@tradingaction/indicators 2.0.1

package/LICENSE

@@ -0,0 +1,24 @@
+The MIT License (MIT)
+https://github.com/reactivemarkets/react-financial-charts
+
+Copyright (c) 2015-2018 Ragu Ramaswamy
+Copyright (c) 2016 Julien Renaux
+Copyright (c) 2019 Reactive Markets
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.

package/README.md

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+# Indicators
+
+```bash
+npm i @tradingaction/indicators
+```

package/lib/calculator/atr.d.ts

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+export interface ATROptions {
+    readonly windowSize: number;
+}
+export interface ATRSource {
+    readonly close: number;
+    readonly high: number;
+    readonly low: number;
+    readonly open: number;
+}
+export interface ATRCalculator {
+    (data: any[]): any;
+    undefinedLength(): number;
+    options(): ATROptions;
+    options(newOptions: ATROptions): ATRCalculator;
+    source(): (d: any) => ATRSource;
+    source(newSource: (d: any) => ATRSource): ATRCalculator;
+}
+export default function (): ATRCalculator;

package/lib/calculator/atr.js

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+import { sum } from "d3-array";
+import { slidingWindow } from "../utils";
+import { ATR as defaultOptions } from "./defaultOptionsForComputation";
+export default function () {
+    let options = defaultOptions;
+    let source = (d) => ({ open: d.open, high: d.high, low: d.low, close: d.close });
+    const calculator = (data) => {
+        const { windowSize } = options;
+        const trueRangeAlgorithm = slidingWindow()
+            .windowSize(2)
+            .source(source)
+            .undefinedValue((d) => d.high - d.low) // the first TR value is simply the High minus the Low
+            .accumulator((values) => {
+            const prev = values[0];
+            const d = values[1];
+            return Math.max(d.high - d.low, d.high - prev.close, d.low - prev.close);
+        });
+        let prevATR;
+        const atrAlgorithm = slidingWindow()
+            .skipInitial(1) // trueRange starts from index 1 so ATR starts from 1
+            .windowSize(windowSize)
+            .accumulator((values) => {
+            const tr = values[values.length - 1];
+            const atr = prevATR !== undefined ? (prevATR * (windowSize - 1) + tr) / windowSize : sum(values) / windowSize;
+            prevATR = atr;
+            return atr;
+        });
+        const newData = atrAlgorithm(trueRangeAlgorithm(data));
+        return newData;
+    };
+    calculator.undefinedLength = () => {
+        const { windowSize } = options;
+        return windowSize - 1;
+    };
+    calculator.options = (newOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
+        return calculator;
+    };
+    calculator.source = (newSource) => {
+        if (newSource === undefined) {
+            return source;
+        }
+        source = newSource;
+        return calculator;
+    };
+    return calculator;
+}
+//# sourceMappingURL=atr.js.map

package/lib/calculator/atr.js.map

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package/lib/calculator/bollingerband.d.ts

@@ -0,0 +1,14 @@
+export interface BollingerBandOptions {
+    readonly windowSize: number;
+    readonly sourcePath: string;
+    readonly multiplier: number;
+    readonly movingAverageType: string;
+}
+interface BollingerBandCalculator {
+    (data: any[]): any;
+    undefinedLength(): number;
+    options(): BollingerBandOptions;
+    options(newOptions: BollingerBandOptions): BollingerBandCalculator;
+}
+export default function (): BollingerBandCalculator;
+export {};

