oakscriptjs 0.10.0 → 0.11.0

package/dist/esm/ta/index.d.ts

@@ -328,6 +328,8 @@ export declare function rma(source: Source, length: simple_int): series_float;
  * - Summed from the oldest value to the newest; as PineScript, a partial sum `s + t` with
  *   `|s + t| <= 1e-10 * max(1, |s| + |t|)` is 0 (a cancellation residue, or values below 1e-10)
  * - More responsive to recent price changes than SMA
+ * - `length` can be an array (a length per bar, PineScript series length): each bar gives the result of its own
+ *   length (`na` for a length below 1)
  *
  * @example
  * ```typescript
@@ -335,7 +337,7 @@ export declare function rma(source: Source, length: simple_int): series_float;
  * // WMA gives more weight to recent prices
  * ```
  */
-export declare function wma(source: Source, length: simple_int): series_float;
+export declare function wma(source: Source, length: simple_int | ArrayLike<number>): series_float;
 /**
  * Highest value over the last `length` bars.
  *
@@ -344,11 +346,15 @@ export declare function wma(source: Source, length: simple_int): series_float;
  * @returns Highest value series (na on the first `length - 1` bars)
  *
  * @remarks
- * As in PineScript: an `na` value ends the window, so only the values after the last `na`
- * count, and a bar whose own value is `na` gives `na`.
+ * As in PineScript: `na` values are skipped. The result is the highest of the last `length` non-na values (of all
+ * of them when there are fewer), also on a bar whose own value is `na`; `na` before bar `length - 1` and while no
+ * value was received. A fractional length is truncated (7.5 is 7 bars).
+ * `length` can be an array (a length per bar, PineScript series length), also for `ta.lowest`, `ta.highestbars`
+ * and `ta.lowestbars`: each bar uses its own length.
+ * A length above 15,000 throws the PineScript runtime error (also `ta.lowest`, `ta.highestbars`, `ta.lowestbars`).
  * PineScript `ta.highest(length)` (source = high) is `ta.highest(length)` in the script API.
  */
-export declare function highest(source: Source, length: simple_int): series_float;
+export declare function highest(source: Source, length: simple_int | ArrayLike<number>): series_float;
 /**
  * Lowest value over the last `length` bars.
  *
@@ -357,10 +363,11 @@ export declare function highest(source: Source, length: simple_int): series_floa
  * @returns Lowest value series (na on the first `length - 1` bars)
  *
  * @remarks
- * As in PineScript: an `na` value ends the window, so only the values after the last `na`
- * count, and a bar whose own value is `na` gives `na`.
+ * As in PineScript: `na` values are skipped. The result is the lowest of the last `length` non-na values (of all
+ * of them when there are fewer), also on a bar whose own value is `na`; `na` before bar `length - 1` and while no
+ * value was received.
  */
-export declare function lowest(source: Source, length: simple_int): series_float;
+export declare function lowest(source: Source, length: simple_int | ArrayLike<number>): series_float;
 /**
  * Cumulative Sum - returns the total sum of all elements from the beginning.
  *
@@ -819,6 +826,8 @@ export declare function hma(source: Source, length: simple_int): series_float;
  * ```
  */
 export declare function sar(start: simple_float, inc: simple_float, max: simple_float, high?: Source, low?: Source, close?: Source): series_float;
+/** A pivot length: one value, or a value per bar (PineScript series length). */
+type PivotLength = simple_int | ArrayLike<number>;
 /**
  * Pivot High - detects pivot high points in the price series.
