openalgo-script 0.1.0-alpha.1 → 0.2.0

This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
Files changed (990) hide show
  1. package/CHANGELOG.md +1200 -0
  2. package/README.md +49 -28
  3. package/dist/adapters/charts/alerts.d.ts +70 -0
  4. package/dist/adapters/charts/alerts.d.ts.map +1 -0
  5. package/dist/adapters/charts/alerts.js +52 -0
  6. package/dist/adapters/charts/alerts.js.map +1 -0
  7. package/dist/adapters/charts/bars.d.ts +39 -0
  8. package/dist/adapters/charts/bars.d.ts.map +1 -0
  9. package/dist/adapters/charts/bars.js +32 -0
  10. package/dist/adapters/charts/bars.js.map +1 -0
  11. package/dist/adapters/charts/candles.d.ts +40 -0
  12. package/dist/adapters/charts/candles.d.ts.map +1 -0
  13. package/dist/adapters/charts/candles.js +85 -0
  14. package/dist/adapters/charts/candles.js.map +1 -0
  15. package/dist/adapters/charts/colours.d.ts +47 -0
  16. package/dist/adapters/charts/colours.d.ts.map +1 -0
  17. package/dist/adapters/charts/colours.js +80 -0
  18. package/dist/adapters/charts/colours.js.map +1 -0
  19. package/dist/adapters/charts/columns.d.ts +37 -0
  20. package/dist/adapters/charts/columns.d.ts.map +1 -0
  21. package/dist/adapters/charts/columns.js +56 -0
  22. package/dist/adapters/charts/columns.js.map +1 -0
  23. package/dist/adapters/charts/contract.d.ts +278 -0
  24. package/dist/adapters/charts/contract.d.ts.map +1 -0
  25. package/dist/adapters/charts/contract.js +2 -0
  26. package/dist/adapters/charts/contract.js.map +1 -0
  27. package/dist/adapters/charts/descriptor.d.ts +48 -0
  28. package/dist/adapters/charts/descriptor.d.ts.map +1 -0
  29. package/dist/adapters/charts/descriptor.js +111 -0
  30. package/dist/adapters/charts/descriptor.js.map +1 -0
  31. package/dist/adapters/charts/drawings.d.ts +43 -0
  32. package/dist/adapters/charts/drawings.d.ts.map +1 -0
  33. package/dist/adapters/charts/drawings.js +172 -0
  34. package/dist/adapters/charts/drawings.js.map +1 -0
  35. package/dist/adapters/charts/errors.d.ts +28 -0
  36. package/dist/adapters/charts/errors.d.ts.map +1 -0
  37. package/dist/adapters/charts/errors.js +21 -0
  38. package/dist/adapters/charts/errors.js.map +1 -0
  39. package/dist/adapters/charts/fields.d.ts +33 -0
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  41. package/dist/adapters/charts/fields.js +51 -0
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  43. package/dist/adapters/charts/fills.d.ts +23 -0
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  45. package/dist/adapters/charts/fills.js +48 -0
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  47. package/dist/adapters/charts/index.d.ts +37 -0
  48. package/dist/adapters/charts/index.d.ts.map +1 -0
  49. package/dist/adapters/charts/index.js +33 -0
  50. package/dist/adapters/charts/index.js.map +1 -0
  51. package/dist/adapters/charts/levels.d.ts +39 -0
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  53. package/dist/adapters/charts/levels.js +61 -0
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  55. package/dist/adapters/charts/markers.d.ts +41 -0
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  57. package/dist/adapters/charts/markers.js +75 -0
  58. package/dist/adapters/charts/markers.js.map +1 -0
  59. package/dist/adapters/charts/paint.d.ts +61 -0
  60. package/dist/adapters/charts/paint.d.ts.map +1 -0
  61. package/dist/adapters/charts/paint.js +47 -0
  62. package/dist/adapters/charts/paint.js.map +1 -0
  63. package/dist/adapters/charts/plots.d.ts +39 -0
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  65. package/dist/adapters/charts/plots.js +117 -0
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  67. package/dist/adapters/charts/produced.d.ts +57 -0
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  69. package/dist/adapters/charts/produced.js +11 -0
  70. package/dist/adapters/charts/produced.js.map +1 -0
  71. package/dist/adapters/charts/requests.d.ts +114 -0
  72. package/dist/adapters/charts/requests.d.ts.map +1 -0
  73. package/dist/adapters/charts/requests.js +277 -0
  74. package/dist/adapters/charts/requests.js.map +1 -0
  75. package/dist/adapters/charts/run.d.ts +147 -0
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  77. package/dist/adapters/charts/run.js +148 -0
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  79. package/dist/adapters/charts/settings.d.ts +78 -0
  80. package/dist/adapters/charts/settings.d.ts.map +1 -0
  81. package/dist/adapters/charts/settings.js +225 -0
  82. package/dist/adapters/charts/settings.js.map +1 -0
  83. package/dist/adapters/charts/surfaces.d.ts +204 -0
  84. package/dist/adapters/charts/surfaces.d.ts.map +1 -0
  85. package/dist/adapters/charts/surfaces.js +2 -0
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  87. package/dist/adapters/charts/tables.d.ts +65 -0
  88. package/dist/adapters/charts/tables.d.ts.map +1 -0
  89. package/dist/adapters/charts/tables.js +84 -0
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  91. package/dist/core/catalogue/catalogue.generated.d.ts +98 -10
  92. package/dist/core/catalogue/catalogue.generated.d.ts.map +1 -1
  93. package/dist/core/catalogue/catalogue.generated.js +17 -9
  94. package/dist/core/catalogue/catalogue.generated.js.map +1 -1
  95. package/dist/core/catalogue/values.generated.d.ts +25 -0
  96. package/dist/core/catalogue/values.generated.d.ts.map +1 -1
  97. package/dist/core/check/arguments.d.ts +41 -0
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  101. package/dist/core/check/call-sites.d.ts +22 -0
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  105. package/dist/core/check/call-warmup.d.ts +37 -0
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  109. package/dist/core/check/calls.d.ts +33 -0
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  113. package/dist/core/check/check.d.ts +23 -0
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  115. package/dist/core/check/check.js +163 -0
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  117. package/dist/core/check/checked.d.ts +198 -0
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  119. package/dist/core/check/checked.js +19 -0
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  121. package/dist/core/check/checker.d.ts +182 -0
  122. package/dist/core/check/checker.d.ts.map +1 -0
  123. package/dist/core/check/checker.js +280 -0
  124. package/dist/core/check/checker.js.map +1 -0
  125. package/dist/core/check/conditional.d.ts +35 -0
  126. package/dist/core/check/conditional.d.ts.map +1 -0
  127. package/dist/core/check/conditional.js +100 -0
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  129. package/dist/core/check/constant.d.ts +47 -0
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  131. package/dist/core/check/constant.js +101 -0
  132. package/dist/core/check/constant.js.map +1 -0
  133. package/dist/core/check/declaration.d.ts +33 -0
  134. package/dist/core/check/declaration.d.ts.map +1 -0
  135. package/dist/core/check/declaration.js +181 -0
  136. package/dist/core/check/declaration.js.map +1 -0
  137. package/dist/core/check/expressions.d.ts +36 -0
  138. package/dist/core/check/expressions.d.ts.map +1 -0
  139. package/dist/core/check/expressions.js +398 -0
  140. package/dist/core/check/expressions.js.map +1 -0
  141. package/dist/core/check/functions.d.ts +31 -0
  142. package/dist/core/check/functions.d.ts.map +1 -0
  143. package/dist/core/check/functions.js +238 -0
  144. package/dist/core/check/functions.js.map +1 -0
  145. package/dist/core/check/handles.d.ts +48 -0
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  147. package/dist/core/check/handles.js +43 -0
  148. package/dist/core/check/handles.js.map +1 -0
  149. package/dist/core/check/index.d.ts +30 -0
  150. package/dist/core/check/index.d.ts.map +1 -0
  151. package/dist/core/check/index.js +26 -0
  152. package/dist/core/check/index.js.map +1 -0
  153. package/dist/core/check/library-bars.d.ts +7 -0
  154. package/dist/core/check/library-bars.d.ts.map +1 -0
  155. package/dist/core/check/library-bars.js +181 -0
  156. package/dist/core/check/library-bars.js.map +1 -0
  157. package/dist/core/check/library-orders.d.ts +5 -0
  158. package/dist/core/check/library-orders.d.ts.map +1 -0
  159. package/dist/core/check/library-orders.js +250 -0
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  161. package/dist/core/check/library-output.d.ts +7 -0
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  163. package/dist/core/check/library-output.js +195 -0
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  165. package/dist/core/check/library-series.d.ts +3 -0
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  169. package/dist/core/check/library.d.ts +204 -0
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  171. package/dist/core/check/library.js +198 -0
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  173. package/dist/core/check/literals.d.ts +19 -0
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  175. package/dist/core/check/literals.js +22 -0
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  177. package/dist/core/check/outputs.d.ts +31 -0
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  181. package/dist/core/check/statements.d.ts +25 -0
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  185. package/dist/core/check/suggest.d.ts +25 -0
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  189. package/dist/core/check/surface.d.ts +38 -0
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@@ -0,0 +1,48 @@
1
+ import { NONE, fold, isPresent, result, tailOf } from '../values/index.js';
2
+ import { emaStep } from '../averages/index.js';
3
+ /**
4
+ * `macd(src, fast, slow, signal)`: `[macd, signal, histogram]`, element 0 from
5
+ * bar `slow - 1` and the other two from bar `slow + signal - 2`.
