ohlcv-indicators 3.5.72 → 3.5.74

package/dist/ohlcv-indicators.min.js

@@ -1 +1 @@
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r=t.lag,n=void 0===r?0:r;return p(n,{min:0,max:this.len,allowDecimals:!1},"options.lag",e),this.inputParams.push({key:e,order:0,params:[{lag:n}]}),this}},{key:"atr",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="atr";u(this),p(t,{min:1,max:this.len,allowDecimals:!1},"size",r),c(e,"options",r);var n=e.lag,o=void 0===n?0:n,i=e.percentage,a=void 0!==i&&i,l=e.upper,s=void 0===l?null:l,y=e.lower,h=void 0===y?null:y;return p(o,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),f(a,"options.percentage","atr"),null!==s&&p(s,{min:.001,max:100,allowDecimals:!0},"options.upper","atr"),null!==h&&p(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),p(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),p(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),p(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),p(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 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h(i,"options.target",n),p(l,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),p(v,{min:.01,max:10,allowDecimals:!0},"options.bandDistance",n),p(f,{min:2,max:this.len,allowDecimals:!1},"options.atrLength",n),p(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;p(t,{min:1,max:i,allowDecimals:!1},"kPeriod",o),p(e,{min:1,max:i,allowDecimals:!1},"kSlowingPeriod",o),p(r,{min:1,max:i,allowDecimals:!1},"dPeriod",o),c(n,"options",o);var a=n.lag,u=void 0===a?0:a,l=n.retLogs;return p(u,{min:0,max:i,allowDecimals:!1},"options.lag",o),f(l,"retLogs",o),this.inputParams.push({key:o,params:[t,e,r,{lag:u,retLogs:l}]}),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),p(t,{min:1,max:this.len,allowDecimals:!1},"fast",o),p(e,{min:1,max:this.len,allowDecimals:!1},"slow",o),p(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),p(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),p(t,{min:1,max:this.len,allowDecimals:!1},"size",n),p(e,{min:.01,max:50,allowDecimals:!0},"stdDev",n),c(r,"options",n);var o=r.lag,i=void 0===o?0:o;return p(i,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),this.inputParams.push({key:n,params:[t,e,{lag:i}]}),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),p(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.retLogs,s=void 0!==l&&l;return 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Property "'.concat(l,'" had the value "').concat(c,'" type ').concat(Qe(c),"."));var s=Xe(c.split("."),2),f=s[0],p=s[1],y=void 0===p?"":p,h=Number(f),v=4;if(0===Math.abs(h)){var m=y.length,d=Math.max(4,m),b=y.search(/[1-9]/);if(-1===b)v=d;else{var g=b+1+5;v=Math.max(d,g)}}var w=Math.pow(10,v);w>o&&(o=w)}}return o}(this);var g=function(t){for(var e=t.firstRow,r=t.precision,n=t.initialPriceBased,o={},i={},a=new Map,u=0,l=Object.entries(e);u<l.length;u++){var c=sr(l[u],2),s=c[0],f=c[1];if("date"===s)o[s]=lr(f),i[s]="Array";else if("volume"===s)o[s]=or(f,!0),i[s]="Int32Array";else if(n.has(s))o[s]=or(f,!0,r),i[s]="Float64Array",a.set(s,o[s]);else{var p=or(f,!1,r);o[s]=p,i[s]="number"===p?"Float64Array":"Array"}}if(new Set(a.values()).size>1){var y=function(t){return function(t){if(Array.isArray(t))return pr(t)}(t)||function(t){if("undefined"!=typeof Symbol&&null!=t[Symbol.iterator]||null!=t["@@iterator"])return Array.from(t)}(t)||fr(t)||function(){throw new TypeError("Invalid attempt to spread non-iterable instance.\nIn order to be iterable, non-array objects must have a [Symbol.iterator]() method.")