ohlcv-indicators 3.5.48 → 3.5.50

package/dist/ohlcv-indicators.min.js

@@ -1 +1 @@
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"groupName" (choose 1) used to locate previously scaled (minmax or zscore) groups.');M.push(F.toString(),Y.toString())}}catch(t){D.e(t)}finally{D.f()}}else if(0===m.length&&!1===E)throw new Error('"trainingCols" array is empty in '.concat(e," ").concat(g));if(E){if(m.length>0)throw new Error("If regressor type is ".concat(g,' then leave "options.trainingCols" array empty.'));if(S>0)throw new Error("If regressor type is ".concat(g,' then "options.lookback" must be 0.'));if(A.length>0)throw new Error("If regressor type is ".concat(g,' then "options.findGroups" must be null.'));m.push(a)}if(this.isAlreadyComputed.has(T))throw new Error('Each regressor must have a unique "type", "trainingSize" and "target".\nThis rule ensures that your output columns are labeled unambiguously.\n'+'You provided a duplicate: type="'.concat(g,'", trainingSize=').concat(t," target=").concat(a,"."));var q={lookbackAbs:Math.abs(S)+1,flatX:E,flatY:C,prefix:T};this.isAlreadyComputed.add(T);var V=sn(M,e),G=gn[g],H=this.ML.classes[g];return this.inputParams.push({key:e,order:V,params:[t,{target:a,predictions:v,retrain:o,lookback:S,trainingCols:m,findGroups:A,type:g,modelArgs:N,precompute:q,filterCallback:x,modelConfig:G,modelClass:H}]}),this}},{key:"pca",value:function(t,r){var e=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="pca";p(r,{min:1,max:this.len},"trainingSize",n),h(t,"suffix",n),c(e,"options",n);var o=e.findGroups,i=void 0===o?[]:o,a=e.trainingCols,l=void 0===a?[]:a,y=e.lookback,v=void 0===y?0:y,d=e.filterCallback,m=void 0===d?function(){return!0}:d;u(l,"options.trainigCols",n),p(v,{min:0,max:this.len,allowDecimals:!1},"options.lookback",n),void 0!==e.modelArgs?c(e.modelArgs,"options.modelArgs",n):e.modelArgs={};var b=function(t){for(var r=1;r<arguments.length;r++){var e=null!=arguments[r]?arguments[r]:{};r%2?wn(Object(e),!0).forEach((function(r){On(t,r,e[r])})):Object.getOwnPropertyDescriptors?Object.defineProperties(t,Object.getOwnPropertyDescriptors(e)):wn(Object(e)).forEach((function(r){Object.defineProperty(t,r,Object.getOwnPropertyDescriptor(e,r))}))}return t}({showSource:!1,storeModel:!1,isCovarianceMatrix:!1,method:"NIPALS",center:!0,scale:!1,nCompNIPALS:5,ignoreZeroVariance:!1},e.modelArgs);f(b.showSource,"options.modelArgs.showSource",n),f(b.storeModel,"options.modelArgs.storeModel",n),f(b.isCovarianceMatrix,"options.modelArgs.isCovarianceMatrix",n),f(b.center,"options.modelArgs.center",n),f(b.scale,"options.modelArgs.scale",n),f(b.ignoreZeroVariance,"options.modelArgs.ignoreZeroVariance",n),s(["SVD","NIPALS","covarianceMatrix"],b.method,"options.modelArgs.method",n),p(b.nCompNIPALS,{min:1},"options.modelArgs.nCompNIPALS",n);var g=[];if(u(i,"options.findGroups","pca")&&i.length>0){var w,S=An(i);try{for(S.s();!(w=S.n()).done;){var O=w.value,A=O.type,j=void 0===A?"":A,N=O.size,P=O.groupName,x=void 0===P?"":P;if(!j||!N&&!x||N&&x)throw new Error('If "options.findGroups" array is set, each item must be an object that includes the "type" (mandatory) and either "size" or "groupName" (choose 1) used to locate previously scaled (minmax or zscore) groups.');g.push(j.toString(),x.toString())}}catch(t){S.e(t)}finally{S.f()}}var _=sn(g,n),k="pca_".concat(t,"_").concat(r);if(this.isAlreadyComputed.has(k))throw new Error('Each regressor must have a unique "suffix" param.\nThis rule ensures that your output columns are labeled unambiguously.\n'+'You provided a duplicate: type="'.concat(t,'".'));var E=Math.abs(v)+1;return this.isAlreadyComputed.add(k),this.inputParams.push({key:n,order:_,params:[{prefix:k,trainingSize:r,findGroups:i,trainingCols:l,lookbackAbs:E,modelArgs:b,filterCallback:m}]}),this}},{key:"exportTrainedModels",value:function(){return function(t){var r,e,n,o=t.ML,i=t.inputParams,a=o.models,l={},u=function(t,r){var e="undefined"!=typeof Symbol&&t[Symbol.iterator]||t["@@iterator"];if(!e){if(Array.isArray(t)||(e=vn(t))){e&&(t=e);var n=0,o=function(){};return{s:o,n:function(){return n>=t.length?{done:!0}:{done:!1,value:t[n++]}},e:function(t){throw t},f:o}}throw new TypeError("Invalid attempt to iterate non-iterable instance.\nIn order to be iterable, non-array objects must have a [Symbol.iterator]() method.")}var i,a=!0,l=!1;return{s:function(){e=e.call(t)},n:function(){var t=e.next();return a=t.done,t},e:function(t){l=!0,i=t},f:function(){try{a||null==e.return||e.return()}finally{if(l)throw i}}}}(i);try{for(u.s();!(r=u.n()).done;){var c=r.value,s=c.key,f=c.params;if("classifier"===s||"regressor"===s){var p=(n=2,function(t){if(Array.isArray(t))return t}(e=f)||function(t,r){var e=null==t?null:"undefined"!=typeof Symbol&&t[Symbol.iterator]||t["@@iterator"];if(null!=e){var n,o,i,a,l=[],u=!0,c=!1;try{if(i=(e=e.call(t)).next,0===r){if(Object(e)!==e)return;u=!1}else for(;!(u=(n=i.call(e)).done)&&(l.push(n.value),l.length!==r);u=!0);}catch(t){c=!0,o=t}finally{try{if(!u&&null!=e.return&&(a=e.return(),Object(a)!==a))return}finally{if(c)throw o}}return l}}(e,n)||vn(e,n)||function(){throw new TypeError("Invalid attempt to destructure non-iterable instance.\nIn order to be iterable, non-array objects must have a [Symbol.iterator]() method.")}()),y=(p[0],p[1]),h=y.type,v=y.predictions,d=y.precompute,m=d.flatY,b=d.prefix,g=m?v:1,w=void 0;"regressor"===s?w=gn[h].exportModel:"classifier"===s&&(w=bn[h].exportModel);for(var S=0;S<g;S++){var O="".concat(b,"_").concat(S+1);l[O]=w(a[O])}}}}catch(t){u.e(t)}finally{u.f()}return l}(this)}},{key:"mapCols",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["change"],r=arguments.length>1&&void 0!==arguments[1]?arguments[1]:null,e=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{};l(this);var n="mapCols";null==r&&(r=ke),c(e,"options",n);var o=e.lag,i=void 0===o?0:o;u(t,"newCols",n),p(i,{min:0,allowDecimals:!1},"options.lag",n);var a=sn(t,n);return this.inputParams.push({key:n,order:a,params:[t,r,{lag:i}]}),this}}],r&&_n(t.prototype,r),Object.defineProperty(t,"prototype",{writable:!1}),t;var t,r}()})(),OHLCV_INDICATORS=r})();

