ohlcv-indicators 3.5.61 → 3.5.63

package/dist/ohlcv-indicators.min.js

@@ -1 +1 @@
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0!==arguments[1]?arguments[1]:{},r="sma";u(this),h(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 p(o,"options.target",r),h(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&&(h(t,{min:1,max:this.len,allowDecimals:!1},"smoothLength",n),h(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 h(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),h(t,{min:2,max:this.len,allowDecimals:!1},"size",n),h(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,y=r.bandDistance,v=void 0===y?2:y,m=r.liquidityLookback,d=void 0===m?20:m;return p(i,"options.target",n),h(l,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),h(v,{min:.01,max:10,allowDecimals:!0},"options.bandDistance",n),h(f,{min:2,max:this.len,allowDecimals:!1},"options.atrLength",n),h(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;h(t,{min:1,max:i,allowDecimals:!1},"kPeriod",o),h(e,{min:1,max:i,allowDecimals:!1},"kSlowingPeriod",o),h(r,{min:1,max:i,allowDecimals:!1},"dPeriod",o),c(n,"options",o);var a=n.lag,u=void 0===a?0:a;return h(u,{min:0,max:i,allowDecimals:!1},"options.lag",o),this.inputParams.push({key:o,order:0,params:[t,e,r,{lag:u}]}),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),h(t,{min:1,max:this.len,allowDecimals:!1},"fast",o),h(e,{min:1,max:this.len,allowDecimals:!1},"slow",o),h(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;p(a,"options.target",o),h(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),h(t,{min:1,max:this.len,allowDecimals:!1},"size",n),h(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,y=r.range,v=void 0===y?[]:y,m=r.lag,d=void 0===m?0:m;return p(i,"options.target",n),l(v,"options.range",n),h(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),h(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 p(o,"options.target",r),h(a,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),this.inputParams.push({key:r,params:[t,{target:o,lag:a}]}),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),h(t,{min:1,max:this.len,allowDecimals:!1},"size",n),h(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,y=r.lag,p=void 0===y?0:y;return l(s,"options.range",n),h(p,{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:p}]}),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),h(t,{min:1,max:this.len,allowDecimals:!1},"fastsize",n),h(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 h(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;h(n,{min:0,max:this.len,allowDecimals:!1},"options.lag",e),f(i,"options.oneHot",e);var a=i?"one_hot_":"",l=Hr(Hr(Hr(Hr(Hr({},"".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 h(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),h(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,p=r.lag,v=void 0!==p&&p,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;r.deltaSplit,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 P=0,_=Object.entries(g);P<_.length;P++){var A=Vr(_[P],2),k=A[0],T=A[1];if(l(T,"options.weights.".concat(k)),!v&&T.size>0)throw new Error('If "options.lag" is set to false "options.weights.'.concat(k,'" can only contain 1 item (float) in ').concat(o,"."));if(T.length>e)throw new Error('The length of the property "options.weights.'.concat(k,'" can not be longer than "size" in ').concat(o,"."));for(var x=0;x<T.length;x++){var E=T[x];h(E,{min:.01,max:10,allowDecimals:!0},"options.weights.".concat(k,"[").concat(x,"]"),o)}}if("byfeature"!==t){if(null==!j)throw new Error('"options.byFeatureRange" is only valid when "type" is "byfeature".')}else y(j,"options.byFeatureRange",o);return["minmax","byfeature"].includes(t)&&y(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=Pr),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),h(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&&$r(t.prototype,e),Object.defineProperty(t,"prototype",{writable:!1}),t;var t,e}()})(),OHLCV_INDICATORS=e})();

package/index.js

@@ -92,7 +92,7 @@ export default class OHLCV_INDICATORS {
         //getData method returns the last object (row) of the new OHLCV with indicators: {open, high, low, close, rsi_14, bollinger_bands_upper}
         this.compute()
 
-        const {skipNull = true, dateFormat = 'string'} = options
+        const {skipNull = true, dateFormat = 'milliseconds'} = options
 
         validateArrayOptions(Object.keys(dateOutputFormaters), dateFormat, 'dateFormat', 'getData')
         validateObject(options, 'options', 'getData')
@@ -110,7 +110,7 @@ export default class OHLCV_INDICATORS {
 
         this.compute()
 
-        const {dateFormat = 'string'} = options
+        const {dateFormat = 'milliseconds'} = options
         
         validateArrayOptions(Object.keys(dateOutputFormaters), dateFormat, 'dateFormat', 'getData')
 