}()}(a.entries()).map((function(t){var e=sr(t,2),r=e[0],n=e[1];return"".concat(r,': "').concat(n,'"')})).join(", ");throw new Error("Inconsistent types among price-based columns — ".concat(y,". ")+"All initialPriceBased columns must share the same numeric type.")}return i.hasOwnProperty("open")&&i.hasOwnProperty("close")&&(i.mid_price=i.open,o.mid_price=o.open),{inputTypes:o,arrayTypes:i}}(this),w=g.inputTypes,S=g.arrayTypes;if(this.inputTypes=w,this.arrayTypes=S,!this.firstRow.hasOwnProperty("close"))throw Error('input OHLCV array objects require at least "close" property: '.concat(i));return this.dateType=this.inputTypes.date?this.inputTypes.date:null,this.isComputed=!1,this.instances={},this.verticalOhlcv={},this.verticalOhlcvKeyNames=[],this.verticalOhlcvTempCols=new Set,this.utilities={},this.invalidValueIndex=-1,this.scaledGroups={},this.isAlreadyComputed=new Set,this.pushToMain=function(t){var e=t.index,n=t.key,o=t.value;return function(t){var e=t.index,r=t.key,n=t.value;return t.main.verticalOhlcv[r][e]=n,!0}({main:r,index:e,key:n,value:o})},null!==c?(a(c,this.len),this.inputParams=c.sort((function(t,e){return t.order-e.order})),this.compute()):this.inputParams=[],this},e=[{key:"getData",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:{};this.compute();var e=t.skipNull,r=void 0===e||e,n=t.dateFormat,o=void 0===n?"milliseconds":n;return s(Object.keys(ar),o,"dateFormat","getData"),c(t,"options","getData"),on({main:this,skipNull:r,startIndex:0,dateFormat:o})}},{key:"getLastValues",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:{};this.compute();var e=t.dateFormat,r=void 0===e?"milliseconds":e;return s(Object.keys(ar),r,"dateFormat","getData"),on({skipNull:!1,main:this,startIndex:this.len-1,dateFormat:r})[0]}},{key:"compute",value:function(){return this.isComputed||(this.inputParams=this.inputParams.sort((function(t,e){return t.order-e.order})),this.isComputed=!1,this.len>0&&(function(t,e){var n=e.len,o=e.arrayTypes,i=e.verticalOhlcv,u=e.verticalOhlcvKeyNames,l=e.inputTypes,c=e.chunkProcess,s=e.precisionMultiplier,f=e.inputParams;a(f,n);for(var p=0,y=Object.keys(l);p<y.length;p++){var h=y[p];i[h]=yr(o[h],n)}for(var v=0;v<n;v+=c)for(var m=Math.min(v+c,n),d=v;d<m;d++){for(var b=t[d],g=0,w=Object.entries(l);g<w.length;g++){var S=Qr(w[g],2),O=S[0],j=S[1],P=b[O];if(void 0!==P)if(nr.hasOwnProperty(j)){var _=nr[j](P,s);e.pushToMain({index:d,key:O,value:_})}else ur.hasOwnProperty(j)?e.pushToMain({index:d,key:O,value:ur[j](P)}):e.pushToMain({index:d,key:O,value:P})}var N=(i.open[d]+i.close[d])/2;e.pushToMain({index:d,key:"mid_price",value:N});var A,k=Zr(f);try{for(k.s();!(A=k.n()).done;){var x=A.value,E=x.key,T=x.params;en[E].apply(en,[e,d].concat(Wr(T)))}}catch(t){k.e(t)}finally{k.f()}t[d]=null;var M=Object.keys(i);r(e,d,M)||(e.invalidValueIndex=d)}u.push.apply(u,Wr(Object.keys(i)))}(this.input,this),this.isComputed=!0,this.input=[],this.instances={},this.firstRow=[])),this}},{key:"crossPairs",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:[],e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:{},r="crossPairs";u(this),l(t,"arr",r),c(e,"options",r);var n=e.limit,o=void 0===n?null:n,i=e.oneHot,a=void 0!==i&&i;null!==o&&p(o,{min:2,max:this.len},"options.limit",r),f(a,"options.oneHot",r);var s,y=[],h=function(t,e){var r="undefined"!=typeof Symbol&&t[Symbol.iterator]||t["@@iterator"];if(!r){if(Array.isArray(t)||(r=cn(t))){r&&(t=r);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,u=!1;return{s:function(){r=r.call(t)},n:function(){var t=r.next();return a=t.done,t},e:function(t){u=!0,i=t},f:function(){try{a||null==r.return||r.return()}finally{if(u)throw i}}}}(t);try{for(h.s();!