@vulcan-js/indicators 0.1.0-beta.2 → 0.1.0

package/README.md

@@ -48,17 +48,15 @@ process(98)
 | Aroon Indicator | `aroon` | — |
 | Balance of Power | `bop` | `balanceOfPower` |
 | Chande Forecast Oscillator | `cfo` | `chandeForecastOscillator` |
-| Commodity Channel Index | `cci` | `commodityChannelIndex` |
 | Double Exponential Moving Average | `dema` | `doubleExponentialMovingAverage` |
 | Exponential Moving Average | `ema` | `exponentialMovingAverage` |
-| Mass Index | `mi` | `massIndex` |
+| Ichimoku Cloud | `ichimokuCloud` | — |
 | MACD | `macd` | `movingAverageConvergenceDivergence` |
 | Moving Max | `mmax` | `movingMax` |
 | 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` |
@@ -68,6 +66,10 @@ process(98)
 | Typical Price | `typicalPrice` | `typicalPriceIndicator` |
 | Volume Weighted Moving Average | `vwma` | `volumeWeightedMovingAverage` |
 | Vortex Indicator | `vortex` | `vortexIndicator` |
+| ADX/DMI | — | _TODO_ |
+| SuperTrend | — | _TODO_ |
+| ALMA | — | _TODO_ |
+| ZigZag | — | _TODO_ |
 
 ### Momentum
 
@@ -76,19 +78,38 @@ process(98)
 | Absolute Price Oscillator | `apo` | `absolutePriceOscillator` |
 | Awesome Oscillator | `ao` | `awesomeOscillator` |
 | Chaikin Oscillator | `cmo` | `chaikinOscillator` |
-| Ichimoku Cloud | `ichimokuCloud` | — |
+| Commodity Channel Index | `cci` | `commodityChannelIndex` |
 | Percentage Price Oscillator | `ppo` | `percentagePriceOscillator` |
-| Relative Strength Index | `rsi` | `relativeStrengthIndex` |
 | Percentage Volume Oscillator | `pvo` | `percentageVolumeOscillator` |
 | Price Rate of Change | `roc` | `priceRateOfChange` |
+| Random Index (KDJ) | `kdj` | `randomIndex` |
+| Relative Strength Index | `rsi` | `relativeStrengthIndex` |
 | Stochastic Oscillator | `stoch` | `stochasticOscillator` |
 | Williams %R | `willr` | `williamsR` |
+| Money Flow Index | — | _TODO_ |
+| Ultimate Oscillator | — | _TODO_ |
+| True Strength Index | — | _TODO_ |
+
+### Volatility
+
+| Indicator | Function | Alias |
+| --- | --- | --- |
+| Mass Index | `mi` | `massIndex` |
+| Average True Range | — | _TODO_ |
+| Bollinger Bands | — | _TODO_ |
+| Keltner Channels | — | _TODO_ |
+| Donchian Channels | — | _TODO_ |
+| Standard Deviation | — | _TODO_ |
 
 ### Volume
 
 | Indicator | Function | Alias |
 | --- | --- | --- |
 | Accumulation/Distribution | `ad` | `accumulationDistribution` |
+| On-Balance Volume | — | _TODO_ |
+| VWAP | — | _TODO_ |
+| Force Index | — | _TODO_ |
+| Ease of Movement | — | _TODO_ |
 
