ohlcv-indicators 3.5.59 → 3.5.60

package/dist/ohlcv-indicators.min.js

@@ -1 +1 @@
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y(o,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),f(a,"options.percentage","atr"),null!==s&&y(s,{min:.001,max:100,allowDecimals:!0},"options.upper","atr"),null!==h&&y(h,{min:.001,max:100,allowDecimals:!0},"options.lower","atr"),this.inputParams.push({key:r,order:0,params:[t,{lag:o,percentage:a,upper:s,lower:h}]}),this}},{key:"ema",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:5,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:{},r="ema";u(this),y(t,{min:1,max:this.len,allowDecimals:!1},"size",r),c(e,"options",r);var n=e.target,o=void 0===n?"close":n,i=e.lag,a=void 0===i?0:i;return h(o,"options.target",r),y(a,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),this.inputParams.push({key:r,params:[r,t,{target:o,lag:a}]}),this}},{key:"sma",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:5,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:{},r="sma";u(this),y(t,{min:1,max:this.len,allowDecimals:!1},"size",r),c(e,"options",r);var n=e.target,o=void 0===n?"close":n,i=e.lag,a=void 0===i?0:i;return h(o,"options.target",r),y(a,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),this.inputParams.push({key:r,params:[r,t,{target:o,lag:a}]}),this}},{key:"heikenAshi",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:null,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:null,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="heikenAshi";u(this);var o=null===t&&null===e;!1===o&&(y(t,{min:1,max:this.len,allowDecimals:!1},"smoothLength",n),y(e,{min:1,max:this.len,allowDecimals:!1},"afterSmoothLength",n)),c(r,"options",n);var i=r.lag,a=void 0===i?0:i;return y(a,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),this.inputParams.push({key:n,order:0,params:[t,e,{lag:a,bothNull:o}]}),this}},{key:"vidya",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:14,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:20,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="vidya";u(this),y(t,{min:2,max:this.len,allowDecimals:!1},"size",n),y(e,{min:1,max:this.len,allowDecimals:!1},"momentum",n),c(r,"options",n);var o=r.target,i=void 0===o?"close":o,a=r.lag,l=void 0===a?0:a,s=r.atrLength,f=void 0===s?200:s,p=r.bandDistance,v=void 0===p?2:p,m=r.liquidityLookback,d=void 0===m?20:m;return h(i,"options.target",n),y(l,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),y(v,{min:.01,max:10,allowDecimals:!0},"options.bandDistance",n),y(f,{min:2,max:this.len,allowDecimals:!1},"options.atrLength",n),y(d,{min:1,max:this.len,allowDecimals:!1},"options.liquidityLookback",n),this.inputParams.push({key:n,params:[t,e,{target:i,lag:l}]}),this}},{key:"stochastic",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:14,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:3,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:3,n=arguments.length>3&&void 0!==arguments[3]?arguments[3]:{},o="stochastic",i=this.len;y(t,{min:1,max:i,allowDecimals:!1},"kPeriod",o),y(e,{min:1,max:i,allowDecimals:!1},"kSlowingPeriod",o),y(r,{min:1,max:i,allowDecimals:!1},"dPeriod",o),c(n,"options",o);var a=function(t){return t},u="",l=n.lag,s=void 0===l?0:l;y(s,{min:0,max:i,allowDecimals:!1},"options.lag",o);var h=n.minmax;return(Array.isArray(h)||"boolean"==typeof h&&!0===h)&&(Array.isArray(h)?(p(h,"options.minmax",o),a=function(t){return null!==h?ar(t,0,100,h):t}):(f(h,"options.minmax",o),h=[0,1],a=function(t){return null!==h?ar(t,0,100,h):t}),u="minmax_"),this.inputParams.push({key:o,order:0,params:[t,e,r,{minmax:h,prefix:u,parser:a,lag:s}]}),this}},{key:"macd",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:12,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:26,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:9,n=arguments.length>3&&void 0!==arguments[3]?arguments[3]:{},o="macd";u(this),y(t,{min:1,max:this.len,allowDecimals:!1},"fast",o),y(e,{min:1,max:this.len,allowDecimals:!1},"slow",o),y(r,{min:1,max:this.len,allowDecimals:!1},"signal",o),c(n,"options",o);var i=n.target,a=void 0===i?"close":i,l=n.lag,s=void 0===l?0:l;h(a,"options.target",o),y(s,{min:0,max:this.len,allowDecimals:!1},"options.lag",o);var f={instanceKey:"".concat(t,"_").concat(e,"_").concat(r).concat("close"===a?"":"_".concat(a))};return this.inputParams.push({key:o,params:[t,e,r,{target:a,lag:s,precomputed:f}]}),this}},{key:"bollingerBands",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:20,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:2,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="bollingerBands";u(this),y(t,{min:1,max:this.len,allowDecimals:!1},"size",n),y(e,{min:.01,max:50,allowDecimals:!0},"stdDev",n),c(r,"options",n);var o=r.target,i=void 0===o?"close":o,a=r.height,s=void 0!==a&&a,p=r.range,v=void 0===p?[]:p,m=r.lag,d=void 0===m?0:m;return h(i,"options.target",n),l(v,"options.range",n),y(d,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),f(s,"options.height",n),this.inputParams.push({key:n,params:[t,e,{target:i,height:s,range:v,lag:d}]}),this}},{key:"rsi",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:14,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:{},r="rsi";u(this),y(t,{min:1,max:this.len,allowDecimals:!1},"size",r),c(e,"options",r);var n=e.target,o=void 0===n?"close":n,i=e.lag,a=void 0===i?0:i,l=e.minmax;h(o,"options.target",r),y(a,{min:0,max:this.len,allowDecimals:!1},"options.lag",r);var s=function(t){return t},v="";return(Array.isArray(l)||"boolean"==typeof l&&!0===l)&&(Array.isArray(l)?