minimum.ts)
 - [ROC (Rate of change)](https://github.com/thi-ng/umbrella/tree/develop/packages/transducers-stats/src/roc.ts)
 - [RSI (Relative Strength Index)](https://github.com/thi-ng/umbrella/tree/develop/packages/transducers-stats/src/rsi.ts)
 - [SD (Standard Deviation)](https://github.com/thi-ng/umbrella/tree/develop/packages/transducers-stats/src/sd.ts)
@@ -89,15 +91,18 @@ For Node.js REPL:
 const ts = await import("@thi.ng/transducers-stats");
 ```
 
-Package sizes (brotli'd, pre-treeshake): ESM: 1.39 KB
+Package sizes (brotli'd, pre-treeshake): ESM: 1.75 KB
 
 ## Dependencies
 
+- [@thi.ng/api](https://github.com/thi-ng/umbrella/tree/develop/packages/api)
 - [@thi.ng/checks](https://github.com/thi-ng/umbrella/tree/develop/packages/checks)
 - [@thi.ng/dcons](https://github.com/thi-ng/umbrella/tree/develop/packages/dcons)
 - [@thi.ng/errors](https://github.com/thi-ng/umbrella/tree/develop/packages/errors)
 - [@thi.ng/transducers](https://github.com/thi-ng/umbrella/tree/develop/packages/transducers)
 
+Note: @thi.ng/api is in _most_ cases a type-only import (not used at runtime)
+
 ## Usage examples
 
 Three projects in this repo's

package/deque.d.ts

@@ -0,0 +1,12 @@
+import type { Predicate2 } from "@thi.ng/api";
+/** @internal */
+export declare class Deque {
+    samples: number[];
+    pred: Predicate2<number>;
+    index: number[];
+    constructor(samples: number[], pred: Predicate2<number>);
+    head(): number;
+    add(x: number): void;
+    shift(): void;
+}
+//# sourceMappingURL=deque.d.ts.map

package/deque.js

@@ -0,0 +1,25 @@
+class Deque {
+  constructor(samples, pred) {
+    this.samples = samples;
+    this.pred = pred;
+  }
+  index = [];
+  head() {
+    return this.samples[this.index[0]];
+  }
+  add(x) {
+    const { index, samples, pred } = this;
+    while (index.length && pred(samples[index[index.length - 1]], x)) {
+      index.pop();
+    }
+    index.push(samples.length - 1);
+  }
+  shift() {
+    const { index } = this;
+    if (index[0] === 0) index.shift();
+    for (let i = 0; i < index.length; i++) index[i]--;
+  }
+}
+export {
+  Deque
+};

package/donchian.js

@@ -1,10 +1,23 @@
-import { comp } from "@thi.ng/transducers/comp";
-import { iterator } from "@thi.ng/transducers/iterator";
-import { map } from "@thi.ng/transducers/map";
-import { partition } from "@thi.ng/transducers/partition";
-import { bounds } from "./bounds.js";
+import { compR } from "@thi.ng/transducers/compr";
+import { iterator1 } from "@thi.ng/transducers/iterator";
+import { Deque } from "./deque.js";
 function donchian(period, src) {
-  return src ? iterator(donchian(period), src) : comp(partition(period, 1), map(bounds));
+  return src ? iterator1(donchian(period), src) : (rfn) => {
+    const samples = [];
+    const minDeque = new Deque(samples, (a, b) => a >= b);
+    const maxDeque = new Deque(samples, (a, b) => a <= b);
+    return compR(rfn, (acc, x) => {
+      const num = samples.push(x);
+      minDeque.add(x);
+      maxDeque.add(x);
+      if (num > period) {
+        samples.shift();
+        minDeque.shift();
+        maxDeque.shift();
+      }
+      return num >= period ? rfn[2](acc, [minDeque.head(), maxDeque.head()]) : acc;
+    });
+  };
 }
 export {
   donchian

package/index.d.ts

@@ -4,6 +4,8 @@ export * from "./ema.js";
 export * from "./hma.js";
 export * from "./macd.js";
 export * from "./momentum.js";
+export * from "./moving-maximum.js";
+export * from "./moving-minimum.js";
 export * from "./roc.js";
 export * from "./rsi.js";
 export * from "./sd.js";
@@ -12,6 +14,7 @@ export * from "./stochastic.js";
 export * from "./trix.js";
 export * from "./wma.js";
 export * from "./bounds.js";
+export * from "./deque.js";
 export * from "./dot.js";
 export * from "./mse.js";
