quant-zero/dist/index.cjs.map

Node-Quant is a powerful Node.js package for developing and testing quantitative trading strategies in cryptocurrency markets, offering tools for backtesting and performance analysis.

{"version":3,"sources":["../src/index.ts","../src/lib/ChartingSystem.ts","../src/lib/Indicator.ts","../src/types.ts","../src/lib/Logger.ts","../src/lib/Strategy.ts","../src/utils/dataInstaller.ts","../src/exchange.ts","../src/utils/parseOHLCV.ts","../src/charting/CandleSticks.ts","../src/charting/HeikenAishi.ts","../src/charting/Renko.ts","../src/utils/generateId.ts","../src/utils/maths/pl.ts","../src/lib/Trade.ts","../src/managers/TradeManager.ts","../src/utils/maths/alpha.ts","../src/utils/maths/beta.ts","../src/utils/maths/covariance.ts","../src/utils/maths/sharpeE.ts","../src/utils/maths/variance.ts","../src/utils/maths/standarddev.ts","../src/utils/getAvgMarketReturn.ts","../src/managers/Report/ReportManager.ts","../src/indicators/index.ts","../src/indicators/EMA.ts","../src/indicators/SMA.ts","../src/indicators/ATR.ts","../src/indicators/RSI.ts","../src/indicators/MACD.ts","../src/indicators/StochRSI.ts","../src/indicators/BB.ts","../src/indicators/IchimokuCloud.ts","../src/indicators/WEMA.ts","../src/indicators/ADX.ts","../src/indicators/VolumeProfile.ts","../src/indicators/VWAP.ts","../src/indicators/ForceIndex.ts"],"sourcesContent":["export * from '@/lib/';\r\nexport * from '@/managers'\r\nexport * as Indicators from '@/indicators'\r\nexport * from '@/types'\r\n","import ta from 'technicalindicators'\r\n\r\nexport class ChartingSystem {\r\n  public transform(rawData: any): ta.CandleList {\r\n    return rawData\r\n  }\r\n}","import { EventEmitter } from 'events'\r\nimport {\r\n  TimelineEventsInterface,\r\n  IndicatorOptions,\r\n  TimelineEvents,\r\n} from '@/types'\r\nimport { OHLCV } from 'ccxt'\r\n\r\nexport class Indicator extends EventEmitter {\r\n  protected data: OHLCV[] = []\r\n  public name: string\r\n  public key: string\r\n  public description: string\r\n\r\n  constructor({ name, key, description }: IndicatorOptions) {\r\n    super()\r\n    this.name = name\r\n    this.key = key\r\n    this.description = description\r\n  }\r\n\r\n  // Provides the first sample of data if not already provided\r\n  public provide(data: OHLCV[]) {\r\n    if (this.data.length === 0 && data.length > 0) {\r\n      this.data = data\r\n      this.emit(TimelineEvents.PROVIDED, this.data)\r\n    }\r\n  }\r\n\r\n  // Feeds new data in\r\n  public feed(data: OHLCV) {\r\n    this.data.push(data)\r\n    this.emit(TimelineEvents.FED, data)\r\n  }\r\n\r\n  // Generates the result\r\n  public generate(): any {\r\n    return null\r\n  }\r\n\r\n  public clear(): void {\r\n    this.data = [];\r\n  }\r\n\r\n  on<K extends keyof TimelineEventsInterface>(\r\n    event: K,\r\n    listener: TimelineEventsInterface[K],\r\n  ): this {\r\n    return super.on(event, listener)\r\n  }\r\n}\r\n","import { Num, OHLCV } from 'ccxt'\r\nimport { ChartingSystem, Indicator, Trade } from '@/lib'\r\nimport { EventEmitter } from 'events'\r\n\r\nexport interface BacktestResults {\r\n  alpha: number\r\n  beta: number\r\n  sharpeE: number\r\n  maxDrawdown: number\r\n  maxProfit: number\r\n  profitFactor: number\r\n  return: number\r\n  percentageProfitable: number\r\n  tradeCount: number\r\n  reportData: {\r\n    trades: Trade[]\r\n    data: DataSource[]\r\n  }\r\n}\r\n\r\nexport interface CandleStickObject {\r\n  open?: Num\r\n  high?: Num\r\n  low?: Num\r\n  close?: Num\r\n  volume?: Num\r\n  timestamp?: Num\r\n}\r\n\r\nexport interface CreateTradeOptions {\r\n  positionType: PositionType\r\n  orderType: OrderType\r\n  size: number\r\n  limitPrice?: number\r\n  leverage?: number\r\n  open?: boolean\r\n  riskOptions?: {\r\n    TP?: number\r\n    SL?: number\r\n  }\r\n}\r\n\r\nexport enum CryptoPair {\r\n  BTCUSDT = 'BTC/USDT',\r\n  ETHUSDT = 'ETH/USDT',\r\n  SOLUSDT = 'SOL/USDT',\r\n  BNBUSDT = 'BNB/USDT',\r\n  LTCUSDT = 'LTC/USDT',\r\n  DOGEUSDT = 'DOGE/USDT',\r\n}\r\n\r\nexport interface IndicatorOptions {\r\n  name: string\r\n  description: string\r\n  key: string\r\n  indicators?: Indicator[]\r\n}\r\n\r\nexport interface SimulationOptions {\r\n  capital?: number\r\n  leverage?: number\r\n  fees?: number\r\n  pair: CryptoPair\r\n}\r\n\r\nexport interface StrategyOptions {\r\n  name: string\r\n  pair: CryptoPair\r\n  dataLength: number\r\n  timeFrame: TimeFrame\r\n  indicators?: Indicator[]\r\n  chartType?: ChartingSystem\r\n  simulationOptions?: SimulationOptions\r\n}\r\n\r\nexport interface TimelineManagerSystem extends EventEmitter {\r\n  key: string\r\n  generate: () => any\r\n  provide: (data: OHLCV[]) => void\r\n  feed: (data: OHLCV) => void\r\n}\r\n\r\nexport interface TimelineProfile {\r\n  key: string\r\n  data: any[]\r\n}\r\n\r\nexport