@vulcan-js/indicators 0.0.2 → 0.1.0-beta.1

package/README.md

@@ -1,6 +1,6 @@
 # @vulcan-js/indicators
 
-Technical analysis indicators for the [Vulcan](../../README.md) library, built on generator-based streaming with high-precision decimal arithmetic ([`dnum`](https://github.com/bpierre/dnum)).
+Technical analysis indicators for the [Vulcan](https://github.com/material-tech/vulcan) library, built on generator-based streaming with high-precision decimal arithmetic ([`dnum`](https://github.com/bpierre/dnum)).
 
 ## Installation
 
@@ -57,9 +57,17 @@ process(98)
 | Moving Min | `mmin` | `movingMin` |
 | Moving Sum | `msum` | — |
 | Parabolic SAR | `psar` | `parabolicSar` |
+| Qstick | `qstick` | `qstickIndicator` |
+| Random Index (KDJ) | `kdj` | `randomIndex` |
 | Rolling Moving Average | `rma` | `rollingMovingAverage` |
 | Simple Moving Average | `sma` | `simpleMovingAverage` |
+| Since Change | `since` | `sinceChange` |
+| Triple Exponential Average | `trix` | `tripleExponentialAverage` |
+| Triple Exponential Moving Average | `tema` | `tripleExponentialMovingAverage` |
 | Triangular Moving Average | `trima` | `triangularMovingAverage` |
+| Typical Price | `typicalPrice` | `typicalPriceIndicator` |
+| Volume Weighted Moving Average | `vwma` | `volumeWeightedMovingAverage` |
+| Vortex Indicator | `vortex` | `vortexIndicator` |
 
 ### Momentum
 
@@ -71,7 +79,10 @@ process(98)
 | Ichimoku Cloud | `ichimokuCloud` | — |
 | Percentage Price Oscillator | `ppo` | `percentagePriceOscillator` |
 | Relative Strength Index | `rsi` | `relativeStrengthIndex` |
+| Percentage Volume Oscillator | `pvo` | `percentageVolumeOscillator` |
+| Price Rate of Change | `roc` | `priceRateOfChange` |
 | Stochastic Oscillator | `stoch` | `stochasticOscillator` |
+| Williams %R | `willr` | `williamsR` |
 
 ### Volume
 

package/dist/index.d.ts

@@ -130,6 +130,70 @@ declare const ppo: _vulcan_js_core0.SignalGenerator<Numberish, {
   histogram: Dnum;
 }, PercentagePriceOscillatorOptions>;
 //#endregion
+//#region src/momentum/percentageVolumeOscillator.d.ts
+interface PercentageVolumeOscillatorOptions {
+  fastPeriod: number;
+  slowPeriod: number;
+  signalPeriod: number;
+}
+declare const defaultPercentageVolumeOscillatorOptions: PercentageVolumeOscillatorOptions;
+interface PercentageVolumeOscillatorPoint {
+  pvo: Dnum;
+  signal: Dnum;
+  histogram: Dnum;
+}
+/**
+ * Percentage Volume Oscillator (PVO)
+ *
+ * The Percentage Volume Oscillator (PVO) is a momentum oscillator that measures the difference
+ * between two volume-based moving averages as a percentage of the slower moving average.
+ * It consists of three components:
+ * - PVO Line: ((Fast EMA - Slow EMA) / Slow EMA) * 100
+ * - Signal Line: EMA of the PVO line
+ * - Histogram: PVO - Signal
+ *
+ * The PVO is essentially the same as the Percentage Price Oscillator (PPO), but applied
+ * to volume data instead of price data.