6
+ */
7
+ export function macdStep(state, key, value, fast, slow, signal) {
8
+ const near = emaStep(state, `${key}e`, value, fast);
9
+ const far = emaStep(state, `${key}g`, value, slow);
10
+ const line = isPresent(near) && isPresent(far) ? result(near - far) : NONE;
11
+ const trigger = emaStep(state, `${key}i`, line, signal);
12
+ const histogram = isPresent(line) && isPresent(trigger) ? result(line - trigger) : NONE;
13
+ return [line, trigger, histogram];
14
+ }
15
+ /** `macd(src, fast, slow, signal)` as a tail. */
16
+ export function macdTail(fast = 12, slow = 26, signal = 9) {
17
+ return tailOf((state, value) => macdStep(state, '', value, fast, slow, signal));
18
+ }
19
+ /** `macd(src, fast, slow, signal)` over a whole series. */
20
+ export function macd(src, fast = 12, slow = 26, signal = 9) {
21
+ return fold(macdTail(fast, slow, signal), src);
22
+ }
23
+ /**
24
+ * `ppo(src, fast, slow, signal)`: `[ppo, signal, histogram]`, on the same
25
+ * warmups as `macd`.
26
+ *
27
+ * The same gap divided by the slow average, so the reading is a percentage and
28
+ * two instruments at different price levels can be compared.
29
+ */
30
+ export function ppoStep(state, key, value, fast, slow, signal) {
31
+ const near = emaStep(state, `${key}e`, value, fast);
32
+ const far = emaStep(state, `${key}g`, value, slow);
33
+ const line = isPresent(near) && isPresent(far) && far !== 0
34
+ ? result((100 * (near - far)) / far)
35
+ : NONE;
36
+ const trigger = emaStep(state, `${key}i`, line, signal);
37
+ const histogram = isPresent(line) && isPresent(trigger) ? result(line - trigger) : NONE;
38
+ return [line, trigger, histogram];
39
+ }
40
+ /** `ppo(src, fast, slow, signal)` as a tail. */
41
+ export function ppoTail(fast = 12, slow = 26, signal = 9) {
42
+ return tailOf((state, value) => ppoStep(state, '', value, fast, slow, signal));
43
+ }
44
+ /** `ppo(src, fast, slow, signal)` over a whole series. */
45
+ export function ppo(src, fast = 12, slow = 26, signal = 9) {
46
+ return fold(ppoTail(fast, slow, signal), src);
47
+ }
48
+ //# sourceMappingURL=convergence.js.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"convergence.js","sourceRoot":"","sources":["../../../../src/core/stdlib/momentum/convergence.ts"],"names":[],"mappings":"AAcA,OAAO,EAAE,IAAI,EAAE,IAAI,EAAE,SAAS,EAAE,MAAM,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAC3E,OAAO,EAAE,OAAO,EAAE,MAAM,sBAAsB,CAAC;AAE/C;;;GAGG;AACH,MAAM,UAAU,QAAQ,CACtB,KAAkB,EAClB,GAAW,EACX,KAAY,EACZ,IAAmB,EACnB,IAAmB,EACnB,MAAqB;IAErB,MAAM,IAAI,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,KAAK,EAAE,IAAI,CAAC,CAAC;IACpD,MAAM,GAAG,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,KAAK,EAAE,IAAI,CAAC,CAAC;IACnD,MAAM,IAAI,GAAG,SAAS,CAAC,IAAI,CAAC,IAAI,SAAS,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,IAAI,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;IAC3E,MAAM,OAAO,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,IAAI,EAAE,MAAM,CAAC,CAAC;IACxD,MAAM,SAAS,GAAG,SAAS,CAAC,IAAI,CAAC,IAAI,SAAS,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,IAAI,GAAG,OAAO,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;IACxF,OAAO,CAAC,IAAI,EAAE,OAAO,EAAE,SAAS,CAAC,CAAC;AACpC,CAAC;AAED,iDAAiD;AACjD,MAAM,UAAU,QAAQ,CAAC,IAAI,GAAG,EAAE,EAAE,IAAI,GAAG,EAAE,EAAE,MAAM,GAAG,CAAC;IACvD,OAAO,MAAM,CAAC,CAAC,KAAK,EAAE,KAAY,EAAE,EAAE,CAAC,QAAQ,CAAC,KAAK,EAAE,EAAE,EAAE,KAAK,EAAE,IAAI,EAAE,IAAI,EAAE,MAAM,CAAC,CAAC,CAAC;AACzF,CAAC;AAED,2DAA2D;AAC3D,MAAM,UAAU,IAAI,CAAC,GAAW,EAAE,IAAI,GAAG,EAAE,EAAE,IAAI,GAAG,EAAE,EAAE,MAAM,GAAG,CAAC;IAChE,OAAO,IAAI,CAAC,QAAQ,CAAC,IAAI,EAAE,IAAI,EAAE,MAAM,CAAC,EAAE,GAAG,CAAC,CAAC;AACjD,CAAC;AAED;;;;;;GAMG;AACH,MAAM,UAAU,OAAO,CACrB,KAAkB,EAClB,GAAW,EACX,KAAY,EACZ,IAAmB,EACnB,IAAmB,EACnB,MAAqB;IAErB,MAAM,IAAI,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,KAAK,EAAE,IAAI,CAAC,CAAC;IACpD,MAAM,GAAG,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,KAAK,EAAE,IAAI,CAAC,CAAC;IACnD,MAAM,IAAI,GACR,SAAS,CAAC,IAAI,CAAC,IAAI,SAAS,CAAC,GAAG,CAAC,IAAI,GAAG,KAAK,CAAC;QAC5C,CAAC,CAAC,MAAM,CAAC,CAAC,GAAG,GAAG,CAAC,IAAI,GAAG,GAAG,CAAC,CAAC,GAAG,GAAG,CAAC;QACpC,CAAC,CAAC,IAAI,CAAC;IACX,MAAM,OAAO,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,IAAI,EAAE,MAAM,CAAC,CAAC;IACxD,MAAM,SAAS,GAAG,SAAS,CAAC,IAAI,CAAC,IAAI,SAAS,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,IAAI,GAAG,OAAO,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;IACxF,OAAO,CAAC,IAAI,EAAE,OAAO,EAAE,SAAS,CAAC,CAAC;AACpC,CAAC;AAED,gDAAgD;AAChD,MAAM,UAAU,OAAO,CAAC,IAAI,GAAG,EAAE,EAAE,IAAI,GAAG,EAAE,EAAE,MAAM,GAAG,CAAC;IACtD,OAAO,MAAM,CAAC,CAAC,KAAK,EAAE,KAAY,EAAE,EAAE,CAAC,OAAO,CAAC,KAAK,EAAE,EAAE,EAAE,KAAK,EAAE,IAAI,EAAE,IAAI,EAAE,MAAM,CAAC,CAAC,CAAC;AACxF,CAAC;AAED,0DAA0D;AAC1D,MAAM,UAAU,GAAG,CAAC,GAAW,EAAE,IAAI,GAAG,EAAE,EAAE,IAAI,GAAG,EAAE,EAAE,MAAM,GAAG,CAAC;IAC/D,OAAO,IAAI,CAAC,OAAO,CAAC,IAAI,EAAE,IAAI,EAAE,MAAM,CAAC,EAAE,GAAG,CAAC,CAAC;AAChD,CAAC"}
@@ -0,0 +1,6 @@
1
+ export { rsi, rsiStep, rsiTail } from './rsi.js';
2
+ export { macd, macdStep, macdTail, ppo, ppoStep, ppoTail } from './convergence.js';
3
+ export { stoch, stochRsi, stochRsiStep, stochRsiTail, stochStep, stochTail, williamsR, williamsRStep, williamsRTail, } from './stochastic.js';
4
+ export { cmo, cmoStep, cmoTail, dpo, dpoStep, dpoTail, mom, momTail, roc, rocStep, rocTail, trix, trixStep, trixTail, tsi, tsiStep, tsiTail, } from './rates.js';
5
+ export { awesomeOsc, awesomeOscStep, awesomeOscTail, cci, cciStep, cciTail, ultimateOsc, ultimateOscStep, ultimateOscTail, } from './pressure.js';
6
+ //# sourceMappingURL=index.d.ts.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"index.d.ts","sourceRoot":"","sources":["../../../../src/core/stdlib/momentum/index.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,GAAG,EAAE,OAAO,EAAE,OAAO,EAAE,MAAM,UAAU,CAAC;AAEjD,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,QAAQ,EAAE,GAAG,EAAE,OAAO,EAAE,OAAO,EAAE,MAAM,kBAAkB,CAAC;AAEnF,OAAO,EACL,KAAK,EACL,QAAQ,EACR,YAAY,EACZ,YAAY,EACZ,SAAS,EACT,SAAS,EACT,SAAS,EACT,aAAa,EACb,aAAa,GACd,MAAM,iBAAiB,CAAC;AAEzB,OAAO,EACL,GAAG,EACH,OAAO,EACP,OAAO,EACP,GAAG,EACH,OAAO,EACP,OAAO,EACP,GAAG,EACH,OAAO,EACP,GAAG,EACH,OAAO,EACP,OAAO,EACP,IAAI,EACJ,QAAQ,EACR,QAAQ,EACR,GAAG,EACH,OAAO,EACP,OAAO,GACR,MAAM,YAAY,CAAC;AAEpB,OAAO,EACL,UAAU,EACV,cAAc,EACd,cAAc,EACd,GAAG,EACH,OAAO,EACP,OAAO,EACP,WAAW,EACX,eAAe,EACf,eAAe,GAChB,MAAM,eAAe,CAAC"}