type TimelineEventsInterface = {\r\n  provided: (data: any[]) => any[]\r\n  fed: (data: any) => any\r\n  generated: () => any[]\r\n}\r\n\r\nexport enum TimelineEvents {\r\n  PROVIDED = 'provided',\r\n  FED = 'fed',\r\n  GENERATED = 'generated',\r\n}\r\n\r\nexport enum NumberReturnType {\r\n  RELATIVE = 'relative',\r\n  FIXED = 'fixed',\r\n}\r\n\r\nexport enum OrderType {\r\n  MARKET = 'market',\r\n  LIMIT = 'limit',\r\n  STOP = 'stop',\r\n}\r\n\r\nexport enum PositionType {\r\n  LONG = 'long',\r\n  SHORT = 'short',\r\n}\r\n\r\nexport enum TRADE_KEY {\r\n  ID = 'id',\r\n  isOpen = 'isOpen',\r\n  isClosed = 'isClosed',\r\n  PL = 'PL',\r\n  TP = 'TP',\r\n  SL = 'SL',\r\n  positionSize = 'size',\r\n  leverage = 'leverage',\r\n  drawdown = 'drawdown',\r\n  openPrice = 'openPrice',\r\n  closePrice = 'closePrice',\r\n  fee = 'fee',\r\n  pair = 'pair',\r\n  blockChainTrack = 'blockChainTrack',\r\n  orderType = 'orderType',\r\n  positionType = 'positionType',\r\n  timestamp = 'timestamp',\r\n}\r\n\r\nexport interface TradeData {\r\n  [TRADE_KEY.ID]: string\r\n  [TRADE_KEY.isOpen]: boolean\r\n  [TRADE_KEY.isClosed]: boolean\r\n  [TRADE_KEY.PL]?: number\r\n  [TRADE_KEY.TP]?: number\r\n  [TRADE_KEY.SL]?: number\r\n  [TRADE_KEY.positionSize]: number\r\n  [TRADE_KEY.leverage]: number\r\n  [TRADE_KEY.drawdown]: number\r\n  [TRADE_KEY.openPrice]: undefined\r\n  [TRADE_KEY.closePrice]: undefined\r\n  [TRADE_KEY.fee]?: number\r\n  [TRADE_KEY.blockChainTrack]: number\r\n  [TRADE_KEY.pair]: CryptoPair\r\n  [TRADE_KEY.orderType]: OrderType\r\n  [TRADE_KEY.positionType]: PositionType\r\n  [TRADE_KEY.timestamp]: number\r\n}\r\n\r\nexport interface TradeOptions {\r\n  open?: boolean\r\n  positionSize: number\r\n  leverage?: number\r\n  TP?: number\r\n  SL?: number\r\n  pair: CryptoPair\r\n  orderType: OrderType\r\n  positionType: PositionType\r\n  isLive?: boolean\r\n}\r\n\r\nexport interface DataSource {\r\n  name: string;\r\n  type: DataSourceType\r\n  data: any[]\r\n}\r\n\r\nexport enum DataSourceType {\r\n  PRICE = 'price',\r\n  FACTOR = 'factor',\r\n}\r\n\r\nexport enum TimeFrame {\r\n  SECOND = '1s',\r\n  MINUTE = '1m',\r\n  TWO_MINUTES = '2m',\r\n  THREE_MINUTES = '3m',\r\n  FIVE_MINUTES = '5m',\r\n  TEN_MINUTES = '10m',\r\n  FIFTEEN_MINUTES = '15m',\r\n  THIRTY_MINUTES = '30m',\r\n  FORTY_FIVE_MINUTES = '45m',\r\n  HOUR = '1h',\r\n  TWO_HOURS = '2h',\r\n  THREE_HOURS = '3h',\r\n  FOUR_HOURS = '4h',\r\n  DAY = '1d',\r\n  WEEK = '1w',\r\n  MONTH = '1M',\r\n}\r\n","import chalk from 'chalk'\r\n\r\nexport class Logger {\r\n  public success(payload: string) {\r\n    console.log(chalk.green(payload))\r\n  }\r\n  public debug(payload: any) {\r\n    console.log(payload)\r\n  }\r\n  public info(payload: string) {\r\n    console.log(chalk.cyan(payload))\r\n  }\r\n  public warn(payload: string) {\r\n    console.log(chalk.yellow(payload))\r\n  }\r\n  public error(payload: string) {\r\n    console.log(chalk.red(payload))\r\n  }\r\n}\r\n\r\nexport const logger = new Logger();","import fs from 'fs'\r\nimport path from 'path'\r\nimport {\r\n  BacktestResults,\r\n  DataSourceType,\r\n  SimulationOptions,\r\n  StrategyOptions,\r\n  TimeFrame,\r\n  TRADE_KEY,\r\n} from '@/types'\r\nimport { OHLCV } from 'ccxt'\r\nimport downloadPairData from '@/utils/dataInstaller'\r\nimport { CandleSticks } from '@/charting'\r\nimport { TradeManager } from '@/managers/TradeManager'\r\nimport {\r\n  calcAlpha,\r\n  calcBeta,\r\n  calcCovariance,\r\n  calcPL,\r\n  calcSharpeE,\r\n  calcStddev,\r\n  calcVariance,\r\n} from '@/utils/maths'\r\nimport getAvgMarketReturn from '@/utils/getAvgMarketReturn'\r\n\r\nexport class Strategy {\r\n  public name: string;\r\n  private data: OHLCV[] = []\r\n  public readonly strategyOptions: Required<StrategyOptions>\r\n  public tradeManager: TradeManager\r\n  public indicators: Map<string, any> = new Map()\r\n  public pairDataPath: string = ''\r\n\r\n  constructor(strategyOptions: StrategyOptions) {\r\n    const {\r\n      name,\r\n      dataLength = 100,\r\n      timeFrame = TimeFrame.MINUTE,\r\n      chartType = new CandleSticks(),\r\n      indicators = [],\r\n      simulationOptions,\r\n      pair,\r\n    } = strategyOptions\r\n\r\n    this.name = strategyOptions.name;\r\n    \r\n    this.strategyOptions = {\r\n      name,\r\n      dataLength,\r\n      timeFrame,\r\n      chartType,\r\n      indicators,\r\n      simulationOptions: simulationOptions ?? { pair },\r\n      pair,\r\n    }\r\n\r\n    this.tradeManager = new TradeManager(this)\r\n  }\r\n\r\n  public async loadData(): Promise<void> {\r\n    const { pair, timeFrame, dataLength } = this.strategyOptions\r\n    const dataFolderPath = path.join(process.cwd(), 'data')\r\n\r\n    if (!fs.existsSync(dataFolderPath)) {\r\n      fs.mkdirSync(dataFolderPath)\r\n    }\r\n\r\n    const { path: pairDataPath, data } = await downloadPairData(\r\n      pair,\r\n      timeFrame,\r\n      dataLength,\r\n      dataFolderPath,\r\n    )\r\n\r\n    this.pairDataPath = pairDataPath\r\n    this.data = data\r\n  }\r\n\r\n  private provideAllIndicators(): void {\r\n    this.strategyOptions.indicators.forEach((indicator) =>\r\n      indicator.provide(this.data),\r\n    )\r\n  }\r\n\r\n  private feedAllIndicators(data: OHLCV): void {\r\n    this.strategyOptions.indicators.forEach((indicator) => indicator.feed(data))\r\n  }\r\n\r\n  public async backtest({}: SimulationOptions): Promise<BacktestResults> {\r\n    const results: BacktestResults = {\r\n      alpha: 0,\r\n      beta: 0,\r\n      maxDrawdown: 0,\r\n      maxProfit: 0,\r\n      percentageProfitable: 0,\r\n      return: 0,\r\n      profitFactor: 0,\r\n      sharpeE: 0,\r\n      tradeCount: 0,\r\n      reportData: {\r\n        data: [],\r\n        trades: [],\r\n      },\r\n    }\r\n\r\n    await Promise.all([this.internalStart(), this.onStart(this.data)])\r\n\r\n    for (const update of this.data) {\r\n      await Promise.all([\r\n        this.internalUpdate(update, this.data),\r\n        this.onUpdate(update, this.data),\r\n      ])\r\n    }\r\n\r\n    const tradeHistory = this.tradeManager.getTradeHistory()\r\n    results.tradeCount = tradeHistory.length\r\n\r\n    results.reportData.trades = tradeHistory\r\n\r\n    if (tradeHistory.length === 0) {\r\n      return results\r\n    }\r\n\r\n    const returns = tradeHistory.map((trade) => {\r\n      const { [TRADE_KEY.PL]: pl = 0, [TRADE_KEY.leverage]: leverage = 1 } =\r\n        trade.getData()\r\n      return pl * leverage\r\n    })\r\n\r\n    const totalPL = returns.reduce((sum, r) => sum + r, 0)\r\n    const profitableTrades = returns.filter((r) => r > 0)\r\n    const lossTrades = returns.filter((r) => r < 0)\r\n\r\n    results.return = totalPL\r\n    results.percentageProfitable =\r\n      (profitableTrades.length / returns.length) * 100\r\n    results.maxDrawdown = Math.min(...returns)\r\n    results.maxProfit = Math.max(...returns)\r\n\r\n    const grossProfit = profitableTrades.reduce((sum, r) => sum + r, 0)\r\n    const grossLoss = Math.abs(lossTrades.reduce((sum, r) => sum + r, 0))\r\n    results.profitFactor =\r\n      grossLoss !== 0 ? grossProfit / grossLoss : grossProfit\r\n\r\n    const averageReturn = totalPL / returns.length\r\n    const riskFreeRate = 0\r\n    const marketReturn = await getAvgMarketReturn(\r\n      this.strategyOptions.pair,\r\n      TimeFrame.MONTH,\r\n      60, // 5 years * 12 months\r\n    )\r\n\r\n    const covariance = calcCovariance(returns, marketReturn) || 0\r\n    const variance = calcVariance(returns) || 0\r\n    const standardDeviation = calcStddev(returns)\r\n\r\n    results.beta = calcBeta(covariance, variance)\r\n    results.alpha = calcAlpha(\r\n      averageReturn,\r\n      riskFreeRate,\r\n      results.beta,\r\n      marketReturn,\r\n    )\r\n    results.sharpeE = calcSharpeE(\r\n      averageReturn,\r\n      results.return,\r\n      riskFreeRate,\r\n      standardDeviation,\r\n    )\r\n\r\n    results.reportData.data.push({\r\n      name: `${this.strategyOptions.pair.replaceAll('/', '_')}_${\r\n        this.strategyOptions.timeFrame\r\n      }`,\r\n      type: DataSourceType.PRICE,\r\n      data: this.data,\r\n    })\r\n\r\n    this.indicators.forEach((indicatorData, indicatorKey) => {\r\n      results.reportData.data.push({\r\n        name: indicatorKey,\r\n        type: DataSourceType.FACTOR,\r\n        data: indicatorData,\r\n      })\r\n    })\r\n\r\n    return results\r\n  }\r\n\r\n  private internalStart() {\r\n    // this.provideAllIndicators();\r\n    this.strategyOptions.indicators.forEach((indicator) => {\r\n      indicator.clear()\r\n    })\r\n  }\r\n\r\n  private async internalUpdate(update: OHLCV, updates: OHLCV[]): Promise<void> {\r\n    this.feedAllIndicators(update)\r\n\r\n    await Promise.all(\r\n      this.strategyOptions.indicators.map(async (indicator) => {\r\n        this.indicators.set(indicator.key, await indicator.generate())\r\n      }),\r\n    )\r\n\r\n    this.tradeManager.onUpdate(update, updates)\r\n  }\r\n\r\n  protected live() {}\r\n\r\n  protected onStart(updates: OHLCV[]): void {}\r\n\r\n  protected onUpdate(update: OHLCV, updates: OHLCV[]): void {}\r\n}\r\n","import fs from 'fs'\r\nimport path from 'path'\r\nimport { CryptoPair, TimeFrame } from '@/types'\r\nimport exchange from '@/exchange'\r\n\r\nexport default async function downloadPairData(\r\n  pair: CryptoPair,\r\n  timeFrame: TimeFrame,\r\n  dataLength: number,\r\n  dataFolderPath: string,\r\n) {\r\n  const fileName = `${pair.replace('/', '_')}_${dataLength}_${timeFrame}.json`\r\n  const filePath = path.join(dataFolderPath, fileName)\r\n\r\n  if (fs.existsSync(filePath)) {\r\n    console.log(\r\n      `Data for ${pair} with length ${dataLength} already exists. Returning existing data.