+ *
+ * Formula:
+ * - PVO = ((EMA(fastPeriod, volume) - EMA(slowPeriod, volume)) / EMA(slowPeriod, volume)) * 100
+ * - Signal = EMA(signalPeriod, PVO)
+ * - Histogram = PVO - Signal
+ *
+ * @param source - Iterable of volume values
+ * @param options - Configuration options
+ * @param options.fastPeriod - Period for the fast EMA (default: 12)
+ * @param options.slowPeriod - Period for the slow EMA (default: 26)
+ * @param options.signalPeriod - Period for the signal EMA (default: 9)
+ * @returns Generator yielding PVO point objects
+ */
+declare const pvo: _vulcan_js_core0.SignalGenerator<Numberish, {
+  pvo: Dnum;
+  signal: Dnum;
+  histogram: Dnum;
+}, PercentageVolumeOscillatorOptions>;
+//#endregion
+//#region src/momentum/priceRateOfChange.d.ts
+interface PriceRateOfChangeOptions {
+  period: number;
+}
+declare const defaultPriceRateOfChangeOptions: PriceRateOfChangeOptions;
+/**
+ * Price Rate of Change (ROC)
+ *
+ * The Price Rate of Change (ROC) is a momentum oscillator that measures the percentage change
+ * in price between the current price and the price n periods ago.
+ *
+ * Formula:
+ * - ROC = ((Current Price - Price n periods ago) / Price n periods ago) * 100
+ *
+ * @param source - Iterable of price values
+ * @param options - Configuration options
+ * @param options.period - Number of periods to look back (default: 12)
+ * @returns Generator yielding ROC values as Dnum
+ */
+declare const roc: _vulcan_js_core0.SignalGenerator<Numberish, Dnum, PriceRateOfChangeOptions>;
+//#endregion
 //#region src/momentum/relativeStrengthIndex.d.ts
 interface RSIOptions {
   period: number;
@@ -175,6 +239,37 @@ declare const stoch: _vulcan_js_core0.SignalGenerator<{
   d: Dnum;
 }, StochasticOscillatorOptions>;
 //#endregion
+//#region src/momentum/williamsR.d.ts
+interface WilliamsROptions {
+  /** Lookback period */
+  period: number;
+}
+declare const defaultWilliamsROptions: WilliamsROptions;
+/**
+ * Williams %R (WILLR)
+ *
+ * A momentum indicator that measures overbought and oversold conditions.
+ * It shows the relationship between the closing price and the highest high / lowest low
+ * over a specified period.
+ *
+ * Formula:
+ * - %R = -100 × (Highest High - Close) / (Highest High - Lowest Low)
+ *
+ * Range: -100 to 0
+ * - Above -20: Overbought
+ * - Below -80: Oversold
+ *
+ * @param source - Iterable of candle data with high, low, and close
+ * @param options - Configuration options
+ * @param options.period - Lookback period (default: 14)
+ * @returns Generator yielding Williams %R values as Dnum
+ */
+declare const willr: _vulcan_js_core0.SignalGenerator<{
+  h: dnum.Numberish;
+  l: dnum.Numberish;
+  c: dnum.Numberish;
+}, dnum.Dnum, WilliamsROptions>;
+//#endregion
 //#region src/trend/aroon.d.ts
 interface AroonOptions {
   period: number;
@@ -460,6 +555,99 @@ declare const psar: _vulcan_js_core0.SignalGenerator<{
   isUptrend: boolean;
 }, ParabolicSarOptions>;
 //#endregion
+//#region src/trend/qstick.d.ts
+interface QstickOptions {
+  /**
+   * The period for calculating the moving average of (Close - Open)
+   * @default 14
+   */
+  period: number;
+}
+declare const defaultQstickOptions: QstickOptions;
+/**
+ * Qstick Indicator
+ *
+ * Developed by Tushar Chande, the Qstick indicator measures the average
+ * difference between closing and opening prices over a specified period.
+ * It quantifies buying and selling pressure using a simple moving average
+ * of (Close - Open).
