ohlcv-indicators 1.7.8 → 1.7.9
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/ohlcv-indicators.min.js +1 -1
- package/index.js +28 -18
- package/package.json +1 -2
- package/src/moving-averages/bollingerBands.js +25 -5
- package/src/moving-averages/relativeVolume.js +3 -5
- package/src/studies/candleStudies.js +4 -53
- package/src/studies/findCrosses.js +44 -29
- package/src/utilities/classification.js +49 -0
- package/src/utilities/parsing-utilities.js +22 -0
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e,r,n,o=arguments.length>1&&void 0!==arguments[1]?arguments[1]:20,i=arguments.length>2&&void 0!==arguments[2]?arguments[2]:2,u=t.length,l=Array(u).fill(null),a=Array(u).fill(null),c=Array(u).fill(null),s=Array(u).fill(null),f=Array(u).fill(null),h=null,v=null,p=new tt(o,i),y=0;y<u;y++){var b={};p.update(t[y]);var d=!1;try{b=p.getResult()}catch(t){d=!0,b={upper:null,middle:null,lower:null}}if(l[y]=b.upper,a[y]=b.middle,c[y]=b.lower,d)s[y]=null,f[y]=null;else{var g=(e=t[y],r=b.upper,{range:(e-(n=b.lower))/(r-n)*100,height:(r-n)/n*100});h=g.range,v=g.height}s[y]=h,f[y]=v}return{bollinger_bands_upper:l,bollinger_bands_middle:a,bollinger_bands_lower:c,bollinger_bands_range:s,bollinger_bands_height:f}}(t.verticalOhlcv.close,e,r)}(this,t,e);return Object.assign(this.indicators,r),this}},{key:"rsi",value:function(t,e,r){var n=function(t,e,r,n){var o=t.verticalOhlcv.close;return"number"==typeof e&&void 0===n&&(n=e),Ht(o,e,r,n)}(this,t,e,r);return Object.assign(this.indicators,n),this}},{key:"orb",value:function(){var t=function(t,e){for(var r=new Array(e).fill(0),n=new Array(e).fill(0),o=0,i=null,u=0,l=0,a=0;a<e;a++){var c=t[a];if(0===a&&!c.hasOwnProperty("date"))throw Error("input ohlcv array must have a date property available in candle datapoint");var s=c.date.split(" ")[0];s!==i&&(i=s,u=c.high,l=c.low),r[o]=u,n[o]=l,o++}return{orb_high:r,orb_low:n}}(this.inputOhlcv,this.len);return Object.assign(this.indicators,t),this}},{key:"donchianChannels",value:function(t,e){var r=function(t,e,r){var n=t.verticalOhlcv,o=t.len;return function(t,e,r,n,o){for(var i=new Array(o).fill(null),u=new Array(o).fill(null),l=new Array(o).fill(null),a=[],c=[],s=0;s<o;s++){for(;a.length&&a[0]<=s-r;)a.shift();for(;a.length&&t[a[a.length-1]]<=t[s];)a.pop();for(a.push(s);c.length&&c[0]<=s-r;)c.shift();for(;c.length&&e[c[c.length-1]]>=e[s];)c.pop();if(c.push(s),s>=r-1){var 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t?Object.defineProperty(t,e,{value:r,enumerable:!0,configurable:!0,writable:!0}):t[e]=r,t}({},"relative_volume_".concat(e),r)}(this,t);return Object.assign(this.indicators,e),this}},{key:"ema",value:function(t){var e=function(t,e){var r=t.verticalOhlcv.close,n=Et(r,e);return function(t,e,r){return(e=function(t){var e=function(t,e){if("object"!=Pt(t)||!t)return t;var r=t[Symbol.toPrimitive];if(void 0!==r){var n=r.call(t,"string");if("object"!=Pt(n))return n;throw new TypeError("@@toPrimitive must return a primitive value.")}return String(t)}(t);return"symbol"==Pt(e)?e:e+""}(e))in t?Object.defineProperty(t,e,{value:r,enumerable:!0,configurable:!0,writable:!0}):t[e]=r,t}({},"ema_".concat(e),n)}(this,t);return Object.assign(this.indicators,e),this.priceBased.add("ema_".concat(t)),this}},{key:"sma",value:function(t){var e=function(t,e){var r=t.verticalOhlcv.close,n=kt(r,e);return function(t,e,r){return(e=function(t){var e=function(t,e){if("object"!=At(t)||!t)return t;var 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s={};a.update(t[c]);try{s=a.getResult()}catch(t){s={macd:null,signal:null,histogram:null}}i[c]=s.macd,u[c]=s.signal,l[c]=s.histogram}return{macd_diff:i,macd_dea:u,macd_histogram:l,macd_diff_x_macd_dea:Ct({fast:i,slow:u})}}(t.verticalOhlcv.close,e,r,n)}(this,t,e,r);return Object.assign(this.indicators,n),this}},{key:"bollingerBands",value:function(t,e){var r=function(t,e,r){return function(t){for(var e,r,n,o=arguments.length>1&&void 0!