ohlcv-indicators 3.5.56 → 3.5.60

package/src/machine-learning/classifier.js

@@ -1,321 +0,0 @@
-import { getFeaturedKeys, computeFlatFeaturesLen, logMlTraining, updateClassifierMetrics, findGroupsFunc } from "./ml-utilities.js"
-import { buildTrainX } from "./trainX.js"
-import { areKeyValuesValid } from "../core-functions/pushToMain.js"
-import { countUniqueLabels, oversampleXY } from "./balancing.js"
-
-const algo = 'classifier'
-
-class Store {
-  constructor(args = {}) {
-    Object.entries(args).forEach(([k, v]) => { this[k] = v })
-  }
-
-  // internal helpers
-  _unwrap = v => Array.isArray(v) ? v[0] : v
-  _num = (v, def = 0) => {
-    const n = Number(this._unwrap(v))
-    return Number.isFinite(n) ? n : def
-  }
-
-  // set: supports value OR updater function
-  // if you pass a function, we feed it the current *numeric* value
-  set = (key, valueOrFn) => {
-    if (typeof valueOrFn === 'function') {
-      const next = valueOrFn(this._num(this[key], 0))
-      this[key] = next               // <- change to [next] if you want to keep the array wrapper
-      return next
-    } else {
-      this[key] = valueOrFn          // <- change to [valueOrFn] if you want to keep the array wrapper
-      return valueOrFn
-    }
-  }
-
-  // convenience numerics
-  inc = (key, delta = 1) => this.set(key, v => v + delta)
-  add = (key, delta = 0) => this.inc(key, delta) // alias
-  getNum = (key, def = 0) => this._num(this[key], def)
-
-  get = (key) => this._unwrap(this[key])
-  getAll = () => {
-
-    const output = {}
-    
-    for(const [key, valueOrFn] of Object.entries(this)) {
-      if(typeof valueOrFn === 'function') continue
-      output[key] = valueOrFn
-    }
-
-
-    return {...output}
-  }  // shallow clone of data-only fields
-}
-
-export const classifier = (
-  main,
-  index,
-  trainingSize,
-  {
-    yCallback,
-    trainingCols,
-    findGroups = [],
-    retrain,
-    type,
-    modelArgs,
-    horizon,
-    precompute,
-    predictions,
-    filterCallback,
-    modelConfig,
-    modelClass
-  }
-) => {
-  const { lookbackAbs, prefix, flatY } = precompute
-  const { verticalOhlcv, len, instances, scaledGroups, invalidValueIndex, ML } = main
-  const allModels = ML.models
-  const startIndex = (invalidValueIndex + 1)
-  
-  // ─── INITIALIZATION ───────────────────────────────────────────────
-  if(index === startIndex) {
-
-    // prepare instance storage
-    if (!instances.hasOwnProperty(algo)) instances[algo] = {}
-    if(!instances[algo].hasOwnProperty(prefix)) instances[algo][prefix] = {}
-
-    const expectedLoops = (flatY) ? predictions : 1 //
-
-    instances[algo][prefix] = {
-      store: new Store({
-        strategy: null,
-        total: 0,
-        win: 0,
-        loss: 0,
-        strategyGainLoss: 0,
-        idx: 0,
-        initialBalance: verticalOhlcv.close[index]
-      }),
-      expectedLoops,
-      isTrained: new Array(expectedLoops).fill(false),
-      uniqueLabels: new Array(expectedLoops).fill(0),
-      shouldRetrain: retrain,
-      featureCols: [],
-      flatFeaturesColLen: 0,
-      X: [],
-      Y: Array.from({ length: expectedLoops }, () => []),
-    }
-
-    for (let i = 0; i < predictions; i++) {
-      const predictionKey = `${prefix}_${i + 1}`
-
-      verticalOhlcv[predictionKey] = (type === 'KNN') ? new Array(len).fill(null) : new Float32Array(len).fill(NaN)
-      ML.metrics[predictionKey] = {accuracy: {}, total: 0, correct: 0, labels: {}}
-
-      if(!allModels.hasOwnProperty(predictionKey))
-      {
-        allModels[predictionKey] = []
-      }
-    }
-  } 
-  else if(index < startIndex || index < lookbackAbs)
-  {
-    return
-  }
-  else if(filterCallback(verticalOhlcv, index, instances[algo][prefix].store) === false)
-  {
-      return
-  }
-  else if(index + 1 === len) 
-  {
-
-      if(instances[algo][prefix].featureCols.length === 0)
-      {
-        const inputFeatures = [...trainingCols, ...(findGroupsFunc(findGroups, scaledGroups))]
