openalgo-script 0.1.0-alpha.1 → 0.4.0

package/src/core/check/library-series.ts

@@ -0,0 +1,457 @@
+/**
+ * The part of the library that computes: `stdlib.md` sections 4 to 11 and the
+ * array operations of `language.md` 14.1.
+ *
+ * Every entry carries the warmup its row in `stdlib.md` states. Where the
+ * formula there is longer than the shape this module can hold, the entry is
+ * marked inexact and the checker reports a floor rather than a number, because
+ * a warmup that is stated exactly and is wrong would be worse than one that
+ * says it is a bound. `atLeastLength` is that mark.
+ */
+import {
+  DATA_DRIVEN,
+  TOTAL,
+  atLeastLength,
+  delayBars,
+  entry,
+  fromLength,
+  fromLengths,
+  wholeRange,
+} from './library.js';
+import type { LibraryEntry, WarmupRule } from './library.js';
+
+const stateful = { stateful: true } as const;
+
+/**
+ * `[gap, signal, histogram]`, which two entries return on the same terms.
+ *
+ * The gap is there once the slower mean is, and the signal and the histogram
+ * wait for the mean of the gap: `slow + signal - 2`, the bar `stdlib.md` states
+ * for both of them.
+ */
+const GAP_AND_SIGNAL: readonly WarmupRule[] = [
+  fromLength('slow', -1),
+  fromLengths(['slow', 'signal'], -2),
+  fromLengths(['slow', 'signal'], -2),
+];
+
+/** The three colour channels of stdlib.md 11.2, which are whole 0 to 255. */
+const CHANNELS = { r: wholeRange(0, 255), g: wholeRange(0, 255), b: wholeRange(0, 255) };
+
+const trend: readonly LibraryEntry[] = [
+  entry('sma(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('ema(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('wma(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('rma(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('hma(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: atLeastLength(['len'], -2),
+  }),
+  entry('dema(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -2, 2),
+  }),
+  entry('tema(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -3, 3),
+  }),
+  entry('vwma(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('swma(src: series number) -> series number', { ...stateful, warmup: delayBars(3) }),
+  entry(
+    'alma(src: series number, len: number, offset?: number = 0.85, sigma?: number = 6) -> series number',
+    { ...stateful, warmup: fromLength('len', -1) },
+  ),
+  entry('linreg(src: series number, len: number, offset?: number = 0) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('ma(src: series number, len: number, type?: string = "sma") -> series number', {
+    ...stateful,
+    warmup: atLeastLength(['len'], -1),
+    values: { type: ['sma', 'ema', 'wma', 'rma', 'hma', 'vwma'] },
+  }),
+  entry('supertrend(factor?: number = 3, atrLen?: number = 10) -> array<number>', {
+    ...stateful,
+    warmup: fromLength('atrLen', 0),
+  }),
+  entry('psar(start?: number = 0.02, step?: number = 0.02, max?: number = 0.2) -> array<number>', {
+    ...stateful,
+    warmup: delayBars(1),
+  }),
+  entry('adx(diLen?: number = 14, adxLen?: number = 14) -> array<number>', {
+    ...stateful,
+    warmup: atLeastLength(['diLen'], 0),
+    elements: [
+      fromLengths(['diLen', 'adxLen'], -1),
+      fromLength('diLen', 0),
+      fromLength('diLen', 0),
+    ],
+  }),
+  entry('aroon(len?: number = 14) -> array<number>', { ...stateful, warmup: fromLength('len', 0) }),
+  entry('ichimoku(convLen?: number = 9, baseLen?: number = 26, spanLen?: number = 52) -> array<number>', {
+    ...stateful,
+    warmup: atLeastLength(['convLen'], -1),
+    elements: [
+      fromLength('convLen', -1),
+      fromLength('baseLen', -1),
+      fromLength('baseLen', -1),
+      fromLength('spanLen', -1),
+      fromLength('baseLen', -1),
+    ],
+  }),
+  entry('kama(src: series number, len: number, fast?: number = 2, slow?: number = 30) -> series number', {
+    planned: true,
+  }),
+  entry('zlema(src: series number, len: number) -> series number', { planned: true }),
+  entry('vidya(src: series number, len: number) -> series number', { planned: true }),
+  entry('zigzag(src: series number, deviation: number) -> array<number>', { planned: true }),
+];
+
+const momentum: readonly LibraryEntry[] = [
+  entry('rsi(src: series number, len?: number = 14) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', 0),
+  }),
+  entry('stoch(len?: number = 14, smoothK?: number = 1, smoothD?: number = 3) -> array<number>', {
+    ...stateful,
+    warmup: atLeastLength(['len', 'smoothK'], -2),
+    elements: [
+      fromLengths(['len', 'smoothK'], -2),
+      fromLengths(['len', 'smoothK', 'smoothD'], -3),
+    ],
+  }),
+  entry(
+    'stochRsi(src: series number, rsiLen?: number = 14, stochLen?: number = 14, smoothK?: number = 3, smoothD?: number = 3) -> array<number>',
+    {
+      ...stateful,
+      warmup: atLeastLength(['rsiLen', 'stochLen', 'smoothK'], -2),
+      // One element and not two: `stdlib.md` states the bar for element 0 and
+      // not for the line smoothed out of it, and element 1 takes the entry's
+      // own floor rather than a formula nobody wrote down.