 //# sourceMappingURL=index.d.ts.map

package/index.js

@@ -4,6 +4,8 @@ export * from "./ema.js";
 export * from "./hma.js";
 export * from "./macd.js";
 export * from "./momentum.js";
+export * from "./moving-maximum.js";
+export * from "./moving-minimum.js";
 export * from "./roc.js";
 export * from "./rsi.js";
 export * from "./sd.js";
@@ -12,5 +14,6 @@ export * from "./stochastic.js";
 export * from "./trix.js";
 export * from "./wma.js";
 export * from "./bounds.js";
+export * from "./deque.js";
 export * from "./dot.js";
 export * from "./mse.js";

package/moving-maximum.d.ts

@@ -0,0 +1,4 @@
+import type { Transducer } from "@thi.ng/transducers";
+export declare function movingMaximum(period: number): Transducer<number, number>;
+export declare function movingMaximum(period: number, src: Iterable<number>): IterableIterator<number>;
+//# sourceMappingURL=moving-maximum.d.ts.map

package/moving-maximum.js

@@ -0,0 +1,21 @@
+import { compR } from "@thi.ng/transducers/compr";
+import { iterator1 } from "@thi.ng/transducers/iterator";
+import { Deque } from "./deque.js";
+function movingMaximum(period, src) {
+  return src ? iterator1(movingMaximum(period), src) : (rfn) => {
+    const samples = [];
+    const deque = new Deque(samples, (a, b) => a <= b);
+    return compR(rfn, (acc, x) => {
+      const num = samples.push(x);
+      deque.add(x);
+      if (num > period) {
+        samples.shift();
+        deque.shift();
+      }
+      return num >= period ? rfn[2](acc, deque.head()) : acc;
+    });
+  };
+}
+export {
+  movingMaximum
+};

package/moving-minimum.d.ts

@@ -0,0 +1,4 @@
+import type { Transducer } from "@thi.ng/transducers";
+export declare function movingMinimum(period: number): Transducer<number, number>;
+export declare function movingMinimum(period: number, src: Iterable<number>): IterableIterator<number>;
+//# sourceMappingURL=moving-minimum.d.ts.map

package/moving-minimum.js

@@ -0,0 +1,21 @@
+import { compR } from "@thi.ng/transducers/compr";
+import { iterator1 } from "@thi.ng/transducers/iterator";
+import { Deque } from "./deque.js";
+function movingMinimum(period, src) {
+  return src ? iterator1(movingMinimum(period), src) : (rfn) => {
+    const samples = [];
+    const deque = new Deque(samples, (a, b) => a >= b);
+    return compR(rfn, (acc, x) => {
+      const num = samples.push(x);
+      deque.add(x);
+      if (num > period) {
+        samples.shift();
+        deque.shift();
+      }
+      return num >= period ? rfn[2](acc, deque.head()) : acc;
+    });
+  };
+}
+export {
+  movingMinimum
+};

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@thi.ng/transducers-stats",
-  "version": "2.1.136",
+  "version": "2.2.0",
   "description": "Transducers for statistical / technical analysis",
   "type": "module",
   "module": "./index.js",
@@ -36,6 +36,7 @@
     "tool:tangle": "../../node_modules/.bin/tangle src/**/*.ts"
   },
   "dependencies": {
+    "@thi.ng/api": "^8.11.11",
     "@thi.ng/checks": "^3.6.13",
     "@thi.ng/dcons": "^3.2.131",
     "@thi.ng/errors": "^2.5.17",
@@ -84,6 +85,9 @@
     "./bounds": {
       "default": "./bounds.js"
     },
+    "./deque": {
+      "default": "./deque.js"
+    },
     "./donchian": {
       "default": "./donchian.js"
     },
@@ -102,6 +106,12 @@
     "./momentum": {
       "default": "./momentum.js"
     },
+    "./moving-maximum": {
+      "default": "./moving-maximum.js"
+    },
+    "./moving-minimum": {
+      "default": "./moving-minimum.js"
+    },
     "./mse": {
       "default": "./mse.js"
     },
@@ -131,5 +141,5 @@
     "parent": "@thi.ng/transducers",
     "year": 2017
   },
-  "gitHead": "8301254c4436505a1fb0e3cc28eca3adb920c3e0\n"
+  "gitHead": "1148f3130b867c65141957b4b7617021d7ac7fc9\n"
 }