ohlcv-indicators 3.2.7 → 3.2.9

package/index.js

@@ -431,7 +431,7 @@ export default class OHLCV_INDICATORS {
           throw new Error('"size" must be a positive number greater than 0 in candleVectors.');
         }
       
-        const { stdDev = 1, lag = 0, scale = 0.05, patternSize = 1, autoMinMax = false } = options;
+        const { stdDev = 1, lag = 0, scale = 0.001, patternSize = 0, autoMinMax = false } = options;
 
 
         if (typeof stdDev !== 'number' || stdDev <= 0) {
@@ -443,9 +443,9 @@ export default class OHLCV_INDICATORS {
             throw new Error(`"scale" value in candleVectors must be any of the following numbers: ${validMagnitudeValues.join(', ')}`);
         }
 
-        if (typeof patternSize !== 'number' || !Number.isInteger(patternSize) || patternSize < 1 ) {
+        if (typeof patternSize !== 'number' || !Number.isInteger(patternSize) || patternSize < 0 ) {
 
-            throw new Error(`"patternSize" value in candleVectors must be an integer greater than 0.`);
+            throw new Error(`"patternSize" value in candleVectors must be a positive integer.`);
         }
         if (typeof autoMinMax !== 'boolean') {
 

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.2.7",
+  "version": "3.2.9",
   "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.",
   "main": "index.js",
   "type": "module",

package/src/moving-averages/movingAverages.js

@@ -1,6 +1,6 @@
 
 import {FasterEMA, FasterSMA, FasterBollingerBands} from 'trading-signals';
-import { classifyBoll } from '../utilities/classification.js'
+import { classifyBoll, calcZScore } from '../utilities/classification.js'
 
 const indicatorClasses = {ema: FasterEMA, sma: FasterSMA} 
 
@@ -26,7 +26,8 @@ export const movingAverages = (main, index, indicatorName, size, { target, diff,
 
     // Create the main moving average instance.
     instances[keyName] = {
-      maInstance: new indicatorClasses[indicatorName](size)
+      maInstance: new indicatorClasses[indicatorName](size),
+      arrayChunk: {[diffKeyName]: []}
     };
 
     verticalOhlcv[keyName] = [...nullArray];
@@ -63,7 +64,7 @@ export const movingAverages = (main, index, indicatorName, size, { target, diff,
 
   // Retrieve the current price value.
   const value = verticalOhlcv[target][index];
-  const { maInstance, diffInstance } = instances[keyName];
+  const { maInstance, diffInstance, arrayChunk } = instances[keyName];
 
   // Update the moving average instance.
   maInstance.update(value, lastIndexReplace);
@@ -82,6 +83,7 @@ export const movingAverages = (main, index, indicatorName, size, { target, diff,
     for (const targetKey of diff.targets) {
       // Compute diffValue only if we have a valid MA value.
       let diffValue = null;
+      let zScore = null
       if (currMa !== null && typeof currMa === 'number') {
         diffValue = verticalOhlcv[targetKey][index] - currMa;
       }
@@ -89,6 +91,8 @@ export const movingAverages = (main, index, indicatorName, size, { target, diff,
       // Update the diff indicator only if diffValue is a valid number.
       if (diffValue !== null && typeof diffValue === 'number') {
         diffInstance.update(Math.abs(diffValue), lastIndexReplace);
+
+        zScore = calcZScore(arrayChunk, diffKeyName, diff.size, diffValue, lastIndexReplace)
       }
 
       let diffBoll = null;
@@ -102,7 +106,7 @@ export const movingAverages = (main, index, indicatorName, size, { target, diff,
       main.pushToMain({
         index,
         key: `${diffKeyName}_${targetKey}`,
-        value: classified
+        value: zScore
       });
     }
   }

package/src/studies/candleVectors.js

@@ -1,16 +1,10 @@
-import { FasterBollingerBands } from 'trading-signals'
-import { classifyBoll } from '../utilities/classification.js'
+const diff = (a, b) => (a - b)
 
-const diff = (a, b) => (a - b) / b
+import { calcZScore } from "../utilities/classification.js"
 