`,\r\n    )\r\n    const existingData = fs.readFileSync(filePath, 'utf-8')\r\n    return { path: filePath, data: JSON.parse(existingData) }\r\n  }\r\n\r\n  console.log(`Installing ${dataLength} candles for ${pair}.`)\r\n  const fetchedData = await exchange.fetchOHLCV(\r\n    pair,\r\n    timeFrame,\r\n    undefined,\r\n    dataLength,\r\n    {\r\n      paginate: true,\r\n    },\r\n  )\r\n\r\n  fs.writeFileSync(filePath, JSON.stringify(fetchedData, null, 2))\r\n  return { path: filePath, data: fetchedData }\r\n}\r\n","import ccxt from \"ccxt\";\r\n\r\nconst exchange = new ccxt.binance();\r\n\r\nexport default exchange;","import { Num, OHLCV } from \"ccxt\";\r\nimport { CandleStickObject } from \"@/types\";\r\n\r\nexport const parseIntoObject = (rawData: OHLCV[]) => {\r\n  const candlesticks: CandleStickObject[] = [];\r\n\r\n  for (const cell of rawData) {\r\n    const [timestamp, open, high, low, close, volume] = cell;\r\n\r\n    candlesticks.push({ timestamp, open, high, low, close, volume });\r\n  }\r\n\r\n  return candlesticks;\r\n};\r\n\r\nexport const parseIntoArrays = () => {};\r\n\r\nexport const parseIntoRows = (data: OHLCV[]) => {\r\n  const timestamps: number[] = [];\r\n  const opens: number[] = [];\r\n  const highs: number[] = [];\r\n  const lows: number[] = [];\r\n  const closes: number[] = [];\r\n  const volumes: number[] = [];\r\n\r\n  data.forEach((candle) => {\r\n    timestamps.push(candle[0]!);\r\n    opens.push(candle[1]!);\r\n    highs.push(candle[2]!);\r\n    lows.push(candle[3]!);\r\n    closes.push(candle[4]!);\r\n    volumes.push(candle[5]!);\r\n  });\r\n\r\n  return { timestamps, opens, highs, lows, closes, volumes };\r\n};\r\n","import { parseIntoRows } from '@/utils/parseOHLCV'\r\nimport { OHLCV } from 'ccxt'\r\nimport { ChartingSystem } from '@/lib'\r\nimport ta from 'technicalindicators'\r\n\r\nexport class CandleSticks extends ChartingSystem {\r\n  public transform(rawData: OHLCV[]): ta.CandleList {\r\n    const { opens, highs, lows, closes, timestamps, volumes } =\r\n      parseIntoRows(rawData)\r\n    return {\r\n      open: opens,\r\n      high: highs,\r\n      low: lows,\r\n      close: closes,\r\n      timestamp: timestamps,\r\n      volume: volumes,\r\n    }\r\n  }\r\n}\r\n","import { parseIntoRows } from '@/utils/parseOHLCV'\r\nimport { OHLCV } from 'ccxt'\r\nimport { ChartingSystem } from '@/lib'\r\nimport { HeikinAshiInput } from 'technicalindicators/declarations/chart_types/HeikinAshi'\r\nimport ta from 'technicalindicators'\r\n\r\ntype HeikenAishiOptions = Omit<\r\n  HeikinAshiInput,\r\n  'low' | 'close' | 'high' | 'open'\r\n>\r\n\r\nexport class HeikenAishi extends ChartingSystem {\r\n  public options: HeikenAishiOptions\r\n\r\n  constructor(options: HeikenAishiOptions) {\r\n    super()\r\n    this.options = options\r\n  }\r\n\r\n  public transform(rawData: OHLCV[]) {\r\n    const { opens, highs, lows, closes, volumes, timestamps } =\r\n      parseIntoRows(rawData)\r\n    return ta.heikinashi({\r\n      ...this.options,\r\n      open: opens,\r\n      high: highs,\r\n      low: lows,\r\n      close: closes,\r\n      volume: volumes,\r\n      timestamp: timestamps,\r\n    })\r\n  }\r\n}\r\n","import { parseIntoRows } from '@/utils/parseOHLCV'\r\nimport { OHLCV } from 'ccxt'\r\nimport { ChartingSystem } from '@/lib'\r\nimport ta from 'technicalindicators'\r\nimport { RenkoInput } from 'technicalindicators/declarations/chart_types/Renko'\r\n\r\ntype RenkoOptions = Omit<RenkoInput, 'low' | 'close' | 'high' | 'open'>\r\n\r\nexport class Renko extends ChartingSystem {\r\n  public options: RenkoOptions\r\n\r\n  constructor(options: RenkoOptions) {\r\n    super()\r\n    this.options = options\r\n  }\r\n\r\n  public transform(rawData: OHLCV[]): ta.CandleList {\r\n    const { opens, highs, lows, closes } = parseIntoRows(rawData)\r\n    return ta.renko({\r\n      ...this.options,\r\n      open: opens,\r\n      high: highs,\r\n      low: lows,\r\n      close: closes,\r\n    })\r\n  }\r\n}\r\n","import crypto from 'crypto';\r\n\r\nexport const generateMD5Id = (): string => {\r\n  const seed = Math.random().toString();\r\n  return crypto.createHash('md5').update(seed).digest('hex');\r\n};\r\n","import { PositionType } from '@/types'\r\n\r\nexport function calcPL(\r\n  currentClose: number,\r\n  openPrice: number,\r\n  positionType: PositionType,\r\n): number {\r\n  return positionType === PositionType.LONG\r\n    ? 