-
-        throw new Error(`Some of the provided features in ${algo} "${prefix}" features where not found in "verticalOhlcv": ${JSON.stringify(inputFeatures)}`)
-      }
-
-      //last execution
-      for(const featureKey of instances[algo][prefix].featureCols)
-      {
-          if(!verticalOhlcv.hasOwnProperty(featureKey)) throw new Error(`Feature "${featureKey}" not found in verticalOhlcv for ${prefix}.`)
-      }
-
-      if(instances[algo][prefix].X.length < trainingSize)
-      {
-        const requiredDatapoints = instances[algo][prefix].X.length - trainingSize
-        throw new Error(`The current "trainingSize" at ${algo} "${prefix}" requires at least ${requiredDatapoints} more datapoints. Try adding more input ohlcv rows or reducing the "trainingSize" by ${requiredDatapoints}.`)
-      }
-
-  }
-
-  const dataSetInstance = instances[algo][prefix]
-
-  if(dataSetInstance.flatFeaturesColLen === 0)
-  {
-    dataSetInstance.featureCols = getFeaturedKeys({trainingCols, findGroups, verticalOhlcv, scaledGroups})
-
-    if(areKeyValuesValid(main, index, dataSetInstance.featureCols))
-    {
-      dataSetInstance.flatFeaturesColLen = computeFlatFeaturesLen(dataSetInstance.featureCols, verticalOhlcv, index)
-
-      logMlTraining({
-        featureCols: dataSetInstance.featureCols, 
-        flatFeaturesColLen: dataSetInstance.flatFeaturesColLen, 
-        type, 
-        trainingSize
-      })
-    } else {
-      return
-    }
-  }
-
-  if(dataSetInstance.flatFeaturesColLen === 0) return
-
-  const {
-    uniqueLabels,
-    expectedLoops,
-    featureCols,
-    flatFeaturesColLen,
-    shouldRetrain,
-    X: xRows
-  } = dataSetInstance
-
-  const trainX = buildTrainX({
-    featureCols,
-    flatFeaturesColLen,
-    type,
-    index,
-    lookbackAbs,
-    main
-  })
-
-  if(!trainX) return 
-
-   //if univariable Y (flatY) a model is created for each prediction
-  const trainY = yCallback(index, verticalOhlcv, horizon, instances[algo][prefix].store)
-
-  if (trainY !== null && (!Array.isArray(trainY) || trainY.length !== predictions)) {
-
-    throw new Error(`trainY must be null or an array with ${predictions} items, got "${JSON.stringify(trainY)}" at index ${index} for ${type}`);
-  }
-
-  for(let loopIdx = 0; loopIdx < expectedLoops; loopIdx++)
-  {
-    const predictionKey = `${prefix}_${(loopIdx+1)}`
-    const yRows = dataSetInstance.Y[loopIdx]
-    const currTrainY =  (flatY) ? (trainY === null) ? null : trainY[loopIdx] : trainY
-    const isTrained = dataSetInstance.isTrained[loopIdx]
-
-    const shouldPredict = allModels.hasOwnProperty(predictionKey) && isTrained && (shouldRetrain === false || allModels[predictionKey].length === horizon)
-
-    //predicts using previously saved models even if current currTrainY is not available
-    if(shouldPredict)
-    {
-      const futureRow = allModels[predictionKey][0].predict([trainX])[0]
-
-      if(flatY)
-      {
-        if(futureRow == null) throw new Error(`Prediction of ${prefix} at index ${index} was expecting a number.`)
-
-        main.pushToMain({index, key: predictionKey, value: futureRow})
-
-        if(currTrainY != null)
-        {
-          updateClassifierMetrics({
-            metrics: ML.metrics[predictionKey], 
-            trueLabel: currTrainY, 
-            predictedLabel: futureRow
-          })
-        }
-      }
-      else {
-
-        if (!Array.isArray(futureRow) || futureRow.length !== predictions) {
-          throw new Error(
-            `Prediction output of ${algo} "${prefix}" at index ${index} was expecting an array of values.`
-          )
-        }
-
-        for(let preIdx = 0; preIdx < predictions; preIdx++) {
-          main.pushToMain({index, key: `${prefix}_${(preIdx+1)}`, value: futureRow[preIdx]})
-
-          if(Array.isArray(currTrainY) && currTrainY.length === predictions)
-          {
-            updateClassifierMetrics({
-              metrics: ML.metrics[`${prefix}_${(preIdx+1)}`], 