+ *
+ * Formula: Qstick = SMA(Close - Open, period)
+ *
+ * Interpretation:
+ * - Positive values indicate buying pressure (closes above opens)
+ * - Negative values indicate selling pressure (closes below opens)
+ * - Zero-line crossovers can signal trend changes
+ *
+ * @param source - Iterable of candle data with open and close prices
+ * @param options - Configuration options
+ * @param options.period - The period for the SMA calculation (default: 14)
+ * @returns Generator yielding Qstick values as Dnum
+ */
+declare const qstick: _vulcan_js_core0.SignalGenerator<{
+  c: dnum.Numberish;
+  o: dnum.Numberish;
+}, Dnum, QstickOptions>;
+//#endregion
+//#region src/trend/randomIndex.d.ts
+interface RandomIndexOptions {
+  /**
+   * The lookback period for calculating RSV (Raw Stochastic Value)
+   * @default 9
+   */
+  period: number;
+  /**
+   * The smoothing period for K line
+   * @default 3
+   */
+  kPeriod: number;
+  /**
+   * The smoothing period for D line
+   * @default 3
+   */
+  dPeriod: number;
+}
+declare const defaultRandomIndexOptions: RandomIndexOptions;
+interface KDJPoint {
+  k: Dnum;
+  d: Dnum;
+  j: Dnum;
+}
+/**
+ * Random Index (KDJ)
+ *
+ * An extension of the Stochastic Oscillator that adds a J line to amplify
+ * divergence between K and D. Uses exponential-weighted smoothing with
+ * initial K and D values set to 50.
+ *
+ * Formula:
+ *   RSV = (Close - LowestLow(period)) / (HighestHigh(period) - LowestLow(period)) × 100
+ *   K = ((kPeriod - 1) / kPeriod) × prevK + (1 / kPeriod) × RSV
+ *   D = ((dPeriod - 1) / dPeriod) × prevD + (1 / dPeriod) × K
+ *   J = 3K - 2D
+ *
+ * Interpretation:
+ * - K crossing above D is a bullish signal (golden cross)
+ * - K crossing below D is a bearish signal (death cross)
+ * - J below 0 indicates oversold, J above 100 indicates overbought
+ *
+ * @param source - Iterable of candle data with high, low, and close prices
+ * @param options - Configuration options
+ * @param options.period - The lookback period for RSV calculation (default: 9)
+ * @param options.kPeriod - The smoothing period for K line (default: 3)
+ * @param options.dPeriod - The smoothing period for D line (default: 3)
+ * @returns Generator yielding KDJPoint values with k, d, and j as Dnum
+ */
+declare const kdj: _vulcan_js_core0.SignalGenerator<{
+  h: dnum.Numberish;
+  l: dnum.Numberish;
+  c: dnum.Numberish;
+}, {
+  k: Dnum;
+  d: Dnum;
+  j: Dnum;
+}, RandomIndexOptions>;
+//#endregion
 //#region src/trend/rollingMovingAverage.d.ts
 interface RMAOptions {
   /**
@@ -502,6 +690,23 @@ declare const defaultSMAOptions: SimpleMovingAverageOptions;
  */
 declare const sma: _vulcan_js_core0.SignalGenerator<Numberish, Dnum, SimpleMovingAverageOptions>;
 //#endregion
+//#region src/trend/sinceChange.d.ts
+/**
+ * Since Change
+ *
+ * Counts the number of periods since the input value last changed.
+ * When the value changes, the counter resets to 0. When the value
+ * remains the same, the counter increments by 1 each period.
