ohlcv-indicators 3.2.8 → 3.2.9

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.2.8",
+  "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

@@ -1,5 +1,7 @@
 const diff = (a, b) => (a - b)
 
+import { calcZScore } from "../utilities/classification.js"
+
 export const candleVectors = (main, index, size, {patternSize, lag, autoMinMax}) => {
 
     const { verticalOhlcv, instances, lastIndexReplace } = main
@@ -117,29 +119,3 @@ export const candleVectors = (main, index, size, {patternSize, lag, autoMinMax})
 }
 
 
-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/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
+}