@@ -0,0 +1,6 @@
1
+ export { rsi, rsiStep, rsiTail } from './rsi.js';
2
+ export { macd, macdStep, macdTail, ppo, ppoStep, ppoTail } from './convergence.js';
3
+ export { stoch, stochRsi, stochRsiStep, stochRsiTail, stochStep, stochTail, williamsR, williamsRStep, williamsRTail, } from './stochastic.js';
4
+ export { cmo, cmoStep, cmoTail, dpo, dpoStep, dpoTail, mom, momTail, roc, rocStep, rocTail, trix, trixStep, trixTail, tsi, tsiStep, tsiTail, } from './rates.js';
5
+ export { awesomeOsc, awesomeOscStep, awesomeOscTail, cci, cciStep, cciTail, ultimateOsc, ultimateOscStep, ultimateOscTail, } from './pressure.js';
6
+ //# sourceMappingURL=index.js.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"index.js","sourceRoot":"","sources":["../../../../src/core/stdlib/momentum/index.ts"],"names":[],"mappings":"AAAA,OAAO,EAAE,GAAG,EAAE,OAAO,EAAE,OAAO,EAAE,MAAM,UAAU,CAAC;AAEjD,OAAO,EAAE,IAAI,EAAE,QAAQ,EAAE,QAAQ,EAAE,GAAG,EAAE,OAAO,EAAE,OAAO,EAAE,MAAM,kBAAkB,CAAC;AAEnF,OAAO,EACL,KAAK,EACL,QAAQ,EACR,YAAY,EACZ,YAAY,EACZ,SAAS,EACT,SAAS,EACT,SAAS,EACT,aAAa,EACb,aAAa,GACd,MAAM,iBAAiB,CAAC;AAEzB,OAAO,EACL,GAAG,EACH,OAAO,EACP,OAAO,EACP,GAAG,EACH,OAAO,EACP,OAAO,EACP,GAAG,EACH,OAAO,EACP,GAAG,EACH,OAAO,EACP,OAAO,EACP,IAAI,EACJ,QAAQ,EACR,QAAQ,EACR,GAAG,EACH,OAAO,EACP,OAAO,GACR,MAAM,YAAY,CAAC;AAEpB,OAAO,EACL,UAAU,EACV,cAAc,EACd,cAAc,EACd,GAAG,EACH,OAAO,EACP,OAAO,EACP,WAAW,EACX,eAAe,EACf,eAAe,GAChB,MAAM,eAAe,CAAC"}
@@ -0,0 +1,43 @@
1
+ /**
2
+ * The readings taken from the whole bar rather than from one price: `cci`,
3
+ * `ultimateOsc` and `awesomeOsc`.
4
+ */
5
+ import type { Bar, StateRecord, Tail, Value } from '../values/index.js';
6
+ /**
7
+ * `cci(len)`: how far the typical price sits from its mean in mean-deviation
8
+ * units, from bar `len - 1`.
9
+ *
10
+ * The divisor is the **mean absolute deviation**, not the standard deviation.
11
+ * The 0.015 constant is calibrated against that quantity, and substituting a
12
+ * standard deviation changes every reading while still producing a plausible
13
+ * looking line.
14
+ */
15
+ export declare function cciStep(state: StateRecord, key: string, bar: Bar, len: number | null): Value;
16
+ /** `cci(len)` as a tail. */
17
+ export declare function cciTail(len?: number): Tail<Bar, Value>;
18
+ /** `cci(len)` over a run of bars. */
19
+ export declare function cci(bars: readonly Bar[], len?: number): Value[];
20
+ /**
21
+ * `ultimateOsc(len1, len2, len3)`: buying pressure blended over three lookbacks,
22
+ * from bar `max(len1, len2, len3)`.
23
+ *
24
+ * Buying pressure is the close above the lower of this bar's low and the
25
+ * previous close, over the range between the higher of this bar's high and that
26
+ * close and the same lower bound. Both need the previous close, so the sums
27
+ * start at bar 1 and the first reading is at bar `max`, not `max - 1`.
28
+ *
29
+ * The weights are 4, 2 and 1 over 7, shortest lookback heaviest, which is what
30
+ * stops any single length dominating the reading.
31
+ */
32
+ export declare function ultimateOscStep(state: StateRecord, key: string, bar: Bar, len1: number | null, len2: number | null, len3: number | null): Value;
33
+ /** `ultimateOsc(len1, len2, len3)` as a tail. */
34
+ export declare function ultimateOscTail(len1?: number, len2?: number, len3?: number): Tail<Bar, Value>;
35
+ /** `ultimateOsc(len1, len2, len3)` over a run of bars. */
36
+ export declare function ultimateOsc(bars: readonly Bar[], len1?: number, len2?: number, len3?: number): Value[];
37
+ /** `awesomeOsc(fast, slow)`: the difference of two simple means of `hl2`, from bar `slow - 1`. */
38
+ export declare function awesomeOscStep(state: StateRecord, key: string, bar: Bar, fast: number | null, slow: number | null): Value;
39
+ /** `awesomeOsc(fast, slow)` as a tail. */
40
+ export declare function awesomeOscTail(fast?: number, slow?: number): Tail<Bar, Value>;
41
+ /** `awesomeOsc(fast, slow)` over a run of bars. */
42
+ export declare function awesomeOsc(bars: readonly Bar[], fast?: number, slow?: number): Value[];
43
+ //# sourceMappingURL=pressure.d.ts.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"pressure.d.ts","sourceRoot":"","sources":["../../../../src/core/stdlib/momentum/pressure.ts"],"names":[],"mappings":"AAAA;;;GAGG;AACH,OAAO,KAAK,EAAE,GAAG,EAAE,WAAW,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,oBAAoB,CAAC;AAMxE;;;;;;;;GAQG;AACH,wBAAgB,OAAO,CACrB,KAAK,EAAE,WAAW,EAClB,GAAG,EAAE,MAAM,EACX,GAAG,EAAE,GAAG,EACR,GAAG,EAAE,MAAM,GAAG,IAAI,GACjB,KAAK,CAOP;AAED,4BAA4B;AAC5B,wBAAgB,OAAO,CAAC,GAAG,SAAK,GAAG,IAAI,CAAC,GAAG,EAAE,KAAK,CAAC,CAElD;AAED,qCAAqC;AACrC,wBAAgB,GAAG,CAAC,IAAI,EAAE,SAAS,GAAG,EAAE,EAAE,GAAG,SAAK,GAAG,KAAK,EAAE,CAE3D;AAED;;;;;;;;;;;GAWG;AACH,wBAAgB,eAAe,CAC7B,KAAK,EAAE,WAAW,EAClB,GAAG,EAAE,MAAM,EACX,GAAG,EAAE,GAAG,EACR,IAAI,EAAE,MAAM,GAAG,IAAI,EACnB,IAAI,EAAE,MAAM,GAAG,IAAI,EACnB,IAAI,EAAE,MAAM,GAAG,IAAI,GAClB,KAAK,CAsCP;AAED,iDAAiD;AACjD,wBAAgB,eAAe,CAAC,IAAI,SAAI,EAAE,IAAI,SAAK,EAAE,IAAI,SAAK,GAAG,IAAI,CAAC,GAAG,EAAE,KAAK,CAAC,CAEhF;AAED,0DAA0D;AAC1D,wBAAgB,WAAW,CACzB,IAAI,EAAE,SAAS,GAAG,EAAE,EACpB,IAAI,SAAI,EACR,IAAI,SAAK,EACT,IAAI,SAAK,GACR,KAAK,EAAE,CAET;AAED,kGAAkG;AAClG,wBAAgB,cAAc,CAC5B,KAAK,EAAE,WAAW,EAClB,GAAG,EAAE,MAAM,EACX,GAAG,EAAE,GAAG,EACR,IAAI,EAAE,MAAM,GAAG,IAAI,EACnB,IAAI,EAAE,MAAM,GAAG,IAAI,GAClB,KAAK,CAMP;AAED,0CAA0C;AAC1C,wBAAgB,cAAc,CAAC,IAAI,SAAI,EAAE,IAAI,SAAK,GAAG,IAAI,CAAC,GAAG,EAAE,KAAK,CAAC,CAEpE;AAED,mDAAmD;AACnD,wBAAgB,UAAU,CAAC,IAAI,EAAE,SAAS,GAAG,EAAE,EAAE,IAAI,SAAI,EAAE,IAAI,SAAK,GAAG,KAAK,EAAE,CAE7E"}
@@ -0,0 +1,103 @@
1
+ import { NONE, at, fold, held, hl2, hlc3, isPresent, result, tailOf } from '../values/index.js';
2
+ import { smaStep } from '../averages/index.js';
3
+ import { sumStep } from '../series/index.js';
4
+ import { meanDeviationStep } from '../volatility/index.js';
5
+ /**
6
+ * `cci(len)`: how far the typical price sits from its mean in mean-deviation
7
+ * units, from bar `len - 1`.
