@thi.ng/transducers-stats/sd.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 sd(...args) {
  const iter = __iter(sd, args);
  if (iter) {
    return iter;
  }
  const period = args[0] || 20;
  const scale = args[1] || 1;
  return comp(
    multiplex(partition(period, 1), sma(period)),
    drop(period - 1),
    map(
      ([window, mean]) => Math.sqrt(mse(window, mean) / period) * scale
    )
  );
}
export {
  sd
};