-              trueLabel: currTrainY[preIdx], 
-              predictedLabel: futureRow[preIdx]
-            })
-          }
-
-        }
-      }
-    }
-
-    if((index + predictions + 1) > len) continue 
-    if(currTrainY === null) continue // future not defined
-
-    if(flatY)
-    {
-        if (typeof currTrainY === 'undefined' || currTrainY == null)
-        {
-            throw new Error(`currTrainY must return number, string or boolean got ${typeof currTrainY} at index ${index}`)
-        }
-    } else {
-
-        if ((currTrainY.length !== predictions)) {
-
-          throw new Error(
-            `The number of label columns returned (${currTrainY.length}) doesn’t match the options.predictions (${predictions}) setting for the ${algo} "${prefix}" classifier. ` +
-            `Please update your yCallback function so its output array items align with options.predictions.`
-          );
-
-        }           
-    }
-
-    // enqueue
-    
-    yRows.push(currTrainY)
-    if (yRows.length > trainingSize) yRows.shift()
-
-    if(loopIdx === 0)
-    {
-      xRows.push(trainX)
-      if (xRows.length > trainingSize) xRows.shift()
-    }
-
-    const shouldTrainModel = shouldRetrain || !isTrained
-
-    if (shouldTrainModel && xRows.length === trainingSize && yRows.length === trainingSize) {
-
-      if(isTrained === false)
-      {
-        uniqueLabels[loopIdx] = countUniqueLabels(yRows)
-        
-        if(uniqueLabels[loopIdx] < 1)
-        {
-          throw new Error(`Invalid number or labels in ${prefix}. Check the logic of your "yCallback" function.`)
-        }
-      }
-
-
-      const {train} = modelConfig
-
-      const {X: overX, Y: overY} = oversampleXY(xRows, yRows)      
-
-      const trainedModel = train({modelClass, xRows: overX, yRows: overY, modelArgs, uniqueLabels: uniqueLabels[loopIdx]})
-
-      allModels[predictionKey].push(
-       trainedModel
-      )
-
-      if(allModels[predictionKey].length > horizon)
-      {
-        allModels[predictionKey].shift()
-      }
-
-      dataSetInstance.isTrained[loopIdx] = true
-    }
-  }
-
-  return true
-}

package/src/machine-learning/ml-config.js

@@ -1,219 +0,0 @@
-export const defaultYCallback = (index, verticalOhlcv, horizon) => {
-
-    //this function will be executed inside a secondary loop after most of the indicates are calculated
-    //use the "verticalOhlcv" object to access desired indicators
-
-    if(horizon !== 2) throw new Error(`The default "yCallback" function in this classifier requires that "options.horizon" and "options.predictions" are set to "2".`)
-
-    const currClose =  verticalOhlcv.close[index]
-    const nextCloseArr = Array.from({length: horizon}, (_, i) => verticalOhlcv.close[i + 1 + index])
-
-    if(nextCloseArr.some(v => typeof v === 'undefined')) return null
-
-    const [nextClose, nextNextClose] = nextCloseArr
-
-  
-    //the total length of item is this output must be equal to "options.yColumns" property
-    return [Number(nextClose > currClose), Number(nextNextClose > nextClose)]
-}
-
-export const exportTrainedModels = main => {
-
-  const {ML, inputParams} = main
-  const allModels = ML.models
-  const output = {}
-
-  for (const { key, params } of inputParams) {
-
-    if(key !== 'classifier' && key !== 'regressor') continue
-
-    const [_, {type, predictions, precompute}] = params
-    const {flatY, prefix} = precompute
-    const expectedLoops = (flatY) ? predictions : 1
-
-    let exportModel
-
-    if(key === 'regressor')
-    {
-      exportModel = validRegressors[type].exportModel
-    }
-    else if (key === 'classifier')
-    {
-      exportModel = validClassifiers[type].exportModel
-    }
-
-    for(let loopIdx = 0; loopIdx < expectedLoops; loopIdx++)
-    {
-      const modelKey = `${prefix}_${(loopIdx+1)}`
-      output[modelKey] = exportModel(allModels[modelKey])
-    }
-
-  }
-
-  return output
-}
-
-
-export const validClassifiers = {