8
+ *
9
+ * The divisor is the **mean absolute deviation**, not the standard deviation.
10
+ * The 0.015 constant is calibrated against that quantity, and substituting a
11
+ * standard deviation changes every reading while still producing a plausible
12
+ * looking line.
13
+ */
14
+ export function cciStep(state, key, bar, len) {
15
+ const typical = hlc3(bar);
16
+ const mean = smaStep(state, `${key}q`, typical, len);
17
+ const deviation = meanDeviationStep(state, `${key}v`, typical, len);
18
+ if (!isPresent(typical) || !isPresent(mean) || !isPresent(deviation))
19
+ return NONE;
20
+ if (deviation === 0)
21
+ return NONE;
22
+ return result((typical - mean) / (0.015 * deviation));
23
+ }
24
+ /** `cci(len)` as a tail. */
25
+ export function cciTail(len = 20) {
26
+ return tailOf((state, bar) => cciStep(state, '', bar, len));
27
+ }
28
+ /** `cci(len)` over a run of bars. */
29
+ export function cci(bars, len = 20) {
30
+ return fold(cciTail(len), bars);
31
+ }
32
+ /**
33
+ * `ultimateOsc(len1, len2, len3)`: buying pressure blended over three lookbacks,
34
+ * from bar `max(len1, len2, len3)`.
35
+ *
36
+ * Buying pressure is the close above the lower of this bar's low and the
37
+ * previous close, over the range between the higher of this bar's high and that
38
+ * close and the same lower bound. Both need the previous close, so the sums
39
+ * start at bar 1 and the first reading is at bar `max`, not `max - 1`.
40
+ *
41
+ * The weights are 4, 2 and 1 over 7, shortest lookback heaviest, which is what
42
+ * stops any single length dominating the reading.
43
+ */
44
+ export function ultimateOscStep(state, key, bar, len1, len2, len3) {
45
+ const closeKey = `${key}p`;
46
+ const seenKey = `${key}k`;
47
+ const previousClose = held(state, closeKey);
48
+ const started = state[seenKey] === true;
49
+ let pressure = NONE;
50
+ let range = NONE;
51
+ if (started &&
52
+ isPresent(previousClose) &&
53
+ isPresent(bar.high) &&
54
+ isPresent(bar.low) &&
55
+ isPresent(bar.close)) {
56
+ const floorOf = Math.min(bar.low, previousClose);
57
+ const ceilingOf = Math.max(bar.high, previousClose);
58
+ pressure = result(bar.close - floorOf);
59
+ range = result(ceilingOf - floorOf);
60
+ }
61
+ state[seenKey] = true;
62
+ state[closeKey] = bar.close;
63
+ const lengths = [len1, len2, len3];
64
+ const averages = [];
65
+ for (let index = 0; index < 3; index += 1) {
66
+ const len = lengths[index] ?? null;
67
+ const top = sumStep(state, `${key}t${index}`, pressure, len);
68
+ const bottom = sumStep(state, `${key}b${index}`, range, len);
69
+ averages.push(isPresent(top) && isPresent(bottom) && bottom !== 0 ? result(top / bottom) : NONE);
70
+ }
71
+ const fast = at(averages, 0);
72
+ const middle = at(averages, 1);
73
+ const slow = at(averages, 2);
74
+ if (!isPresent(fast) || !isPresent(middle) || !isPresent(slow))
75
+ return NONE;
76
+ return result((100 * (4 * fast + 2 * middle + slow)) / 7);
77
+ }
78
+ /** `ultimateOsc(len1, len2, len3)` as a tail. */
79
+ export function ultimateOscTail(len1 = 7, len2 = 14, len3 = 28) {
80
+ return tailOf((state, bar) => ultimateOscStep(state, '', bar, len1, len2, len3));
81
+ }
82
+ /** `ultimateOsc(len1, len2, len3)` over a run of bars. */
83
+ export function ultimateOsc(bars, len1 = 7, len2 = 14, len3 = 28) {
84
+ return fold(ultimateOscTail(len1, len2, len3), bars);
85
+ }
86
+ /** `awesomeOsc(fast, slow)`: the difference of two simple means of `hl2`, from bar `slow - 1`. */
87
+ export function awesomeOscStep(state, key, bar, fast, slow) {
88
+ const midpoint = hl2(bar);
89
+ const near = smaStep(state, `${key}f`, midpoint, fast);
90
+ const far = smaStep(state, `${key}s`, midpoint, slow);
91
+ if (!isPresent(near) || !isPresent(far))
92
+ return NONE;
93
+ return result(near - far);
94
+ }
95
+ /** `awesomeOsc(fast, slow)` as a tail. */
96
+ export function awesomeOscTail(fast = 5, slow = 34) {
97
+ return tailOf((state, bar) => awesomeOscStep(state, '', bar, fast, slow));
98
+ }
99
+ /** `awesomeOsc(fast, slow)` over a run of bars. */
100
+ export function awesomeOsc(bars, fast = 5, slow = 34) {
101
+ return fold(awesomeOscTail(fast, slow), bars);
102
+ }
103