package/lib/calculator/bollingerband.js

@@ -0,0 +1,72 @@
+/*
+https://github.com/ScottLogic/d3fc/blob/master/src/indicator/algorithm/calculator/bollingerBands.js
+
+The MIT License (MIT)
+
+Copyright (c) 2014-2015 Scott Logic Ltd.
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.
+*/
+import { deviation, mean } from "d3-array";
+import { path, slidingWindow, zipper } from "../utils";
+import ema from "./ema";
+import { BollingerBand as defaultOptions } from "./defaultOptionsForComputation";
+export default function () {
+    let options = defaultOptions;
+    const calculator = (data) => {
+        const { windowSize, multiplier, movingAverageType, sourcePath } = options;
+        const source = path(sourcePath);
+        const meanAlgorithm = movingAverageType === "ema"
+            ? ema().options({ windowSize, sourcePath })
+            : slidingWindow()
+                .windowSize(windowSize)
+                .accumulator((values) => mean(values))
+                .sourcePath(sourcePath);
+        const bollingerBandAlgorithm = slidingWindow()
+            .windowSize(windowSize)
+            .accumulator((values) => {
+            const avg = values[values.length - 1].mean;
+            const stdDev = deviation(values, (each) => source(each.datum));
+            if (stdDev === undefined) {
+                return undefined;
+            }
+            return {
+                top: avg + multiplier * stdDev,
+                middle: avg,
+                bottom: avg - multiplier * stdDev,
+            };
+        });
+        const zip = zipper().combine((datum, meanValue) => ({ datum, mean: meanValue }));
+        const tuples = zip(data, meanAlgorithm(data));
+        return bollingerBandAlgorithm(tuples);
+    };
+    calculator.undefinedLength = () => {
+        const { windowSize } = options;
+        return windowSize - 1;
+    };
+    calculator.options = (newOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
+        return calculator;
+    };
+    return calculator;
+}
+//# sourceMappingURL=bollingerband.js.map

package/lib/calculator/bollingerband.js.map

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package/lib/calculator/change.d.ts

@@ -0,0 +1,14 @@
+export interface ChangeOptions {
+    readonly sourcePath: string;
+    readonly basePath: string;
+    readonly mainKeys: string[];
+    readonly compareKeys: string[];
+}
+interface ChangeCalculator {
+    (data: any[]): any;
+    undefinedLength(): number;
+    options(): ChangeOptions;
+    options(newOptions: ChangeOptions): ChangeCalculator;
+}
+export default function (): ChangeCalculator;
+export {};

package/lib/calculator/change.js

@@ -0,0 +1,30 @@
+import { slidingWindow } from "../utils";
+import { Change as defaultOptions } from "./defaultOptionsForComputation";
+export default function () {
+    let options = defaultOptions;
+    const calculator = (data) => {
+        const { sourcePath } = options;
+        const algo = slidingWindow()
+            .windowSize(2)
+            .sourcePath(sourcePath)
+            .accumulator(([prev, curr]) => {
+            const absoluteChange = curr - prev;
+            const percentChange = (absoluteChange * 100) / prev;
+            return { absoluteChange, percentChange };
+        });
+        const newData = algo(data);
+        return newData;
+    };
+    calculator.undefinedLength = () => {
+        return 1;
+    };
+    calculator.options = (newOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
+        return calculator;
+    };
+    return calculator;
+}
+//# sourceMappingURL=change.js.map

package/lib/calculator/change.js.map

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package/lib/calculator/compare.d.ts

@@ -0,0 +1,10 @@
+export interface CompareOptions {
+    readonly basePath: string;
+    readonly compareKeys: string[];
+    readonly mainKeys: string[];
+    readonly sourcePath?: string;
+}
+export default function (): {
+    (data: any[]): {}[];
+    options(newOptions?: CompareOptions): CompareOptions | any;
+};

package/lib/calculator/compare.js

@@ -0,0 +1,50 @@
+import { path } from "../utils";
+import { Change as defaultOptions } from "./defaultOptionsForComputation";
+export default function () {
+    let options = defaultOptions;
+    const calculator = (data) => {
+        const { basePath, mainKeys, compareKeys } = options;
+        const base = path(basePath);
+        const first = data[0];
+        const b = base(first);
+        const firsts = {};
+        const compareData = data.map((d) => {
+            const result = {};
+            mainKeys.forEach((key) => {
+                if (typeof d[key] === "object") {
+                    // @ts-ignore
+                    result[key] = {};
+                    Object.keys(d[key]).forEach((subkey) => {
+                        // @ts-ignore
+                        result[key][subkey] = (d[key][subkey] - b) / b;
+                    });
+                }
+                else {
+                    // @ts-ignore
+                    result[key] = (d[key] - b) / b;
+                }
+            });
+            compareKeys.forEach((key) => {
+                if (d[key] !== undefined && firsts[key] === undefined) {
+                    // @ts-ignore
+                    firsts[key] = d[key];
+                }
+                if (d[key] !== undefined && firsts[key] !== undefined) {
+                    // @ts-ignore
+                    result[key] = (d[key] - firsts[key]) / firsts[key];
+                }
+            });
+            return result;
+        });
+        return compareData;
+    };
+    calculator.options = (newOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
+        return calculator;
+    };
+    return calculator;
+}
+//# sourceMappingURL=compare.js.map

package/lib/calculator/compare.js.map

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package/lib/calculator/defaultOptionsForComputation.d.ts

