minerva-design 1.3.0 → 1.5.0

package/dist/charts/engine/trading/indicators.d.ts

@@ -0,0 +1,275 @@
+import { UtcOffset } from './format.js';
+import { TradingBar, TradingBarColumns, TradingTimeframe, TradingVolumeProfile } from './types.js';
+type Values = ArrayLike<number>;
+/** Simple moving average of `src[0..n)` into `out`, from index `from` */
+export declare const smaInto: (src: Values, n: number, period: number, out: Float64Array, from?: number) => void;
+/** Exponential moving average (alpha = 2 / (period + 1)) */
+export declare const emaInto: (src: Values, n: number, period: number, out: Float64Array, from?: number) => void;
+/** Wilder's moving average (alpha = 1 / period), used by RSI and ATR */
+export declare const rmaInto: (src: Values, n: number, period: number, out: Float64Array, from?: number) => void;
+/** Linearly weighted moving average (the newest bar weighs `period`) */
+export declare const wmaInto: (src: Values, n: number, period: number, out: Float64Array, from?: number) => void;
+/** Population standard deviation over the window (two passes: exact) */
+export declare const stdevInto: (src: Values, n: number, period: number, out: Float64Array, from?: number) => void;
+/** RSI with Wilder smoothing; `gain` / `loss` hold the running averages */
+export declare const rsiInto: (close: Values, n: number, period: number, out: Float64Array, gain: Float64Array, loss: Float64Array, from?: number) => void;
+/** True range of each bar */
+export declare const trueRangeInto: (high: Values, low: Values, close: Values, n: number, out: Float64Array, from?: number) => void;
+/** KDJ: K and D smoothed from the raw stochastic value (seeded at 50), J = 3K − 2D */
+export declare const kdjInto: (high: Values, low: Values, close: Values, n: number, period: number, kPeriod: number, dPeriod: number, k: Float64Array, d: Float64Array, j: Float64Array, from?: number) => void;
+/** Session key of a time: bars with the same key are in the same VWAP period */
+export declare const sessionKey: (time: number, reset: "day" | "week" | "month" | "none", utcOffset?: UtcOffset) => number;
+/** VWAP; `pv` / `vol` hold the cumulative sums of the period */
+export declare const vwapInto: (high: Values, low: Values, close: Values, volume: Values, time: Values | null, n: number, reset: "day" | "week" | "month" | "none", utcOffset: UtcOffset, out: Float64Array, pv: Float64Array, vol: Float64Array, from?: number) => void;
+/** Heikin-Ashi bars from regular bars */
+export declare const heikinAshiInto: (open: Values, high: Values, low: Values, close: Values, n: number, out: {
+    open: Float64Array;
+    high: Float64Array;
+    low: Float64Array;
+    close: Float64Array;
+}, from?: number) => void;
+/** On-balance volume: the volume added on up closes, subtracted on down closes */
+export declare const obvInto: (close: Values, volume: Values, n: number, out: Float64Array, from?: number) => void;
+/** Commodity channel index: distance of the typical price from its average, in mean deviations / 0.015 */
+export declare const cciInto: (high: Values, low: Values, close: Values, n: number, period: number, out: Float64Array, typical: Float64Array, mean: Float64Array, from?: number) => void;
+/** Williams %R (−100 to 0): the close within the range of the window, from its high */
+export declare const williamsRInto: (high: Values, low: Values, close: Values, n: number, period: number, out: Float64Array, highest: Float64Array, lowest: Float64Array, from?: number) => void;
+/** Money flow index (0-100): an RSI of the typical price weighted by the volume */
+export declare const mfiInto: (high: Values, low: Values, close: Values, volume: Values, n: number, period: number, out: Float64Array, typical: Float64Array, from?: number) => void;
+/** Working columns of the stochastic RSI */
+export interface StochRsiWork {
+    rsi: Float64Array;
+    gain: Float64Array;
+    loss: Float64Array;
+    highest: Float64Array;
+    lowest: Float64Array;
+    raw: Float64Array;
+}
+/** Stochastic RSI: the stochastic of the RSI, smoothed into K and D */
+export declare const stochRsiInto: (close: Values, n: number, rsiPeriod: number, stochPeriod: number, kPeriod: number, dPeriod: number, k: Float64Array, d: Float64Array, work: StochRsiWork, from?: number) => void;
+/** Working columns of the DMI */
+export interface DmiWork {
+    tr: Float64Array;
+    plusDm: Float64Array;
+    minusDm: Float64Array;
+    smoothTr: Float64Array;
+    smoothPlus: Float64Array;
+    smoothMinus: Float64Array;
+    dx: Float64Array;
+}
+/** Directional movement index (Wilder): +DI, −DI and the ADX */
+export declare const dmiInto: (high: Values, low: Values, close: Values, n: number, period: number, adxPeriod: number, plus: Float64Array, minus: Float64Array, adx: Float64Array, work: DmiWork, from?: number) => void;
+/** Working columns of the parabolic SAR */
+export interface PsarWork {
+    /** Extreme point of the trend */