==arguments[1]?arguments[1]:20,i=arguments.length>2&&void 0!==arguments[2]?arguments[2]:2,u=t.length,l=Array(u).fill(null),a=Array(u).fill(null),c=Array(u).fill(null),s=Array(u).fill(null),f=Array(u).fill(null),h=new N(o),v=null,p=null,y=new tt(o,i),b=0;b<u;b++){var d={};y.update(t[b]);var g=!1,m=void 0;try{d=y.getResult()}catch(t){g=!0,d={upper:null,middle:null,lower:null}}if(l[b]=d.upper,a[b]=d.middle,c[b]=d.lower,g)s[b]=null,f[b]=null;else{var w=(e=t[b],r=d.upper,{range:(e-(n=d.lower))/(r-n),height:r-n});v=w.range,p=w.height,h.update(p);try{m=h.getResult()}catch(t){m=null}}s[b]=v,f[b]=Ft(p,m,1.5)}return{bollinger_bands_upper:l,bollinger_bands_middle:a,bollinger_bands_lower:c,bollinger_bands_range:s,bollinger_bands_height:f}}(t.verticalOhlcv.close,e,r)}(this,t,e);return Object.assign(this.indicators,r),this.priceBased.add("bollinger_bands_middle"),this.priceBased.add("bollinger_bands_upper"),this.priceBased.add("bollinger_bands_lower"),this}},{key:"rsi",value:function(t,e,r){var n=function(t,e,r,n){var o=t.verticalOhlcv.close;return"number"==typeof e&&void 0===n&&(n=e),Gt(o,e,r,n)}(this,t,e,r);return Object.assign(this.indicators,n),this}},{key:"orb",value:function(){var t=function(t,e){for(var r=new Array(e).fill(0),n=new Array(e).fill(0),o=0,i=null,u=0,l=0,a=0;a<e;a++){var c=t[a];if(0===a&&!c.hasOwnProperty("date"))throw Error("input ohlcv array must have a date property available in candle datapoint");var s=c.date.split(" ")[0];s!==i&&(i=s,u=c.high,l=c.low),r[o]=u,n[o]=l,o++}return{orb_high:r,orb_low:n}}(this.inputOhlcv,this.len);return Object.assign(this.indicators,t),this.priceBased.add("orb_high"),this.priceBased.add("orb_low"),this}},{key:"donchianChannels",value:function(t,e){var r=function(t,e,r){var n=t.verticalOhlcv,o=t.len;return function(t,e,r,n,o){for(var i=new Array(o).fill(null),u=new Array(o).fill(null),l=new Array(o).fill(null),a=[],c=[],s=0;s<o;s++){for(;a.length&&a[0]<=s-r;)a.shift();for(;a.length&&t[a[a.length-1]]<=t[s];)a.pop();for(a.push(s);c.length&&c[0]<=s-r;)c.shift();for(;c.length&&e[c[c.length-1]]>=e[s];)c.pop();if(c.push(s),s>=r-1){var f=t[a[0]],h=e[c[0]],v=(f+h)/2,p=s+n;p>=0&&p<o&&(i[p]=f,u[p]=h,l[p]=v)}}return{donchian_channel_upper:i,donchian_channel_lower:u,donchian_channel_basis:l}}(n.high,n.low,e,r,o)}(this,t,e);return Object.assign(this.indicators,r),this.priceBased.add("donchian_channel_upper"),this.priceBased.add("donchian_channel_lower"),this.priceBased.add("donchian_channel_basis"),this}},{key:"candlesStudies",value:function(t,e){var r=function(t,e,r){return function(t){var e,r,n,o,i,u,l=arguments.length>1&&void 0!==arguments[1]?arguments[1]:20,a=arguments.length>2?arguments[2]:void 0,c=!(arguments.length>3&&void 0!==arguments[3])||arguments[3],s=new Array(a).fill(null),f=new Array(a).fill(null),h=new Array(a).fill(null),v=new Array(a).fill(null),p=new Array(a).fill(null),y=new Array(a).fill(null);c&&(e=new N(l),r=new N(l),n=new N(l),o=new N(l),i=new N(l),u=new N(l));for(var b=0;b<a;b++){var d=t[b],g=t[b-1];if(void 0!