  *
@@ -833,7 +842,10 @@ export declare function sar(start: simple_float, inc: simple_float, max: simple_
  * - As in PineScript, the value appears `rightbars` bars after the pivot bar: the pivot bar
  *   index is `i - rightbars`
  * - A pivot high may equal values on its left but must be higher than all values on its right
- * - An `na` neighbour ends the check on its side
+ * - `na` values are skipped: the window is the last `leftbars + rightbars + 1` non-na values, and the highest of
+ *   them must be on the bar `rightbars` bars back
+ * - `leftbars` / `rightbars` can be arrays (a length per bar, PineScript series length), also for `ta.pivotlow`:
+ *   each bar uses its own lengths
  *
  * @example
  * ```typescript
@@ -841,7 +853,7 @@ export declare function sar(start: simple_float, inc: simple_float, max: simple_
  * // pivotHighs[i] is high[i - 2] when bar i - 2 is a pivot high
  * ```
  */
-export declare function pivothigh(sourceOrLeftbars: Source | simple_int, leftbarsOrRightbars: simple_int, rightbars?: simple_int, high?: Source): series_float;
+export declare function pivothigh(sourceOrLeftbars: Source | simple_int, leftbarsOrRightbars: PivotLength, rightbars?: PivotLength, high?: Source): series_float;
 /**
  * Pivot Low - detects pivot low points in the price series.
  *
@@ -856,7 +868,8 @@ export declare function pivothigh(sourceOrLeftbars: Source | simple_int, leftbar
  * - As in PineScript, the value appears `rightbars` bars after the pivot bar: the pivot bar
  *   index is `i - rightbars`
  * - A pivot low may equal values on its left but must be lower than all values on its right
- * - An `na` neighbour ends the check on its side
+ * - `na` values are skipped: the window is the last `leftbars + rightbars + 1` non-na values, and the lowest of
+ *   them must be on the bar `rightbars` bars back
  *
  * @example
  * ```typescript
@@ -864,7 +877,7 @@ export declare function pivothigh(sourceOrLeftbars: Source | simple_int, leftbar
  * // pivotLows[i] is low[i - 2] when bar i - 2 is a pivot low
  * ```
  */
-export declare function pivotlow(sourceOrLeftbars: Source | simple_int, leftbarsOrRightbars: simple_int, rightbars?: simple_int, low?: Source): series_float;
+export declare function pivotlow(sourceOrLeftbars: Source | simple_int, leftbarsOrRightbars: PivotLength, rightbars?: PivotLength, low?: Source): series_float;
 /**
  * Bars Since - returns number of bars since condition was true.
  *
@@ -1129,19 +1142,21 @@ export declare function range(source: Source, length: simple_int): series_float;
  * -1 for the previous bar, and so on (as in PineScript, the offset is negative).
  *
  * @remarks
- * As in PineScript: on equal values the oldest bar wins; an `na` value ends the window;
- * 0 when the window has no value.
+ * As in PineScript: the best of the last `length` non-na values, the newest one on equal values; the offset is the
+ * distance in bars to its bar, so it is below `-(length - 1)` when `na` values were skipped. `na` before bar
+ * `length - 1` and while no value was received; a fractional length is truncated.
  */
-export declare function highestbars(source: Source, length: simple_int): series_int;
+export declare function highestbars(source: Source, length: simple_int | ArrayLike<number>): series_int;
 /**
  * Offset to the bar with the lowest value over the last `length` bars: 0 for the current bar,
  * -1 for the previous bar, and so on (as in PineScript, the offset is negative).
  *
  * @remarks
- * As in PineScript: on equal values the oldest bar wins; an `na` value ends the window;
- * 0 when the window has no value.
+ * As in PineScript: the best of the last `length` non-na values, the newest one on equal values; the offset is the
+ * distance in bars to its bar, so it is below `-(length - 1)` when `na` values were skipped. `na` before bar
+ * `length - 1` and while no value was received; a fractional length is truncated.
  */
-export declare function lowestbars(source: Source, length: simple_int): series_int;
+export declare function lowestbars(source: Source, length: simple_int | ArrayLike<number>): series_int;
 /**
  * All-time highest value of `source` up to each bar (PineScript `ta.max(source)`).
  *
@@ -1448,4 +1463,5 @@ export declare function nvi(close: Source, volume: Source): series_float;
  * Starts at 1.