 ## License
 

package/dist/index.d.ts

@@ -49,47 +49,38 @@ declare const cmo: _vulcan_js_core0.SignalGenerator<{
   v: dnum.Numberish;
 }, dnum.Dnum, ChaikinOscillatorOptions>;
 //#endregion
-//#region src/momentum/ichimokuCloud.d.ts
-interface IchimokuCloudOptions {
-  /** Conversion line period */
-  conversionPeriod: number;
-  /** Base line period */
-  basePeriod: number;
-  /** Leading span B period */
-  leadingBPeriod: number;
-}
-declare const defaultIchimokuCloudOptions: IchimokuCloudOptions;
-interface IchimokuCloudPoint {
-  conversion: Dnum;
-  base: Dnum;
-  leadingA: Dnum;
-  leadingB: Dnum;
-  lagging: Dnum;
+//#region src/momentum/commodityChannelIndex.d.ts
+interface CommodityChannelIndexOptions {
+  /**
+   * The period for CCI calculation
+   * @default 20
+   */
+  period: number;
 }
+declare const defaultCCIOptions: CommodityChannelIndexOptions;
 /**
- * Ichimoku Cloud (Ichimoku Kinko Hyo)
+ * Commodity Channel Index (CCI)
  *
- * Computes raw values for each component. Displacement (shifting
- * Leading Spans forward and Lagging Span backward on the chart)
- * is a presentation concern left to the consumer.
+ * Developed by Donald Lambert in 1980, CCI measures the deviation of the
+ * typical price from its simple moving average, normalized by mean deviation.
+ * The constant 0.015 ensures approximately 70-80% of CCI values fall between
+ * +100 and -100.
  *
- * - Conversion (Tenkan-sen): (highest high + lowest low) / 2 over conversionPeriod
- * - Base (Kijun-sen): (highest high + lowest low) / 2 over basePeriod
- * - Leading Span A (Senkou A): (conversion + base) / 2
- * - Leading Span B (Senkou B): (highest high + lowest low) / 2 over leadingBPeriod
- * - Lagging (Chikou): current close price
+ * Formula:
+ *   TP = (High + Low + Close) / 3
+ *   CCI = (TP - SMA(TP, period)) / (0.015 * Mean Deviation)
+ *   Mean Deviation = SUM(|TP_i - SMA|) / period
+ *
+ * @param source - Iterable of OHLC candle data
+ * @param options - Configuration options
+ * @param options.period - The period for CCI calculation (default: 20)
+ * @returns Generator yielding CCI values
  */
-declare const ichimokuCloud: _vulcan_js_core0.SignalGenerator<{
+declare const cci: _vulcan_js_core0.SignalGenerator<{
   h: dnum.Numberish;
   l: dnum.Numberish;
   c: dnum.Numberish;
-}, {
-  conversion: Dnum;
-  base: Dnum;
-  leadingA: Dnum;
-  leadingB: Dnum;
-  lagging: Dnum;
-}, IchimokuCloudOptions>;
+}, Dnum, CommodityChannelIndexOptions>;
 //#endregion
 //#region src/momentum/percentagePriceOscillator.d.ts
 interface PercentagePriceOscillatorOptions {
@@ -194,6 +185,65 @@ declare const defaultPriceRateOfChangeOptions: PriceRateOfChangeOptions;
  */
 declare const roc: _vulcan_js_core0.SignalGenerator<Numberish, Dnum, PriceRateOfChangeOptions>;
 //#endregion
+//#region src/momentum/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/momentum/relativeStrengthIndex.d.ts
 interface RSIOptions {
   period: number;
@@ -330,39 +380,6 @@ declare const defaultCFOOptions: ChandeForecastOscillatorOptions;
  */
 declare const cfo: _vulcan_js_core0.SignalGenerator<Numberish, Dnum, ChandeForecastOscillatorOptions>;
 //#endregion
-//#region src/trend/commodityChannelIndex.d.ts
-interface CommodityChannelIndexOptions {
-  /**
-   * The period for CCI calculation
-   * @default 20
-   */
-  period: number;
-}
-declare const defaultCCIOptions: CommodityChannelIndexOptions;
-/**
- * Commodity Channel Index (CCI)
- *
- * Developed by Donald Lambert in 1980, CCI measures the deviation of the
- * typical price from its simple moving average, normalized by mean deviation.
- * The constant 0.015 ensures approximately 70-80% of CCI values fall between
- * +100 and -100.
- *
- * Formula:
- *   TP = (High + Low + Close) / 3
- *   CCI = (TP - SMA(TP, period)) / (0.015 * Mean Deviation)
- *   Mean Deviation = SUM(|TP_i - SMA|) / period
- *
- * @param source - Iterable of OHLC candle data
- * @param options - Configuration options
- * @param options.period - The period for CCI calculation (default: 20)
- * @returns Generator yielding CCI values
- */
-declare const cci: _vulcan_js_core0.SignalGenerator<{
-  h: dnum.Numberish;
-  l: dnum.Numberish;
-  c: dnum.Numberish;
-}, Dnum, CommodityChannelIndexOptions>;
-//#endregion
 //#region src/trend/doubleExponentialMovingAverage.d.ts
 interface DoubleExponentialMovingAverageOptions {
   period: number;
@@ -394,6 +411,48 @@ declare const defaultExponentialMovingAverageOptions: ExponentialMovingAverageOp
  */