==g){var m=d.open,w=d.high,O=d.low,_=d.close,j=null,S=null,P=null,E=null,A=null,k=null,R=_-m,T=d.high-d.low,M=R>0?w-_:w-m,x=R>0?m-O:_-O,C=d.open-g.close,D=d.close-g.close;if(c){e.update(Math.abs(M)),r.update(Math.abs(x)),i.update(Math.abs(T)),n.update(C),o.update(R),u.update(D);try{P=e.getResult(),S=r.getResult(),j=n.getResult(),E=o.getResult(),A=i.getResult(),k=u.getResult()}catch(t){E=null,j=null,P=null,S=null,A=null,k=null}s[b]=Nt(R,E,.5),v[b]=Nt(C,j,.5),y[b]=Nt(D,k,.5),f[b]=Ft(M,P,.5),h[b]=Ft(x,S,.5),p[b]=Ft(T,A,.5)}else s[b]=R,v[b]=C,y[b]=D,f[b]=M,h[b]=x,p[b]=T}}return{candle_gap_size:v,candle_body_size:s,candle_top_size:f,candle_bottom_size:h,candle_shadow_size:p,candle_position:y}}(t.inputOhlcv,e,t.len,r)}(this,t,e);return Object.assign(this.indicators,r),this}},{key:"findDirectionCross",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["close","low"];this.compute();for(var e=0;e<t.length;e++){var r=t[e],n=Bt(this,r);Object.assign(this.indicators,Qt({},"".concat(r,"_direction_cross"),n))}return this.compute(),this}},{key:"findLinearDirection",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["close","low"];this.compute();for(var e=0;e<t.length;e++){var r=t[e],n=Lt(this,r);Object.assign(this.indicators,Qt({},"".concat(r,"_linear_direction"),n))}return this.compute(),this}},{key:"change",value:function(t){this.compute();var e=this.verticalOhlcv;if(!e.hasOwnProperty(t)){var r='key "'.concat(t,'" not found in verticalOhlcv. change method');throw Error(r)}return Object.assign(this.indicators,Qt({},"".concat(t,"_change"),function(t){if(!Array.isArray(t))throw Error("data param in arrayGt function must be array");for(var e=Array(t.length).fill(0),r=1;r<e.length;r++)if(null===t[r]||null===t[r-1])e[r];else{var n=t[r],o=t[r-1];e[r]=(n-o)/o*100}return e}(e[t]))),this.compute(),this}},{key:"gt",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:"close",e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:"open";this.compute();var r,n=this.verticalOhlcv;if(!n.hasOwnProperty(t)){var o='key "'.concat(t,'" not found in verticalOhlcv. gt method');throw Error(o)}if("string"==typeof e){if(!n.hasOwnProperty(e)){var i='key "'.concat(e,'" not found in verticalOhlcv. gt method');throw Error(i)}r=n[e]}else"number"==typeof e&&(r=new Array(n[t].length).fill(e));return Object.assign(this.indicators,Qt({},"".concat(t,"_gt_").concat(e),function(t,e){if(!Array.isArray(t)||!Array.isArray(e))throw Error("a and b params in arrayGt function must be arrays");if(t.length!==e.length)throw Error("array a and b must be the same length in arrayGt function");if(t.length<2)throw Error("arrays in arrayGt function must have at least 2 numeric items");for(var r=Array(t.length).fill(.5),n=1;n<r.length;n++)null!==t[n]&&null!==e[n]||(r[n]=null),t[n]>e[n]?r[n]=1:t[n]<e[n]&&(r[n]=0);return r}(n[t],r))),this.compute(),this}}],e&&ee(t.prototype,e),Object.defineProperty(t,"prototype",{writable:!1}),t;var t,e}()})(),OHLCV_INDICATORS=e})();
|
package/index.js
CHANGED
|
@@ -19,6 +19,7 @@ export default class OHLCV_INDICATORS {
|
|
|
19
19
|
if(input.length === 0) throw Error('input ohlcv must not be empty: ' + ticker)
|
|
20
20
|
if(!input[0].hasOwnProperty('close')) throw Error('input ohlcv array objects require at least close property: ' + ticker)
|
|
21
21
|
|
|
22
|
+
this.priceBased = new Set(['open', 'high', 'low', 'close', 'mid_price_open_close', 'mid_price_high_low'])
|
|
22
23
|
this.len = input.length
|
|
23
24
|
this.crossPairsArr = []
|
|
24
25
|
this.inputOhlcv = input
|
|
@@ -50,6 +51,7 @@ export default class OHLCV_INDICATORS {
|
|
|
50
51
|
// Loop over keys to fill row data
|
|
51
52
|
for (let x = 0; x < keysLength; x++) {
|
|
52
53
|
const header = keys[x];
|
|
54
|
+
|
|
53
55
|
const value = verticalOhlcv[header][i];
|
|
54
56
|
|
|
55
57
|
// If value is null, mark the row to be skipped and break
|
|
@@ -58,7 +60,7 @@ export default class OHLCV_INDICATORS {
|
|
|
58
60
|
break;
|
|
59
61
|
}
|
|
60
62
|
|
|
61
|
-
row[header] =
|
|
63
|
+
row[header] = value
|
|
62
64
|
}
|
|
63
65
|
|
|
64
66
|
// If no null values were found, add row to result
|
|
@@ -72,21 +74,7 @@ export default class OHLCV_INDICATORS {
|
|
|
72
74
|
|
|
73
75
|
|
|
74
76
|
getLastValues(){
|
|
75
|
-
|
|
76
|
-
this.compute()