+ *
+ * Example:
+ *   Input:  [1, 1, 1, 2, 2, 3, 3, 3, 3]
+ *   Output: [0, 1, 2, 0, 1, 0, 1, 2, 3]
+ *
+ * @param source - Iterable of values
+ * @returns Generator yielding the number of periods since the last change
+ */
+declare const since: _vulcan_js_core0.SignalGenerator<Numberish, Dnum, Record<string, any>>;
+//#endregion
 //#region src/trend/triangularMovingAverage.d.ts
 interface TriangularMovingAverageOptions {
   period: number;
@@ -509,6 +714,128 @@ interface TriangularMovingAverageOptions {
 declare const defaultTriangularMovingAverageOptions: TriangularMovingAverageOptions;
 declare const trima: _vulcan_js_core0.SignalGenerator<Numberish, dnum.Dnum, TriangularMovingAverageOptions>;
 //#endregion
+//#region src/trend/tripleExponentialAverage.d.ts
+interface TripleExponentialAverageOptions {
+  period: number;
+}
+declare const defaultTripleExponentialAverageOptions: TripleExponentialAverageOptions;
+/**
+ * Triple Exponential Average (TRIX)
+ *
+ * TRIX is a momentum oscillator that displays the percentage rate of change
+ * of a triple exponentially smoothed moving average. It oscillates around zero,
+ * filtering out insignificant price movements.
+ *
+ * TRIX = (EMA3_current - EMA3_previous) / EMA3_previous * 100
+ *
+ * Where EMA3 = EMA(EMA(EMA(source, period), period), period)
+ *
+ * @param source - Iterable of input values
+ * @param options - Configuration options
+ * @param options.period - The lookback period (default: 15)
+ * @returns Generator yielding TRIX values as percentages
+ */
+declare const trix: _vulcan_js_core0.SignalGenerator<Numberish, Dnum, TripleExponentialAverageOptions>;
+//#endregion
+//#region src/trend/tripleExponentialMovingAverage.d.ts
+interface TripleExponentialMovingAverageOptions {
+  period: number;
+}
+declare const defaultTripleExponentialMovingAverageOptions: TripleExponentialMovingAverageOptions;
+/**
+ * Triple Exponential Moving Average (TEMA)
+ *
+ * TEMA further reduces lag compared to DEMA by applying the formula:
+ * TEMA = 3 * EMA(data, period) - 3 * EMA(EMA(data, period), period) + EMA(EMA(EMA(data, period), period), period)
+ *
+ * @param source - Iterable of input values
+ * @param options - Configuration options
+ * @param options.period - The lookback period (default: 12)
+ * @returns Generator yielding TEMA values
+ */
+declare const tema: _vulcan_js_core0.SignalGenerator<Numberish, dnum.Dnum, TripleExponentialMovingAverageOptions>;
+//#endregion
+//#region src/trend/typicalPrice.d.ts
+/**
+ * Typical Price
+ *
+ * The Typical Price is a simple average of the high, low, and close prices
+ * for a given period. It provides a single representative price for each bar
+ * and is commonly used as input for other indicators such as CCI and MFI.
+ *
+ * Formula: Typical Price = (High + Low + Close) / 3
+ *
+ * @param source - Iterable of candle data with high, low, and close prices
+ * @returns Generator yielding Typical Price values as Dnum
+ */
+declare const typicalPrice: _vulcan_js_core0.SignalGenerator<{
+  h: dnum.Numberish;
+  l: dnum.Numberish;
+  c: dnum.Numberish;
+}, dnum.Dnum, Record<string, any>>;
+//#endregion
+//#region src/trend/volumeWeightedMovingAverage.d.ts
+interface VwmaOptions {
+  /**
+   * The number of periods for calculating the volume weighted moving average
+   * @default 20
+   */
+  period: number;
+}
+declare const defaultVwmaOptions: VwmaOptions;
+/**
+ * Volume Weighted Moving Average (VWMA)
+ *
+ * VWMA weights each price by its corresponding volume, giving more
+ * influence to prices with higher trading activity. It is useful for
+ * confirming trends and identifying divergences between price and volume.