package/index.js

@@ -355,6 +355,26 @@ export default class OHLCV_INDICATORS {
         return this
     }
 
+    heikenAshi(smoothLength = 10, afterSmoothLength = 10, options = {}) {
+        const methodName = 'heikenAshi'
+
+        isAlreadyComputed(this)
+
+        validateNumber(smoothLength, {min: 1, max: this.len, allowDecimals: false}, 'smoothLength', methodName)
+        validateNumber(afterSmoothLength, {min: 1, max: this.len, allowDecimals: false}, 'afterSmoothLength', methodName)
+        validateObject(options, 'options', methodName)
+
+        const {lag = 0} = options
+
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
+
+        const order = 0
+
+        this.inputParams.push({key: methodName, order, params: [smoothLength, afterSmoothLength, {lag}]})
+
+        return this
+    }
+
     vidya(size = 14, momentum = 20, options = {}) {
 
         const methodName = 'vidya'

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.5.48",
+  "version": "3.5.50",
   "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/core-functions/mainLoop.js

@@ -3,6 +3,7 @@ import { validateInputParams } from "../utilities/validators.js";
 import { rsi } from "../oscillators/rsi.js";
 import { stochastic } from "../oscillators/stochastic.js";
 import { movingAverages } from "../moving-averages/movingAverages.js";
+import { heikenAshi } from "../moving-averages/heikenAshi.js";
 import { vidya } from "../moving-averages/vidya.js";
 import { macd } from "../moving-averages/macd.js";
 import { relativeVolume } from "../moving-averages/relativeVolume.js";
@@ -27,6 +28,7 @@ import { classifier } from "../machine-learning/classifier.js";
 // Map indicator keys to their respective functions
 const mainFunctions = {
   dateTime,
+  heikenAshi,
   rsi,
   stochastic,
   atr,