@@ -367,30 +367,11 @@ export default class OHLCV_INDICATORS {
         validateNumber(dPeriod, {min: 1, max, allowDecimals: false}, 'dPeriod', methodName)
         validateObject(options, 'options', methodName)
 
-        let parser = v => v
-        let prefix = ''
-
         const {lag = 0} = options
 
         validateNumber(lag, {min: 0, max, allowDecimals: false}, 'options.lag', methodName)
 
-        let minmax = options.minmax
-
-        if(Array.isArray(minmax) || (typeof minmax === 'boolean' && minmax === true))
-        {
-            if(Array.isArray(minmax)){
-                validateArrayOfRanges(minmax, 'options.minmax', methodName)
-                parser = value => (minmax !== null) ? normalizeMinMax(value, 0, 100, minmax) : value
-            } else
-            {
-                validateBoolean(minmax, 'options.minmax', methodName)
-                minmax = [0, 1]
-                parser = value => (minmax !== null) ? normalizeMinMax(value, 0, 100, minmax) : value
-            }
-            prefix = 'minmax_'
-        }
-
-        this.inputParams.push({key: methodName, order: 0, params: [kPeriod, kSlowingPeriod, dPeriod, {minmax, prefix, parser, lag}]})
+        this.inputParams.push({key: methodName, order: 0, params: [kPeriod, kSlowingPeriod, dPeriod, {lag}]})
 
         return this
     }
@@ -451,28 +432,11 @@ export default class OHLCV_INDICATORS {
         validateObject(options, 'options', methodName)
         
         const {target = 'close', lag = 0} = options
-        let minmax = options.minmax
+
         validateString(target, 'options.target', methodName)
         validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
 
-        let parser = v => v
-        let prefix = ''
-
-        if(Array.isArray(minmax) || (typeof minmax === 'boolean' && minmax === true))
-        {
-            if(Array.isArray(minmax)){
-                validateArrayOfRanges(minmax, 'options.minmax', methodName)
-                parser = value => (minmax !== null) ? normalizeMinMax(value, 0, 100, minmax) : value
-            } else
-            {
-                validateBoolean(minmax, 'options.minmax', methodName)
-                minmax = [0, 1]
-                parser = value => (minmax !== null) ? normalizeMinMax(value, 0, 100, minmax) : value
-            }
-            prefix = 'minmax_'
-        }
-
-        this.inputParams.push({key: methodName, params: [size, {target, lag, parser, prefix, minmax}]})
+        this.inputParams.push({key: methodName, params: [size, {target, lag}]})
 
         return this
     }
@@ -585,7 +549,8 @@ export default class OHLCV_INDICATORS {
         
         validateObject(options, 'options', longName)
 
-        const {minMaxRange = null, lag = false,  colKeys = [], weights = {}, euclideanWeights = false, byFeatureRange = null} = options
+        const {minMaxRange = null, lag = false,  colKeys = [], weights = {}, euclideanWeights = false, byFeatureRange = null, deltaSplit = false} = options
+
 
         validateArray(colKeys, 'options.colKeys', longName)
         validateBoolean(lag, 'options.lag', longName)

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.5.61",
+  "version": "3.5.63",
   "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

@@ -11,12 +11,4 @@ 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

@@ -1,4 +1,4 @@
-import { normalizeMinMax, normalizeZScore, scaleByFeatureRange } from "./ml-utilities.js";
+import { normalizeMinMax, normalizeZScore } from "./ml-utilities.js";
 
 const isBadNumber = (v) => v == null || !Number.isFinite(v)
 

package/src/oscillators/rsi.js

@@ -2,15 +2,15 @@ import { FasterRSI } from 'trading-signals';
 import { FasterSMA } from 'trading-signals';
 
 const defaultTarget = 'close'
-export const rsi = (main, index, size, { target, lag, parser, prefix, minmax }) => {
+export const rsi = (main, index, size, { target, lag }) => {
 
   
   
   const { verticalOhlcv, instances } = main;
 
   const suffix = target === defaultTarget ? '' : `_${target}`;
-  const rsiKey = `${prefix}rsi_${size}${suffix}`;
-  const rsiSmaKey = `${prefix}rsi_sma_${size}${suffix}`;
+  const rsiKey = `rsi_${size}${suffix}`;
+  const rsiSmaKey = `rsi_sma_${size}${suffix}`;
 
   // Initialization on the first index.
   if (index === 0) {
@@ -37,18 +37,6 @@ export const rsi = (main, index, size, { target, lag, parser, prefix, minmax })
       main.lag(baseKeys, lag);
     }
 