+      elements: [fromLengths(['rsiLen', 'stochLen', 'smoothK'], -2)],
+    },
+  ),
+  entry(
+    'macd(src: series number, fast?: number = 12, slow?: number = 26, signal?: number = 9) -> array<number>',
+    { ...stateful, warmup: fromLength('slow', -1), elements: GAP_AND_SIGNAL },
+  ),
+  entry(
+    'ppo(src: series number, fast?: number = 12, slow?: number = 26, signal?: number = 9) -> array<number>',
+    { ...stateful, warmup: fromLength('slow', -1), elements: GAP_AND_SIGNAL },
+  ),
+  entry('cci(len?: number = 20) -> series number', { ...stateful, warmup: fromLength('len', -1) }),
+  entry('mom(src: series number, len?: number = 10) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', 0),
+  }),
+  entry('roc(src: series number, len?: number = 9) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', 0),
+  }),
+  entry('williamsR(len?: number = 14) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('tsi(src: series number, longLen?: number = 25, shortLen?: number = 13) -> series number', {
+    ...stateful,
+    warmup: atLeastLength(['longLen', 'shortLen'], -1),
+  }),
+  entry('trix(src: series number, len?: number = 18) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -2, 3),
+  }),
+  entry('cmo(src: series number, len?: number = 9) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', 0),
+  }),
+  entry('dpo(src: series number, len?: number = 21) -> series number', {
+    ...stateful,
+    warmup: atLeastLength(['len'], 0),
+  }),
+  entry('ultimateOsc(len1?: number = 7, len2?: number = 14, len3?: number = 28) -> series number', {
+    ...stateful,
+    warmup: atLeastLength(['len1'], 0),
+  }),
+  entry('awesomeOsc(fast?: number = 5, slow?: number = 34) -> series number', {
+    ...stateful,
+    warmup: fromLength('slow', -1),
+  }),
+  entry('fisher(len?: number = 9) -> array<number>', { planned: true }),
+  entry('rvi(src: series number, len?: number = 10) -> array<number>', { planned: true }),
+  entry(
+    'coppock(src: series number, roc1?: number = 14, roc2?: number = 11, wmaLen?: number = 10) -> series number',
+    { planned: true },
+  ),
+];
+
+const volatility: readonly LibraryEntry[] = [
+  entry('trueRange() -> series number'),
+  entry('atr(len?: number = 14) -> series number', { ...stateful, warmup: fromLength('len', -1) }),
+  entry('natr(len?: number = 14) -> series number', { ...stateful, warmup: fromLength('len', -1) }),
+  entry('stdev(src: series number, len: number, sample?: bool = false) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('variance(src: series number, len: number, sample?: bool = false) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('bollinger(src: series number, len?: number = 20, mult?: number = 2) -> array<number>', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('bbWidth(src: series number, len?: number = 20, mult?: number = 2) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('bbPercent(src: series number, len?: number = 20, mult?: number = 2) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry(
+    'keltner(len?: number = 20, mult?: number = 2, atrLen?: number = 10, maType?: string = "ema") -> array<number>',
+    { ...stateful, warmup: atLeastLength(['len'], -1) },
+  ),
+  entry('donchian(len?: number = 20) -> array<number>', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('chop(len?: number = 14) -> series number', { ...stateful, warmup: fromLength('len', 0) }),
+  entry('hv(src: series number, len?: number = 20, periodsPerYear?: number = 252) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', 0),
+  }),
+  entry('massIndex(len?: number = 25) -> series number', { planned: true }),
+];
+
+const volume: readonly LibraryEntry[] = [
+  entry('vwap(src?: series number = hlc3) -> series number', { ...stateful, warmup: DATA_DRIVEN }),