|
|
77
|
-
const {verticalOhlcv, len} = this
|
|
78
|
-
const output = {}
|
|
79
|
-
|
|
80
|
-
for (const [k, arr] of Object.entries(verticalOhlcv)) {
|
|
81
|
-
let value = arr[len - 1]
|
|
82
|
-
|
|
83
|
-
output[k] = value
|
|
84
|
-
|
|
85
|
-
}
|
|
86
|
-
|
|
87
|
-
Object.assign(output, this.studies)
|
|
88
|
-
|
|
89
|
-
return output
|
|
77
|
+
return this.getData()[this.getData().length -1]
|
|
90
78
|
}
|
|
91
79
|
|
|
92
80
|
compute() {
|
|
@@ -142,7 +130,7 @@ export default class OHLCV_INDICATORS {
|
|
|
142
130
|
|
|
143
131
|
lag(colKeys = ['close'], lags = 1) {
|
|
144
132
|
this.compute();
|
|
145
|
-
const {verticalOhlcv} = this;
|
|
133
|
+
const {verticalOhlcv, priceBased} = this;
|
|
146
134
|
|
|
147
135
|
for (let x = 0; x < colKeys.length; x++) {
|
|
148
136
|
for (let lag = 1; lag <= lags; lag++) {
|
|
@@ -151,8 +139,14 @@ export default class OHLCV_INDICATORS {
|
|
|
151
139
|
const values = verticalOhlcv[colKeys[x]].slice(0, -(lag));
|
|
152
140
|
|
|
153
141
|
Object.assign(this.indicators, {[key]: values})
|
|
142
|
+
|
|
143
|
+
if([...priceBased].find(v => key.startsWith(v)))
|
|
144
|
+
{
|
|
145
|
+
this.priceBased.add(key)
|
|
146
|
+
}
|
|
154
147
|
}
|
|
155
148
|
}
|
|
149
|
+
|
|
156
150
|
|
|
157
151
|
this.compute();
|
|
158
152
|
return this;
|
|
@@ -160,9 +154,9 @@ export default class OHLCV_INDICATORS {
|
|
|
160
154
|
|
|
161
155
|
relativeVolume(size) {
|
|
162
156
|
|
|
163
|
-
|
|
164
157
|
const result = relativeVolume(this, size)
|
|
165
158
|
Object.assign(this.indicators, result)
|
|
159
|
+
|
|
166
160
|
|
|
167
161
|
return this
|
|
168
162
|
}
|
|
@@ -173,6 +167,8 @@ export default class OHLCV_INDICATORS {
|
|
|
173
167
|
const result = ema(this, size)
|
|
174
168
|
Object.assign(this.indicators, result)
|
|
175
169
|
|
|
170
|
+
this.priceBased.add(`ema_${size}`)
|
|
171
|
+
|
|
176
172
|
return this
|
|
177
173
|
}
|
|
178
174
|
sma(size) {
|
|
@@ -180,6 +176,8 @@ export default class OHLCV_INDICATORS {
|
|
|
180
176
|
const result = sma(this, size)
|
|
181
177
|
Object.assign(this.indicators, result)
|
|
182
178
|
|
|
179
|
+
this.priceBased.add(`sma_${size}`)
|
|
180
|
+
|
|
183
181
|
return this
|
|
184
182
|
}
|
|
185
183
|
macd(fastLine, slowLine, signalLine) {
|
|
@@ -196,6 +194,10 @@ export default class OHLCV_INDICATORS {
|
|
|
196
194
|
const result = bollingerBands(this, size, times)
|
|
197
195
|
Object.assign(this.indicators, result)
|
|
198
196
|
|
|
197
|
+
this.priceBased.add('bollinger_bands_middle')
|
|
198
|
+
this.priceBased.add('bollinger_bands_upper')
|
|
199
|
+
this.priceBased.add('bollinger_bands_lower')
|
|
200
|
+
|
|
199
201
|
return this
|
|
200
202
|
}
|
|
201
203
|
rsi(period, movingAverage, movingAveragePeriod)
|
|
@@ -211,6 +213,9 @@ export default class OHLCV_INDICATORS {
|
|
|
211
213
|
const result = orb(this)
|
|
212
214
|
Object.assign(this.indicators, result)
|
|
213
215
|
|
|
216
|
+
this.priceBased.add('orb_high')
|
|
217
|
+
this.priceBased.add('orb_low')
|
|
218
|
+
|
|
214
219
|
return this
|
|
215
220
|
}
|
|
216
221
|
donchianChannels(period, offset)
|
|
@@ -218,6 +223,11 @@ export default class OHLCV_INDICATORS {
|
|
|
218
223
|
const result = donchianChannels(this, period, offset)
|
|
219
224
|
Object.assign(this.indicators, result)
|
|
220
225
|
|
|
226
|
+
|
|
227
|
+
this.priceBased.add('donchian_channel_upper')
|
|
228
|
+
this.priceBased.add('donchian_channel_lower')
|
|
229
|
+
this.priceBased.add('donchian_channel_basis')
|
|
230
|
+
|
|
221
231
|
return this
|
|
222
232
|
}
|
|
223
233
|
candlesStudies(period, classify)
|
package/package.json
CHANGED
|
@@ -1,6 +1,6 @@
|
|
|
1
1
|
{
|
|
2
2
|
"name": "ohlcv-indicators",
|
|
3
|
-
"version": "1.7.