@@ -0,0 +1,91 @@
+export declare const BollingerBand: {
+    windowSize: number;
+    sourcePath: string;
+    multiplier: number;
+    movingAverageType: string;
+};
+export declare const ATR: {
+    windowSize: number;
+};
+export declare const ForceIndex: {
+    sourcePath: string;
+    volumePath: string;
+};
+export declare const SmoothedForceIndex: {
+    sourcePath: string;
+    volumePath: string;
+    smoothingType: string;
+    smoothingWindow: number;
+};
+export declare const Change: {
+    sourcePath: string;
+    basePath: string;
+    mainKeys: never[];
+    compareKeys: never[];
+};
+export declare const Compare: {
+    basePath: string;
+    mainKeys: string[];
+    compareKeys: never[];
+};
+export declare const ElderRay: {
+    windowSize: number;
+    sourcePath: string;
+    movingAverageType: string;
+};
+export declare const ElderImpulse: {
+    sourcePath: string;
+};
+export declare const SAR: {
+    accelerationFactor: number;
+    maxAccelerationFactor: number;
+};
+export declare const MACD: {
+    fast: number;
+    slow: number;
+    signal: number;
+    sourcePath: string;
+};
+export declare const FullStochasticOscillator: {
+    windowSize: number;
+    kWindowSize: number;
+    dWindowSize: number;
+};
+export declare const RSI: {
+    windowSize: number;
+    sourcePath: string;
+};
+export declare const EMA: {
+    sourcePath: string;
+    windowSize: number;
+};
+export declare const SMA: {
+    sourcePath: string;
+    windowSize: number;
+};
+export declare const WMA: {
+    sourcePath: string;
+    windowSize: number;
+};
+export declare const TMA: {
+    sourcePath: string;
+    windowSize: number;
+};
+export declare const Kagi: {
+    reversalType: string;
+    windowSize: number;
+    reversal: number;
+    sourcePath: string;
+};
+export declare const Renko: {
+    reversalType: string;
+    windowSize: number;
+    fixedBrickSize: number;
+    sourcePath: string;
+    percentage: number;
+};
+export declare const PointAndFigure: {
+    boxSize: number;
+    reversal: number;
+    sourcePath: string;
+};

package/lib/calculator/defaultOptionsForComputation.js

@@ -0,0 +1,100 @@
+export const BollingerBand = {
+    windowSize: 20,
+    // source: d => d.close, // "high", "low", "open", "close"
+    sourcePath: "close",
+    multiplier: 2,
+    movingAverageType: "sma",
+};
+export const ATR = {
+    windowSize: 14,
+};
+export const ForceIndex = {
+    sourcePath: "close",
+    volumePath: "volume",
+};
+export const SmoothedForceIndex = {
+    sourcePath: "close",
+    volumePath: "volume",
+    smoothingType: "ema",
+    smoothingWindow: 13,
+};
+export const Change = {
+    sourcePath: "close",
+    basePath: "close",
+    mainKeys: [],
+    compareKeys: [],
+};
+export const Compare = {
+    basePath: "close",
+    mainKeys: ["open", "high", "low", "close"],
+    compareKeys: [],
+};
+export const ElderRay = {
+    windowSize: 13,
+    // source: d => d.close, // "high", "low", "open", "close"
+    sourcePath: "close",
+    movingAverageType: "sma",
+};
+export const ElderImpulse = {
+    sourcePath: "close", // "high", "low", "open", "close"
+};
+export const SAR = {
+    accelerationFactor: 0.02,
+    maxAccelerationFactor: 0.2,
+};
+export const MACD = {
+    fast: 12,
+    slow: 26,
+    signal: 9,
+    // source: d => d.close, // "high", "low", "open", "close"
+    sourcePath: "close",
+};
+export const FullStochasticOscillator = {
+    windowSize: 12,
+    kWindowSize: 3,
+    dWindowSize: 3,
+};
+export const RSI = {
+    windowSize: 14,
+    // source: d => d.close, // "high", "low", "open", "close"
+    sourcePath: "close", // "high", "low", "open", "close"
+};
+export const EMA = {
+    // source: d => d.close, // "high", "low", "open", "close"
+    sourcePath: "close",
+    windowSize: 10,
+};
+export const SMA = {
+    // source: d => d.close, // "high", "low", "open", "close"
+    sourcePath: "close",
+    windowSize: 10,
+};
+export const WMA = {
+    // source: d => d.close, // "high", "low", "open", "close"
+    sourcePath: "close",
+    windowSize: 10,
+};
+export const TMA = {
+    // source: d => d.close, // "high", "low", "open", "close"
+    sourcePath: "close",
+    windowSize: 10,
+};
+export const Kagi = {
+    reversalType: "ATR",
+    windowSize: 14,
+    reversal: 2,
+    sourcePath: "close", // "high", "low", "open", "close"
+};
+export const Renko = {
+    reversalType: "ATR",
+    windowSize: 14,
+    fixedBrickSize: 2,
+    sourcePath: "high/low",
+    percentage: 1,
+};
+export const PointAndFigure = {
+    boxSize: 0.5,
+    reversal: 3,
+    sourcePath: "high/low", // "close", "high/low"
+};
+//# sourceMappingURL=defaultOptionsForComputation.js.map