+  entry('vwapAnchor(src: series number, resetWhen: series bool) -> series number', {
+    ...stateful,
+    warmup: DATA_DRIVEN,
+  }),
+  entry('obv() -> series number', stateful),
+  entry('ad() -> series number', stateful),
+  entry('adOsc(fast?: number = 3, slow?: number = 10) -> series number', {
+    ...stateful,
+    warmup: fromLength('slow', -1),
+  }),
+  entry('mfi(len?: number = 14) -> series number', { ...stateful, warmup: fromLength('len', 0) }),
+  entry('cmf(len?: number = 20) -> series number', { ...stateful, warmup: fromLength('len', -1) }),
+  entry('pvt() -> series number', { ...stateful, warmup: delayBars(1) }),
+  entry('eom(len?: number = 14) -> series number', { ...stateful, warmup: fromLength('len', 0) }),
+  entry('forceIndex(len?: number = 13) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', 0),
+  }),
+  entry('relativeVolume(len?: number = 20) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('nvi() -> series number', { planned: true }),
+  entry('pvi() -> series number', { planned: true }),
+  entry('klinger(fast?: number = 34, slow?: number = 55, signal?: number = 13) -> array<number>', {
+    planned: true,
+  }),
+  entry('volumeProfile(rows?: number = 24, from?: number = none) -> array<number>', { planned: true }),
+  entry('cvd() -> series number', { planned: true }),
+];
+
+const helpers: readonly LibraryEntry[] = [
+  entry('highest(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('lowest(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('highestBars(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('lowestBars(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('change(src: series number) -> series number', { ...stateful, warmup: delayBars(1) }),
+  entry('change(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', 0),
+  }),
+  entry('rising(src: series number, len: number) -> series bool', {
+    ...stateful,
+    warmup: fromLength('len', 0),
+  }),
+  entry('falling(src: series number, len: number) -> series bool', {
+    ...stateful,
+    warmup: fromLength('len', 0),
+  }),
+  entry('crossUp(a: series number, b: series number) -> series bool', {
+    ...stateful,
+    warmup: delayBars(1),
+  }),
+  entry('crossDown(a: series number, b: series number) -> series bool', {
+    ...stateful,
+    warmup: delayBars(1),
+  }),
+  entry('cross(a: series number, b: series number) -> series bool', {
+    ...stateful,
+    warmup: delayBars(1),
+  }),
+  entry('barsSince(cond: series bool) -> series number', { ...stateful, warmup: DATA_DRIVEN }),
+  entry('valueWhen(cond: series bool, src: T, occurrence?: number = 0) -> T', {
+    ...stateful,
+    warmup: DATA_DRIVEN,
+  }),
+  entry('cum(src: series number) -> series number', stateful),
+  entry('sum(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('count(cond: series bool, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('sumSkip(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('avgSkip(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('countPresent(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('history(src: T, n: number) -> T', { ...stateful, warmup: fromLength('n', 0) }),
+  entry('pivotHigh(src: series number, left: number, right: number) -> series number', {
+    ...stateful,
+    warmup: fromLengths(['left', 'right'], 0),
+  }),
+  entry('pivotLow(src: series number, left: number, right: number) -> series number', {
+    ...stateful,
+    warmup: fromLengths(['left', 'right'], 0),
+  }),
+  entry('median(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('percentile(src: series number, len: number, p: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('percentRank(src: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('correlation(a: series number, b: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+  entry('covariance(a: series number, b: series number, len: number) -> series number', {