+    ep: Float64Array;
+    /** Acceleration factor */
+    af: Float64Array;
+    /** 1 rising, −1 falling */
+    trend: Float64Array;
+}
+/** Parabolic stop and reverse (Wilder) */
+export declare const psarInto: (high: Values, low: Values, n: number, start: number, increment: number, maximum: number, out: Float64Array, work: PsarWork, from?: number) => void;
+/** Working columns of the SuperTrend */
+export interface SupertrendWork {
+    tr: Float64Array;
+    atr: Float64Array;
+    upper: Float64Array;
+    lower: Float64Array;
+}
+/**
+ * SuperTrend: a trailing band `multiplier` ATRs from the median price,
+ * below the bars in an uptrend (`direction` 1), above them in a downtrend (−1)
+ */
+export declare const supertrendInto: (high: Values, low: Values, close: Values, n: number, period: number, multiplier: number, out: Float64Array, direction: Float64Array, work: SupertrendWork, from?: number) => void;
+/** Working columns of Ichimoku */
+export interface IchimokuWork {
+    highest: Float64Array;
+    lowest: Float64Array;
+}
+/**
+ * Ichimoku lines at each bar (unshifted): conversion (Tenkan), base
+ * (Kijun), leading span A and B (drawn `displacement − 1` bars ahead)
+ */
+export declare const ichimokuInto: (high: Values, low: Values, n: number, conversionPeriod: number, basePeriod: number, spanBPeriod: number, conversion: Float64Array, base: Float64Array, spanA: Float64Array, spanB: Float64Array, work: IchimokuWork, from?: number) => void;
+/** Donchian channel: highest high, lowest low and their midpoint */
+export declare const donchianInto: (high: Values, low: Values, n: number, period: number, upper: Float64Array, lower: Float64Array, middle: Float64Array, from?: number) => void;
+/** Keltner channel: an EMA of the close ± `multiplier` ATRs */
+export declare const keltnerInto: (high: Values, low: Values, close: Values, n: number, period: number, multiplier: number, atrPeriod: number, middle: Float64Array, upper: Float64Array, lower: Float64Array, work: {
+    tr: Float64Array;
+    atr: Float64Array;
+}, from?: number) => void;
+/**
+ * Simple moving average: the mean of the last `period` values (NaN until
+ * `period` values are available)
+ */
+export declare const sma: (values: Values, period: number) => Float64Array;
+/** Exponential moving average, seeded with the simple average of the first `period` values */
+export declare const ema: (values: Values, period: number) => Float64Array;
+/** Linearly weighted moving average: the newest value weighs `period`, the oldest 1 */
+export declare const wma: (values: Values, period: number) => Float64Array;
+/** Bollinger bands: simple average ± `multiplier` population standard deviations */
+export declare const bollinger: (values: Values, period?: number, multiplier?: number) => {
+    middle: Float64Array;
+    upper: Float64Array;
+    lower: Float64Array;
+};
+/** MACD line (fast EMA − slow EMA), its signal EMA and their difference */
+export declare const macd: (values: Values, fast?: number, slow?: number, signal?: number) => {
+    macd: Float64Array;
+    signal: Float64Array;
+    histogram: Float64Array;
+};
+/** Relative strength index (0-100) with Wilder smoothing */
+export declare const rsi: (values: Values, period?: number) => Float64Array;
+/** KDJ stochastic: K and D smoothed (seeded at 50), J = 3K − 2D */
+export declare const kdj: (high: Values, low: Values, close: Values, period?: number, kPeriod?: number, dPeriod?: number) => {
+    k: Float64Array;
+    d: Float64Array;
+    j: Float64Array;
+};
+/** Average true range with Wilder smoothing */
+export declare const atr: (high: Values, low: Values, close: Values, period?: number) => Float64Array;
+/**
+ * Volume-weighted average of the typical price (high + low + close) / 3,
+ * restarting each `reset` period (UTC, or shifted by `utcOffset` minutes,
+ * or in the IANA `timeZone`); without `time`, a single cumulative average
+ */
+export declare const vwap: (high: Values, low: Values, close: Values, volume: Values, options?: {
+    time?: Values;
+    reset?: "day" | "week" | "month" | "none";
+    utcOffset?: number;
+    timeZone?: string;
+}) => Float64Array;
+/** Heikin-Ashi bars: averaged bars that smooth out the noise of trends */
+export declare const heikinAshi: (bars: {
+    open: Values;
+    high: Values;
+    low: Values;
+    close: Values;
+}) => {
+    open: Float64Array;
+    high: Float64Array;
+    low: Float64Array;
+    close: Float64Array;
+};
+/** On-balance volume: the running sum of the volume, signed by the close change */
+export declare const obv: (close: Values, volume: Values) => Float64Array;
+/** Commodity channel index (typically between −100 and +100 in a range) */
+export declare const cci: (high: Values, low: Values, close: Values, period?: number) => Float64Array;
+/** Williams %R, from −100 (close at the lowest low) to 0 (at the highest high) */