+ //# sourceMappingURL=pressure.js.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"pressure.js","sourceRoot":"","sources":["../../../../src/core/stdlib/momentum/pressure.ts"],"names":[],"mappings":"AAKA,OAAO,EAAE,IAAI,EAAE,EAAE,EAAE,IAAI,EAAE,IAAI,EAAE,GAAG,EAAE,IAAI,EAAE,SAAS,EAAE,MAAM,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAChG,OAAO,EAAE,OAAO,EAAE,MAAM,sBAAsB,CAAC;AAC/C,OAAO,EAAE,OAAO,EAAE,MAAM,oBAAoB,CAAC;AAC7C,OAAO,EAAE,iBAAiB,EAAE,MAAM,wBAAwB,CAAC;AAE3D;;;;;;;;GAQG;AACH,MAAM,UAAU,OAAO,CACrB,KAAkB,EAClB,GAAW,EACX,GAAQ,EACR,GAAkB;IAElB,MAAM,OAAO,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC;IAC1B,MAAM,IAAI,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,OAAO,EAAE,GAAG,CAAC,CAAC;IACrD,MAAM,SAAS,GAAG,iBAAiB,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,OAAO,EAAE,GAAG,CAAC,CAAC;IACpE,IAAI,CAAC,SAAS,CAAC,OAAO,CAAC,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,SAAS,CAAC;QAAE,OAAO,IAAI,CAAC;IAClF,IAAI,SAAS,KAAK,CAAC;QAAE,OAAO,IAAI,CAAC;IACjC,OAAO,MAAM,CAAC,CAAC,OAAO,GAAG,IAAI,CAAC,GAAG,CAAC,KAAK,GAAG,SAAS,CAAC,CAAC,CAAC;AACxD,CAAC;AAED,4BAA4B;AAC5B,MAAM,UAAU,OAAO,CAAC,GAAG,GAAG,EAAE;IAC9B,OAAO,MAAM,CAAC,CAAC,KAAK,EAAE,GAAQ,EAAE,EAAE,CAAC,OAAO,CAAC,KAAK,EAAE,EAAE,EAAE,GAAG,EAAE,GAAG,CAAC,CAAC,CAAC;AACnE,CAAC;AAED,qCAAqC;AACrC,MAAM,UAAU,GAAG,CAAC,IAAoB,EAAE,GAAG,GAAG,EAAE;IAChD,OAAO,IAAI,CAAC,OAAO,CAAC,GAAG,CAAC,EAAE,IAAI,CAAC,CAAC;AAClC,CAAC;AAED;;;;;;;;;;;GAWG;AACH,MAAM,UAAU,eAAe,CAC7B,KAAkB,EAClB,GAAW,EACX,GAAQ,EACR,IAAmB,EACnB,IAAmB,EACnB,IAAmB;IAEnB,MAAM,QAAQ,GAAG,GAAG,GAAG,GAAG,CAAC;IAC3B,MAAM,OAAO,GAAG,GAAG,GAAG,GAAG,CAAC;IAC1B,MAAM,aAAa,GAAG,IAAI,CAAC,KAAK,EAAE,QAAQ,CAAC,CAAC;IAC5C,MAAM,OAAO,GAAG,KAAK,CAAC,OAAO,CAAC,KAAK,IAAI,CAAC;IAExC,IAAI,QAAQ,GAAU,IAAI,CAAC;IAC3B,IAAI,KAAK,GAAU,IAAI,CAAC;IACxB,IACE,OAAO;QACP,SAAS,CAAC,aAAa,CAAC;QACxB,SAAS,CAAC,GAAG,CAAC,IAAI,CAAC;QACnB,SAAS,CAAC,GAAG,CAAC,GAAG,CAAC;QAClB,SAAS,CAAC,GAAG,CAAC,KAAK,CAAC,EACpB,CAAC;QACD,MAAM,OAAO,GAAG,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,GAAG,EAAE,aAAa,CAAC,CAAC;QACjD,MAAM,SAAS,GAAG,IAAI,CAAC,GAAG,CAAC,GAAG,CAAC,IAAI,EAAE,aAAa,CAAC,CAAC;QACpD,QAAQ,GAAG,MAAM,CAAC,GAAG,CAAC,KAAK,GAAG,OAAO,CAAC,CAAC;QACvC,KAAK,GAAG,MAAM,CAAC,SAAS,GAAG,OAAO,CAAC,CAAC;IACtC,CAAC;IACD,KAAK,CAAC,OAAO,CAAC,GAAG,IAAI,CAAC;IACtB,KAAK,CAAC,QAAQ,CAAC,GAAG,GAAG,CAAC,KAAK,CAAC;IAE5B,MAAM,OAAO,GAAG,CAAC,IAAI,EAAE,IAAI,EAAE,IAAI,CAAC,CAAC;IACnC,MAAM,QAAQ,GAAY,EAAE,CAAC;IAC7B,KAAK,IAAI,KAAK,GAAG,CAAC,EAAE,KAAK,GAAG,CAAC,EAAE,KAAK,IAAI,CAAC,EAAE,CAAC;QAC1C,MAAM,GAAG,GAAG,OAAO,CAAC,KAAK,CAAC,IAAI,IAAI,CAAC;QACnC,MAAM,GAAG,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,IAAI,KAAK,EAAE,EAAE,QAAQ,EAAE,GAAG,CAAC,CAAC;QAC7D,MAAM,MAAM,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,IAAI,KAAK,EAAE,EAAE,KAAK,EAAE,GAAG,CAAC,CAAC;QAC7D,QAAQ,CAAC,IAAI,CACX,SAAS,CAAC,GAAG,CAAC,IAAI,SAAS,CAAC,MAAM,CAAC,IAAI,MAAM,KAAK,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,GAAG,GAAG,MAAM,CAAC,CAAC,CAAC,CAAC,IAAI,CAClF,CAAC;IACJ,CAAC;IACD,MAAM,IAAI,GAAG,EAAE,CAAC,QAAQ,EAAE,CAAC,CAAC,CAAC;IAC7B,MAAM,MAAM,GAAG,EAAE,CAAC,QAAQ,EAAE,CAAC,CAAC,CAAC;IAC/B,MAAM,IAAI,GAAG,EAAE,CAAC,QAAQ,EAAE,CAAC,CAAC,CAAC;IAC7B,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,MAAM,CAAC,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC;QAAE,OAAO,IAAI,CAAC;IAC5E,OAAO,MAAM,CAAC,CAAC,GAAG,GAAG,CAAC,CAAC,GAAG,IAAI,GAAG,CAAC,GAAG,MAAM,GAAG,IAAI,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;AAC5D,CAAC;AAED,iDAAiD;AACjD,MAAM,UAAU,eAAe,CAAC,IAAI,GAAG,CAAC,EAAE,IAAI,GAAG,EAAE,EAAE,IAAI,GAAG,EAAE;IAC5D,OAAO,MAAM,CAAC,CAAC,KAAK,EAAE,GAAQ,EAAE,EAAE,CAAC,eAAe,CAAC,KAAK,EAAE,EAAE,EAAE,GAAG,EAAE,IAAI,EAAE,IAAI,EAAE,IAAI,CAAC,CAAC,CAAC;AACxF,CAAC;AAED,0DAA0D;AAC1D,MAAM,UAAU,WAAW,CACzB,IAAoB,EACpB,IAAI,GAAG,CAAC,EACR,IAAI,GAAG,EAAE,EACT,IAAI,GAAG,EAAE;IAET,OAAO,IAAI,CAAC,eAAe,CAAC,IAAI,EAAE,IAAI,EAAE,IAAI,CAAC,EAAE,IAAI,CAAC,CAAC;AACvD,CAAC;AAED,kGAAkG;AAClG,MAAM,UAAU,cAAc,CAC5B,KAAkB,EAClB,GAAW,EACX,GAAQ,EACR,IAAmB,EACnB,IAAmB;IAEnB,MAAM,QAAQ,GAAG,GAAG,CAAC,GAAG,CAAC,CAAC;IAC1B,MAAM,IAAI,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,QAAQ,EAAE,IAAI,CAAC,CAAC;IACvD,MAAM,GAAG,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,QAAQ,EAAE,IAAI,CAAC,CAAC;IACtD,IAAI,CAAC,SAAS,CAAC,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,GAAG,CAAC;QAAE,OAAO,IAAI,CAAC;IACrD,OAAO,MAAM,CAAC,IAAI,GAAG,GAAG,CAAC,CAAC;AAC5B,CAAC;AAED,0CAA0C;AAC1C,MAAM,UAAU,cAAc,CAAC,IAAI,GAAG,CAAC,EAAE,IAAI,GAAG,EAAE;IAChD,OAAO,MAAM,CAAC,CAAC,KAAK,EAAE,GAAQ,EAAE,EAAE,CAAC,cAAc,CAAC,KAAK,EAAE,EAAE,EAAE,GAAG,EAAE,IAAI,EAAE,IAAI,CAAC,CAAC,CAAC;AACjF,CAAC;AAED,mDAAmD;AACnD,MAAM,UAAU,UAAU,CAAC,IAAoB,EAAE,IAAI,GAAG,CAAC,EAAE,IAAI,GAAG,EAAE;IAClE,OAAO,IAAI,CAAC,cAAc,CAAC,IAAI,EAAE,IAAI,CAAC,EAAE,IAAI,CAAC,CAAC;AAChD,CAAC"}
@@ -0,0 +1,74 @@
1
+ /**
2
+ * The readings taken from change rather than from level: `mom`, `roc`, `cmo`,
3
+ * `trix`, `tsi` and `dpo`.
4
+ *
5
+ * Each one's warmup carries the extra bar a change costs, and `stdlib.md`
6
+ * section 5 states it in the entry rather than leaving it to be derived.
