oakscriptjs 0.9.5 → 0.10.0

package/dist/cjs/ta/running-sum.d.ts

@@ -6,14 +6,57 @@
  * - each bar first removes, with a Kahan step, the compensated value that was added for the value that leaves the
  *   window, then adds the new value with a Kahan step and keeps its compensated value;
  * - when the compensation of the previous step would be lost when applied to the new value, the sum is computed
- *   again from the window values (newest first) and the compensation is reset. The test rounds on the grid of the
- *   new value toward +infinity: for a negative power of two, the finer grid of the binade below (#136).
+ *   again from the window values (newest first) and the compensation is reset. The test moves the new value toward
+ *   +infinity by the size of the compensation, in floating point (#136, #142).
  *
  * So the result can differ from the exact window sum in the last bits (e.g. a small residue on a window of zeros),
  * as in PineScript.
  *
  * @internal
  */
+/** A value PineScript treats as na in window functions (also +/-Infinity). */
+export declare function isNa(v: number | null | undefined): boolean;
+/**
+ * Running sum state, one value at a time. {@link step} computes the sum with a new value from the kept state without
+ * changing it; {@link commit} keeps the last step. So several candidate values can be tried on one bar and only the
+ * last one kept (a ta.* call in a loop).
+ *
+ * The length can change from one step to the next (a series length). PineScript then first moves the kept sum to the
+ * new length with Kahan steps of the raw values (not the stored compensated values): a smaller length removes the
+ * values that leave the window, oldest first; a larger length adds back the values from the one before the old window
+ * down to the one `length` values back, newest first (one more than the window needs). Then the usual step runs with
+ * the new length: it removes the stored value of the one `length` values back and adds the new value.
+ */
+export declare class RunningSum {
+    private readonly values;
+    private readonly stored;
+    private keptLength;
+    private s;
+    private c;
+    private stepLength;
+    private stepX;
+    private stepY;
+    private stepS;
+    private stepC;
+    /** Kahan steps that move the kept sum from the kept length to `len`; the result goes to stepS / stepC. */
+    private resize;
+    /**
+     * The running sum of the last `length` values with the (not na) value `x` added, from the kept state; the state is
+     * unchanged until {@link commit}.
+     *
+     * @returns The sum, or NaN while fewer than `length` values exist (with `x`)
+     */
+    step(x: number, length: number): number;
+    /**
+     * The running sum of the last `length` values on a bar with an na value (no value added), from the kept state; the
+     * state is unchanged until {@link commit}. With an unchanged length, it is the previous result.
+     *
+     * @returns The sum, or NaN while fewer than `length` values exist
+     */
+    stepNa(length: number): number;
+    /** Keeps the state of the last {@link step} or {@link stepNa}. */
+    commit(): void;
+}
 /**
  * The sum of the last `length` non-na values on each bar, as PineScript computes it.
  *
@@ -23,9 +66,18 @@
  *   previous result
  */
 export declare function runningSum(source: ArrayLike<number | null | undefined>, length: number): number[];
+/**
+ * The sum of the last `lengths[i]` non-na values on each bar `i` (a series length), as PineScript computes it (see
+ * {@link RunningSum}). A bar with an na value gives the sum of the last `lengths[i]` earlier values.
+ *
+ * @param name - Function name for the error messages
+ */
+export declare function runningSumSeries(source: ArrayLike<number | null | undefined>, lengths: ArrayLike<number>, name?: string): number[];
 /**
  * Window variance from the running sums of the values and of their squares, as PineScript computes it:
  * biased `sumSq / n - mean * mean`, unbiased `sumSq / (n - 1) - mean * sum / (n - 1)`, with `mean = sum / n`.