-    'KNN': {
-      shortName: 'knn',
-      flatY: true,
-      exportModel: m => m.toJSON(),
-      train: ({modelClass, xRows, yRows, modelArgs}) => new modelClass(xRows, yRows, modelArgs),
-      unsupervised: false
-    },
-    'FeedForwardNeuralNetworks': {
-      shortName: 'feed_forward',
-      flatY: false,
-      exportModel: m => m.toJSON(),
-      train: ({modelClass, xRows, yRows, modelArgs, uniqueLabels}) => {
-
-        if(!modelArgs) modelArgs = {}
-
-        modelArgs = {
-          ...modelArgs, 
-          activation: (uniqueLabels === 2) ? 'logistic' : 'identity'
-        }
-        
-        const m = new modelClass(modelArgs)
-        m.train(xRows, yRows)
-        return m
-      },
-      unsupervised: false
-    },
-    'GaussianNB': {
-      shortName: 'naive_bayes',
-      flatY: true,
-      exportModel: m => m.toJSON(),
-      train: ({modelClass, xRows, yRows, modelArgs}) => {
-        const m = new modelClass(modelArgs)
-        m.train(xRows, yRows)
-        return m
-      },
-      unsupervised: false
-    },
-    'MultinomialNB': {
-      shortName: 'naive_bayes',
-      flatY: true,
-      exportModel: m => m.toJSON(),
-      train: ({modelClass, xRows, yRows, modelArgs}) => {
-        const m = new modelClass(modelArgs)
-        m.train(xRows, yRows)
-        return m
-      },
-      unsupervised: false
-    },
-    'DecisionTreeClassifier': {
-      shortName: 'decision_tree',
-      flatY: true,
-      exportModel: m => m.toJSON(),
-      train: ({modelClass, xRows, yRows, modelArgs}) => {
-        const m = new modelClass(modelArgs)
-        m.train(xRows, yRows)
-        return m
-      },
-      unsupervised: false
-    },
-    'RandomForestClassifier': {
-      shortName: 'random_forest',
-      flatY: true,
-      exportModel: m => m.toJSON(),
-      train: ({modelClass, xRows, yRows, modelArgs}) => {
-        const m = new modelClass(modelArgs)
-        m.train(xRows, yRows)
-        return m
-      }
-    },
-    unsupervised: false
-}
-
-export const validRegressors = {
-    'ARIMA': {
-        shortName: 'arima',
-        flatX: true,
-        flatY: false,
-        exportModel: m => m,
-        train: ({modelClass, xRows, modelArgs}) => {
-
-          if(!modelArgs) modelArgs = {}
-
-          modelArgs = { ...modelArgs, p: 2, d: 1, q: 2, P: 0, D: 0, Q: 0, S: 0, verbose: false }
-
-          const m = new modelClass(modelArgs)
-          m.train(xRows)
-          return m
-        },
-        unsupervised: true
-    }, 
-    'SimpleLinearRegression': {
-        shortName: 'linear',
-        flatX: true,
-        flatY: true,
-  
-        exportModel: m => m.toJSON(),
-        train: ({modelClass, xRows, yRows, modelArgs}) => new modelClass(xRows, yRows, modelArgs),
-        unsupervised: false
-    }, 
-    'PolynomialRegression': {
-        shortName: 'polynomial',
-        flatX: true,
-        flatY: true,
-  
-        exportModel: m => m.toJSON(),
-        train: ({modelClass, xRows, yRows, modelArgs}) => new modelClass(xRows, yRows, modelArgs),
-        unsupervised: false
-    },
-    'MultivariateLinearRegression': {
-        shortName: 'multivariable',
-        flatX: false,
-        flatY: false,
-  
-        exportModel: m => m.toJSON(),
-        train: ({modelClass, xRows, yRows, modelArgs}) => new modelClass(xRows, yRows, modelArgs),
-        unsupervised: false
-    }, 
-    'DecisionTreeRegression': {
-        shortName: 'decision_tree',
-        flatX: false,
-        flatY: true,
-        exportModel: m => m.toJSON(),
-        train: ({modelClass, xRows, yRows, modelArgs}) => {
-          const m = new modelClass(modelArgs)
-          m.train(xRows, yRows)
-          return m
-        },
-        unsupervised: false
-    },
-    'RandomForestRegression': {
-        shortName: 'random_forest',
-        flatX: false,
-        flatY: true,
-        exportModel: m => m.toJSON(),
-        train: ({modelClass, xRows, yRows, modelArgs}) => {