7
+ */
8
+ import type { Series, StateRecord, Tail, Value } from '../values/index.js';
9
+ /** `mom(src, len)`: `src - src[len]`, from bar `len`. */
10
+ export declare function momTail(len?: number): Tail<Value, Value>;
11
+ /** `mom(src, len)` over a whole series. */
12
+ export declare function mom(src: Series, len?: number): Value[];
13
+ /** `roc(src, len)`: the same change as a percentage of the older value, from bar `len`. */
14
+ export declare function rocStep(state: StateRecord, key: string, value: Value, len: number | null): Value;
15
+ /** `roc(src, len)` as a tail. */
16
+ export declare function rocTail(len?: number): Tail<Value, Value>;
17
+ /** `roc(src, len)` over a whole series. */
18
+ export declare function roc(src: Series, len?: number): Value[];
19
+ /**
20
+ * `cmo(src, len)`: up sum less down sum over their total, -100 to 100, from bar
21
+ * `len`.
22
+ *
23
+ * Unsmoothed, which is the whole point of it: the sums are taken over the
24
+ * lookback outright rather than through an average, so a turn shows on the bar it
25
+ * happens.
26
+ */
27
+ export declare function cmoStep(state: StateRecord, key: string, value: Value, len: number | null): Value;
28
+ /** `cmo(src, len)` as a tail. */
29
+ export declare function cmoTail(len?: number): Tail<Value, Value>;
30
+ /** `cmo(src, len)` over a whole series. */
31
+ export declare function cmo(src: Series, len?: number): Value[];
32
+ /**
33
+ * `trix(src, len)`: the rate of change of a triple exponential mean, from bar
34
+ * `3 * len - 2`.
35
+ *
36
+ * `stdlib.md` section 5 says rate of change, so this is the percentage change
37
+ * of the smoothed series over one bar. The other reading in circulation takes
38
+ * the change of the logarithm of the average instead; it is a different number
39
+ * and it is not what the entry describes.
40
+ */
41
+ export declare function trixStep(state: StateRecord, key: string, value: Value, len: number | null): Value;
42
+ /** `trix(src, len)` as a tail. */
43
+ export declare function trixTail(len?: number): Tail<Value, Value>;
44
+ /** `trix(src, len)` over a whole series. */
45
+ export declare function trix(src: Series, len?: number): Value[];
46
+ /**
47
+ * `tsi(src, longLen, shortLen)`: double smoothed momentum, from bar
48
+ * `longLen + shortLen - 1`.
49
+ *
50
+ * The change smoothed twice, over the size of the change smoothed the same way
51
+ * twice, so the result is a direction rather than a magnitude and the noise
52
+ * `mom` carries is gone.
53
+ */
54
+ export declare function tsiStep(state: StateRecord, key: string, value: Value, longLen: number | null, shortLen: number | null): Value;
55
+ /** `tsi(src, longLen, shortLen)` as a tail. */
56
+ export declare function tsiTail(longLen?: number, shortLen?: number): Tail<Value, Value>;
57
+ /** `tsi(src, longLen, shortLen)` over a whole series. */
58
+ export declare function tsi(src: Series, longLen?: number, shortLen?: number): Value[];
59
+ /**
60
+ * `dpo(src, len)`: price with its displaced mean removed, from bar
61
+ * `len + floor(len / 2)`.
62
+ *
63
+ * The mean is read `floor(len / 2) + 1` bars back rather than at this bar,
64
+ * which is what "displaced" means here and what the declared warmup requires:
65
+ * the average's own first value at bar `len - 1`, plus the displacement, is
66
+ * exactly `len + floor(len / 2)`. Removing an undisplaced mean would be a
67
+ * different study with a warmup of `len - 1`.
68
+ */
69
+ export declare function dpoStep(state: StateRecord, key: string, value: Value, len: number | null): Value;
70
+ /** `dpo(src, len)` as a tail. */
71
+ export declare function dpoTail(len?: number): Tail<Value, Value>;
72
+ /** `dpo(src, len)` over a whole series. */
73
+ export declare function dpo(src: Series, len?: number): Value[];
74
+ //# sourceMappingURL=rates.d.ts.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"rates.d.ts","sourceRoot":"","sources":["../../../../src/core/stdlib/momentum/rates.ts"],"names":[],"mappings":"AAAA;;;;;;GAMG;AACH,OAAO,KAAK,EAAE,MAAM,EAAE,WAAW,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,oBAAoB,CAAC;AAK3E,yDAAyD;AACzD,wBAAgB,OAAO,CAAC,GAAG,SAAK,GAAG,IAAI,CAAC,KAAK,EAAE,KAAK,CAAC,CAEpD;AAED,2CAA2C;AAC3C,wBAAgB,GAAG,CAAC,GAAG,EAAE,MAAM,EAAE,GAAG,SAAK,GAAG,KAAK,EAAE,CAElD;AAED,2FAA2F;AAC3F,wBAAgB,OAAO,CACrB,KAAK,EAAE,WAAW,EAClB,GAAG,EAAE,MAAM,EACX,KAAK,EAAE,KAAK,EACZ,GAAG,EAAE,MAAM,GAAG,IAAI,GACjB,KAAK,CAKP;AAED,iCAAiC;AACjC,wBAAgB,OAAO,CAAC,GAAG,SAAI,GAAG,IAAI,CAAC,KAAK,EAAE,KAAK,CAAC,CAEnD;AAED,2CAA2C;AAC3C,wBAAgB,GAAG,CAAC,GAAG,EAAE,MAAM,EAAE,GAAG,SAAI,GAAG,KAAK,EAAE,CAEjD;AAED;;;;;;;GAOG;AACH,wBAAgB,OAAO,CACrB,KAAK,EAAE,WAAW,EAClB,GAAG,EAAE,MAAM,EACX,KAAK,EAAE,KAAK,EACZ,GAAG,EAAE,MAAM,GAAG,IAAI,GACjB,KAAK,CAUP;AAED,iCAAiC;AACjC,wBAAgB,OAAO,CAAC,GAAG,SAAI,GAAG,IAAI,CAAC,KAAK,EAAE,KAAK,CAAC,CAEnD;AAED,2CAA2C;AAC3C,wBAAgB,GAAG,CAAC,GAAG,EAAE,MAAM,EAAE,GAAG,SAAI,GAAG,KAAK,EAAE,CAEjD;AAED;;;;;;;;GAQG;AACH,wBAAgB,QAAQ,CACtB,KAAK,EAAE,WAAW,EAClB,GAAG,EAAE,MAAM,EACX,KAAK,EAAE,KAAK,EACZ,GAAG,EAAE,MAAM,GAAG,IAAI,GACjB,KAAK,CAOP;AAED,kCAAkC;AAClC,wBAAgB,QAAQ,CAAC,GAAG,SAAK,GAAG,IAAI,CAAC,KAAK,EAAE,KAAK,CAAC,CAErD;AAED,4CAA4C;AAC5C,wBAAgB,IAAI,CAAC,GAAG,EAAE,MAAM,EAAE,GAAG,SAAK,GAAG,KAAK,EAAE,CAEnD;AAED;;;;;;;GAOG;AACH,wBAAgB,OAAO,CACrB,KAAK,EAAE,WAAW,EAClB,GAAG,EAAE,MAAM,EACX,KAAK,EAAE,KAAK,EACZ,OAAO,EAAE,MAAM,GAAG,IAAI,EACtB,QAAQ,EAAE,MAAM,GAAG,IAAI,GACtB,KAAK,CAiBP;AAED,+CAA+C;AAC/C,wBAAgB,OAAO,CAAC,OAAO,SAAK,EAAE,QAAQ,SAAK,GAAG,IAAI,CAAC,KAAK,EAAE,KAAK,CAAC,CAEvE;AAED,yDAAyD;AACzD,wBAAgB,GAAG,CAAC,GAAG,EAAE,MAAM,EAAE,OAAO,SAAK,EAAE,QAAQ,SAAK,GAAG,KAAK,EAAE,CAErE;AAED;;;;;;;;;GASG;AACH,wBAAgB,OAAO,CACrB,KAAK,EAAE,WAAW,EAClB,GAAG,EAAE,MAAM,EACX,KAAK,EAAE,KAAK,EACZ,GAAG,EAAE,MAAM,GAAG,IAAI,GACjB,KAAK,CAMP;AAED,iCAAiC;AACjC,wBAAgB,OAAO,CAAC,GAAG,SAAK,GAAG,IAAI,CAAC,KAAK,EAAE,KAAK,CAAC,CAEpD;AAED,2CAA2C;AAC3C,wBAAgB,GAAG,CAAC,GAAG,EAAE,MAAM,EAAE,GAAG,SAAK,GAAG,KAAK,EAAE,CAElD"}
@@ -0,0 +1,134 @@
1
+ import { NONE, fold, isPresent, result, tailOf } from '../values/index.js';
2
+ import { emaStep, smaStep } from '../averages/index.js';
3
+ import { changeStep, changeTail, historyStep, sumStep } from '../series/index.js';
4
+ /** `mom(src, len)`: `src - src[len]`, from bar `len`. */
5
+ export function momTail(len = 10) {
6
+ return changeTail(len);
7
+ }
8
+ /** `mom(src, len)` over a whole series. */
9
+ export function mom(src, len = 10) {
10
+ return fold(momTail(len), src);
11
+ }
12
+ /** `roc(src, len)`: the same change as a percentage of the older value, from bar `len`. */
13
+ export function rocStep(state, key, value, len) {
14
+ const then = historyStep(state, `${key}h`, value, len);
15
+ const delta = changeStep(state, `${key}c`, value, len);
16
+ if (!isPresent(then) || !isPresent(delta) || then === 0)
17
+ return NONE;
18
+ return result((100 * delta) / then);
19
+ }
20
+ /** `roc(src, len)` as a tail. */
21
+ export function rocTail(len = 9) {
22
+ return tailOf((state, value) => rocStep(state, '', value, len));
23
+ }
24
+ /** `roc(src, len)` over a whole series. */
25
+ export function roc(src, len = 9) {
26
+ return fold(rocTail(len), src);
27
+ }
28
+ /**
29
+ * `cmo(src, len)`: up sum less down sum over their total, -100 to 100, from bar
30
+ * `len`.