100 * ((currentClose - openPrice) / openPrice)\r\n    : 100 * ((openPrice - currentClose) / openPrice)\r\n}\r\n","import {\r\n  NumberReturnType,\r\n  TradeData,\r\n  TRADE_KEY,\r\n  TradeOptions,\r\n  PositionType,\r\n} from '@/types'\r\nimport { generateMD5Id } from '@/utils/generateId'\r\nimport { calcPL } from '@/utils/maths/pl'\r\nimport { OHLCV } from 'ccxt'\r\n\r\nexport class Trade {\r\n  public readonly id: string\r\n  private readonly tradeData: Map<TRADE_KEY, any>\r\n\r\n  constructor(options: TradeOptions) {\r\n    this.id = generateMD5Id()\r\n    this.tradeData = new Map<TRADE_KEY, any>([\r\n      [TRADE_KEY.ID, this.id],\r\n      [TRADE_KEY.positionSize, options.positionSize],\r\n      [TRADE_KEY.leverage, options.leverage],\r\n      [TRADE_KEY.TP, options.TP],\r\n      [TRADE_KEY.SL, options.SL],\r\n      [TRADE_KEY.PL, 0],\r\n      [TRADE_KEY.drawdown, 0],\r\n      [TRADE_KEY.closePrice, undefined],\r\n      [TRADE_KEY.openPrice, undefined],\r\n      [TRADE_KEY.isClosed, false],\r\n      [TRADE_KEY.fee, undefined],\r\n      [TRADE_KEY.blockChainTrack, undefined],\r\n      [TRADE_KEY.timestamp, Date.now()],\r\n      [TRADE_KEY.pair, options.pair],\r\n      [TRADE_KEY.orderType, options.orderType],\r\n      [TRADE_KEY.positionType, options.positionType],\r\n      [TRADE_KEY.isOpen, options.open ?? false],\r\n    ])\r\n  }\r\n\r\n  public open(): void {\r\n    if (!this.tradeData.get(TRADE_KEY.isClosed)) {\r\n      this.tradeData.set(TRADE_KEY.isOpen, true)\r\n    }\r\n  }\r\n\r\n  public close(): void {\r\n    this.tradeData.set(TRADE_KEY.isOpen, false)\r\n  }\r\n\r\n  public updateTP(TP?: number): void {\r\n    this.tradeData.set(TRADE_KEY.TP, TP)\r\n  }\r\n\r\n  public updateSL(SL?: number): void {\r\n    this.tradeData.set(TRADE_KEY.SL, SL)\r\n  }\r\n\r\n  public getData(): TradeData {\r\n    return Object.fromEntries(this.tradeData) as TradeData\r\n  }\r\n\r\n  public onUpdate(update: OHLCV, updates: OHLCV[]): void {\r\n    if (this.tradeData.get(TRADE_KEY.isClosed)) return\r\n\r\n    const currentClose = Number(update.at(4) ?? 0)\r\n    if (!currentClose || currentClose === 0) return\r\n    const openPrice = this.tradeData.get(TRADE_KEY.openPrice)\r\n    const positionType = this.tradeData.get(TRADE_KEY.positionType)\r\n\r\n    if (!openPrice) {\r\n      this.tradeData.set(TRADE_KEY.openPrice, currentClose)\r\n      return\r\n    }\r\n\r\n    const pl = calcPL(currentClose, openPrice, positionType)\r\n    this.tradeData.set(TRADE_KEY.PL, pl)\r\n    this.tradeData.set(TRADE_KEY.closePrice, currentClose)\r\n\r\n    const currentDrawdown = this.tradeData.get(TRADE_KEY.drawdown)\r\n    if (pl < currentDrawdown) {\r\n      this.tradeData.set(TRADE_KEY.drawdown, pl)\r\n    }\r\n  }\r\n\r\n  public getFootprint(): void {}\r\n}\r\n","import { CreateTradeOptions, TRADE_KEY } from '@/types'\r\nimport { Trade } from '@/lib/Trade'\r\nimport { Strategy } from '@/lib/Strategy'\r\nimport { OHLCV } from 'ccxt'\r\n\r\nexport class TradeManager {\r\n  private trades = new Map<string, Trade>()\r\n  private strategy: Strategy\r\n\r\n  constructor(strategy: Strategy) {\r\n    this.strategy = strategy\r\n  }\r\n\r\n  public onUpdate(update: OHLCV, updates: OHLCV[]) {\r\n    for (const trade of this.trades.values()) {\r\n      if (!trade.getData()[TRADE_KEY.isClosed]) {\r\n        trade.onUpdate(update, updates)\r\n      }\r\n    }\r\n  }\r\n\r\n  public getTrade(id: string): Trade | null {\r\n    return this.trades.get(id) || null\r\n  }\r\n\r\n  public getTrades(): Trade[] {\r\n    return Array.from(this.trades.values())\r\n  }\r\n\r\n  public createTrade(options: CreateTradeOptions): Trade {\r\n    const trade = new Trade({\r\n      orderType: options.orderType,\r\n      pair: this.strategy.strategyOptions.pair,\r\n      positionSize: options.size,\r\n      positionType: options.positionType,\r\n      leverage: options.leverage ?? 1,\r\n      open: options.open ?? false,\r\n      SL: options.riskOptions?.SL,\r\n      TP: options.riskOptions?.TP,\r\n      isLive: false,\r\n    })\r\n\r\n    this.trades.set(trade.id, trade)\r\n    return trade\r\n  }\r\n\r\n  public getTradeHistory() {\r\n    const trades = this.getTrades()\r\n\r\n    return trades.filter(async (trade) => {\r\n      const tradeData = await trade.getData()\r\n      return tradeData[TRADE_KEY.isClosed]\r\n    })\r\n  }\r\n\r\n  public closeTrade(tradeId: string) {\r\n    this.getTrade(tradeId)?.close()\r\n  }\r\n\r\n  public clear() {\r\n    this.trades = new Map()\r\n  }\r\n}\r\n","/**\r\n * Alpha = R – Rf – beta (Rm-Rf)\r\n  R represents the portfolio return.\r\n  Rf represents the risk-free rate of return. Beta represents the systematic risk of a portfolio.\r\n  Rm represents the market return, per a benchmark.