  */
 export declare function pvi(close: Source, volume: Source): series_float;
+export {};
 //# sourceMappingURL=index.d.ts.map

package/dist/esm/ta/index.d.ts.map

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package/dist/esm/ta/index.js

@@ -9,6 +9,7 @@
  */
 import { eq, ge, gt, le, lt } from '../compare/index.js';
 import { runningSum, runningSumSeries, runningVariance, runningVarianceSeries } from './running-sum.js';
+import { checkSumLength, checkWindowLength } from './limits.js';
 /**
  * Simple Moving Average - returns the moving average (sum of last y values divided by y).
  *
@@ -39,6 +40,7 @@ export function sma(source, length) {
     }
     // Floor the length to match PineScript's auto-truncation of float to int
     const len = Math.floor(length);
+    checkSumLength('ta.sma', len, 0);
     return runningSum(source, len).map((sum) => sum / len);
 }
 /**
@@ -208,6 +210,7 @@ export function macd(source, fastLength, slowLength, signalLength) {
  * ```
  */
 export function bb(series, length, mult) {
+    checkSumLength('ta.bb', length, 0);
     const basis = sma(series, length);
     const dev = stdev(series, length);
     const upper = [];
@@ -250,14 +253,15 @@ function lastValues(source, i, length) {
 }
 /**
  * The extreme of the window of `length` bars ending at each bar, in one pass (monotonic deque): the bar index of
- * the oldest highest (or lowest) value, or -1 when the window is empty. As PineScript does for ta.highest /
- * ta.lowest / ta.highestbars / ta.lowestbars, the window stops at the first `na` value going back, so a bar whose
- * own value is `na` has an empty window. `zeros[i]` tells whether the window holds a +0 (highest) or a -0
- * (lowest), the zero that `Math.max` / `Math.min` return when the extreme is 0.
+ * the oldest highest (or lowest) value (the newest one with `newest`), or -1 when the window is empty. The window
+ * stops at the first `na` value going back (the callers pass the non-na values only, see {@link keptValues}), and a
+ * fractional length is truncated (7.5 is 7 bars), as PineScript does.
+ * `zeros[i]` tells whether the window holds a +0 (highest) or a -0 (lowest), the zero that `Math.max` / `Math.min`
+ * return when the extreme is 0 (not kept with `newest`).
  */
-function windowExtremes(source, length, lowest) {
+function windowExtremes(source, length, lowest, newest = false) {
     const n = source.length;
-    const span = length > 0 ? Math.ceil(length) : 0; // the bars j = 0, 1... with j < length
+    const span = length > 0 ? Math.trunc(length) : 0; // PineScript casts the length to int
     const at = new Int32Array(n).fill(-1);
     const zeros = new Uint8Array(n);
     const queue = new Int32Array(n); // bar indices; values from best to worst, the oldest first among equal values
@@ -275,8 +279,11 @@ function windowExtremes(source, length, lowest) {
             zeroCount = 0;
             continue;
         }
-        // drop the values that the new one beats; equal values stay (the oldest wins ties)
-        while (tail > head && (lowest ? source[queue[tail - 1]] > x : source[queue[tail - 1]] < x)) {
+        // drop the values that the new one beats; equal values stay (the oldest wins ties), or go with `newest`
+        while (tail > head) {
+            const last = source[queue[tail - 1]];
+            if (!(lowest ? last > x : last < x) && !(newest && last === x))
+                break;
             if (isPreferredZero(queue[--tail]))
                 zeroCount--;
         }
@@ -295,20 +302,81 @@ function windowExtremes(source, length, lowest) {
     }
     return { at, zeros };
 }
-/** Offset of the best value of the window; on ties the oldest bar wins. 0 when the window is empty. */
+/**
+ * The non-na values of `source` with their bars, and for each bar the position of its last non-na value (-1 when
+ * there is none yet). PineScript's ta.highest / ta.lowest / ta.highestbars / ta.lowestbars / ta.pivothigh /
+ * ta.pivotlow keep the non-na values they receive and nothing else.