(p(l,"options.minmax",r),s=function(t){return null!==l?ar(t,0,100,l):t}):(f(l,"options.minmax",r),l=[0,1],s=function(t){return null!==l?ar(t,0,100,l):t}),v="minmax_"),this.inputParams.push({key:r,params:[t,{target:o,lag:a,parser:s,prefix:v,minmax:l}]}),this}},{key:"donchianChannels",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:20,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:0,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="donchianChannels";u(this),y(t,{min:1,max:this.len,allowDecimals:!1},"size",n),y(e,{min:0,max:this.len,allowDecimals:!1},"offset",n),c(r,"options",n);var o=r.height,i=void 0!==o&&o,a=r.range,s=void 0===a?[]:a,p=r.lag,h=void 0===p?0:p;return l(s,"options.range",n),y(h,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),f(i,"options.height",n),this.inputParams.push({key:n,order:0,params:[t,e,{height:i,range:s,lag:h}]}),this}},{key:"volumeOscillator",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:5,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:10,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="volumeOscillator";if(!this.inputTypes.hasOwnProperty("volume"))throw new Error('If "volumeOscillator" is called the input ohlcv must contain valid volume properties.');u(this),y(t,{min:1,max:this.len,allowDecimals:!1},"fastsize",n),y(e,{min:t,max:this.len,allowDecimals:!1},"slowsize",n),c(r,"options",n);var o=r.lag,i=void 0===o?0:o;return y(i,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),this.inputParams.push({key:n,order:0,params:[t,e,{lag:i}]}),this}},{key:"dateTime",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:{},e="dateTime";u(this),c(t,"options",e);var r=t.lag,n=void 0===r?0:r,o=t.oneHot,i=void 0!==o&&o;y(n,{min:0,max:this.len,allowDecimals:!1},"options.lag",e),f(i,"options.oneHot",e);var a=i?"one_hot_":"",l=Kr(Kr(Kr(Kr(Kr({},"".concat(a,"month"),12),"".concat(a,"day_of_the_month"),31),"".concat(a,"day_of_the_week"),7),"".concat(a,"hour"),24),"".concat(a,"minute"),60),s={prefix:a,colKeySizes:l,colKeys:Object.keys(l)};return this.inputParams.push({key:e,order:0,params:[{lag:n,oneHot:i,precompute:s}]}),this}},{key:"priceFeatures",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:{},e="priceFeatures";u(this),c(t,"options",e);var r=t.lag,n=void 0===r?0:r,o=t.colKeys,i=void 0===o?[]:o;return y(n,{min:0,max:this.len,allowDecimals:!1},"options.lag",e),l(i,"options.colKeys",e),this.inputParams.push({key:e,params:[{lag:n,colKeys:i}]}),this}},{key:"scaler",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:"zscore",e=arguments.length>1?arguments[1]:void 0,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{},n="scaler";u(this),s(["minmax","zscore","byfeature"],t,"options.type",n),y(e,{min:1,max:this.len,allowDecimals:!1},"size",n);var o="".concat(n,"(").concat(t,", ").concat(e,", options = {})");c(r,"options",o);var i=r.minMaxRange,a=void 0===i?null:i,h=r.lag,v=void 0!==h&&h,m=r.colKeys,d=void 0===m?[]:m,b=r.weights,g=void 0===b?{}:b,w=r.euclideanWeights,O=void 0!==w&&w,S=r.byFeatureRange,j=void 0===S?null:S;l(d,"options.colKeys",o),f(v,"options.lag",o),c(g,"options.weights",o);var N=v?e-1:0;if(0===d.length)throw new Error('The property "options.colKeys" must be an array with target keys in '.concat(o,"."));for(var _=0,P=Object.entries(g);_<P.length;_++){var A=$r(P[_],2),x=A[0],k=A[1];if(l(k,"options.weights.".concat(x)),!v&&k.size>0)throw new Error('If "options.lag" is set to false "options.weights.'.concat(x,'" can only contain 1 item (float) in ').concat(o,"."));if(k.length>e)throw new Error('The length of the property "options.weights.'.concat(x,'" can not be longer than "size" in ').concat(o,"."));for(var T=0;T<k.length;T++){var E=k[T];y(E,{min:.01,max:10,allowDecimals:!0},"options.weights.".concat(x,"[").concat(T,"]"),o)}}if("byfeature"!==t){if(null==!j)throw new Error('"options.byFeatureRange" is only valid when "type" is "byfeature".')}else p(j,"options.byFeatureRange",o);return p(a,"options.minMaxRange",o),this.inputParams.push({key:n,params:[e,d,{type:t,minMaxRange:a,lookback:N,weights:g,euclideanWeights:O,byFeatureRange:j}]}),this}},{key:"mapCols",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["change"],e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:null,r=arguments.length>2&&void 0!==arguments[2]?arguments[2]:{};u(this);var n="mapCols";null==e&&(e=kr),c(r,"options",n);var o=r.lag,i=void 0===o?0:o,a=r.isPriceBased,s=void 0!==a&&a;if(l(t,"newCols",n),y(i,{min:0,allowDecimals:!1},"options.lag",n),f(s,"isPriceBased","mapCols"),!1===this.precision&&s)throw new Error('Invalid param: If "mapCols.options.isPriceBased" is true, the "constructor.precision" param must be also true.');return this.inputParams.push({key:n,params:[t,e,{lag:i,isPriceBased:s}]}),this}}],e&&Yr(t.prototype,e),Object.defineProperty(t,"prototype",{writable:!1}),t;var t,e}()})(),OHLCV_INDICATORS=e})();