\r\n */\r\n\r\nexport function calcAlpha(r: number, rf: number = 0, beta: number, rm: number) {\r\n  return r - rf - beta * (rm - rf)\r\n}\r\n","/**\r\n *  covariance divided by the variance\r\n */\r\n\r\nexport function calcBeta(covariance: number, variance: number) {\r\n  return covariance / variance\r\n}\r\n","export function calcCovariance(returns: number[], marketReturn: number) {\r\n  const meanReturn = returns.reduce((sum, r) => sum + r, 0) / returns.length\r\n  return (\r\n    returns.reduce(\r\n      (cov, r) => cov + (r - meanReturn) * (marketReturn - meanReturn),\r\n      0,\r\n    ) / returns.length\r\n  )\r\n}\r\n","/**\r\n * Sharpe Ratio = E [Rp-Rf] / σp\r\n\r\nE = Expected value of\r\n\r\nRp = return on a portfolio\r\n\r\nRf = risk-free rate\r\n\r\nσp = standard deviation of the portfolio’s excess return\r\n */\r\n\r\nexport function calcSharpeE(E: number, rp: number, rf: number = 0, sp: number) {\r\n  return (E * (rp - rf)) / sp;\r\n}\r\n","export function calcVariance(returns: number[]): number {\r\n  const meanReturn = returns.reduce((sum, r) => sum + r, 0) / returns.length\r\n  return (\r\n    returns.reduce((varSum, r) => varSum + Math.pow(r - meanReturn, 2), 0) /\r\n    returns.length\r\n  )\r\n}\r\n","import { calcVariance } from './variance'\r\n\r\nexport function calcStddev(returns: number[]): number {\r\n  return Math.sqrt(calcVariance(returns))\r\n}\r\n","import exchange from '@/exchange'\r\nimport { CryptoPair, TimeFrame } from '@/types'\r\n\r\nexport default async function getAvgMarketReturn(\r\n  pair: CryptoPair,\r\n  timeFrame: TimeFrame,\r\n  dataLength: number,\r\n): Promise<number> {\r\n  const data = await exchange.fetchOHLCV(\r\n    pair,\r\n    timeFrame,\r\n    undefined,\r\n    dataLength,\r\n    { paginate: true },\r\n  )\r\n\r\n  let totalReturn = 0\r\n  for (let i = 1; i < data.length; i++) {\r\n    const prevCandle = data[i-1]\r\n    const currCandle = data[i]\r\n    \r\n    if (!prevCandle || !currCandle) continue\r\n    \r\n    const prevClose = Number(prevCandle[4])\r\n    const currClose = Number(currCandle[4])\r\n    const returnPct = ((currClose - prevClose) / prevClose) * 100\r\n    totalReturn += returnPct\r\n  }\r\n\r\n  return totalReturn / (data.length - 1)\r\n}\r\n","import Express from 'express'\r\nimport { BacktestResults, DataSource, DataSourceType } from '@/types'\r\nimport { generateMD5Id } from '@/utils/generateId'\r\nimport path from 'path'\r\nimport { Strategy } from '@/lib'\r\n\r\nexport class ReportManager {\r\n  private readonly app = Express()\r\n  private readonly PORT = 2555\r\n  private readonly viewsPath: string\r\n\r\n  constructor() {\r\n    this.viewsPath = new URL('./', import.meta.url).pathname\r\n    this.initializeApp()\r\n  }\r\n\r\n  private initializeApp() {\r\n    this.app.use(Express.json())\r\n    this.app.set('views', this.viewsPath)\r\n    this.app.use(Express.static(this.viewsPath))\r\n    this.app.listen(this.PORT, () => {\r\n      console.log(`Report server listening on port ${this.PORT}`)\r\n    })\r\n  }\r\n\r\n  public generateReport(\r\n    strategy: Strategy,\r\n    reportData: BacktestResults['reportData'],\r\n  ) {\r\n    const reportId = generateMD5Id()\r\n    const { trades, data } = reportData\r\n    const reportRouter = Express.Router()\r\n\r\n    const priceData = data.filter((e) => e.type === DataSourceType.PRICE)\r\n    const factorData = data.filter((e) => e.type === DataSourceType.FACTOR)\r\n\r\n    reportRouter.get('/price-data', (_, res) => {\r\n      res.json(priceData)\r\n    })\r\n    reportRouter.get('/factor-data', (_, res) => {\r\n      res.json(factorData)\r\n    })\r\n    reportRouter.get('/trade-data', (_, res) => {\r\n      res.json(trades)\r\n    })\r\n    reportRouter.get('/', (_, res) => {\r\n      const buildPath = path.join(this.viewsPath, 'performance/dist/index.html').replace('\\\\C', 'C')\r\n      res.sendFile(buildPath)\r\n    })\r\n\r\n    this.app.use(`/${reportId}`, reportRouter)\r\n\r\n    console.log(\r\n      `Report for ${strategy.name}: http://localhost:${this.PORT}/${reportId}`,\r\n    )\r\n  }\r\n}\r\n","export * from './EMA'\r\nexport * from './SMA'\r\nexport * from './ATR'\r\nexport * from './RSI'\r\nexport * from './MACD'\r\nexport * from './StochRSI'\r\nexport * from './BB'\r\nexport * from './IchimokuCloud'\r\nexport * from './WEMA'\r\nexport * from './ADX'\r\nexport * from './VolumeProfile'\r\nexport * from './VWAP';\r\nexport * from './ForceIndex';","import { Indicator } from '@/lib/Indicator'\r\nimport ta from 'technicalindicators'\r\n\r\nexport class EMA extends Indicator {\r\n  public period: number = 9\r\n  constructor(key: string, options: EMAOptions) {\r\n    super({\r\n      name: 'EMA',\r\n      key: key,\r\n      description: 'Exponential Moving Average.',\r\n    })\r\n\r\n    if(options.period) this.period = options.period\r\n  }\r\n\r\n  generate(): number[] {\r\n    const values = this.data\r\n      .map((update) => update[4])\r\n      .filter((value): value is number => value !