@ldrick/trade-indicators/dist/movements/adx.js

Trade Indicators

import { Big } from 'big.js';
import { apply as AP, either as E, function as F, readonlyNonEmptyArray as RNEA } from 'fp-ts/lib';
import { smmaC } from '../averages/smma.js';
import * as arr from '../utils/array.js';
import * as num from '../utils/number.js';
import * as rec from '../utils/record.js';
import { atrC } from './atr.js';
const compareMovement = (base, comparision) => base.gt(comparision) && base.gt(0) ? base : new Big(0);
const movement = (up, down, move) => move === 'up' ? compareMovement(up, down) : compareMovement(down, up);
const directionalMovement = (values, move) => F.pipe(values.low, arr.tail, E.map(RNEA.mapWithIndex((index, low) => {
    const previous = index;
    const current = index + 1;
    const up = values.high[current].sub(values.high[previous]);
    const down = values.low[previous].sub(low);
    return movement(up, down, move);
})));
const directionalIndex = (values, period, move) => F.pipe(E.bindTo('dm')(directionalMovement(values, move)), E.bind('dividends', ({ dm }) => smmaC(dm, period)), E.bind('divisors', () => atrC(values, period)), E.map(({ dividends, divisors }) => F.pipe(dividends, RNEA.mapWithIndex((index, dividend) => {
    const divisor = divisors[index];
    return divisor.eq(0) ? new Big(0) : dividend.mul(100).div(divisor);
}))));
const calculation = (pdi, mdi) => F.pipe(pdi, RNEA.mapWithIndex((index, plus) => {
    const sum = plus.add(mdi[index]);
    const dividend = plus.sub(mdi[index]).abs();
    return sum.eq(0) ? new Big(0) : dividend.div(sum);
}));
/**
 * The Average Directional Index (ADX) determines trend strength.
 * It also delivers Plus Directional Movement Indicator (PDI)
 * and Minus Directional Movement Indicator (MDI).
 * Crossings of these three values can be used to determine trend changes.
 *
 * @public
 */
export const adx = (values, period = 14) => F.pipe(AP.sequenceS(E.Applicative)({
    periodV: num.validatePositiveInteger(period),
    valuesV: rec.validateRequiredSize(2 * period)(values),
}), E.bind('valuesB', ({ valuesV }) => rec.toBig(valuesV)), E.bind('pdi', ({ valuesB, periodV }) => directionalIndex(valuesB, periodV, 'up')), E.bind('mdi', ({ valuesB, periodV }) => directionalIndex(valuesB, periodV, 'down')), E.bind('smoothed', ({ pdi, mdi, periodV }) => {
    const calculated = calculation(pdi, mdi);
    return smmaC(calculated, periodV);
}), E.map(({ smoothed, pdi, mdi }) => ({
    adx: F.pipe(smoothed, RNEA.map((value) => value.mul(100)), arr.toNumber, arr.fillLeftW(mdi.length, null)),
    mdi: arr.toNumber(mdi),
    pdi: arr.toNumber(pdi),
})));