-    //[key, key_lag_1, …, key_lag_n] for each key
-    const keyNames = lag > 0
-      ? baseKeys.flatMap(key => [
-          key,
-          ...Array.from({ length: lag }, (_, i) => `${key}_lag_${i + 1}`)
-        ])
-      : baseKeys;
-
-    if (Array.isArray(minmax)) {
-      const group = main.scaledGroups.minmax_rsi ??= [];
-      group.push(...keyNames);
-    }
 
   }
 
@@ -67,7 +55,7 @@ export const rsi = (main, index, size, { target, lag, parser, prefix, minmax })
 
 
   // Always push the RSI value, using NaN as a fallback.
-  main.pushToMain({ index, key: rsiKey, value: (Number.isNaN(currentRsi)) ? NaN : parser(currentRsi) });
+  main.pushToMain({ index, key: rsiKey, value: (Number.isNaN(currentRsi)) ? NaN : currentRsi });
 
   // Update the SMA indicator only if a valid RSI value is available.
   if (!Number.isNaN(currentRsi)) {
@@ -81,5 +69,5 @@ export const rsi = (main, index, size, { target, lag, parser, prefix, minmax })
   }
 
   // Always push the smoothed RSI value.
-  main.pushToMain({ index, key: rsiSmaKey, value: (Number.isNaN(smoothedRsi)) ? NaN : parser(smoothedRsi) });
+  main.pushToMain({ index, key: rsiSmaKey, value: (Number.isNaN(smoothedRsi)) ? NaN : smoothedRsi });
 };

package/src/oscillators/stochastic.js

@@ -1,16 +1,15 @@
 import { FasterStochasticOscillator } from 'trading-signals';
 
-const defaultTarget = 'close'
-export const stochastic = (main, index, kPeriod, kSlowingPeriod, dPeriod, {minmax, prefix, lag, parser}) => {
+export const stochastic = (main, index, kPeriod, kSlowingPeriod, dPeriod, {lag}) => {
 
     
 
     const { verticalOhlcv, instances } = main;
 
     const paramsKey = (kPeriod === 14 && kSlowingPeriod === 3 && dPeriod === 3) ? '' : `${kPeriod}_${kSlowingPeriod}_${dPeriod}`
-    const stochD = `${prefix}stoch_d${paramsKey}`;
-    const stochK = `${prefix}stoch_k${paramsKey}`;
-    const instanceKey = `${prefix}${paramsKey}`
+    const stochD = `stoch_d${paramsKey}`;
+    const stochK = `stoch_k${paramsKey}`;
+    const instanceKey = paramsKey
 
   // Initialization on the first index.
     if (index === 0) {
@@ -32,18 +31,6 @@ export const stochastic = (main, index, kPeriod, kSlowingPeriod, dPeriod, {minma
             main.lag(baseKeys, lag);
         }
 
-        //[key, key_lag_1, …, key_lag_n] for each key
-        const keyNames = lag > 0
-            ? baseKeys.flatMap(key => [
-                key,
-                ...Array.from({ length: lag }, (_, i) => `${key}_lag_${i + 1}`)
-            ])
-            : baseKeys;
-
-        if (Array.isArray(minmax)) {
-            const group = main.scaledGroups.minmax_rsi ??= [];
-            group.push(...keyNames)
-        }
     }
 
     const close = verticalOhlcv['close'][index]
@@ -60,8 +47,8 @@ export const stochastic = (main, index, kPeriod, kSlowingPeriod, dPeriod, {minma
         stockObj = null
     }
 
-    const kVal = stockObj ? parser(stockObj.stochK) : NaN
-    const dVal = stockObj ? parser(stockObj.stochD) : NaN
+    const kVal = stockObj ? stockObj.stochK : NaN
+    const dVal = stockObj ? stockObj.stochD : NaN
 
     main.pushToMain({ index, key: stochK, value: kVal })
     main.pushToMain({ index, key: stochD, value: dVal })

package/src/utilities/dateUtilities.js

@@ -1,5 +1,9 @@
 export const dateOutputFormaters = {
-  string: d => d.toString(),
+  toString: d => d.toString(),
+  string: d => d.toString(), //fallback
+  toISOString: d => d.toISOString(),
+  iso: d => d.toISOString(), //fallback
+  toUTCString: d => d.toUTCString(),
   milliseconds: d => d.getTime(),
   seconds: d => d.getTime() / 1000,
   object: d => d