31
+ *
32
+ * Unsmoothed, which is the whole point of it: the sums are taken over the
33
+ * lookback outright rather than through an average, so a turn shows on the bar it
34
+ * happens.
35
+ */
36
+ export function cmoStep(state, key, value, len) {
37
+ const delta = changeStep(state, `${key}c`, value, 1);
38
+ const up = isPresent(delta) ? result(Math.max(delta, 0)) : NONE;
39
+ const down = isPresent(delta) ? result(Math.max(-delta, 0)) : NONE;
40
+ const rise = sumStep(state, `${key}u`, up, len);
41
+ const fall = sumStep(state, `${key}d`, down, len);
42
+ if (!isPresent(rise) || !isPresent(fall))
43
+ return NONE;
44
+ const total = rise + fall;
45
+ if (total === 0)
46
+ return NONE;
47
+ return result((100 * (rise - fall)) / total);
48
+ }
49
+ /** `cmo(src, len)` as a tail. */
50
+ export function cmoTail(len = 9) {
51
+ return tailOf((state, value) => cmoStep(state, '', value, len));
52
+ }
53
+ /** `cmo(src, len)` over a whole series. */
54
+ export function cmo(src, len = 9) {
55
+ return fold(cmoTail(len), src);
56
+ }
57
+ /**
58
+ * `trix(src, len)`: the rate of change of a triple exponential mean, from bar
59
+ * `3 * len - 2`.
60
+ *
61
+ * `stdlib.md` section 5 says rate of change, so this is the percentage change
62
+ * of the smoothed series over one bar. The other reading in circulation takes
63
+ * the change of the logarithm of the average instead; it is a different number
64
+ * and it is not what the entry describes.
65
+ */
66
+ export function trixStep(state, key, value, len) {
67
+ const once = emaStep(state, `${key}a`, value, len);
68
+ const twice = emaStep(state, `${key}b`, once, len);
69
+ const smoothed = emaStep(state, `${key}c`, twice, len);
70
+ const before = historyStep(state, `${key}h`, smoothed, 1);
71
+ if (!isPresent(smoothed) || !isPresent(before) || before === 0)
72
+ return NONE;
73
+ return result((100 * (smoothed - before)) / before);
74
+ }
75
+ /** `trix(src, len)` as a tail. */
76
+ export function trixTail(len = 18) {
77
+ return tailOf((state, value) => trixStep(state, '', value, len));
78
+ }
79
+ /** `trix(src, len)` over a whole series. */
80
+ export function trix(src, len = 18) {
81
+ return fold(trixTail(len), src);
82
+ }
83
+ /**
84
+ * `tsi(src, longLen, shortLen)`: double smoothed momentum, from bar
85
+ * `longLen + shortLen - 1`.
86
+ *
87
+ * The change smoothed twice, over the size of the change smoothed the same way
88
+ * twice, so the result is a direction rather than a magnitude and the noise
89
+ * `mom` carries is gone.
90
+ */
91
+ export function tsiStep(state, key, value, longLen, shortLen) {
92
+ const delta = changeStep(state, `${key}c`, value, 1);
93
+ const size = isPresent(delta) ? result(Math.abs(delta)) : NONE;
94
+ const direction = emaStep(state, `${key}n`, emaStep(state, `${key}m`, delta, longLen), shortLen);
95
+ const magnitude = emaStep(state, `${key}z`, emaStep(state, `${key}y`, size, longLen), shortLen);
96
+ if (!isPresent(direction) || !isPresent(magnitude) || magnitude === 0)
97
+ return NONE;
98
+ return result((100 * direction) / magnitude);
99
+ }
100
+ /** `tsi(src, longLen, shortLen)` as a tail. */
101
+ export function tsiTail(longLen = 25, shortLen = 13) {
102
+ return tailOf((state, value) => tsiStep(state, '', value, longLen, shortLen));
103
+ }
104
+ /** `tsi(src, longLen, shortLen)` over a whole series. */
105
+ export function tsi(src, longLen = 25, shortLen = 13) {
106
+ return fold(tsiTail(longLen, shortLen), src);
107
+ }
108
+ /**
109
+ * `dpo(src, len)`: price with its displaced mean removed, from bar
110
+ * `len + floor(len / 2)`.
111
+ *
112
+ * The mean is read `floor(len / 2) + 1` bars back rather than at this bar,
113
+ * which is what "displaced" means here and what the declared warmup requires:
114
+ * the average's own first value at bar `len - 1`, plus the displacement, is
115
+ * exactly `len + floor(len / 2)`. Removing an undisplaced mean would be a
116
+ * different study with a warmup of `len - 1`.
117
+ */
118
+ export function dpoStep(state, key, value, len) {
119
+ const average = smaStep(state, `${key}q`, value, len);
120
+ const back = len === null ? null : Math.floor(len / 2) + 1;
121
+ const mean = historyStep(state, `${key}h`, average, back);
122
+ if (!isPresent(value) || !isPresent(mean))
123
+ return NONE;
124
+ return result(value - mean);
125
+ }
126
+ /** `dpo(src, len)` as a tail. */
127
+ export function dpoTail(len = 21) {
128
+ return tailOf((state, value) => dpoStep(state, '', value, len));
129
+ }
130
+ /** `dpo(src, len)` over a whole series. */
131
+ export function dpo(src, len = 21) {
132
+ return fold(dpoTail(len), src);
133
+ }
134
+ //# sourceMappingURL=rates.js.map
@@ -0,0 +1 @@
1
+ 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@@ -0,0 +1,21 @@
1
+ /**
2
+ * `rsi(src, len)`.
3
+ *
4
+ * **The first value is at bar `len`, not at bar `len - 1`.** `rsi` needs `len`
5
+ * changes and a change needs two bars, so the smoothing's lookback is bars 1 to
6
+ * `len`. `stdlib.md` section 5 states this warmup rather than leaving a reader
7
+ * to work it out, and every entry in that section which consumes changes rather
8
+ * than levels carries the same extra bar.
9
+ *
10
+ * The smoothing is `rma`, seeded with the simple average of the first `len`
11
+ * changes, which is what makes this the classic reading rather than one of the
12
+ * several averages that also produce a number between 0 and 100.