+ */
+function keptValues(source) {
+    const values = [];
+    const bars = [];
+    const last = new Int32Array(source.length);
+    for (let i = 0; i < source.length; i++) {
+        const x = source[i];
+        if (!Number.isNaN(x)) {
+            values.push(x);
+            bars.push(i);
+        }
+        last[i] = values.length - 1;
+    }
+    return { values, bars, last };
+}
+/**
+ * ta.highest / ta.lowest / ta.highestbars / ta.lowestbars with a series length (a length per bar): on each bar the
+ * best of the last `length[i]` non-na values (the newest one on ties), na before bar `length[i] - 1`, as PineScript
+ * (measured with a length that changes on each bar, with and without na in the source).
+ */
+function extremeSeriesLength(source, lengths, lowest, offsets) {
+    const name = (lowest ? 'lowest' : 'highest') + (offsets ? 'bars' : '');
+    const { values, bars, last } = keptValues(source);
+    return Array.from(source, (_, i) => {
+        const len = Math.trunc(lengths[i]);
+        checkWindowLength(name, len, i);
+        const k = last[i];
+        if (!(len >= 1) || i < len - 1 || k < 0)
+            return NaN;
+        let best = k;
+        for (let j = k - 1; j >= 0 && j > k - len; j--) {
+            if (lowest ? values[j] < values[best] : values[j] > values[best])
+                best = j;
+        }
+        return offsets ? -(i - bars[best]) : values[best];
+    });
+}
+/**
+ * Offset to the best of the last `length` non-na values (the newest one on ties): the distance in bars, so below
+ * `-(length - 1)` after an na value. na before bar `length - 1` and while there is no value.
+ */
 function extremeOffset(source, length, lowest) {
-    const { at } = windowExtremes(source, length, lowest);
-    // -(i - at): -0 when the extreme is the current bar, as the offset -j of the window scan
-    return source.map((_, i) => (i < length - 1 ? NaN : at[i] < 0 ? 0 : -(i - at[i])));
+    if (typeof length !== 'number')
+        return extremeSeriesLength(source, length, lowest, true);
+    checkWindowLength(lowest ? 'lowestbars' : 'highestbars', length, 0);
+    const { values, bars, last } = keptValues(source);
+    const { at } = windowExtremes(values, length, lowest, true);
+    const len = Math.trunc(length);
+    // -(i - bar): -0 when the extreme is the current bar, as the offset -j of the window scan
+    return source.map((_, i) => {
+        const k = last[i];
+        return i < len - 1 || k < 0 || at[k] < 0 ? NaN : -(i - bars[at[k]]);
+    });
 }
-/** Best value of the window (`na` when the window is empty), with the zero sign of `Math.max` / `Math.min`. */
+/**
+ * Best of the last `length` non-na values (of all of them when there are fewer), with the zero sign of `Math.max` /
+ * `Math.min`. na before bar `length - 1` and while there is no value.
+ */
 function extremeValue(source, length, lowest) {
-    const { at, zeros } = windowExtremes(source, length, lowest);
+    if (typeof length !== 'number')
+        return extremeSeriesLength(source, length, lowest, false);
+    checkWindowLength(lowest ? 'lowest' : 'highest', length, 0);
+    const { values, last } = keptValues(source);
+    const { at, zeros } = windowExtremes(values, length, lowest);
+    const len = Math.trunc(length);
     return source.map((_, i) => {
-        if (i < length - 1 || at[i] < 0)
+        const k = last[i];
+        if (i < len - 1 || k < 0 || at[k] < 0)
             return NaN;
-        const v = source[at[i]];
-        return v === 0 && zeros[i] ? (lowest ? -0 : 0) : v;
+        const v = values[at[k]];
+        return v === 0 && zeros[k] ? (lowest ? -0 : 0) : v;
     });
 }
 /**
@@ -682,6 +750,8 @@ function wmaAdd(a, b) {
  * - Summed from the oldest value to the newest; as PineScript, a partial sum `s + t` with
  *   `|s + t| <= 1e-10 * max(1, |s| + |t|)` is 0 (a cancellation residue, or values below 1e-10)
  * - More responsive to recent price changes than SMA
+ * - `length` can be an array (a length per bar, PineScript series length): each bar gives the result of its own
+ *   length (`na` for a length below 1)
  *
  * @example
  * ```typescript
@@ -692,7 +762,7 @@ function wmaAdd(a, b) {
 export function wma(source, length) {
     const result = [];
     // Floor the length to match PineScript's auto-truncation of float to int
-    const len = Math.floor(length);
+    const fixed = typeof length === 'number' ? Math.floor(length) : NaN;
     // PineScript: na on a bar with an na source (also +/-Infinity) and until `len` non-na values were received;
     // otherwise the last `len` bars, each na replaced by the previous non-na value
     const filled = [];
@@ -706,7 +776,9 @@ export function wma(source, length) {
             count++;
         }
         filled.push(last);
-        if (isNa || count < len) {
+        // a series length: the window of this bar's length (the result of ta.wma with that fixed length)
+        const len = typeof length === 'number' ? fixed : Math.floor(length[i]);
+        if (isNa || !(len >= 1) || count < len) {
             result.push(NaN);
             continue;
         }
@@ -730,8 +802,12 @@ export function wma(source, length) {
  * @returns Highest value series (na on the first `length - 1` bars)
  *
  * @remarks
- * As in PineScript: an `na` value ends the window, so only the values after the last `na`
- * count, and a bar whose own value is `na` gives `na`.