 declare const ema: _vulcan_js_core0.SignalGenerator<Numberish, Dnum, ExponentialMovingAverageOptions>;
 //#endregion
+//#region src/trend/ichimokuCloud.d.ts
+interface IchimokuCloudOptions {
+  /** Conversion line period */
+  conversionPeriod: number;
+  /** Base line period */
+  basePeriod: number;
+  /** Leading span B period */
+  leadingBPeriod: number;
+}
+declare const defaultIchimokuCloudOptions: IchimokuCloudOptions;
+interface IchimokuCloudPoint {
+  conversion: Dnum;
+  base: Dnum;
+  leadingA: Dnum;
+  leadingB: Dnum;
+  lagging: Dnum;
+}
+/**
+ * Ichimoku Cloud (Ichimoku Kinko Hyo)
+ *
+ * Computes raw values for each component. Displacement (shifting
+ * Leading Spans forward and Lagging Span backward on the chart)
+ * is a presentation concern left to the consumer.
+ *
+ * - Conversion (Tenkan-sen): (highest high + lowest low) / 2 over conversionPeriod
+ * - Base (Kijun-sen): (highest high + lowest low) / 2 over basePeriod
+ * - Leading Span A (Senkou A): (conversion + base) / 2
+ * - Leading Span B (Senkou B): (highest high + lowest low) / 2 over leadingBPeriod
+ * - Lagging (Chikou): current close price
+ */
+declare const ichimokuCloud: _vulcan_js_core0.SignalGenerator<{
+  h: dnum.Numberish;
+  l: dnum.Numberish;
+  c: dnum.Numberish;
+}, {
+  conversion: Dnum;
+  base: Dnum;
+  leadingA: Dnum;
+  leadingB: Dnum;
+  lagging: Dnum;
+}, IchimokuCloudOptions>;
+//#endregion
 //#region src/trend/macd.d.ts
 interface MACDOptions {
   fastPeriod: number;
@@ -433,45 +492,6 @@ declare const macd: _vulcan_js_core0.SignalGenerator<Numberish, {
   histogram: Dnum;
 }, MACDOptions>;
 //#endregion
-//#region src/trend/massIndex.d.ts
-interface MassIndexOptions {
-  /**
-   * The period for EMA smoothing of the high-low range
-   * @default 9
-   */
-  emaPeriod: number;
-  /**
-   * The period for the moving sum of the EMA ratio
-   * @default 25
-   */
-  miPeriod: number;
-}
-declare const defaultMassIndexOptions: MassIndexOptions;
-/**
- * Mass Index (MI)
- *
- * Developed by Donald Dorsey, the Mass Index uses the high-low range
- * to identify trend reversals based on range expansions. A "reversal bulge"
- * occurs when the Mass Index rises above 27 and then falls below 26.5.
- *
- * Formula:
- *   Range = High - Low
- *   EMA1 = EMA(Range, emaPeriod)
- *   EMA2 = EMA(EMA1, emaPeriod)
- *   Ratio = EMA1 / EMA2
- *   MI = MovingSum(Ratio, miPeriod)
- *
- * @param source - Iterable of OHLC candle data (requires high and low)
- * @param options - Configuration options
- * @param options.emaPeriod - The EMA smoothing period (default: 9)
- * @param options.miPeriod - The moving sum period (default: 25)
- * @returns Generator yielding Mass Index values
- */
-declare const mi: _vulcan_js_core0.SignalGenerator<{
-  h: dnum.Numberish;
-  l: dnum.Numberish;
-}, dnum.Dnum, MassIndexOptions>;
-//#endregion
 //#region src/trend/movingMax.d.ts
 interface MovingMaxOptions {
   /**
@@ -589,65 +609,6 @@ declare const qstick: _vulcan_js_core0.SignalGenerator<{
   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 {
   /**
@@ -836,6 +797,45 @@ declare const vortex: _vulcan_js_core0.SignalGenerator<{
   minus: Dnum;
 }, VortexOptions>;
 //#endregion
+//#region src/volatility/massIndex.d.ts
+interface MassIndexOptions {
+  /**
+   * The period for EMA smoothing of the high-low range
+   * @default 9
+   */
+  emaPeriod: number;
+  /**
+   * The period for the moving sum of the EMA ratio
+   * @default 25
+   */
+  miPeriod: number;
+}
+declare const defaultMassIndexOptions: MassIndexOptions;
+/**
+ * Mass Index (MI)
+ *
+ * Developed by Donald Dorsey, the Mass Index uses the high-low range
+ * to identify trend reversals based on range expansions. A "reversal bulge"
+ * occurs when the Mass Index rises above 27 and then falls below 26.5.
+ *
+ * Formula:
+ *   Range = High - Low
+ *   EMA1 = EMA(Range, emaPeriod)
+ *   EMA2 = EMA(EMA1, emaPeriod)
+ *   Ratio = EMA1 / EMA2
+ *   MI = MovingSum(Ratio, miPeriod)
+ *
+ * @param source - Iterable of OHLC candle data (requires high and low)
+ * @param options - Configuration options
+ * @param options.emaPeriod - The EMA smoothing period (default: 9)
+ * @param options.miPeriod - The moving sum period (default: 25)
+ * @returns Generator yielding Mass Index values
+ */
+declare const mi: _vulcan_js_core0.SignalGenerator<{
+  h: dnum.Numberish;
+  l: dnum.Numberish;
+}, dnum.Dnum, MassIndexOptions>;
+//#endregion
 //#region src/volume/accumulationDistribution.d.ts
 /**
  * Accumulation/Distribution Indicator (A/D). Cumulative indicator