package/index.js

@@ -578,40 +578,62 @@ export default class OHLCV_INDICATORS {
 
         isAlreadyComputed(this)
 
+        validateArrayOptions(['minmax', 'zscore', 'byfeature'], type, 'options.type', methodName)
         validateNumber(size, {min: 1, max: this.len, allowDecimals: false}, 'size', methodName)
+
+        const longName = `${methodName}(${type}, ${size}, options = {})`
         
-        validateObject(options, 'options', methodName)
+        validateObject(options, 'options', longName)
 
-        const {range = [0, 1], lag = false,  colKeys = [], weights = {}, euclideanWeights = false} = options
+        const {minMaxRange = null, lag = false,  colKeys = [], weights = {}, euclideanWeights = false, byFeatureRange = null} = options
 
-        validateArray(colKeys, 'options.colKeys', methodName)
-        validateBoolean(lag, 'options.lag', methodName)
-        validateArrayOfRanges(range, 'options.range', methodName)
-        validateArrayOptions(['minmax', 'zscore'], type, 'options.type', methodName)
-        validateObject(weights, 'options.weights', methodName)
+        validateArray(colKeys, 'options.colKeys', longName)
+        validateBoolean(lag, 'options.lag', longName)
+        
+        
+        validateObject(weights, 'options.weights', longName)
 
         const lookback = lag ? size - 1 : 0
 
+        if(colKeys.length === 0) {
+            throw new Error(`The property "options.colKeys" must be an array with target keys in ${longName}.`)
+        }
+
+
 
         for(const [key, arr] of Object.entries(weights)) {
             validateArray(arr, `options.weights.${key}`)
 
             if(!lag && arr.size > 0) {
-                throw new Error(`If "options.lag" is set to false "options.weights.${key}" can only contain 1 item (float).`)
+                throw new Error(`If "options.lag" is set to false "options.weights.${key}" can only contain 1 item (float) in ${longName}.`)
             }
 
             if(arr.length > size) {
-                throw new Error(`The length of the property "options.weights.${key}" can not be longer than "size" in ${methodName}.`)
+                throw new Error(`The length of the property "options.weights.${key}" can not be longer than "size" in ${longName}.`)
             }
 
             for(let x = 0; x < arr.length; x++) {
                 const val = arr[x]
-                validateNumber(val, {min: 0.01, max: 10, allowDecimals: true}, `options.weights.${key}[${x}]`, methodName)
+                validateNumber(val, {min: 0.01, max: 10, allowDecimals: true}, `options.weights.${key}[${x}]`, longName)
             }
 