|
|
3
|
+
"version": "1.7.9",
|
|
4
4
|
"description": "A JavaScript library featuring optimized trading indicators for OHLCV arrays [{open, high, low, close, value}]. This library is optimized for backtesting and trading bot development.",
|
|
5
5
|
"main": "index.js",
|
|
6
6
|
"type": "module",
|
|
@@ -13,7 +13,6 @@
|
|
|
13
13
|
"author": "https://jaimelias.com/",
|
|
14
14
|
"license": "ISC",
|
|
15
15
|
"dependencies": {
|
|
16
|
-
"ml-knn": "^3.0.0",
|
|
17
16
|
"trading-signals": "^5.0.4"
|
|
18
17
|
},
|
|
19
18
|
"devDependencies": {
|
|
@@ -1,5 +1,6 @@
|
|
|
1
1
|
|
|
2
|
-
import {
|
|
2
|
+
import {FasterBollingerBands, FasterSMA} from 'trading-signals';
|
|
3
|
+
import { classifySize } from '../utilities/classification.js';
|
|
3
4
|
|
|
4
5
|
export const bollingerBands = (main, size, times) => {
|
|
5
6
|
|
|
@@ -18,13 +19,18 @@ export const getBollingerBands = (data, size = 20, times = 2) => {
|
|
|
18
19
|
const bollinger_bands_lower = Array(dataLength).fill(null)
|
|
19
20
|
const bollinger_bands_range = Array(dataLength).fill(null)
|
|
20
21
|
const bollinger_bands_height = Array(dataLength).fill(null)
|
|
22
|
+
|
|
23
|
+
|
|
24
|
+
const heightInstance = new FasterSMA(size)
|
|
25
|
+
|
|
21
26
|
let range = null
|
|
22
27
|
let height = null
|
|
23
28
|
|
|
24
29
|
let getRange = (value, upper, lower) => ({
|
|
25
|
-
range: ((value - lower) / (upper - lower))
|
|
26
|
-
height:
|
|
30
|
+
range: ((value - lower) / (upper - lower)),
|
|
31
|
+
height: upper-lower
|
|
27
32
|
})
|
|
33
|
+
|
|
28
34
|
let instance = new FasterBollingerBands(size, times)
|
|
29
35
|
|
|
30
36
|
|
|
@@ -32,6 +38,8 @@ export const getBollingerBands = (data, size = 20, times = 2) => {
|
|
|
32
38
|
let obj = {};
|
|
33
39
|
instance.update(data[x])
|
|
34
40
|
let hasNull = false
|
|
41
|
+
let heightMean
|
|
42
|
+
|
|
35
43
|
|
|
36
44
|
try {
|
|
37
45
|
obj = instance.getResult()
|
|
@@ -54,11 +62,23 @@ export const getBollingerBands = (data, size = 20, times = 2) => {
|
|
|
54
62
|
const extraProps = getRange(data[x], obj.upper, obj.lower)
|
|
55
63
|
range = extraProps.range
|
|
56
64
|
height = extraProps.height
|
|
65
|
+
|
|
66
|
+
heightInstance.update(height)
|
|
67
|
+
|
|
68
|
+
try{
|
|
69
|
+
heightMean = heightInstance.getResult()
|
|
70
|
+
}
|
|
71
|
+
catch(err)
|
|
72
|
+
{
|
|
73
|
+
heightMean = null
|
|
74
|
+
}
|
|
75
|
+
|
|
57
76
|
}
|
|
58
77
|
|
|
59
78
|
bollinger_bands_range[x] = range
|
|
60
|
-
bollinger_bands_height[x] = height
|
|
79
|
+
bollinger_bands_height[x] = classifySize(height, heightMean, 1.5)
|
|
61
80
|
}
|
|
62
81
|
|
|
63
82
|
return { bollinger_bands_upper, bollinger_bands_middle, bollinger_bands_lower, bollinger_bands_range, bollinger_bands_height }
|
|
64
|
-
}
|
|
83
|
+
}
|
|
84
|
+
|
|
@@ -1,6 +1,6 @@
|
|
|
1
1
|
import {FasterSMA} from 'trading-signals'
|
|
2
2
|
|
|
3
|
-
export const relativeVolume = (main, size) => {
|
|
3
|
+
export const relativeVolume = (main, size = 10) => {
|
|
4
4
|
const {verticalOhlcv} = main
|
|
5
5
|
const {volume} = verticalOhlcv
|
|
6
6
|
const col = getRelativeVolume(volume, size)
|
|
@@ -10,7 +10,7 @@ export const relativeVolume = (main, size) => {
|
|
|
10
10
|
}
|
|
11
11
|
}
|
|
12
12
|
|
|
13
|
-
export const getRelativeVolume = (volume, size
|
|
13
|
+
export const getRelativeVolume = (volume, size) => {
|
|
14
14
|
|
|
15
15
|
const instance = new FasterSMA(size)
|
|
16
16
|
const sma = new Array(volume.length).fill(null)
|
|
@@ -38,8 +38,6 @@ export const getRelativeVolume = (volume, size = 10) => {
|
|
|
38
38
|
output[x] = volume[x] / sma[x-1]
|
|
39
39
|
}
|
|
40
40
|
}
|
|
41
|
-
|
|
42
|
-
console.log(output)
|
|
43
|
-
|
|
41
|
+
|
|
44
42
|
return output
|
|
45
43
|
}
|
|
@@ -1,4 +1,5 @@
|
|
|
1
|
-
import {FasterSMA} from 'trading-signals'
|
|
1
|
+
import {FasterSMA} from 'trading-signals'
|
|
2
|
+