(s=h.n()).done;){var v=s.value,m=v.fast,d=void 0===m?"":m,b=v.slow,g=void 0===b?"":b;if(""===d||""===g)throw new Error("Invalid crossPairs[".concat(d,"_").concat(g,"]: Object property “fast” must be a non-null column name and “slow” must be a non-null column name or integer."));y.push(d.toString(),g.toString())}}catch(t){h.e(t)}finally{h.f()}if(this.isAlreadyComputed.has(r))throw new Error('You can only call the "'.concat(r,'" method once.'));return this.isAlreadyComputed.add(r),this.inputParams.push({key:r,params:[t,{limit:o,oneHot:a}]}),this}},{key:"lag",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:["close"],e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:1,r="lag";return u(this),l(t,"colKeys",r),p(e,{min:1,max:this.len,allowDecimals:!1},"lookback",r),this.inputParams.push({key:r,params:[t,e]}),this}},{key:"relativeVolume",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:10,e=arguments.length>1&&void 0!==arguments[1]?arguments[1]:{},r="relativeVolume";if(!this.inputTypes.hasOwnProperty("volume"))throw new Error('If "relativeVolume" is called the input ohlcv must contain valid volume properties.');u(this),p(t,{min:1,max:this.len,allowDecimals:!1},"size",r),c(e,"options",r);var n=e.lag,o=void 0===n?0:n;return p(o,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),this.inputParams.push({key:r,order:0,params:[t,{lag:o}]}),this}},{key:"volumeDelta",value:function(){var t=arguments.length>0&&void 0!==arguments[0]?arguments[0]:{},e="volumeDelta";if(!this.inputTypes.hasOwnProperty("volume"))throw new Error('If "volumeDelta" is called the input ohlcv must contain valid volume properties.');u(this),c(t,"options",e);var r=t.lag,n=void 0===r?0:r;return p(n,{min:0,max:this.len,allowDecimals:!1},"options.lag",e),this.inputParams.push({key:e,order:0,params:[{lag:n}]}),this}},{key:"atr",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="atr";u(this),p(t,{min:1,max:this.len,allowDecimals:!1},"size",r),c(e,"options",r);var n=e.lag,o=void 0===n?0:n,i=e.retLogs,a=void 0!==i&&i;return p(o,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),f(a,"options.retLogs",r),this.inputParams.push({key:r,order:0,params:[t,{lag:o,retLogs:a}]}),this}},{key:"adx",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="adx";u(this),p(t,{min:1,max:this.len,allowDecimals:!1},"size",r),c(e,"options",r);var n=e.lag,o=void 0===n?0:n,i=e.retLogs,a=void 0!==i&&i;return p(o,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),f(a,"options.retLogs",r),this.inputParams.push({key:r,order:0,params:[t,{lag:o,retLogs:a}]}),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),p(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),p(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),p(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),p(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&&(p(t,{min:1,max:this.len,allowDecimals:!1},"smoothLength",n),p(e,{min:1,max:this.len,allowDecimals:!1},"afterSmoothLength",n)),c(r,"options",n);var i=r.lag,a=void 0===i?0:i,l=r.retLogs,s=void 0!