@thi.ng/transducers-stats/bollinger.js

Transducers for statistical / technical analysis

import { comp } from "@thi.ng/transducers/comp";
import { drop } from "@thi.ng/transducers/drop";
import { __iter } from "@thi.ng/transducers/iterator";
import { map } from "@thi.ng/transducers/map";
import { multiplex } from "@thi.ng/transducers/multiplex";
import { partition } from "@thi.ng/transducers/partition";
import { mse } from "./mse.js";
import { sma } from "./sma.js";
function bollinger(...args) {
  const iter = __iter(bollinger, args);
  if (iter) {
    return iter;
  }
  const period = args[0] || 20;
  const sd = args[1] || 2;
  return comp(
    multiplex(partition(period, 1), sma(period)),
    drop(period - 1),
    map(([window, mean]) => {
      const std = Math.sqrt(mse(window, mean) / period) * sd;
      const min = mean - std;
      const max = mean + std;
      const pb = (window[period - 1] - min) / (max - min);
      return { min, max, mean, pb };
    })
  );
}
export {
  bollinger
};