13
+ */
14
+ import type { Series, StateRecord, Tail, Value } from '../values/index.js';
15
+ /** `rsi(src, len)`: from bar `len`. */
16
+ export declare function rsiStep(state: StateRecord, key: string, value: Value, len: number | null): Value;
17
+ /** `rsi(src, len)` as a tail. */
18
+ export declare function rsiTail(len?: number): Tail<Value, Value>;
19
+ /** `rsi(src, len)` over a whole series. */
20
+ export declare function rsi(src: Series, len?: number): Value[];
21
+ //# sourceMappingURL=rsi.d.ts.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"rsi.d.ts","sourceRoot":"","sources":["../../../../src/core/stdlib/momentum/rsi.ts"],"names":[],"mappings":"AAAA;;;;;;;;;;;;GAYG;AACH,OAAO,KAAK,EAAE,MAAM,EAAE,WAAW,EAAE,IAAI,EAAE,KAAK,EAAE,MAAM,oBAAoB,CAAC;AAK3E,uCAAuC;AACvC,wBAAgB,OAAO,CACrB,KAAK,EAAE,WAAW,EAClB,GAAG,EAAE,MAAM,EACX,KAAK,EAAE,KAAK,EACZ,GAAG,EAAE,MAAM,GAAG,IAAI,GACjB,KAAK,CAcP;AAED,iCAAiC;AACjC,wBAAgB,OAAO,CAAC,GAAG,SAAK,GAAG,IAAI,CAAC,KAAK,EAAE,KAAK,CAAC,CAEpD;AAED,2CAA2C;AAC3C,wBAAgB,GAAG,CAAC,GAAG,EAAE,MAAM,EAAE,GAAG,SAAK,GAAG,KAAK,EAAE,CAElD"}
@@ -0,0 +1,30 @@
1
+ import { NONE, fold, isPresent, result, tailOf } from '../values/index.js';
2
+ import { rmaStep } from '../averages/index.js';
3
+ import { changeStep } from '../series/index.js';
4
+ /** `rsi(src, len)`: from bar `len`. */
5
+ export function rsiStep(state, key, value, len) {
6
+ const delta = changeStep(state, `${key}c`, value, 1);
7
+ const up = isPresent(delta) ? result(Math.max(delta, 0)) : NONE;
8
+ const down = isPresent(delta) ? result(Math.max(-delta, 0)) : NONE;
9
+ const averageUp = rmaStep(state, `${key}u`, up, len);
10
+ const averageDown = rmaStep(state, `${key}d`, down, len);
11
+ if (!isPresent(averageUp) || !isPresent(averageDown))
12
+ return NONE;
13
+ // No down bar in the lookback is the top of the scale. This also catches a
14
+ // lookback that never moved at all, where both averages are zero and the
15
+ // ratio has no value; every reference implementation reads 100 there, and
16
+ // disagreeing with all of them on a flat lookback would be a worse answer
17
+ // than the one they give.
18
+ if (averageDown === 0)
19
+ return 100;
20
+ return result(100 - 100 / (1 + averageUp / averageDown));
21
+ }
22
+ /** `rsi(src, len)` as a tail. */
23
+ export function rsiTail(len = 14) {
24
+ return tailOf((state, value) => rsiStep(state, '', value, len));
25
+ }
26
+ /** `rsi(src, len)` over a whole series. */
27
+ export function rsi(src, len = 14) {
28
+ return fold(rsiTail(len), src);
29
+ }
30
+ //# sourceMappingURL=rsi.js.map
@@ -0,0 +1 @@
1
+ {"version":3,"file":"rsi.js","sourceRoot":"","sources":["../../../../src/core/stdlib/momentum/rsi.ts"],"names":[],"mappings":"AAcA,OAAO,EAAE,IAAI,EAAE,IAAI,EAAE,SAAS,EAAE,MAAM,EAAE,MAAM,EAAE,MAAM,oBAAoB,CAAC;AAC3E,OAAO,EAAE,OAAO,EAAE,MAAM,sBAAsB,CAAC;AAC/C,OAAO,EAAE,UAAU,EAAE,MAAM,oBAAoB,CAAC;AAEhD,uCAAuC;AACvC,MAAM,UAAU,OAAO,CACrB,KAAkB,EAClB,GAAW,EACX,KAAY,EACZ,GAAkB;IAElB,MAAM,KAAK,GAAG,UAAU,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,KAAK,EAAE,CAAC,CAAC,CAAC;IACrD,MAAM,EAAE,GAAG,SAAS,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,IAAI,CAAC,GAAG,CAAC,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;IAChE,MAAM,IAAI,GAAG,SAAS,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,MAAM,CAAC,IAAI,CAAC,GAAG,CAAC,CAAC,KAAK,EAAE,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,IAAI,CAAC;IACnE,MAAM,SAAS,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,EAAE,EAAE,GAAG,CAAC,CAAC;IACrD,MAAM,WAAW,GAAG,OAAO,CAAC,KAAK,EAAE,GAAG,GAAG,GAAG,EAAE,IAAI,EAAE,GAAG,CAAC,CAAC;IACzD,IAAI,CAAC,SAAS,CAAC,SAAS,CAAC,IAAI,CAAC,SAAS,CAAC,WAAW,CAAC;QAAE,OAAO,IAAI,CAAC;IAClE,2EAA2E;IAC3E,yEAAyE;IACzE,0EAA0E;IAC1E,0EAA0E;IAC1E,0BAA0B;IAC1B,IAAI,WAAW,KAAK,CAAC;QAAE,OAAO,GAAG,CAAC;IAClC,OAAO,MAAM,CAAC,GAAG,GAAG,GAAG,GAAG,CAAC,CAAC,GAAG,SAAS,GAAG,WAAW,CAAC,CAAC,CAAC;AAC3D,CAAC;AAED,iCAAiC;AACjC,MAAM,UAAU,OAAO,CAAC,GAAG,GAAG,EAAE;IAC9B,OAAO,MAAM,CAAC,CAAC,KAAK,EAAE,KAAY,EAAE,EAAE,CAAC,OAAO,CAAC,KAAK,EAAE,EAAE,EAAE,KAAK,EAAE,GAAG,CAAC,CAAC,CAAC;AACzE,CAAC;AAED,2CAA2C;AAC3C,MAAM,UAAU,GAAG,CAAC,GAAW,EAAE,GAAG,GAAG,EAAE;IACvC,OAAO,IAAI,CAAC,OAAO,CAAC,GAAG,CAAC,EAAE,GAAG,CAAC,CAAC;AACjC,CAAC"}
@@ -0,0 +1,44 @@
1
+ /**
2
+ * Where a value sits inside a lookback's range: `stoch`, `stochRsi` and
3
+ * `williamsR`.
4
+ *
5
+ * All three are the same test with different sources and different scales.
6
+ * They are written once, as `position`, so the three cannot drift apart.
7
+ */
8
+ import type { Bar, Series, StateRecord, Tail, Value } from '../values/index.js';
9
+ /**
10
+ * `stoch(len, smoothK, smoothD)`: `[k, d]`, element 0 from bar
11
+ * `len + smoothK - 2` and element 1 from bar `len + smoothK + smoothD - 3`.
12
+ *
13
+ * The close against the lookback's outright high and low, which are the bars'
14
+ * highs and lows and not the close's own extremes.
15
+ */
16
+ export declare function stochStep(state: StateRecord, key: string, bar: Bar, len: number | null, smoothK: number | null, smoothD: number | null): Value[];
17
+ /** `stoch(len, smoothK, smoothD)` as a tail. */
18
+ export declare function stochTail(len?: number, smoothK?: number, smoothD?: number): Tail<Bar, Value[]>;
19
+ /** `stoch(len, smoothK, smoothD)` over a run of bars. */
20
+ export declare function stoch(bars: readonly Bar[], len?: number, smoothK?: number, smoothD?: number): Value[][];
21
+ /**
22
+ * `stochRsi(src, rsiLen, stochLen, smoothK, smoothD)`: `[k, d]`, element 0 from
23
+ * bar `rsiLen + stochLen + smoothK - 2`.
24
+ *
25
+ * The same position test applied to `rsi` rather than to price, so the lookback
26
+ * is the range the strength reading itself covered.
27
+ */
28
+ export declare function stochRsiStep(state: StateRecord, key: string, value: Value, rsiLen: number | null, stochLen: number | null, smoothK: number | null, smoothD: number | null): Value[];
29
+ /** `stochRsi(src, rsiLen, stochLen, smoothK, smoothD)` as a tail. */
30
+ export declare function stochRsiTail(rsiLen?: number, stochLen?: number, smoothK?: number, smoothD?: number): Tail<Value, Value[]>;
31
+ /** `stochRsi(src, rsiLen, stochLen, smoothK, smoothD)` over a whole series. */
32
+ export declare function stochRsi(src: Series, rsiLen?: number, stochLen?: number, smoothK?: number, smoothD?: number): Value[][];
33
+ /**
34
+ * `williamsR(len)`: the same position scaled 0 to -100, from bar `len - 1`.
35
+ *
36
+ * Zero at the top of the range and -100 at the bottom, which is the sign
37
+ * convention the reading has always carried.
38
+ */
39
+ export declare function williamsRStep(state: StateRecord, key: string, bar: Bar, len: number | null): Value;
40
+ /** `williamsR(len)` as a tail. */
41
+ export declare function williamsRTail(len?: number): Tail<Bar, Value>;
42
+ /** `williamsR(len)` over a run of bars. */
43
+ export declare function williamsR(bars: readonly Bar[], len?: number): Value[];
44
+ //# sourceMappingURL=stochastic.d.ts.map
@@ -0,0 +1 @@
1
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