import { classifyChange, classifySize } from '../utilities/classification.js'
|
|
2
3
|
|
|
3
4
|
export const candlesStudies = (main, period, classify) => {
|
|
4
5
|
|
|
@@ -65,7 +66,7 @@ const getCandlesStudies = (inputOhlcv, period = 20, len, classify = true) => {
|
|
|
65
66
|
//sizes
|
|
66
67
|
const topSize = (candleBodySize > 0) ? high - close : high - open
|
|
67
68
|
const bottomSize = (candleBodySize > 0) ? open - low : close - low
|
|
68
|
-
const gapSize =
|
|
69
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const gapSize = prev.close - curr.open
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@@ -131,54 +132,4 @@ const getCandlesStudies = (inputOhlcv, period = 20, len, classify = true) => {
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candle_shadow_size,
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candle_position
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const classifyChange = (value, mean, standardDeviation = 0.5) => {
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const largePositiveThreshold = mean + (2 * standardDeviation); // Large positive
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const mediumPositiveThreshold = mean + (1.5 * standardDeviation); // Medium positive (1.5σ)
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const smallPositiveThreshold = mean + (0.5 * standardDeviation); // Small positive (0.5σ)
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const smallNegativeThreshold = mean - (0.5 * standardDeviation); // Small negative (-0.5σ)
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const mediumNegativeThreshold = mean - (1.5 * standardDeviation); // Medium negative (-1.5σ)
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const largeNegativeThreshold = mean - (2 * standardDeviation); // Large negative
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const classifySize = (value, mean, standardDeviation = 1.5) => {
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const largeThreshold = mean + (2 * standardDeviation); // Large (2σ above mean)
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const mediumThreshold = mean + (1 * standardDeviation); // Medium (1σ above mean)
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const smallThreshold = mean - (1 * standardDeviation); // Small (1σ below mean)
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const verySmallThreshold = mean - (1.5 * standardDeviation); // Very small (1.5σ below mean)
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}
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@@ -1,15 +1,12 @@
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const eq = (
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const gt = (
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const lt = (
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const eq = (f, s) => f === s
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const gt = (f, s) => f > s
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const lt = (f, s) => f < s
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// Function to find crosses between two arrays: fast and slow
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export const findCrosses = ({fast,
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+
export const findCrosses = ({fast, high, low, slow}) => {
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8
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// Map states based on comparison of fast and slow arrays
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const dataLength = fast.length
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if(dataLength ==! slow.length)
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@@ -17,42 +14,60 @@ export const findCrosses = ({fast, fastB, fastC, slow}) => {
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throw Error('fast and slow do not have the same length')