==l&&l;return p(a,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),f(s,"option.retLogs",n),this.inputParams.push({key:n,order:0,params:[t,e,{lag:a,bothNull:o,retLogs:s}]}),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),p(t,{min:2,max:this.len,allowDecimals:!1},"size",n),p(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 h(i,"options.target",n),p(l,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),p(v,{min:.01,max:10,allowDecimals:!0},"options.bandDistance",n),p(f,{min:2,max:this.len,allowDecimals:!1},"options.atrLength",n),p(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;p(t,{min:1,max:i,allowDecimals:!1},"kPeriod",o),p(e,{min:1,max:i,allowDecimals:!1},"kSlowingPeriod",o),p(r,{min:1,max:i,allowDecimals:!1},"dPeriod",o),c(n,"options",o);var a=n.lag,u=void 0===a?0:a,l=n.retLogs;return p(u,{min:0,max:i,allowDecimals:!1},"options.lag",o),f(l,"retLogs",o),this.inputParams.push({key:o,params:[t,e,r,{lag:u,retLogs:l}]}),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),p(t,{min:1,max:this.len,allowDecimals:!1},"fast",o),p(e,{min:1,max:this.len,allowDecimals:!1},"slow",o),p(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),p(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),p(t,{min:1,max:this.len,allowDecimals:!1},"size",n),p(e,{min:.01,max:50,allowDecimals:!0},"stdDev",n),c(r,"options",n);var o=r.lag,i=void 0===o?0:o;return p(i,{min:0,max:this.len,allowDecimals:!1},"options.lag",n),this.inputParams.push({key:n,params:[t,e,{lag:i}]}),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),p(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.retLogs,s=void 0!==l&&l;return h(o,"options.target",r),p(a,{min:0,max:this.len,allowDecimals:!1},"options.lag",r),f(s,"retLogs",r),this.inputParams.push({key:r,params:[t,{target:o,lag:a,retLogs:s}]}),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),p(t,{min:1,max:this.len,allowDecimals:!1},"size",n),p(e,{min:0,max:this.len,allowDecimals:!1},"offset",n),c(r,"options",n);var o=r.lag,i=void 0===o?0:o;return p(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:"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),p(t,{min:1,max:this.len,allowDecimals:!1},"fastsize",n),p(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 p(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;p(n,{min:0,max:this.len,allowDecimals:!1},"options.lag",e),f(i,"options.oneHot",e);var a=i?"one_hot_":"",l=ln(ln(ln(ln(ln({},"".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,a=t.retLogs,s=void 0!==a&&a;return p(n,{min:0,max:this.len,allowDecimals:!1},"options.lag",e),l(i,"options.colKeys",e),f(s,"retLogs",e),this.inputParams.push({key:e,params:[{lag:n,colKeys:i,retLogs:s}]}),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),p(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,S=void 0!==w&&w,O=r.byFeatureRange,j=void 0===O?null:O,P=r.offset,_=void 0===P?0:P;p(_,{min:0,max:this.len,allowDecimals:!1},"offset",n),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 A=0,k=Object.entries(g);A<k.length;A++){var x=un(k[A],2),E=x[0],T=x[1];if(l(T,"options.weights.".concat(E)),!v&&T.size>0)throw new Error('If "options.lag" is set to false "options.weights.'.concat(E,'" can only contain 1 item (float) in ').concat(o,"."));if(T.length>e)throw new Error('The length of the property "options.weights.'.concat(E,'" can not be longer than "size" in ').concat(o,"."));for(var M=0;M<T.length;M++){var I=T[M];p(I,{min:.01,max:10,allowDecimals:!0},"options.weights.".concat(E,"[").concat(M,"]"),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:S,byFeatureRange:j,offset:_}]}),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=$r),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),p(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&&fn(t.prototype,e),Object.defineProperty(t,"prototype",{writable:!1}),t;var t,e}()})(),OHLCV_INDICATORS=e})();