== undefined)\r\n\r\n    const ema = ta.EMA.calculate({\r\n      period: this.period,\r\n      values: values,\r\n    })\r\n\r\n    return ema\r\n  }\r\n}\r\n\r\nexport interface EMAOptions {\r\n  period?: number\r\n}","import { Indicator } from '@/lib/Indicator'\r\nimport ta from 'technicalindicators'\r\n\r\nexport class SMA extends Indicator {\r\n  public period: number = 9\r\n  constructor(key: string, options: SMAOptions) {\r\n    super({\r\n      name: 'SMA',\r\n      key: key,\r\n      description: 'Simple Moving Average.',\r\n    })\r\n\r\n    if(options.period) this.period = options.period\r\n  }\r\n\r\n  generate(): number[] {\r\n    const values = this.data\r\n      .map((update) => update[4])\r\n      .filter((value): value is number => value !== undefined)\r\n\r\n    const sma = ta.SMA.calculate({\r\n      period: this.period,\r\n      values: values,\r\n    })\r\n\r\n    return sma\r\n  }\r\n}\r\n\r\nexport interface SMAOptions {\r\n  period?: number\r\n}","import { Indicator } from '@/lib/Indicator'\r\nimport { parseIntoRows } from '@/utils/parseOHLCV'\r\nimport ta from 'technicalindicators'\r\n\r\nexport class ATR extends Indicator {\r\n  public period: number = 14\r\n  constructor(key: string, options: ATROptions) {\r\n    super({\r\n      name: 'ATR',\r\n      key: key,\r\n      description: 'Average True Range.',\r\n    })\r\n\r\n    if(options.period) this.period = options.period\r\n  }\r\n\r\n  generate(): number[] {\r\n    const { highs, lows, closes } = parseIntoRows(this.data)\r\n\r\n    const atr = ta.ATR.calculate({\r\n      period: this.period,\r\n      high: highs,\r\n      low: lows,\r\n      close: closes,\r\n    })\r\n\r\n    return atr\r\n  }\r\n}\r\n\r\nexport interface ATROptions {\r\n  period?: number\r\n}","import { Indicator } from '@/lib/Indicator'\r\nimport ta from 'technicalindicators'\r\n\r\nexport class RSI extends Indicator {\r\n  public period: number = 14\r\n  constructor(key: string, options: RSIOptions) {\r\n    super({\r\n      name: 'RSI',\r\n      key: key,\r\n      description: 'Relative Strength Index.',\r\n    })\r\n\r\n    if(options.period) this.period = options.period\r\n  }\r\n\r\n  generate(): number[] {\r\n    const values = this.data\r\n      .map((update) => update[4])\r\n      .filter((value): value is number => value !== undefined)\r\n\r\n    const rsi = ta.RSI.calculate({\r\n      period: this.period,\r\n      values: values,\r\n    })\r\n\r\n    return rsi\r\n  }\r\n}\r\n\r\nexport interface RSIOptions {\r\n  period?: number\r\n}","import { Indicator } from '@/lib/Indicator'\r\nimport ta from 'technicalindicators'\r\nimport { MACDOutput } from 'technicalindicators/declarations/moving_averages/MACD'\r\n\r\nexport class MACD extends Indicator {\r\n  public fastPeriod: number = 12\r\n  public slowPeriod: number = 26\r\n  public signalSmoothing: number = 9\r\n  public MAType: 'EMA' | 'SMA' = 'SMA'\r\n  public MAOscillatorType: 'EMA' | 'SMA' = 'SMA'\r\n\r\n  constructor(key: string, options: MACDOptions) {\r\n    super({\r\n      name: 'MACD',\r\n      key: key,\r\n      description: 'Moving Average Convergence/Divergence.',\r\n    })\r\n\r\n    if (options.fastPeriod) this.fastPeriod = options.fastPeriod\r\n    if (options.slowPeriod) this.slowPeriod = options.slowPeriod\r\n    if (options.signalSmoothing) this.signalSmoothing = options.signalSmoothing\r\n    if (options.MAOscillatorType)\r\n      this.MAOscillatorType = options.MAOscillatorType\r\n    if (options.MAType) this.MAType = options.MAType\r\n  }\r\n\r\n  generate(): MACDOutput[] {\r\n    const values = this.data\r\n      .map((update) => update[4])\r\n      .filter((value): value is number => value !== undefined)\r\n\r\n    const macd = ta.MACD.calculate({\r\n      fastPeriod: this.fastPeriod,\r\n      slowPeriod: this.slowPeriod,\r\n      SimpleMAOscillator: this.MAOscillatorType === 'SMA' ? true : false,\r\n      SimpleMASignal: this.MAType === 'SMA' ? true : false,\r\n      signalPeriod: this.signalSmoothing,\r\n      values: values,\r\n    })\r\n\r\n    return macd\r\n  }\r\n}\r\n\r\nexport interface MACDOptions {\r\n  fastPeriod?: number\r\n  slowPeriod?: number\r\n  signalSmoothing?: number\r\n  MAType?: 'EMA' | 'SMA'\r\n  MAOscillatorType?: 'EMA' | 'SMA'\r\n}","import { Indicator } from '@/lib/Indicator'\r\nimport ta from 'technicalindicators'\r\nimport { StochasticRSIOutput } from 'technicalindicators/declarations/momentum/StochasticRSI'\r\n\r\nexport class StockRSI extends Indicator {\r\n  public dPeriod: number = 9\r\n  public kPeriod: number = 12\r\n  public rsiPeriod: number = 14\r\n  public stochasticPeriod: number = 16\r\n\r\n  constructor(key: string, options: StockRSIOptions) {\r\n    super({\r\n      name: 'Bollinger Bands',\r\n      key: key,\r\n      description: 'Boillinger Bands.',\r\n    })\r\n\r\n    if (options.dPeriod) this.dPeriod = options.dPeriod\r\n    if (options.kPeriod) this.kPeriod = options.kPeriod\r\n    if (options.rsiPeriod) this.rsiPeriod = options.rsiPeriod\r\n    if (options.stochasticPeriod)\r\n      this.stochasticPeriod = options.stochasticPeriod\r\n  }\r\n\r\n  generate(): StochasticRSIOutput[] {\r\n    const values = this.data\r\n      .map((update) => update[4])\r\n      .filter((value): value is number => value !