         }
 
-        this.inputParams.push({key: methodName, params: [size, colKeys, {type, range, lookback, weights, euclideanWeights}]})
+        if (type !== 'byfeature') {
+
+            if(!byFeatureRange == null) {
+                throw new Error('"options.byFeatureRange" is only valid when "type" is "byfeature".')
+            }
+        }
+        else {
+            validateArrayOfRanges(byFeatureRange, 'options.byFeatureRange', longName)
+        }
+        
+        if(['minmax', 'byfeature']) {
+            validateArrayOfRanges(minMaxRange, 'options.minMaxRange', longName)
+        }
+
+        this.inputParams.push({key: methodName, params: [size, colKeys, {type, minMaxRange, lookback, weights, euclideanWeights, byFeatureRange}]})
         return this
     }
 

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.5.59",
+  "version": "3.5.60",
   "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/machine-learning/ml-utilities.js

@@ -11,4 +11,12 @@ export const normalizeMinMax = (value, min, max, [validMin, validMax]) => {
   
 export const normalizeZScore = (value, mean, std) => {
     return std === 0 ? 0 : (value - mean) / std
+}
+
+export const scaleByFeatureRange = (x, min, max) => {
+  const center = (min + max) / 2
+  const halfRange = (max - min) / 2
+  const scaled = ((x - center) / halfRange) * 2
+
+  return Math.max(-2, Math.min(2, scaled))
 }

package/src/machine-learning/scaler.js

@@ -1,10 +1,10 @@
-import { normalizeMinMax, normalizeZScore } from "./ml-utilities.js";
+import { normalizeMinMax, normalizeZScore, scaleByFeatureRange } from "./ml-utilities.js";
 
 const isBadNumber = (v) => v == null || !Number.isFinite(v)
 
 //rowWiseScaler
 
-export const scaler = (main, index, size, colKeys, {type, range, lookback, weights, euclideanWeights}) => {
+export const scaler = (main, index, size, colKeys, {type, minMaxRange, lookback, weights, euclideanWeights, byFeatureRange}) => {
 
     //this function performs scaling row by row "row wise scaling"
 
@@ -123,8 +123,9 @@ export const scaler = (main, index, size, colKeys, {type, range, lookback, weigh
       const mx = Math.max(...rowValues);
 
       for (const [key, { val, weight }] of Object.entries(row)) {
-        const scaled = normalizeMinMax(val, mn, mx, range) * weight;
-        main.pushToMain({ index, key: `${prefix}_${key}`, value: scaled });
+        const scaled = normalizeMinMax(val, mn, mx, minMaxRange)
+        const weigthed = scaled === 0 ? 0 : scaled * weight
+        main.pushToMain({ index, key: `${prefix}_${key}`, value: weigthed });
       }
     }
 
@@ -135,9 +136,24 @@ export const scaler = (main, index, size, colKeys, {type, range, lookback, weigh
       const std = Math.sqrt(variance);
 
       for (const [key, { val, weight }] of Object.entries(row)) {
-        const scaled = normalizeZScore(val, mean, std) * weight;
-        main.pushToMain({ index, key: `${prefix}_${key}`, value: scaled });
+        const scaled = normalizeZScore(val, mean, std)
+        const weigthed = scaled === 0 ? 0 : scaled * weight
+        main.pushToMain({ index, key: `${prefix}_${key}`, value: weigthed });
       }
     }
+
+    if(type === "byfeature") {
+
+      const [mn, mx] = byFeatureRange
+
+      for (const [key, { val, weight }] of Object.entries(row)) {
+
+        const scaled = normalizeMinMax(val, mn, mx, minMaxRange)
+        const weigthed = scaled === 0 ? 0 : scaled * weight
+
+        main.pushToMain({ index, key: `${prefix}_${key}`, value: weigthed });
+      }
+
+    }
 }
   

package/src/utilities/validators.js

@@ -123,8 +123,8 @@ export const validateArrayOfRanges = (range, paramName, callerName) => {
 
     const [min, max] = range
 
-    validateNumber(min, {min: -100, max, allowDecimals: false}, 'min', callerName)
-    validateNumber(max, {min: min, max: 100, allowDecimals: false}, 'max', callerName)
+    validateNumber(min, {min: -100, max, allowDecimals: false}, `${paramName}[0] (min)`, callerName)
+    validateNumber(max, {min: min, max: 100, allowDecimals: false}, `${paramName}[1] (max)`, callerName)
 
     if(min === max)
     {