package/src/moving-averages/heikenAshi.js

@@ -0,0 +1,113 @@
+import { FasterEMA } from 'trading-signals';
+
+export const heikenAshi = (main, index, smoothLength, afterSmoothLength, {lag}) => {
+    const { verticalOhlcv, instances, len } = main
+    const prefix = `heiken_ashi_${smoothLength}_${afterSmoothLength}`
+    const keys = ['open', 'high', 'low', 'close']
+
+    // ---- INIT ----
+    if (index === 0) {
+
+        // Initialize pre-smoothing EMA instances and buffers
+        instances[prefix] = {
+            emaPre: Object.fromEntries(keys.map(k => [k, new FasterEMA(smoothLength)])),
+            emaPost: Object.fromEntries(keys.map(k => [k, new FasterEMA(afterSmoothLength)])),
+            prevHaOpen: NaN,
+            prevHaClose: NaN,
+            isTrendUp: false,
+        };
+
+        const keyNames = keys.map(k => `${prefix}_${k}`)
+
+        const verticalOhlcvSetup = Object.fromEntries([...keyNames, `${prefix}_cross`].map(v => [v, new Float64Array(len).fill(NaN)]))
+
+        Object.assign(verticalOhlcv, {...verticalOhlcvSetup})
+
+        if(lag > 0)
+        {
+            main.lag(keyNames, lag)
+        }
+    }
+
+    // ---- FETCH RAW INPUTS ----
+    const open = verticalOhlcv.open[index]
+    const high = verticalOhlcv.high[index]
+    const low = verticalOhlcv.low[index]
+    const close = verticalOhlcv.close[index]
+    const inst = instances[prefix]
+
+    // ---- PRE-SMOOTHING (EMA) ----
+    inst.emaPre.open.update(open)
+    inst.emaPre.high.update(high)
+    inst.emaPre.low.update(low)
+    inst.emaPre.close.update(close)
+
+    let sOpen, sHigh, sLow, sClose
+
+    try {
+        sOpen = inst.emaPre.open.getResult()
+        sHigh = inst.emaPre.high.getResult()
+        sLow = inst.emaPre.low.getResult()
+        sClose = inst.emaPre.close.getResult()
+    } catch {
+        return true; // skip if not enough data
+    }
+
+    // ---- HEIKEN ASHI CORE ----
+    const haClose = (sOpen + sHigh + sLow + sClose) / 4
+    const haOpen = (Number.isNaN(inst.prevHaOpen) || Number.isNaN(inst.prevHaClose)) ? (sOpen + sClose) / 2 : (inst.prevHaOpen + inst.prevHaClose) / 2
+    const haHigh = Math.max(sHigh, haOpen, haClose)
+    const haLow = Math.min(sLow, haOpen, haClose)
+
+    // Store for next round
+    inst.prevHaOpen = haOpen
+    inst.prevHaClose = haClose
+
+    // ---- POST-SMOOTHING (EMA) ----
+    inst.emaPost.open.update(haOpen)
+    inst.emaPost.high.update(haHigh)
+    inst.emaPost.low.update(haLow)
+    inst.emaPost.close.update(haClose)
+
+    let smOpen, smHigh, smLow, smClose
+
+    try {
+        smOpen = inst.emaPost.open.getResult()
+        smHigh = inst.emaPost.high.getResult()
+        smLow = inst.emaPost.low.getResult()
+        smClose = inst.emaPost.close.getResult()
+    } catch {
+        return true
+    }
+
+  // Cumulative cross counter: positive when uptrend, negative when downtrend
+    const prevCross = index > 0 ? verticalOhlcv[`${prefix}_cross`][index - 1] : 0
+    const prevHaOpen = index > 0 ? verticalOhlcv[`${prefix}_open`][index - 1] : NaN
+    const prevHaClose = index > 0 ? verticalOhlcv[`${prefix}_close`][index - 1] : NaN
+    const crossUp = !Number.isNaN(prevHaClose) && prevHaClose <= prevHaOpen && smClose > smOpen
+    const crossDown = !Number.isNaN(prevHaClose) && prevHaClose >= prevHaOpen && smClose < smOpen
+
+
+    if (crossUp) inst.isTrendUp = true;
+    if (crossDown) inst.isTrendUp = false;
+
+    let cross = 0
+
+    if (index > 0) {
+        if (inst.isTrendUp) {
+            cross = prevCross > 0 ? prevCross + 1 : 1
+        } else {
+            cross = prevCross < 0 ? prevCross - 1 : -1
+        }
+    }
+
+    // ---- PUSH OUTPUTS ----
+    main.pushToMain({ index, key: `${prefix}_open`, value: smOpen })
+    main.pushToMain({ index, key: `${prefix}_high`, value: smHigh })
+    main.pushToMain({ index, key: `${prefix}_low`, value: smLow })
+    main.pushToMain({ index, key: `${prefix}_close`, value: smClose })
+    main.pushToMain({ index, key: `${prefix}_cross`, value: cross })
+
+
+  return true
+}

package/src/studies/findCrosses.js

@@ -162,12 +162,7 @@ export const crossPairs = (main, index, crossPairsList, {limit, oneHot}) => {
             max: -Infinity
         }
 
-        let crossArrType = 'Int16Array'
-
-        if(limit <= 125)
-        {
-            crossArrType = 'Int8Array'
-        }
+        const crossArrType = 'Int16Array'
 
         verticalOhlcv[crossName] = buildArray(crossArrType, len)