+export declare const williamsR: (high: Values, low: Values, close: Values, period?: number) => Float64Array;
+/** Money flow index (0-100): a volume-weighted RSI of the typical price */
+export declare const mfi: (high: Values, low: Values, close: Values, volume: Values, period?: number) => Float64Array;
+/** Stochastic RSI (0-100): the stochastic of the RSI, smoothed into K and D */
+export declare const stochRsi: (close: Values, options?: {
+    rsiPeriod?: number;
+    stochPeriod?: number;
+    kPeriod?: number;
+    dPeriod?: number;
+}) => {
+    k: Float64Array;
+    d: Float64Array;
+};
+/** Directional movement (Wilder): +DI, −DI and the average directional index */
+export declare const dmi: (high: Values, low: Values, close: Values, period?: number, adxPeriod?: number) => {
+    plus: Float64Array;
+    minus: Float64Array;
+    adx: Float64Array;
+};
+/**
+ * Parabolic SAR (Wilder): a trailing stop below the bars in an uptrend,
+ * above them in a downtrend, accelerating with each new extreme
+ */
+export declare const psar: (high: Values, low: Values, options?: {
+    start?: number;
+    increment?: number;
+    maximum?: number;
+}) => Float64Array;
+/**
+ * SuperTrend: the trailing band (`value`) and the trend (`direction`: 1 up,
+ * −1 down)
+ */
+export declare const supertrend: (high: Values, low: Values, close: Values, period?: number, multiplier?: number) => {
+    value: Float64Array;
+    direction: Float64Array;
+};
+/**
+ * Ichimoku Kinkō Hyō, aligned on the bars that compute them: the leading
+ * spans are plotted `displacement − 1` bars ahead and the lagging span is
+ * the close plotted `displacement − 1` bars back
+ */
+export declare const ichimoku: (high: Values, low: Values, options?: {
+    conversionPeriod?: number;
+    basePeriod?: number;
+    spanBPeriod?: number;
+}) => {
+    conversion: Float64Array;
+    base: Float64Array;
+    spanA: Float64Array;
+    spanB: Float64Array;
+};
+/** Keltner channel: EMA of the close ± `multiplier` average true ranges */
+export declare const keltner: (high: Values, low: Values, close: Values, options?: {
+    period?: number;
+    multiplier?: number;
+    atrPeriod?: number;
+}) => {
+    middle: Float64Array;
+    upper: Float64Array;
+    lower: Float64Array;
+};
+/** Donchian channel: highest high, lowest low and their midpoint over `period` bars */
+export declare const donchian: (high: Values, low: Values, period?: number) => {
+    upper: Float64Array;
+    lower: Float64Array;
+    middle: Float64Array;
+};
+/**
+ * Volume profile: the volume of bars `from..to` (inclusive) spread over
+ * `rows` price rows (each bar evenly over its low-high range), split by
+ * rising / falling bars, with the point of control and the value area
+ * (the rows around it holding `valueArea` of the volume, 70% by default)
+ */
+export declare const volumeProfile: (bars: {
+    open: Values;
+    high: Values;
+    low: Values;
+    close: Values;
+    volume: Values;
+}, options?: {
+    from?: number;
+    to?: number;
+    rows?: number;
+    valueArea?: number;
+}) => TradingVolumeProfile;
+/** A parsed timeframe: a count of a unit, with its approximate duration */
+export interface ParsedTimeframe {
+    unit: "ms" | "month";
+    count: number;
+    /** Approximate duration in ms (30 days per month) */
+    ms: number;
+}
+/** `"15m"` -> 15 minutes, `"1M"` -> 1 month; `null` when invalid */
+export declare const parseTimeframe: (timeframe: TradingTimeframe) => ParsedTimeframe | null;
+/**
+ * Key of the bucket of `time` in the shifted (displayed) time: weeks start
+ * on Monday, months on the 1st. Comparing keys rather than UTC starts keeps
+ * a day whole when its offset changes (daylight saving).
+ */
+export declare const bucketKey: (time: number, tf: ParsedTimeframe, utcOffset?: UtcOffset) => number;
+/** Start of the bucket of `time` (weeks start on Monday, months on the 1st) */
+export declare const bucketStart: (time: number, tf: ParsedTimeframe, utcOffset?: UtcOffset) => number;
+/**
+ * Aggregates bars into a longer timeframe (`"5m"` bars into `"1H"`, ...):
+ * first open, highest high, lowest low, last close, summed volume. Buckets
+ * are aligned on UTC, or shifted by `timeZone` (minutes from UTC, or an
+ * IANA time zone such as `"America/New_York"`); weeks start on Monday.
+ * Columns in, columns out (Float64Array).
+ */
+export declare function resampleBars(bars: readonly TradingBar[], timeframe: TradingTimeframe, timeZone?: number | string): TradingBar[];
+export declare function resampleBars(bars: TradingBarColumns, timeframe: TradingTimeframe, timeZone?: number | string): TradingBarColumns;
+/** Highest / lowest of a window: exported for the KDJ-like studies of the chart */
+export declare const highestInto: (src: Values, n: number, period: number, out: Float64Array, from?: number) => void;
+export declare const lowestInto: (src: Values, n: number, period: number, out: Float64Array, from?: number) => void;
+export {};