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}
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16
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-
const state = new Array(dataLength).fill(
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+
const state = new Array(dataLength).fill(0.5)
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for(let x = 0; x < dataLength; x++)
|
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20
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{
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+
const prevState = state?.[x-1] || 0.5
|
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22
|
const f = fast[x]
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25
23
|
const s = slow[x]
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const hi = high?.[x]
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+
const lo = low?.[x]
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26
26
|
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27
|
-
|
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|
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27
|
+
if(high || low)
|
|
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|
+
{
|
|
29
|
+
if(typeof hi === 'undefined' || typeof lo === 'undefined') continue
|
|
30
|
+
}
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|
29
31
|
|
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|
-
const
|
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31
|
-
const
|
|
32
|
-
|
|
33
|
-
|
|
34
|
-
|
|
32
|
+
const prevS = slow[x - 1]
|
|
33
|
+
const prevHi = high?.[x-1]
|
|
34
|
+
const prevLo = low?.[x-1]
|
|
35
|
+
|
|
36
|
+
if(high || low)
|
|
37
|
+
{
|
|
38
|
+
if(typeof prevHi === 'undefined' || typeof prevLo === 'undefined' || typeof prevS === 'undefined') continue
|
|
39
|
+
}
|
|
35
40
|
|
|
36
41
|
let value
|
|
37
42
|
|
|
38
|
-
if(f === null || s === null) value =
|
|
39
|
-
|
|
40
|
-
|
|
43
|
+
if(f === null || s === null) value = 0.5
|
|
44
|
+
|
|
45
|
+
else if(eq(f, s)) {
|
|
46
|
+
value = prevState
|
|
47
|
+
}
|
|
48
|
+
else if(gt(f, s)) {
|
|
49
|
+
|
|
50
|
+
if(lt(lo, s) && gt(prevLo, prevS))
|
|
41
51
|
{
|
|
42
|
-
value =
|
|
52
|
+
value = 0
|
|
43
53
|
}
|
|
44
|
-
else
|
|
54
|
+
else
|
|
45
55
|
{
|
|
46
|
-
value =
|
|
56
|
+
value = 1
|
|
57
|
+
}
|
|
58
|
+
}
|
|
59
|
+
else if(lt(f, s)) {
|
|
60
|
+
|
|
61
|
+
if(gt(hi, s) && lt(prevHi, prevS))
|
|
62
|
+
{
|
|
63
|
+
value = 1
|
|
47
64
|
}
|
|
48
65
|
else
|
|
49
66
|
{
|
|
50
|
-
value = 0
|
|
67
|
+
value = 0
|
|
51
68
|
}
|
|
52
69
|
}
|
|
53
|
-
|
|
54
|
-
else if(lt({f, fb, fc, s})) value = 0
|
|
55
|
-
|
|
70
|
+
|
|
56
71
|
state[x] = value
|
|
57
72
|
}
|
|
58
73
|
|
|
@@ -163,8 +178,8 @@ export const crossPairs = (main, arr) => {
|
|
|
163
178
|
const cross = (fast === 'price')
|
|
164
179
|
? findCrosses({
|
|
165
180
|
fast: verticalOhlcv.close,
|
|
166
|
-
|
|
167
|
-
|
|
181
|
+
high: verticalOhlcv.high,
|
|
182
|
+
low: verticalOhlcv.low,
|
|
168
183
|
slow: verticalOhlcv[slow]}
|
|
169
184
|
)
|
|
170
185
|
: findCrosses({fast: verticalOhlcv[fast], slow: verticalOhlcv[slow]})
|
|
@@ -213,11 +228,11 @@ export const findLinearDirection = (main, keyName) => {
|
|
|
213
228
|
let curr = arr[x]
|
|
214
229
|
let prev = arr[x-1]
|
|
215
230
|
|
|
216
|
-
if(gt(
|
|
231
|
+
if(gt(curr, prev))
|
|
217
232
|
{
|
|
218
233
|
state[x] = 1 //up
|
|
219
234
|
}
|
|
220
|
-
else if(lt(
|
|
235
|
+
else if(lt(curr, prev))
|
|
221
236
|
{
|
|
222
237
|
state[x] = 0 //down
|
|
223
238
|
}
|
|
@@ -0,0 +1,49 @@
|
|
|
1
|
+
|
|
2
|
+
export const classifySize = (value, mean, standardDeviation = 1.5) => {
|
|
3
|
+
if (value === null || mean === null || standardDeviation === null) return null;
|
|
4
|
+
|
|
5
|
+
const largeThreshold = mean + (2 * standardDeviation); // Large (2σ above mean)