  */
 export declare function runningVariance(source: ArrayLike<number | null | undefined>, length: number, biased: boolean): number[];
+/** {@link runningVariance} with a series length (the length of bar `i` is `lengths[i]`). */
+export declare function runningVarianceSeries(source: ArrayLike<number | null | undefined>, lengths: ArrayLike<number>, biased: boolean, name?: string): number[];
 //# sourceMappingURL=running-sum.d.ts.map

package/dist/cjs/ta/running-sum.d.ts.map

@@ -1 +1 @@
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package/dist/cjs/ta/running-sum.js

@@ -18,87 +18,167 @@ var __copyProps = (to, from, except, desc) => {
 var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: true }), mod);
 var running_sum_exports = {};
 __export(running_sum_exports, {
+  RunningSum: () => RunningSum,
+  isNa: () => isNa,
   runningSum: () => runningSum,
-  runningVariance: () => runningVariance
+  runningSumSeries: () => runningSumSeries,
+  runningVariance: () => runningVariance,
+  runningVarianceSeries: () => runningVarianceSeries
 });
 module.exports = __toCommonJS(running_sum_exports);
-const view = new DataView(new ArrayBuffer(8));
-function exponentOf(x) {
-  view.setFloat64(0, x);
-  const e = view.getUint16(0) >> 4 & 2047;
-  return e === 0 ? -1074 : e - 1023;
-}
-function spacingUp(x) {
-  const e = exponentOf(x);
-  const powerOfTwo = (view.getUint16(0) & 15) === 0 && view.getUint16(2) === 0 && view.getUint32(4) === 0;
-  return 2 ** (e - (x < 0 && powerOfTwo && e > -1022 ? 53 : 52));
-}
 function compensationLost(x, c) {
   if (c === 0 || x === 0) return false;
-  const ulp = spacingUp(x);
-  const q = c / ulp;
-  const mantissa = x / ulp;
-  const f = Math.floor(q);
-  const d = q - f;
-  const applied = d > 0.5 ? f + 1 : d < 0.5 ? f : Math.abs(mantissa % 2) === Math.abs(f % 2) ? f : f + 1;
-  return Math.abs(applied) < Math.abs(q);
+  const size = Math.abs(c);
+  return Math.abs(x + size - x) < size;
 }
 function isNa(v) {
   return v === void 0 || v === null || !Number.isFinite(v);
 }
-function runningSum(source, length) {
-  const len = Math.floor(length);
-  const out = new Array(source.length).fill(NaN);
-  if (!(len >= 1)) return out;
-  const values = [];
-  const stored = [];
-  let s = 0;
-  let c = 0;
-  let previous = NaN;
-  const kahanAdd = (v) => {
-    const y = v - c;
-    const t = s + y;
-    c = t - s - y;
-    s = t;
-    return y;
-  };
-  for (let i = 0; i < source.length; i++) {
-    const v = source[i];
-    if (isNa(v)) {
-      out[i] = previous;
-      continue;
+class RunningSum {
+  values = [];
+  stored = [];
+  keptLength = NaN;
+  s = 0;
+  c = 0;
+  stepLength = NaN;
+  stepX = NaN;
+  stepY = NaN;
+  stepS = 0;
+  stepC = 0;
+  /** Kahan steps that move the kept sum from the kept length to `len`; the result goes to stepS / stepC. */
+  resize(len) {
+    const values = this.values;
+    const n = values.length;
+    const kept = this.keptLength;
+    let s = this.s;
+    let c = this.c;
+    const add = (v) => {
+      const y = v - c;
+      const t = s + y;
+      c = t - s - y;
+      s = t;
+    };
+    if (len < kept) {
+      for (let k = Math.max(0, n - kept); k <= n - len - 1; k++) add(-values[k]);
+    } else if (len > kept) {
+      for (let k = n - kept - 1; k >= Math.max(0, n - len); k--) add(values[k]);
     }
-    const x = v;
+    this.stepS = s;
+    this.stepC = c;
+  }
+  /**
+   * The running sum of the last `length` values with the (not na) value `x` added, from the kept state; the state is
+   * unchanged until {@link commit}.
+   *
+   * @returns The sum, or NaN while fewer than `length` values exist (with `x`)
+   */
+  step(x, length) {
+    const len = length;
+    const values = this.values;
+    this.resize(len);
+    let s = this.stepS;
+    let c = this.stepC;
     const c0 = c;
     const n = values.length;
-    if (n >= len) kahanAdd(-stored[n - len]);
-    values.push(x);
+    if (n >= len) {
+      const y = -this.stored[n - len] - c;
+      const t = s + y;
+      c = t - s - y;
+      s = t;
+    }
     if (compensationLost(x, c0)) {
-      let fresh = 0;
-      for (let k = values.length - 1; k >= Math.max(0, values.length - len); k--) fresh += values[k];
+      let fresh = x;
+      for (let k = n - 1; k >= Math.max(0, n + 1 - len); k--) fresh += values[k];
       s = fresh;
       c = 0;
-      stored.push(x);
+      this.stepY = x;
     } else {
-      stored.push(kahanAdd(x));
+      const y = x - c;
+      const t = s + y;
+      c = t - s - y;
+      s = t;
+      this.stepY = y;
     }
-    previous = values.length >= len ? s : NaN;
-    out[i] = previous;
+    this.stepLength = len;
+    this.stepX = x;
+    this.stepS = s;
+    this.stepC = c;
+    return n + 1 >= len ? s : NaN;
+  }
+  /**
+   * The running sum of the last `length` values on a bar with an na value (no value added), from the kept state; the
+   * state is unchanged until {@link commit}. With an unchanged length, it is the previous result.