+ *
+ * Formula: VWMA = Sum(Close × Volume, period) / Sum(Volume, period)
+ *
+ * Interpretation:
+ * - When VWMA is below price, it suggests bullish sentiment (higher volume at higher prices)
+ * - When VWMA is above price, it suggests bearish sentiment (higher volume at lower prices)
+ * - Crossovers with SMA can signal volume-confirmed trend changes
+ *
+ * @param source - Iterable of candle data with close price and volume
+ * @param options - Configuration options
+ * @param options.period - The number of periods (default: 20)
+ * @returns Generator yielding VWMA values as Dnum
+ */
+declare const vwma: _vulcan_js_core0.SignalGenerator<{
+  c: dnum.Numberish;
+  v: dnum.Numberish;
+}, Dnum, VwmaOptions>;
+//#endregion
+//#region src/trend/vortex.d.ts
+interface VortexOptions {
+  period: number;
+}
+declare const defaultVortexOptions: VortexOptions;
+interface VortexPoint {
+  plus: Dnum;
+  minus: Dnum;
+}
+/**
+ * Vortex Indicator (VI)
+ *
+ * Identifies trend direction and potential reversals using two oscillating lines (VI+ and VI-).
+ *
+ * VM+(i) = |High(i) - Low(i-1)|
+ * VM-(i) = |Low(i) - High(i-1)|
+ * TR(i) = max(High(i) - Low(i), |High(i) - Close(i-1)|, |Low(i) - Close(i-1)|)
+ * VI+ = SUM(VM+, period) / SUM(TR, period)
+ * VI- = SUM(VM-, period) / SUM(TR, period)
+ */
+declare const vortex: _vulcan_js_core0.SignalGenerator<{
+  h: dnum.Numberish;
+  l: dnum.Numberish;
+  c: dnum.Numberish;
+}, {
+  plus: Dnum;
+  minus: Dnum;
+}, VortexOptions>;
+//#endregion
 //#region src/volume/accumulationDistribution.d.ts
 /**
  * Accumulation/Distribution Indicator (A/D). Cumulative indicator
@@ -526,5 +853,5 @@ declare const ad: _vulcan_js_core0.SignalGenerator<{
   v: dnum.Numberish;
 }, Dnum, Record<string, any>>;
 //#endregion
-export { AbsolutePriceOscillatorOptions, AroonOptions, AroonPoint, AwesomeOscillatorOptions, ChaikinOscillatorOptions, ChandeForecastOscillatorOptions, CommodityChannelIndexOptions, DoubleExponentialMovingAverageOptions, ExponentialMovingAverageOptions, IchimokuCloudOptions, IchimokuCloudPoint, MACDOptions, MACDPoint, MassIndexOptions, MovingMaxOptions, MovingMinOptions, MovingSumOptions, PSARPoint, ParabolicSarOptions, PercentagePriceOscillatorOptions, PercentagePriceOscillatorPoint, RMAOptions, RSIOptions, SimpleMovingAverageOptions, StochPoint, StochasticOscillatorOptions, TriangularMovingAverageOptions, apo as absolutePriceOscillator, apo, ad as accumulationDistribution, ad, ao, ao as awesomeOscillator, aroon, bop as balanceOfPower, bop, cci, cci as commodityChannelIndex, cfo, cfo as chandeForecastOscillator, cmo as chaikinOscillator, cmo, defaultAbsolutePriceOscillatorOptions, defaultAroonOptions, defaultAwesomeOscillatorOptions, defaultCCIOptions, defaultCFOOptions, defaultChaikinOscillatorOptions, defaultDoubleExponentialMovingAverageOptions, defaultExponentialMovingAverageOptions, defaultIchimokuCloudOptions, defaultMACDOptions, defaultMassIndexOptions, defaultMovingMaxOptions, defaultMovingMinOptions, defaultMovingSumOptions, defaultParabolicSarOptions, defaultPercentagePriceOscillatorOptions, defaultRMAOptions, defaultRSIOptions, defaultSMAOptions, defaultStochasticOscillatorOptions, defaultTriangularMovingAverageOptions, dema, dema as doubleExponentialMovingAverage, ema, ema as exponentialMovingAverage, ichimokuCloud, macd, macd as movingAverageConvergenceDivergence, mi as massIndex, mi, mmax, mmax as movingMax, mmin, mmin as movingMin, msum, psar as parabolicSar, psar, ppo as percentagePriceOscillator, ppo, rsi as relativeStrengthIndex, rsi, rma, rma as rollingMovingAverage, sma as simpleMovingAverage, sma, stoch, stoch as stochasticOscillator, trima as triangularMovingAverage, trima };