+ * As in PineScript: `na` values are skipped. The result is the highest of the last `length` non-na values (of all
+ * of them when there are fewer), also on a bar whose own value is `na`; `na` before bar `length - 1` and while no
+ * value was received. A fractional length is truncated (7.5 is 7 bars).
+ * `length` can be an array (a length per bar, PineScript series length), also for `ta.lowest`, `ta.highestbars`
+ * and `ta.lowestbars`: each bar uses its own length.
+ * A length above 15,000 throws the PineScript runtime error (also `ta.lowest`, `ta.highestbars`, `ta.lowestbars`).
  * PineScript `ta.highest(length)` (source = high) is `ta.highest(length)` in the script API.
  */
 export function highest(source, length) {
@@ -745,8 +821,9 @@ export function highest(source, length) {
  * @returns Lowest value series (na on the first `length - 1` bars)
  *
  * @remarks
- * As in PineScript: an `na` value ends the window, so only the values after the last `na`
- * count, and a bar whose own value is `na` gives `na`.
+ * As in PineScript: `na` values are skipped. The result is the lowest of the last `length` non-na values (of all
+ * of them when there are fewer), also on a bar whose own value is `na`; `na` before bar `length - 1` and while no
+ * value was received.
  */
 export function lowest(source, length) {
     return extremeValue(source, length, true);
@@ -1031,6 +1108,7 @@ function varianceOf(source, length, biased, name) {
         return biased ? result : result.map((v, i) => (Math.floor(length[i]) > 1 ? v : NaN));
     }
     const len = Math.floor(length);
+    checkSumLength(name, len, 0);
     // PineScript: the last `len` non-na values (also +/-Infinity skipped), as ta.sma
     if ((biased ? len : len - 1) <= 0)
         return source.map(() => NaN);
@@ -1613,37 +1691,27 @@ export function sar(start, inc, max, high, low, close) {
 /**
  * Pivot detection as PineScript computes it.
  *
- * The value of the pivot bar is returned `rightbars` bars later, on the bar where the pivot is
- * confirmed, so no future bar is used. A pivot high may equal values on its left but must be higher
- * than every value on its right (a pivot low: equal on the left, lower on the right). An `na`
- * neighbour ends the check on its side; an `na` pivot value gives no pivot.
+ * The function keeps the non-na values it receives. On each bar it takes the last `leftbars + rightbars + 1` of them
+ * (all of them when there are fewer) and finds the highest (the newest one on equal values; the lowest for a pivot
+ * low): there is a pivot when that value is on the bar `rightbars` bars back, and its value is returned on this bar,
+ * so no future bar is used. A pivot high may so equal values on its left but must be higher than every value on its
+ * right. `na` before bar `leftbars + rightbars`.