+   *
+   * @returns The sum, or NaN while fewer than `length` values exist
+   */
+  stepNa(length) {
+    this.resize(length);
+    this.stepLength = length;
+    this.stepX = NaN;
+    const n = this.values.length;
+    return n > 0 && n >= length ? this.stepS : NaN;
+  }
+  /** Keeps the state of the last {@link step} or {@link stepNa}. */
+  commit() {
+    if (!Number.isNaN(this.stepX)) {
+      this.values.push(this.stepX);
+      this.stored.push(this.stepY);
+    }
+    this.keptLength = this.stepLength;
+    this.s = this.stepS;
+    this.c = this.stepC;
+  }
+}
+function sumWindows(source, lengthAt) {
+  const out = new Array(source.length);
+  const sum = new RunningSum();
+  for (let i = 0; i < source.length; i++) {
+    const v = source[i];
+    const len = lengthAt(i);
+    out[i] = isNa(v) ? sum.stepNa(len) : sum.step(v, len);
+    sum.commit();
   }
   return out;
 }
-function runningVariance(source, length, biased) {
+function runningSum(source, length) {
   const len = Math.floor(length);
+  if (!(len >= 1)) return new Array(source.length).fill(NaN);
+  return sumWindows(source, () => len);
+}
+function seriesLengths(lengths, count, name) {
+  if (lengths.length < count) {
+    throw new Error(`${name}: the length series has ${lengths.length} values for ${count} bars`);
+  }
+  return Array.from({ length: count }, (_, i) => {
+    const len = Math.floor(lengths[i]);
+    if (!(len >= 1)) throw new Error(`${name}: length must be at least 1 (bar ${i}: ${lengths[i]})`);
+    return len;
+  });
+}
+function runningSumSeries(source, lengths, name = "math.sum") {
+  const lens = seriesLengths(lengths, source.length, name);
+  return sumWindows(source, (i) => lens[i]);
+}
+function varianceFromSums(source, sumOf, lengthAt, biased) {
   const squares = Array.from({ length: source.length }, (_, i) => {
     const v = source[i];
     return isNa(v) ? NaN : v * v;
   });
-  const sums = runningSum(source, len);
-  const sumSquares = runningSum(squares, len);
+  const sums = sumOf(source);
+  const sumSquares = sumOf(squares);
   return sums.map((sum, i) => {
+    const len = lengthAt(i);
     const mean = sum / len;
     const sq = sumSquares[i];
     return biased ? sq / len - mean * mean : sq / (len - 1) - mean * sum / (len - 1);
   });
 }
+function runningVariance(source, length, biased) {
+  const len = Math.floor(length);
+  return varianceFromSums(source, (src) => runningSum(src, len), () => len, biased);
+}
+function runningVarianceSeries(source, lengths, biased, name = "ta.variance") {
+  const lens = seriesLengths(lengths, source.length, name);
+  return varianceFromSums(source, (src) => sumWindows(src, (i) => lens[i]), (i) => lens[i], biased);
+}
 //# sourceMappingURL=running-sum.js.map

package/dist/cjs/ta/running-sum.js.map

@@ -1,7 +1,7 @@
 {
   "version": 3,
   "sources": ["../../../src/ta/running-sum.ts"],
-  "sourcesContent": ["/**\n * Running window sum with the floating-point behaviour of PineScript `math.sum` / `ta.sma` / `ta.stdev` /\n * `ta.variance` (bit for bit).\n *\n * PineScript does not sum the window again on each bar. It keeps a compensated (Kahan) running sum:\n * - each bar first removes, with a Kahan step, the compensated value that was added for the value that leaves the\n *   window, then adds the new value with a Kahan step and keeps its compensated value;\n * - when the compensation of the previous step would be lost when applied to the new value, the sum is computed\n *   again from the window values (newest first) and the compensation is reset. The test rounds on the grid of the\n *   new value toward +infinity: for a negative power of two, the finer grid of the binade below (#136).\n *\n * So the result can differ from the exact window sum in the last bits (e.g. a small residue on a window of zeros),\n * as in PineScript.\n *\n * @internal\n */\n\nconst view = new DataView(new ArrayBuffer(8));\n\n/** Binary exponent of a finite non-zero number (from its bits). */\nfunction exponentOf(x: number): number {\n  view.setFloat64(0, x);\n  const e = (view.getUint16(0) >> 4) & 0x7ff;\n  return e === 0 ? -1074 : e - 1023;\n}\n\n/**\n * Distance from a finite non-zero `x` to the next number toward +infinity: the spacing of the binade of `x`, or half\n * of it when `x` is a negative power of two (the next number up is in the binade below).