package/index.js

@@ -259,15 +259,33 @@ export default class OHLCV_INDICATORS {
         validateNumber(size, {min: 1, max: this.len, allowDecimals: false}, 'size', methodName)
         validateObject(options, 'options', methodName)
 
-        const {lag = 0, percentage = false, upper = null, lower = null} = options
+        const {lag = 0, retLogs = false} = options
 
         validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
-        validateBoolean(percentage, 'options.percentage', 'atr')
+        validateBoolean(retLogs, 'options.retLogs', methodName)
 
-        if(upper !== null) validateNumber(upper, {min: 0.001, max: 100, allowDecimals: true}, 'options.upper', 'atr')
-        if(lower !== null) validateNumber(lower, {min: 0.001, max: 100, allowDecimals: true}, 'options.lower', 'atr')
 
-        this.inputParams.push({key: methodName, order: 0, params: [size, {lag, percentage, upper, lower}]})
+        this.inputParams.push({key: methodName, order: 0, params: [size, {lag, retLogs}]})
+
+        return this
+    }
+
+    adx(size = 14, options = {}) {
+
+        const methodName = 'adx'
+
+        isAlreadyComputed(this)
+
+        validateNumber(size, {min: 1, max: this.len, allowDecimals: false}, 'size', methodName)
+        validateObject(options, 'options', methodName)
+
+        const {lag = 0, retLogs = false} = options
+
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
+        validateBoolean(retLogs, 'options.retLogs', methodName)
+
+
+        this.inputParams.push({key: methodName, order: 0, params: [size, {lag, retLogs}]})
 
         return this
     }
@@ -323,13 +341,14 @@ export default class OHLCV_INDICATORS {
 
         validateObject(options, 'options', methodName)
 
-        const {lag = 0} = options
+        const {lag = 0, retLogs = false} = options
 
         validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
+        validateBoolean(retLogs, 'option.retLogs', methodName)
 
         const order = 0
 
-        this.inputParams.push({key: methodName, order, params: [smoothLength, afterSmoothLength, {lag, bothNull}]})
+        this.inputParams.push({key: methodName, order, params: [smoothLength, afterSmoothLength, {lag, bothNull, retLogs}]})
 
         return this
     }

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.5.72",
+  "version": "3.5.74",
   "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",
@@ -12,6 +12,7 @@
   "author": "https://jaimelias.com/",
   "license": "ISC",
   "dependencies": {
+    "ohlcv-indicators": "^3.5.72",
     "trading-signals": "^5.0.4"
   },
   "devDependencies": {

package/src/core-functions/mainLoop.js

@@ -16,6 +16,7 @@ import { crossPairs } from "../studies/findCrosses.js";
 import { dateTime } from "../studies/dateTime.js";
 import { scaler } from "../machine-learning/scaler.js";
 import { atr } from "../volatility/atr.js";
+import { adx } from "../volatility/adx.js";
 import { mapCols } from "../studies/mapCols.js";
 
 import { buildArray } from "../utilities/assignTypes.js";
@@ -32,6 +33,7 @@ const mainFunctions = {
   rsi,
   stochastic,
   atr,
+  adx,
   ema: movingAverages,
   sma: movingAverages,
   vidya,

package/src/moving-averages/heikenAshi.js

@@ -1,14 +1,34 @@
 import { FasterEMA } from 'trading-signals';
 
-export const heikenAshi = (main, index, smoothLength, afterSmoothLength, { lag = 0, bothNull = false } = {}) => {
-  const { verticalOhlcv, instances, len, priceBased } = main;
+const isBadNumber = v => v == null || !Number.isFinite(v);
+
+export const heikenAshi = (
+  main,
+  index,
+  smoothLength,
+  afterSmoothLength,
+  { lag = 0, bothNull = false, retLogs = true } = {}
+) => {
+  const { verticalOhlcv, instances, len, scaledGroups } = main;
   const indicatorKey = `${smoothLength}_${afterSmoothLength}`;
-  const keys = ['open', 'high', 'low', 'close'];
+  const ohlcKeys = ['open', 'high', 'low', 'close'];
 