  */
 function pivot(source, leftbars, rightbars, isHigh) {
-    // "beats" = the neighbour prevents the pivot
-    const beatsLeft = isHigh ? (x, v) => x > v : (x, v) => x < v;
-    const beatsRight = isHigh ? (x, v) => x >= v : (x, v) => x <= v;
-    return source.map((_, i) => {
-        const center = i - rightbars;
-        if (center - leftbars < 0)
-            return NaN;
-        const v = source[center];
-        if (Number.isNaN(v))
+    const { values, bars, last } = keptValues(source);
+    return Array.from(source, (_, i) => {
+        // a series length: the lengths of the current bar
+        const left = Math.trunc(typeof leftbars === 'number' ? leftbars : leftbars[i]);
+        const right = Math.trunc(typeof rightbars === 'number' ? rightbars : rightbars[i]);
+        const k = last[i];
+        if (!(i >= left + right) || k < 0)
             return NaN;
-        for (let j = 1; j <= leftbars; j++) {
-            const x = source[center - j];
-            if (Number.isNaN(x))
-                break;
-            if (beatsLeft(x, v))
-                return NaN;
-        }
-        for (let j = 1; j <= rightbars; j++) {
-            const x = source[center + j];
-            if (Number.isNaN(x))
-                break;
-            if (beatsRight(x, v))
-                return NaN;
+        let best = k;
+        for (let j = k - 1; j >= 0 && j >= k - left - right; j--) {
+            if (isHigh ? values[j] > values[best] : values[j] < values[best])
+                best = j;
         }
-        return v;
+        return bars[best] === i - right ? values[best] : NaN;
     });
 }
 /**
@@ -1660,7 +1728,10 @@ function pivot(source, leftbars, rightbars, isHigh) {
  * - As in PineScript, the value appears `rightbars` bars after the pivot bar: the pivot bar
  *   index is `i - rightbars`
  * - A pivot high may equal values on its left but must be higher than all values on its right
- * - An `na` neighbour ends the check on its side
+ * - `na` values are skipped: the window is the last `leftbars + rightbars + 1` non-na values, and the highest of
+ *   them must be on the bar `rightbars` bars back
+ * - `leftbars` / `rightbars` can be arrays (a length per bar, PineScript series length), also for `ta.pivotlow`:
+ *   each bar uses its own lengths
  *
  * @example
  * ```typescript
@@ -1691,7 +1762,8 @@ export function pivothigh(sourceOrLeftbars, leftbarsOrRightbars, rightbars, high
  * - As in PineScript, the value appears `rightbars` bars after the pivot bar: the pivot bar
  *   index is `i - rightbars`
  * - A pivot low may equal values on its left but must be lower than all values on its right
- * - An `na` neighbour ends the check on its side
+ * - `na` values are skipped: the window is the last `leftbars + rightbars + 1` non-na values, and the lowest of
+ *   them must be on the bar `rightbars` bars back
  *
  * @example
  * ```typescript
@@ -2193,8 +2265,9 @@ export function range(source, length) {
  * -1 for the previous bar, and so on (as in PineScript, the offset is negative).
  *
  * @remarks
- * As in PineScript: on equal values the oldest bar wins; an `na` value ends the window;
- * 0 when the window has no value.
+ * As in PineScript: the best of the last `length` non-na values, the newest one on equal values; the offset is the
+ * distance in bars to its bar, so it is below `-(length - 1)` when `na` values were skipped. `na` before bar
+ * `length - 1` and while no value was received; a fractional length is truncated.
  */
 export function highestbars(source, length) {
     return extremeOffset(source, length, false);
@@ -2204,8 +2277,9 @@ export function highestbars(source, length) {
  * -1 for the previous bar, and so on (as in PineScript, the offset is negative).
  *
  * @remarks
- * As in PineScript: on equal values the oldest bar wins; an `na` value ends the window;
- * 0 when the window has no value.
+ * As in PineScript: the best of the last `length` non-na values, the newest one on equal values; the offset is the
+ * distance in bars to its bar, so it is below `-(length - 1)` when `na` values were skipped. `na` before bar
+ * `length - 1` and while no value was received; a fractional length is truncated.
  */
 export function lowestbars(source, length) {
     return extremeOffset(source, length, true);