\n */\nfunction spacingUp(x: number): number {\n  const e = exponentOf(x);\n  const powerOfTwo = (view.getUint16(0) & 0xf) === 0 && view.getUint16(2) === 0 && view.getUint32(4) === 0;\n  return 2 ** (e - (x < 0 && powerOfTwo && e > -1022 ? 53 : 52));\n}\n\n/**\n * Whether the compensation `c` is (partly) lost when it is applied to `x`: `x - c` rounded on the grid of `x`\n * (spacing {@link spacingUp}, ties to an even mantissa) applies less than `c`.\n */\nfunction compensationLost(x: number, c: number): boolean {\n  if (c === 0 || x === 0) return false;\n  const ulp = spacingUp(x);\n  const q = c / ulp;\n  const mantissa = x / ulp;\n  const f = Math.floor(q);\n  const d = q - f;\n  // parity of mantissa - f from each part: the mantissa can be 2^53 (half spacing), where mantissa - f is not exact\n  const applied = d > 0.5 ? f + 1 : d < 0.5 ? f : Math.abs(mantissa % 2) === Math.abs(f % 2) ? f : f + 1;\n  return Math.abs(applied) < Math.abs(q);\n}\n\n/** A value PineScript treats as na in window functions (also +/-Infinity). */\nfunction isNa(v: number | null | undefined): boolean {\n  return v === undefined || v === null || !Number.isFinite(v);\n}\n\n/**\n * The sum of the last `length` non-na values on each bar, as PineScript computes it.\n *\n * @param source - Values (na: NaN, null, undefined or +/-Infinity, skipped)\n * @param length - Number of non-na values in the window\n * @returns The running sum per bar: NaN until `length` non-na values exist; a bar with an na value keeps the\n *   previous result\n */\nexport function runningSum(source: ArrayLike<number | null | undefined>, length: number): number[] {\n  const len = Math.floor(length);\n  const out: number[] = new Array<number>(source.length).fill(NaN);\n  if (!(len >= 1)) return out;\n  const values: number[] = [];\n  const stored: number[] = [];\n  let s = 0;\n  let c = 0;\n  let previous = NaN;\n  const kahanAdd = (v: number): number => {\n    const y = v - c;\n    const t = s + y;\n    c = (t - s) - y;\n    s = t;\n    return y;\n  };\n  for (let i = 0; i < source.length; i++) {\n    const v = source[i];\n    if (isNa(v)) {\n      out[i] = previous;\n      continue;\n    }\n    const x = v as number;\n    const c0 = c;\n    const n = values.length;\n    if (n >= len) kahanAdd(-stored[n - len]!);\n    values.push(x);\n    if (compensationLost(x, c0)) {\n      let fresh = 0;\n      for (let k = values.length - 1; k >= Math.max(0, values.length - len); k--) fresh += values[k]!;\n      s = fresh;\n      c = 0;\n      stored.push(x);\n    } else {\n      stored.push(kahanAdd(x));\n    }\n    previous = values.length >= len ? s : NaN;\n    out[i] = previous;\n  }\n  return out;\n}\n\n/**\n * Window variance from the running sums of the values and of their squares, as PineScript computes it:\n * biased `sumSq / n - mean * mean`, unbiased `sumSq / (n - 1) - mean * sum / (n - 1)`, with `mean = sum / n`.\n */\nexport function runningVariance(\n  source: ArrayLike<number | null | undefined>,\n  length: number,\n  biased: boolean\n): number[] {\n  const len = Math.floor(length);\n  const squares = Array.from({ length: source.length }, (_, i) => {\n    const v = source[i];\n    return isNa(v) ? NaN : (v as number) * (v as number);\n  });\n  const sums = runningSum(source, len);\n  const sumSquares = runningSum(squares, len);\n  return sums.map((sum, i) => {\n    const mean = sum / len;\n    const sq = sumSquares[i]!;\n    return biased ? sq / len - mean * mean : sq / (len - 1) - (mean * sum) / (len - 1);\n  });\n}\n"],