|
|
6
|
+
const mediumThreshold = mean + (1 * standardDeviation); // Medium (1σ above mean)
|
|
7
|
+
const smallThreshold = mean - (1 * standardDeviation); // Small (1σ below mean)
|
|
8
|
+
const verySmallThreshold = mean - (1.5 * standardDeviation); // Very small (1.5σ below mean)
|
|
9
|
+
|
|
10
|
+
if (value > largeThreshold) {
|
|
11
|
+
return 1; // Large
|
|
12
|
+
} else if (value > mediumThreshold) {
|
|
13
|
+
return 0.75; // Medium
|
|
14
|
+
} else if (value > smallThreshold) {
|
|
15
|
+
return 0.5; // Small
|
|
16
|
+
} else if (value > verySmallThreshold) {
|
|
17
|
+
return 0.25; // Very small
|
|
18
|
+
} else {
|
|
19
|
+
return 0; // Insignificant
|
|
20
|
+
}
|
|
21
|
+
};
|
|
22
|
+
|
|
23
|
+
|
|
24
|
+
export const classifyChange = (value, mean, standardDeviation = 0.5) => {
|
|
25
|
+
if (value === null || mean === null || standardDeviation === null) return null;
|
|
26
|
+
|
|
27
|
+
const largePositiveThreshold = mean + (2 * standardDeviation); // Large positive
|
|
28
|
+
const mediumPositiveThreshold = mean + (1.5 * standardDeviation); // Medium positive (1.5σ)
|
|
29
|
+
const smallPositiveThreshold = mean + (0.5 * standardDeviation); // Small positive (0.5σ)
|
|
30
|
+
const smallNegativeThreshold = mean - (0.5 * standardDeviation); // Small negative (-0.5σ)
|
|
31
|
+
const mediumNegativeThreshold = mean - (1.5 * standardDeviation); // Medium negative (-1.5σ)
|
|
32
|
+
const largeNegativeThreshold = mean - (2 * standardDeviation); // Large negative
|
|
33
|
+
|
|
34
|
+
if (value >= largePositiveThreshold) {
|
|
35
|
+
return 1; // Large positive
|
|
36
|
+
} else if (value >= mediumPositiveThreshold) {
|
|
37
|
+
return 0.5; // Medium positive
|
|
38
|
+
} else if (value >= smallPositiveThreshold) {
|
|
39
|
+
return 0.25; // Small positive
|
|
40
|
+
} else if (value <= largeNegativeThreshold) {
|
|
41
|
+
return -1; // Large negative
|
|
42
|
+
} else if (value <= mediumNegativeThreshold) {
|
|
43
|
+
return -0.5; // Medium negative
|
|
44
|
+
} else if (value <= smallNegativeThreshold) {
|
|
45
|
+
return -0.25; // Small negative
|
|
46
|
+
} else {
|
|
47
|
+
return 0; // No significant change
|
|
48
|
+
}
|
|
49
|
+
};
|
|
@@ -1,6 +1,12 @@
|
|
|
1
|
+
|
|
2
|
+
|
|
3
|
+
|
|
1
4
|
//true if first row date starts with yyyy-mm-dd date
|
|
2
5
|
const validateFirstDate = arr => arr[0].hasOwnProperty('date') && typeof arr[0].date === 'string' && /^\d{4}-\d{2}-\d{2}/.test(arr[0].date)
|
|
3
6
|
|
|
7
|
+
|
|
8
|
+
|
|
9
|
+
|
|
4
10
|
export const defaultStudyOptions = {
|
|
5
11
|
midPriceOpenClose: false,
|
|
6
12
|
midPriceHighLow: false,
|
|
@@ -35,6 +41,12 @@ export const parseOhlcvToVertical = (input, len, studyOptions) => {
|
|
|
35
41
|
weekOfTheMonth
|
|
36
42
|
} = studyOptions
|
|
37
43
|
|
|
44
|
+
let highMax
|
|
45
|
+
let lowMin
|
|
46
|
+
let volMax
|
|
47
|
+
let volMin
|
|
48
|
+
|
|
49
|
+
|
|
38
50
|
const numberColsKeys = ['open', 'high', 'low', 'close', 'volume']
|
|
39
51
|
|
|
40
52
|
if(midPriceOpenClose)
|
|
@@ -105,6 +117,7 @@ export const parseOhlcvToVertical = (input, len, studyOptions) => {
|
|
|
105
117
|
for (let x = 0; x < len; x++) {
|
|
106
118
|
const current = input[x]
|
|
107
119
|
|
|
120
|
+
|
|
108
121
|
verticalOhlcv.open[x] = current.open
|
|
109
122
|
verticalOhlcv.high[x] = current.high
|
|
110
123
|
verticalOhlcv.low[x] = current.low
|
|
@@ -194,4 +207,13 @@ const getDateInfo = dateString => {
|
|
|
194
207
|
day_of_the_month,
|
|
195
208
|
week_of_the_month
|
|
196
209
|
};
|
|
210
|
+
}
|
|
211
|
+
|
|
212
|
+
|
|
213
|
+
const normalizeArray = (array, min, max, range = [0, 1]) => {
|
|
214
|
+
const [rangeMin, rangeMax] = range;
|
|
215
|
+
const normalized = array.map(value =>
|
|
216
|
+
((value - min) / (max - min)) * (rangeMax - rangeMin) + rangeMin
|
|
217
|
+
);
|
|
218
|
+
return normalized;
|
|
197
219
|
}
|