-  const getKey = key =>
-    bothNull
-      ? `heiken_ashi_${key}`
-      : `heiken_ashi_${key}_${indicatorKey}`;
+  const getRet = (next, prev) => retLogs
+    ? Math.log(next / prev)
+    : (next - prev) / prev;
+
+  const prefix = retLogs ? 'ret_log_' : 'ret_';
+
+  const paramsKey = bothNull ? '' : `_${indicatorKey}`;
+
+  const getKey = key => `${prefix}heiken_ashi_${key}${paramsKey}`;
+
+  const featureKeys = [
+    'body',
+    'upper_wick',
+    'lower_wick',
+    'range'
+  ];
 
   const crossKey = bothNull
     ? 'heiken_ashi_cross'
@@ -22,26 +42,29 @@ export const heikenAshi = (main, index, smoothLength, afterSmoothLength, { lag =
   if (index === 0) {
     instances[instanceKey] = {
       emaPre: !bothNull
-        ? Object.fromEntries(keys.map(k => [k, new FasterEMA(smoothLength)]))
+        ? Object.fromEntries(ohlcKeys.map(k => [k, new FasterEMA(smoothLength)]))
         : null,
       emaPost: !bothNull
-        ? Object.fromEntries(keys.map(k => [k, new FasterEMA(afterSmoothLength)]))
+        ? Object.fromEntries(ohlcKeys.map(k => [k, new FasterEMA(afterSmoothLength)]))
         : null,
       prevHaOpen: NaN,
       prevHaClose: NaN,
+      prevSmOpen: NaN,
+      prevSmClose: NaN,
       isTrendUp: false,
     };
 
-    const keyNames = keys.map(getKey);
+    const keyNames = featureKeys.map(getKey);
+
     const verticalOhlcvSetup = Object.fromEntries(
-      [...keyNames, crossKey].map(v => [v, new Float64Array(len).fill(NaN)])
+      [...keyNames, crossKey].map(k => [k, new Float64Array(len).fill(NaN)])
     );
 
-    for (const k of keyNames) {
-      priceBased.add(k);
-    }
+    Object.assign(verticalOhlcv, verticalOhlcvSetup);
 
-    Object.assign(verticalOhlcv, { ...verticalOhlcvSetup });
+    if (scaledGroups) {
+      scaledGroups.heikenAshi = keyNames;
+    }
 
     if (lag > 0) {
       main.lag(keyNames, lag);
@@ -55,10 +78,19 @@ export const heikenAshi = (main, index, smoothLength, afterSmoothLength, { lag =
   const close = verticalOhlcv.close[index];
   const inst = instances[instanceKey];
 
+  if (
+    isBadNumber(open) ||
+    isBadNumber(high) ||
+    isBadNumber(low) ||
+    isBadNumber(close)
+  ) {
+    return true;
+  }
+
   let sOpen, sHigh, sLow, sClose;
 
   if (!bothNull) {
-    // ---- PRE-SMOOTHING (EMA) ----
+    // ---- PRE-SMOOTHING EMA ----
     inst.emaPre.open.update(open);
     inst.emaPre.high.update(high);
     inst.emaPre.low.update(low);
@@ -79,11 +111,25 @@ export const heikenAshi = (main, index, smoothLength, afterSmoothLength, { lag =
     sClose = close;
   }
 
+  if (
+    isBadNumber(sOpen) ||
+    isBadNumber(sHigh) ||
+    isBadNumber(sLow) ||
+    isBadNumber(sClose)
+  ) {
+    return true;
+  }
+
   // ---- HEIKEN ASHI CORE ----
   const haClose = (sOpen + sHigh + sLow + sClose) / 4;
-  const haOpen = (Number.isNaN(inst.prevHaOpen) || Number.isNaN(inst.prevHaClose))
+
+  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);
 