+export { AbsolutePriceOscillatorOptions, AroonOptions, AroonPoint, AwesomeOscillatorOptions, ChaikinOscillatorOptions, ChandeForecastOscillatorOptions, CommodityChannelIndexOptions, DoubleExponentialMovingAverageOptions, ExponentialMovingAverageOptions, IchimokuCloudOptions, IchimokuCloudPoint, KDJPoint, MACDOptions, MACDPoint, MassIndexOptions, MovingMaxOptions, MovingMinOptions, MovingSumOptions, PSARPoint, ParabolicSarOptions, PercentagePriceOscillatorOptions, PercentagePriceOscillatorPoint, PercentageVolumeOscillatorOptions, PercentageVolumeOscillatorPoint, PriceRateOfChangeOptions, QstickOptions, RMAOptions, RSIOptions, RandomIndexOptions, SimpleMovingAverageOptions, StochPoint, StochasticOscillatorOptions, TriangularMovingAverageOptions, TripleExponentialAverageOptions, TripleExponentialMovingAverageOptions, VortexOptions, VortexPoint, VwmaOptions, WilliamsROptions, apo as absolutePriceOscillator, apo, ad as accumulationDistribution, ad, ao, ao as awesomeOscillator, aroon, bop as balanceOfPower, bop, cci, cci as commodityChannelIndex, cfo, cfo as chandeForecastOscillator, cmo as chaikinOscillator, cmo, defaultAbsolutePriceOscillatorOptions, defaultAroonOptions, defaultAwesomeOscillatorOptions, defaultCCIOptions, defaultCFOOptions, defaultChaikinOscillatorOptions, defaultDoubleExponentialMovingAverageOptions, defaultExponentialMovingAverageOptions, defaultIchimokuCloudOptions, defaultMACDOptions, defaultMassIndexOptions, defaultMovingMaxOptions, defaultMovingMinOptions, defaultMovingSumOptions, defaultParabolicSarOptions, defaultPercentagePriceOscillatorOptions, defaultPercentageVolumeOscillatorOptions, defaultPriceRateOfChangeOptions, defaultQstickOptions, defaultRMAOptions, defaultRSIOptions, defaultRandomIndexOptions, defaultSMAOptions, defaultStochasticOscillatorOptions, defaultTriangularMovingAverageOptions, defaultTripleExponentialAverageOptions, defaultTripleExponentialMovingAverageOptions, defaultVortexOptions, defaultVwmaOptions, defaultWilliamsROptions, dema, dema as doubleExponentialMovingAverage, ema, ema as exponentialMovingAverage, ichimokuCloud, kdj, kdj as randomIndex, macd, macd as movingAverageConvergenceDivergence, mi as massIndex, mi, mmax, mmax as movingMax, mmin, mmin as movingMin, msum, psar as parabolicSar, psar, ppo as percentagePriceOscillator, ppo, pvo as percentageVolumeOscillator, pvo, roc as priceRateOfChange, roc, qstick, qstick as qstickIndicator, rsi as relativeStrengthIndex, rsi, rma, rma as rollingMovingAverage, sma as simpleMovingAverage, sma, since, since as sinceChange, stoch, stoch as stochasticOscillator, tema, tema as tripleExponentialMovingAverage, trima as triangularMovingAverage, trima, trix as tripleExponentialAverage, trix, typicalPrice, typicalPrice as typicalPriceIndicator, vwma as volumeWeightedMovingAverage, vwma, vortex, vortex as vortexIndicator, willr as williamsR, willr };
 //# sourceMappingURL=index.d.ts.map