+    ...stateful,
+    warmup: fromLength('len', -1),
+  }),
+];
+
+const maths: readonly LibraryEntry[] = [
+  entry('abs(x: number) -> number'),
+  entry('sign(x: number) -> number'),
+  entry('min(a: number, b: number) -> number'),
+  entry('max(a: number, b: number) -> number'),
+  entry('clamp(x: number, lo: number, hi: number) -> number'),
+  entry('floor(x: number) -> number'),
+  entry('ceil(x: number) -> number'),
+  entry('round(x: number) -> number'),
+  entry('round(x: number, decimals: number) -> number'),
+  entry('trunc(x: number) -> number'),
+  entry('roundToStep(x: number, step: number) -> number'),
+  entry('roundToTick(price: number) -> number'),
+  entry('sqrt(x: number) -> number'),
+  entry('pow(x: number, y: number) -> number'),
+  entry('exp(x: number) -> number'),
+  entry('log(x: number) -> number'),
+  entry('log10(x: number) -> number'),
+  entry('mod(a: number, b: number) -> number'),
+  entry('isNone(x: any) -> bool', { warmup: TOTAL }),
+  entry('orElse(x: T, fallback: T) -> T', {
+    warmup: { kind: 'either', params: ['x', 'fallback'] },
+  }),
+  // The three conversions. Two of them are spelled `to` and the type because
+  // `bool` and `number` are reserved words: a call has a name in front of it,
+  // a reserved word is not one, and a library that published those two spellings
+  // published two names no script could ever write. `text` is not the odd one
+  // out: `text` is not a type name either, the type is `string`, and the same
+  // call is the formatter as well (`text(x, 2)`), so it never collided and it
+  // keeps the name every script already writes.
+  entry('toBool(x: any) -> bool', { warmup: TOTAL }),
+  entry('text(x: any) -> string'),
+  entry('text(x: number, decimals: number) -> string'),
+  entry('toNumber(s: string) -> number'),
+];
+
+const colour: readonly LibraryEntry[] = [
+  entry('rgb(r: number, g: number, b: number) -> color', { whole: CHANNELS }),
+  entry('rgba(r: number, g: number, b: number, a: number) -> color', { whole: CHANNELS }),
+  entry('fade(color: color, percent: number) -> color'),
+  entry('mix(a: color, b: color, weight: number) -> color'),
+  entry('alpha(color: color) -> number'),
+  entry('withAlpha(color: color, a: number) -> color'),
+  entry('hsl(h: number, s: number, l: number) -> color', { planned: true }),
+  entry(
+    'gradient(value: number, from: number, to: number, colorFrom: color, colorTo: color) -> color',
+    { planned: true },
+  ),
+];
+
+const arrays: readonly LibraryEntry[] = [
+  entry('size(arr: array<E>) -> number'),
+  entry('element(arr: array<E>, i: number) -> E'),
+  entry('set(arr: array<E>, i: number, v: E) -> nothing'),
+  entry('push(arr: array<E>, v: E) -> nothing'),
+  entry('pop(arr: array<E>) -> E'),
+  entry('shift(arr: array<E>) -> E'),
+  entry('unshift(arr: array<E>, v: E) -> nothing'),
+  entry('insert(arr: array<E>, i: number, v: E) -> nothing'),
+  entry('remove(arr: array<E>, i: number) -> E'),
+  entry('clear(arr: array<E>) -> nothing'),
+  entry('slice(arr: array<E>, from: number, to: number) -> array<E>'),
+  entry('copy(arr: array<E>) -> array<E>'),
+  entry('indexOf(arr: array<E>, v: E) -> number'),
+  entry('arrayEqual(a: array<E>, b: array<E>) -> bool'),
+  entry('sort(arr: array<E>, order: string) -> nothing', { values: { order: ['asc', 'desc'] } }),
+  entry('reverse(arr: array<E>) -> nothing'),
+  entry('sum(arr: array<number>) -> number'),
+  entry('avg(arr: array<number>) -> number'),
+  entry('min(arr: array<number>) -> number'),
+  entry('max(arr: array<number>) -> number'),
+  entry('stdev(arr: array<number>) -> number'),
+];
+
+export const SERIES_ENTRIES: readonly LibraryEntry[] = [
+  ...trend,
+  ...momentum,
+  ...volatility,
+  ...volume,
+  ...helpers,
+  ...maths,
+  ...colour,
+  ...arrays,
+];