@@ -93,7 +139,7 @@ export const heikenAshi = (main, index, smoothLength, afterSmoothLength, { lag =
   let smOpen, smHigh, smLow, smClose;
 
   if (!bothNull) {
-    // ---- POST-SMOOTHING (EMA) ----
+    // ---- POST-SMOOTHING EMA ----
     inst.emaPost.open.update(haOpen);
     inst.emaPost.high.update(haHigh);
     inst.emaPost.low.update(haLow);
@@ -114,18 +160,44 @@ export const heikenAshi = (main, index, smoothLength, afterSmoothLength, { lag =
     smClose = haClose;
   }
 
+  if (
+    isBadNumber(smOpen) ||
+    isBadNumber(smHigh) ||
+    isBadNumber(smLow) ||
+    isBadNumber(smClose) ||
+    smOpen <= 0 ||
+    smHigh <= 0 ||
+    smLow <= 0 ||
+    smClose <= 0
+  ) {
+    return true;
+  }
+
   // ---- TREND/CROSS LOGIC ----
+  // Cross uses raw smoothed HA values, not the returned log/return features.
   const prevCross = index > 0 ? verticalOhlcv[crossKey][index - 1] : 0;
-  const prevHaOpenArr = index > 0 ? verticalOhlcv[getKey('open')][index - 1] : NaN;
-  const prevHaCloseArr = index > 0 ? verticalOhlcv[getKey('close')][index - 1] : NaN;
-
-  const crossUp = !Number.isNaN(prevHaCloseArr) && prevHaCloseArr <= prevHaOpenArr && smClose > smOpen;
-  const crossDown = !Number.isNaN(prevHaCloseArr) && prevHaCloseArr >= prevHaOpenArr && smClose < smOpen;
+  const prevSmOpen = inst.prevSmOpen;
+  const prevSmClose = inst.prevSmClose;
+
+  const crossUp = (
+    Number.isFinite(prevSmOpen) &&
+    Number.isFinite(prevSmClose) &&
+    prevSmClose <= prevSmOpen &&
+    smClose > smOpen
+  );
+
+  const crossDown = (
+    Number.isFinite(prevSmOpen) &&
+    Number.isFinite(prevSmClose) &&
+    prevSmClose >= prevSmOpen &&
+    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;
@@ -134,11 +206,28 @@ export const heikenAshi = (main, index, smoothLength, afterSmoothLength, { lag =
     }
   }
 
-  // ---- PUSH OUTPUTS ----
-  main.pushToMain({ index, key: getKey('open'), value: smOpen });
-  main.pushToMain({ index, key: getKey('high'), value: smHigh });
-  main.pushToMain({ index, key: getKey('low'), value: smLow });
-  main.pushToMain({ index, key: getKey('close'), value: smClose });
+  // Store previous raw smoothed HA values after cross calculation.
+  inst.prevSmOpen = smOpen;
+  inst.prevSmClose = smClose;
+
+  // ---- HEIKEN ASHI STRUCTURE RETURNS ----
+  const bodyTop = Math.max(smOpen, smClose);
+  const bodyBottom = Math.min(smOpen, smClose);
+
+  const row = {
+    [getKey('body')]: getRet(smClose, smOpen),
+    [getKey('upper_wick')]: getRet(smHigh, bodyTop),
+    [getKey('lower_wick')]: getRet(bodyBottom, smLow),
+    [getKey('range')]: getRet(smHigh, smLow),
+  };
+
+  for (const [key, value] of Object.entries(row)) {
+    if (!isBadNumber(value)) {
+      main.pushToMain({ index, key, value });
+    }
+  }
+
+  // Do not add return logs to cross.
   main.pushToMain({ index, key: crossKey, value: cross });
 
   return true;