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+  "sourcesContent": ["/**\n * Running window sum with the floating-point behaviour of PineScript `math.sum` / `ta.sma` / `ta.stdev` /\n * `ta.variance` (bit for bit).\n *\n * PineScript does not sum the window again on each bar. It keeps a compensated (Kahan) running sum:\n * - each bar first removes, with a Kahan step, the compensated value that was added for the value that leaves the\n *   window, then adds the new value with a Kahan step and keeps its compensated value;\n * - when the compensation of the previous step would be lost when applied to the new value, the sum is computed\n *   again from the window values (newest first) and the compensation is reset. The test moves the new value toward\n *   +infinity by the size of the compensation, in floating point (#136, #142).\n *\n * So the result can differ from the exact window sum in the last bits (e.g. a small residue on a window of zeros),\n * as in PineScript.\n *\n * @internal\n */\n\n/**\n * Whether the compensation `c` is (partly) lost when it is applied to `x`: `x + |c|` in floating point moves `x` by\n * less than `|c|`. Moving toward +infinity uses the grid above `x` (the coarser binade just below a power of two, the\n * finer binade for a negative power of two), as PineScript (measured bit for bit, #142).\n */\nfunction compensationLost(x: number, c: number): boolean {\n  if (c === 0 || x === 0) return false;\n  const size = Math.abs(c);\n  return Math.abs(x + size - x) < size;\n}\n\n/** A value PineScript treats as na in window functions (also +/-Infinity). */\nexport function isNa(v: number | null | undefined): boolean {\n  return v === undefined || v === null || !Number.isFinite(v);\n}\n\n/**\n * Running sum state, one value at a time. {@link step} computes the sum with a new value from the kept state without\n * changing it; {@link commit} keeps the last step. So several candidate values can be tried on one bar and only the\n * last one kept (a ta.* call in a loop).\n *\n * The length can change from one step to the next (a series length). PineScript then first moves the kept sum to the\n * new length with Kahan steps of the raw values (not the stored compensated values): a smaller length removes the\n * values that leave the window, oldest first; a larger length adds back the values from the one before the old window\n * down to the one `length` values back, newest first (one more than the window needs). Then the usual step runs with\n * the new length: it removes the stored value of the one `length` values back and adds the new value.\n */\nexport class RunningSum {\n  private readonly values: number[] = [];\n  private readonly stored: number[] = [];\n  private keptLength = NaN;\n  private s = 0;\n  private c = 0;\n  private stepLength = NaN;\n  private stepX = NaN;\n  private stepY = NaN;\n  private stepS = 0;\n  private stepC = 0;\n\n  /** Kahan steps that move the kept sum from the kept length to `len`; the result goes to stepS / stepC. */\n  private resize(len: number): void {\n    const values = this.values;\n    const n = values.length;\n    const kept = this.keptLength;\n    let s = this.s;\n    let c = this.c;\n    const add = (v: number) => {\n      const y = v - c;\n      const t = s + y;\n      c = (t - s) - y;\n      s = t;\n    };\n    if (len < kept) {\n      for (let k = Math.max(0, n - kept); k <= n - len - 1; k++) add(-values[k]!);\n    } else if (len > kept) {\n      for (let k = n - kept - 1; k >= Math.max(0, n - len); k--) add(values[k]!);\n    }\n    this.stepS = s;\n    this.stepC = c;\n  }\n\n  /**\n   * The running sum of the last `length` values with the (not na) value `x` added, from the kept state; the state is\n   * unchanged until {@link commit}.\n   *\n   * @returns The sum, or NaN while fewer than `length` values exist (with `x`)\n   */\n  step(x: number, length: number): number {\n    const len = length;\n    const values = this.values;\n    this.resize(len);\n    let s = this.stepS;\n    let c = this.stepC;\n    const c0 = c;\n    const n = values.length;\n    if (n >= len) {\n      const y = -this.stored[n - len]! - c;\n      const t = s + y;\n      c = (t - s) - y;\n      s = t;\n    }\n    if (compensationLost(x, c0)) {\n      let fresh = x;\n      for (let k = n - 1; k >= Math.max(0, n + 1 - len); k--) fresh += values[k]!;\n      s = fresh;\n      c = 0;\n      this.stepY = x;\n    } else {\n      const y = x - c;\n      const t = s + y;\n      c = (t - s) - y;\n      s = t;\n      this.stepY = y;\n    }\n    this.stepLength = len;\n    this.stepX = x;\n    this.stepS = s;\n    this.stepC = c;\n    return n + 1 >= len ? s : NaN;\n  }\n\n  /**\n   * The running sum of the last `length` values on a bar with an na value (no value added), from the kept state; the\n   * state is unchanged until {@link commit}. With an unchanged length, it is the previous result.