package/lib/calculator/defaultOptionsForComputation.js.map

@@ -0,0 +1 @@
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package/lib/calculator/elderRay.d.ts

@@ -0,0 +1,23 @@
+export interface ElderRayOptions {
+    readonly movingAverageType: string;
+    readonly sourcePath: string;
+    readonly windowSize: number;
+}
+export default function (): {
+    (data: any[]): {
+        bullPower: number | undefined;
+        bearPower: number | undefined;
+    }[];
+    undefinedLength(): number;
+    ohlc(ohlcAccessor?: ((d: any) => any) | undefined): ((d: any) => {
+        open: any;
+        high: any;
+        low: any;
+        close: any;
+    }) | any;
+    options(newOptions?: ElderRayOptions): {
+        windowSize: number;
+        sourcePath: string;
+        movingAverageType: string;
+    } | any;
+};

package/lib/calculator/elderRay.js

@@ -0,0 +1,69 @@
+/*
+https://github.com/ScottLogic/d3fc/blob/master/src/indicator/algorithm/calculator/elderRay.js
+
+The MIT License (MIT)
+
+Copyright (c) 2014-2015 Scott Logic Ltd.
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in
+all copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+THE SOFTWARE.
+*/
+import { mean, zip } from "d3-array";
+import { slidingWindow } from "../utils";
+import ema from "./ema";
+import { ElderRay as defaultOptions } from "./defaultOptionsForComputation";
+export default function () {
+    let options = defaultOptions;
+    let ohlc = (d) => ({ open: d.open, high: d.high, low: d.low, close: d.close });
+    const calculator = (data) => {
+        const { windowSize, sourcePath, movingAverageType } = options;
+        const meanAlgorithm = movingAverageType === "ema"
+            ? ema().options({ windowSize, sourcePath })
+            : slidingWindow()
+                .windowSize(windowSize)
+                .accumulator((values) => mean(values))
+                .sourcePath(sourcePath);
+        return zip(data, meanAlgorithm(data)).map((d) => {
+            const datum = d[0];
+            const meanValue = d[1];
+            const bullPower = meanValue !== undefined ? ohlc(datum).high - meanValue : undefined;
+            const bearPower = meanValue !== undefined ? ohlc(datum).low - meanValue : undefined;
+            return { bullPower, bearPower };
+        });
+    };
+    calculator.undefinedLength = () => {
+        const { windowSize } = options;
+        return windowSize - 1;
+    };
+    calculator.ohlc = (ohlcAccessor) => {
+        if (ohlcAccessor === undefined) {
+            return ohlc;
+        }
+        ohlc = ohlcAccessor;
+        return calculator;
+    };
+    calculator.options = (newOptions) => {
+        if (newOptions === undefined) {
+            return options;
+        }
+        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
+        return calculator;
+    };
+    return calculator;
+}
+//# sourceMappingURL=elderRay.js.map

package/lib/calculator/elderRay.js.map

@@ -0,0 +1 @@
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package/lib/calculator/ema.d.ts

@@ -0,0 +1,12 @@
+export interface EMAOptions {
+    readonly windowSize: number;
+    readonly sourcePath?: string;
+}
+interface EMACalculator {
+    (data: any[]): (number | undefined)[];
+    undefinedLength(): number;
+    options(): EMAOptions;
+    options(newOptions: EMAOptions): EMACalculator;
+}
+export default function (): EMACalculator;
+export {};