-          const m = new modelClass(modelArgs)
-          m.train(xRows, yRows)
-          return m
-        },
-        unsupervised: false
-    },
-    'FeedForwardNeuralNetworks': {
-        shortName: 'feed_forward',
-        flatX: false,
-        flatY: false,
-        exportModel: m => m.toJSON(),
-        train: ({modelClass, xRows, yRows, modelArgs}) => {
-
-          if(!modelArgs) modelArgs = {}
-
-          modelArgs = {
-            ...modelArgs, 
-            activation: 'identity'
-          }
-          
-          const m = new modelClass(modelArgs)
-          m.train(xRows, yRows)
-          return m
-        },
-        unsupervised: false
-    }
-}

package/src/machine-learning/pca.js

@@ -1,95 +0,0 @@
-import { getFeaturedKeys, computeFlatFeaturesLen, findGroupsFunc } from "./ml-utilities.js";
-import { buildTrainX } from "./trainX.js";
-import { areKeyValuesValid } from "../core-functions/pushToMain.js";
-
-const algo = 'pca'
-
-export const pca = (main, index, {prefix, trainingSize, findGroups, trainingCols, lookbackAbs, modelArgs, filterCallback}) => {
-
-    const {verticalOhlcv, scaledGroups, len, instances, ML, invalidValueIndex} = main
-
-    const startIndex = (invalidValueIndex + 2)
-    const allModels = ML.models
-
-    if(index === startIndex)
-    {
-        if(!instances.hasOwnProperty(algo)) instances[algo] = {}
-
-        instances[algo][prefix] = {
-            flatFeaturesColLen: 0,
-            featureCols: [],
-            X: []
-        }
-        
-        verticalOhlcv[prefix] = new Array(len).fill(null)
-    }
-    else if(index < startIndex || index < lookbackAbs)
-    {
-        return
-    }
-    else if(filterCallback(verticalOhlcv, index) === false)
-    {
-        return
-    }
-    else if(index + 1 === len) 
-    {
-
-        if(instances[algo][prefix].featureCols.length === 0)
-        {
-            const inputFeatures = [...trainingCols, ...(findGroupsFunc(findGroups, scaledGroups))]
-
-            throw new Error(`Some of the provided features in ${prefix} features where not found in "verticalOhlcv": ${JSON.stringify(inputFeatures)}`)
-        }
-
-        //last execution
-        for(const featureKey of instances[algo][prefix].featureCols)
-        {
-            if(!verticalOhlcv.hasOwnProperty(featureKey)) throw new Error(`Feature "${featureKey}" not found in verticalOhlcv for pca.`)
-        }
-
-        if(instances[algo][prefix].X.length < trainingSize)
-        {
-            const requiredDatapoints = instances[algo][prefix].X.length - trainingSize
-            throw new Error(`The current "trainingSize" at "${prefix}" requires at least ${requiredDatapoints} more datapoints. Try adding more input ohlcv rows or reducing the "trainingSize" by ${requiredDatapoints}.`)
-        }
-    } 
-
-    const dataSetInstance = instances[algo][prefix]
-
-    if(dataSetInstance.flatFeaturesColLen === 0)
-    {
-        dataSetInstance.featureCols = getFeaturedKeys({trainingCols, findGroups, verticalOhlcv, scaledGroups})
-
-        if(areKeyValuesValid(main, index, dataSetInstance.featureCols))
-        {
-            dataSetInstance.flatFeaturesColLen = computeFlatFeaturesLen(dataSetInstance.featureCols, verticalOhlcv, index)
-        } else {
-            return
-        }
-    }
-
-    if(dataSetInstance.flatFeaturesColLen === 0) return
-    
-    const {X: xRows, featureCols, flatFeaturesColLen} = dataSetInstance
-
-    const trainX = buildTrainX({featureCols, flatFeaturesColLen, type: algo, index, lookbackAbs, main})
-
-    if (trainX == null) return
-
-    if(allModels.hasOwnProperty(prefix))
-    {
-
-        const futureRow = allModels[prefix].predict([trainX]).to2DArray()
-
-        verticalOhlcv[prefix][index] = futureRow[0]
-    }
-
-    xRows.push(trainX)
-
-    if (xRows.length > trainingSize) xRows.shift()
-
-    if(xRows.length === trainingSize)
-    {
-        allModels[prefix] = new ML.classes.PCA(xRows, modelArgs) 
-    }
-}