\n   *\n   * @returns The sum, or NaN while fewer than `length` values exist\n   */\n  stepNa(length: number): number {\n    this.resize(length);\n    this.stepLength = length;\n    this.stepX = NaN;\n    const n = this.values.length;\n    return n > 0 && n >= length ? this.stepS : NaN;\n  }\n\n  /** Keeps the state of the last {@link step} or {@link stepNa}. */\n  commit(): void {\n    if (!Number.isNaN(this.stepX)) {\n      this.values.push(this.stepX);\n      this.stored.push(this.stepY);\n    }\n    this.keptLength = this.stepLength;\n    this.s = this.stepS;\n    this.c = this.stepC;\n  }\n}\n\n/** The running sums of `source` with the length `lengthAt(i)` on bar `i`. */\nfunction sumWindows(source: ArrayLike<number | null | undefined>, lengthAt: (i: number) => number): number[] {\n  const out: number[] = new Array<number>(source.length);\n  const sum = new RunningSum();\n  for (let i = 0; i < source.length; i++) {\n    const v = source[i];\n    const len = lengthAt(i);\n    out[i] = isNa(v) ? sum.stepNa(len) : sum.step(v as number, len);\n    sum.commit();\n  }\n  return out;\n}\n\n/**\n * The sum of the last `length` non-na values on each bar, as PineScript computes it.\n *\n * @param source - Values (na: NaN, null, undefined or +/-Infinity, skipped)\n * @param length - Number of non-na values in the window\n * @returns The running sum per bar: NaN until `length` non-na values exist; a bar with an na value keeps the\n *   previous result\n */\nexport function runningSum(source: ArrayLike<number | null | undefined>, length: number): number[] {\n  const len = Math.floor(length);\n  if (!(len >= 1)) return new Array<number>(source.length).fill(NaN);\n  return sumWindows(source, () => len);\n}\n\n/** The values of a series length, floored, checked to be at least 1 on every bar. */\nfunction seriesLengths(lengths: ArrayLike<number>, count: number, name: string): number[] {\n  if (lengths.length < count) {\n    throw new Error(`${name}: the length series has ${lengths.length} values for ${count} bars`);\n  }\n  return Array.from({ length: count }, (_, i) => {\n    const len = Math.floor(lengths[i]!);\n    if (!(len >= 1)) throw new Error(`${name}: length must be at least 1 (bar ${i}: ${lengths[i]})`);\n    return len;\n  });\n}\n\n/**\n * The sum of the last `lengths[i]` non-na values on each bar `i` (a series length), as PineScript computes it (see\n * {@link RunningSum}). A bar with an na value gives the sum of the last `lengths[i]` earlier values.\n *\n * @param name - Function name for the error messages\n */\nexport function runningSumSeries(\n  source: ArrayLike<number | null | undefined>,\n  lengths: ArrayLike<number>,\n  name = 'math.sum'\n): number[] {\n  const lens = seriesLengths(lengths, source.length, name);\n  return sumWindows(source, (i) => lens[i]!);\n}\n\n/** Variance from the running sums of the values and of their squares; rules in {@link runningVariance}. */\nfunction varianceFromSums(\n  source: ArrayLike<number | null | undefined>,\n  sumOf: (src: ArrayLike<number | null | undefined>) => number[],\n  lengthAt: (i: number) => number,\n  biased: boolean\n): number[] {\n  const squares = Array.from({ length: source.length }, (_, i) => {\n    const v = source[i];\n    return isNa(v) ? NaN : (v as number) * (v as number);\n  });\n  const sums = sumOf(source);\n  const sumSquares = sumOf(squares);\n  return sums.map((sum, i) => {\n    const len = lengthAt(i);\n    const mean = sum / len;\n    const sq = sumSquares[i]!;\n    return biased ? sq / len - mean * mean : sq / (len - 1) - (mean * sum) / (len - 1);\n  });\n}\n\n/**\n * Window variance from the running sums of the values and of their squares, as PineScript computes it:\n * biased `sumSq / n - mean * mean`, unbiased `sumSq / (n - 1) - mean * sum / (n - 1)`, with `mean = sum / n`.