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

Transducers for statistical / technical analysis

import { sliding } from "@thi.ng/buffers/sliding";
import { illegalArgs } from "@thi.ng/errors/illegal-arguments";
import { compR } from "@thi.ng/transducers/compr";
import { iterator1 } from "@thi.ng/transducers/iterator";
function roc(period, src) {
  if (src) {
    return iterator1(roc(period), src);
  }
  period |= 0;
  period < 1 && illegalArgs("period must be >= 1");
  return (rfn) => {
    const reduce = rfn[2];
    const window = sliding(period);
    return compR(rfn, (acc, x) => {
      if (window.length === period) {
        const prev = window.read();
        acc = reduce(acc, (x - prev) / prev);
      }
      window.write(x);
      return acc;
    });
  };
}
export {
  roc
};