package/src/volatility/adx.js

@@ -0,0 +1,65 @@
+import { FasterADX } from 'trading-signals';
+import { mathLog } from '../utilities/math.js';
+
+export const adx = (main, index, size, { lag, retLogs }) => {
+  const { verticalOhlcv, instances, useFullNames } = main;
+
+  const adxKey = retLogs ? `ret_log_adx_${size}` : `adx_${size}`;
+
+  const instanceKey = `adx_${size}`;
+
+  // Initialization on the first index.
+  if (index === 0) {
+    const { len } = main;
+
+    if (!verticalOhlcv.hasOwnProperty('high')) {
+      throw new Error('Property high not found in verticalOhlcv for adx.');
+    }
+
+    if (!verticalOhlcv.hasOwnProperty('low')) {
+      throw new Error('Property low not found in verticalOhlcv for adx.');
+    }
+
+    if (!verticalOhlcv.hasOwnProperty('close')) {
+      throw new Error('Property close not found in verticalOhlcv for adx.');
+    }
+
+    Object.assign(instances, {
+      [instanceKey]: new FasterADX(size)
+    });
+
+    Object.assign(verticalOhlcv, {
+      [adxKey]: new Float64Array(len).fill(NaN)
+    })
+
+
+    if (lag > 0) {
+      main.lag([adxKey], lag);
+    }
+  }
+
+  const high = verticalOhlcv.high[index];
+  const low = verticalOhlcv.low[index];
+  const close = verticalOhlcv.close[index];
+
+  let currentAdx = NaN;
+
+  // Update the ADX indicator.
+  instances[instanceKey].update({ high, low, close });
+
+  try {
+    currentAdx = instances[instanceKey].getResult();
+
+    instances[instanceKey].get
+  } catch (err) {
+    currentAdx = NaN;
+  }
+
+
+  const adxVal = Number.isNaN(currentAdx)
+    ? NaN
+    : retLogs ? mathLog(currentAdx, 25) : currentAdx;
+
+
+  main.pushToMain({ index, key: adxKey, value: adxVal });
+};

package/src/volatility/atr.js

@@ -1,9 +1,10 @@
 
 import {FasterATR, FasterWSMA} from 'trading-signals';
+import { mathLog } from '../utilities/math.js';
 
-export const atr = (main, index, size, {lag, percentage, upper, lower}) => {
+export const atr = (main, index, size, {lag, retLogs}) => {
   const { verticalOhlcv, instances, priceBased } = main
-  const baseKeyName = `atr_${size}`
+  const baseKeyName = retLogs ? `ret_log_atr_${size}` : `atr_${size}`
 
   if (index === 0) {
 
@@ -13,10 +14,6 @@ export const atr = (main, index, size, {lag, percentage, upper, lower}) => {
 
     const keyNames = [baseKeyName]
 
-    if(percentage) keyNames.push(`${baseKeyName}_percentage`)
-    if(upper !== null) keyNames.push(`${baseKeyName}_upper`)
-    if(lower !== null) keyNames.push(`${baseKeyName}_lower`)
-
     for(const k of keyNames)
     { 
       verticalOhlcv[k] = new Float64Array(len).fill(NaN)
@@ -46,24 +43,8 @@ export const atr = (main, index, size, {lag, percentage, upper, lower}) => {
 
   }
 
-  if(percentage)
-  {
-    const percentageValue = (Number.isNaN(currAtr)) ? NaN : (currAtr / curr.close)
-    main.pushToMain({ index, key: `${baseKeyName}_percentage`, value: percentageValue });
-  }
-  if(upper !== null)
-  {
-    const upperValue = (Number.isNaN(currAtr)) ? NaN : (curr.close + (currAtr * upper))
-    main.pushToMain({ index, key: `${baseKeyName}_upper`, value: upperValue });
-  }
-  if(lower !== null)
-  {
-    const lowerValue = (Number.isNaN(currAtr)) ? NaN : (curr.close - (currAtr * lower))
-    main.pushToMain({ index, key: `${baseKeyName}_lower`, value: lowerValue });
-  }
-
   // Always push the MA value (even if NaN).
-  main.pushToMain({ index, key: baseKeyName, value: currAtr });
+  main.pushToMain({ index, key: baseKeyName, value: Number.isNaN(currAtr) ? NaN : (retLogs ? mathLog(currAtr, curr.close) : currAtr) });
 
   return true;
 }