-// crear una nueva instancia con la altura porcentual utilizando Bollinger Bands con una desviación estándar de 1.5
-// Las diferencias estarán basadas en (objetivo - lower) / (upper - lower). Esto arrojará un valor entre -1 y 1
-
-
-export const candleVectors = (main, index, size, {stdDev, patternSize, lag, scale, autoMinMax}) => {
+export const candleVectors = (main, index, size, {patternSize, lag, autoMinMax}) => {
 
     const { verticalOhlcv, instances, lastIndexReplace } = main
-    const calcSize = (di, bo) => classifyBoll(di, bo, scale, autoMinMax)
 
     if(index === 0)
     {
@@ -74,7 +68,7 @@ export const candleVectors = (main, index, size, {stdDev, patternSize, lag, scal
                 bodyVectors,
                 lookBackVectors,
                 keyNames,
-                bodyInstance: new FasterBollingerBands(size, stdDev),      
+                arrayChunk: {...Object.fromEntries(keyNames.map(v => [v, []]))}  
             }
         })
 
@@ -85,33 +79,19 @@ export const candleVectors = (main, index, size, {stdDev, patternSize, lag, scal
         
     }
 
-    if (index === 0) return true
-
-
-    const {bodyVectors, lookBackVectors, bodyInstance} = instances.candleVectors
-
-    let bodyBoll = null
-    const currOpen = verticalOhlcv.open[index]
-    const currClose = verticalOhlcv.close[index]
-    const bodySize = diff(currClose, currOpen)
-
-    // Update instances with current absolute values
-    bodyInstance.update(Math.abs(bodySize), lastIndexReplace)
-
-    try {
-        bodyBoll = bodyInstance.getResult()
-    } catch (err) {
-        // If there's not enough data, means remain null
-    }
-
+    const {bodyVectors, lookBackVectors, arrayChunk} = instances.candleVectors
 
     for(let x = 0; x < bodyVectors.length; x++)
     {
         const [k2, k1] = bodyVectors[x]
         const v2 = verticalOhlcv[k2][index]
         const v1 = verticalOhlcv[k1][index]
+        const key = `candle_body_${k2}_${k1}`
+        const difference = diff(v2, v1)
 
-        main.pushToMain({index, key: `candle_body_${k2}_${k1}`, value: calcSize(diff(v2, v1), bodyBoll)})
+        const zScore = calcZScore(arrayChunk, key, size, difference, lastIndexReplace)
+    
+        main.pushToMain({index, key, value: zScore})
     }
 
     for(let x = 0; x < patternSize; x++)
@@ -120,12 +100,18 @@ export const candleVectors = (main, index, size, {stdDev, patternSize, lag, scal
         {
             const currV = verticalOhlcv[currK][index]
             const prevV = verticalOhlcv[prevK][index-(x+1)]
+            const key = `candle_change_${x+1}_${currK}_${prevK}`
+
+            if(typeof prevV === 'undefined')
+            {
+                main.pushToMain({index, key, value: null})
+                continue
+            }
 
-            main.pushToMain({
-                index, 
-                key: `candle_change_${x+1}_${currK}_${prevK}`, 
-                value: (typeof prevV === 'undefined') ? null : calcSize(diff(currV, prevV), bodyBoll)
-            })
+            const difference = diff(currV, prevV)
+            const zScore = calcZScore(arrayChunk, key, size, difference, lastIndexReplace)
+    
+            main.pushToMain({index, key, value: zScore})
         }
     }
 

package/src/utilities/classification.js

@@ -47,3 +47,31 @@ export const classifyBoll = (value, bollingerBands, scale = 0.05, autoMinMax = f
   }
 
 }
+
+
+export const calcZScore = (arrayChunk, key, size, difference, lastIndexReplace) => {
+
+  if(lastIndexReplace)
+  {
+      arrayChunk[key][arrayChunk[key].length - 1] = difference
+  }
+  else
+  {
+      arrayChunk[key].push(difference)
+  }
+  
+
+  if (arrayChunk[key].length > size) {
+      arrayChunk[key].shift();  // Removes the first element to maintain array size
+  }
+
+  if(arrayChunk.length < size) return null
+
+  const mean = arrayChunk[key].reduce((sum, value) => sum + value, 0) / size
+
+  const stdDev = Math.sqrt(
+      arrayChunk[key].reduce((sum, value) => sum + (value - mean) ** 2, 0) / size
+  )
+
+  return  (difference - mean) / stdDev
+}

package/src/utilities/pushToMain.js

@@ -30,7 +30,7 @@ export const pushToMain = ({main, index, key, value}) => {
         }
         else if(key.startsWith('candle_') && keyInAutoMinMax)
         {
-            minMaxRanges[key] = { min: -1, max: 1}
+            minMaxRanges[key] = { min: -3, max: 3}
         }
         else if(key.includes('_range_') && keyInAutoMinMax)
         {