\n */\nexport function runningVariance(\n  source: ArrayLike<number | null | undefined>,\n  length: number,\n  biased: boolean\n): number[] {\n  const len = Math.floor(length);\n  return varianceFromSums(source, (src) => runningSum(src, len), () => len, biased);\n}\n\n/** {@link runningVariance} with a series length (the length of bar `i` is `lengths[i]`). */\nexport function runningVarianceSeries(\n  source: ArrayLike<number | null | undefined>,\n  lengths: ArrayLike<number>,\n  biased: boolean,\n  name = 'ta.variance'\n): number[] {\n  const lens = seriesLengths(lengths, source.length, name);\n  return varianceFromSums(source, (src) => sumWindows(src, (i) => lens[i]!), (i) => lens[i]!, biased);\n}\n"],
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package/dist/cjs/ta-series.d.ts

@@ -11,7 +11,7 @@ import type { Bar } from './types/index.js';
  * @param length - Period length
  * @returns Series with SMA values
  */
-export declare function sma(source: Series, length: number): Series;
+export declare function sma(source: Series, length: number | Series): Series;
 /**
  * Exponential Moving Average
  * @param source - Source series
@@ -64,7 +64,7 @@ export declare function bb(source: Series, length: number, mult: number): [Serie
  * @param biased - true (default): divide by length; false: by length - 1
  * @returns Series with standard deviation values
  */
-export declare function stdev(source: Series, length: number, biased?: boolean): Series;
+export declare function stdev(source: Series, length: number | Series, biased?: boolean): Series;
 /**
  * Average True Range
  * @param bars - Bar data
@@ -280,7 +280,7 @@ export declare function dev(source: Series, length: number): Series;
  * @param biased - Use biased estimation (default: true)
  * @returns Series with variance values
  */
-export declare function variance(source: Series, length: number, biased?: boolean): Series;
+export declare function variance(source: Series, length: number | Series, biased?: boolean): Series;
 /**
  * Median
  * @param source - Source series
@@ -369,7 +369,7 @@ export declare function dmi(bars: Bar[], diLength: number, adxSmoothing: number)
  * @param source - Source series
  * @param shortLength - Short smoothing period
  * @param longLength - Long smoothing period
- * @returns Series with TSI values
+ * @returns Series with TSI values, in [-1, 1] as PineScript
  */
 export declare function tsi(source: Series, shortLength: number, longLength: number): Series;
 /**

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package/dist/cjs/ta-series.js

@@ -105,7 +105,7 @@ var import_series = require("./runtime/series.js");
 function sma(source, length) {
   const bars = source.bars;
   const sourceValues = source.toArray();
-  const result = taCore.sma(sourceValues, length);
+  const result = taCore.sma(sourceValues, length instanceof import_series.Series ? length.toArray() : length);
   return import_series.Series.fromArray(bars, result);
 }
 function ema(source, length) {
@@ -152,7 +152,8 @@ function bb(source, length, mult) {
 }
 function stdev(source, length, biased = true) {
   const bars = source.bars;
-  return import_series.Series.fromArray(bars, taCore.stdev(source.toArray(), length, biased));
+  const len = length instanceof import_series.Series ? length.toArray() : length;
+  return import_series.Series.fromArray(bars, taCore.stdev(source.toArray(), len, biased));
 }
 function atr(bars, length) {
   const high = bars.map((b) => b.high);
@@ -379,7 +380,7 @@ function dev(source, length) {
 }
 function variance(source, length, biased = true) {
   const bars = source.bars;
-  const result = taCore.variance(source.toArray(), length, biased);
+  const result = taCore.variance(source.toArray(), length instanceof import_series.Series ? length.toArray() : length, biased);
   return import_series.Series.fromArray(bars, result);
 }
 function median(source, length) {