== undefined)\r\n\r\n    const stochRSI = ta.StochasticRSI.calculate({\r\n      values,\r\n      dPeriod: this.dPeriod,\r\n      kPeriod: this.kPeriod,\r\n      rsiPeriod: this.rsiPeriod,\r\n      stochasticPeriod: this.stochasticPeriod,\r\n    })\r\n\r\n    return stochRSI\r\n  }\r\n}\r\n\r\nexport interface StockRSIOptions {\r\n  dPeriod: number\r\n  kPeriod: number\r\n  rsiPeriod: number\r\n  stochasticPeriod: number\r\n}\r\n","import { Indicator } from '@/lib/Indicator'\r\nimport ta from 'technicalindicators'\r\nimport { BollingerBandsOutput } from 'technicalindicators/declarations/volatility/BollingerBands'\r\n\r\nexport class BB extends Indicator {\r\n  public period: number = 9\r\n  public stdDev: number = 1\r\n  \r\n  constructor(key: string, options: BBOptions) {\r\n    super({\r\n      name: 'Bollinger Bands',\r\n      key: key,\r\n      description: 'Boillinger Bands.',\r\n    })\r\n\r\n    if (options.period) this.period = options.period\r\n    if (options.stdDev) this.stdDev = options.stdDev\r\n  }\r\n\r\n  generate(): BollingerBandsOutput[] {\r\n    const values = this.data\r\n      .map((update) => update[4])\r\n      .filter((value): value is number => value !== undefined)\r\n\r\n    const bb = ta.BollingerBands.calculate({\r\n      values,\r\n      period: this.period,\r\n      stdDev: this.stdDev,\r\n    })\r\n\r\n    return bb\r\n  }\r\n}\r\n\r\nexport interface BBOptions {\r\n  period?: number\r\n  stdDev?: number\r\n}\r\n","import { Indicator } from '@/lib/Indicator'\r\nimport { parseIntoRows } from '@/utils/parseOHLCV'\r\nimport ta from 'technicalindicators'\r\nimport { IchimokuCloudOutput } from 'technicalindicators/declarations/ichimoku/IchimokuCloud'\r\n\r\nexport class IchimokuCloud extends Indicator {\r\n  public basePeriod: number = 9\r\n  public conversionPeriod: number = 12\r\n  public spanPeriod: number = 16\r\n  public displacement: number = 21\r\n\r\n  constructor(key: string, options: IchimokuCloudOptions) {\r\n    super({\r\n      name: 'Ichimoku Cloud',\r\n      key: key,\r\n      description: 'Ichimoku Cloud.',\r\n    })\r\n    if (options.basePeriod) this.basePeriod = options.basePeriod\r\n    if (options.conversionPeriod)\r\n      this.conversionPeriod = options.conversionPeriod\r\n    if (options.spanPeriod) this.spanPeriod = options.spanPeriod\r\n    if (options.displacement) this.displacement = options.displacement\r\n  }\r\n\r\n  generate(): IchimokuCloudOutput[] {\r\n    const { highs, lows } = parseIntoRows(this.data)\r\n\r\n    const ichimoku = ta.IchimokuCloud.calculate({\r\n      basePeriod: this.basePeriod,\r\n      conversionPeriod: this.conversionPeriod,\r\n      spanPeriod: this.spanPeriod,\r\n      displacement: this.displacement,\r\n      high: highs,\r\n      low: lows,\r\n    })\r\n\r\n    return ichimoku\r\n  }\r\n}\r\n\r\nexport interface IchimokuCloudOptions {\r\n  basePeriod: number\r\n  conversionPeriod: number\r\n  spanPeriod: number\r\n  displacement: number\r\n}\r\n","import { Indicator } from '@/lib/Indicator'\r\nimport ta from 'technicalindicators'\r\n\r\nexport class WEMA extends Indicator {\r\n  public period: number = 9\r\n  constructor(key: string, options: WEMAOptions) {\r\n    super({\r\n      name: 'Weighted Exponential Moving Average',\r\n      key: key,\r\n      description: 'Weighted Exponential Moving Average.',\r\n    })\r\n\r\n    if(options.period) this.period = options.period\r\n  }\r\n\r\n  generate(): number[] {\r\n    const values = this.data\r\n      .map((update) => update[4])\r\n      .filter((value): value is number => value !== undefined)\r\n\r\n    const wema = ta.WEMA.calculate({\r\n      period: this.period,\r\n      values: values,\r\n    })\r\n\r\n    return wema\r\n  }\r\n}\r\n\r\nexport interface WEMAOptions {\r\n  period?: number\r\n}","import { Indicator } from '@/lib/Indicator'\r\nimport { parseIntoRows } from '@/utils/parseOHLCV'\r\nimport ta from 'technicalindicators'\r\nimport { ADXOutput } from 'technicalindicators/declarations/directionalmovement/ADX'\r\n\r\nexport class ADX extends Indicator {\r\n  public period: number = 9\r\n  constructor(key: string, options: ADXOptions) {\r\n    super({\r\n      name: 'ADX',\r\n      key: key,\r\n      description: 'Trend Strength.',\r\n    })\r\n\r\n    if (options.period) this.period = options.period\r\n  }\r\n\r\n  generate(): ADXOutput[] {\r\n    const { closes, highs, lows } = parseIntoRows(this.data)\r\n\r\n    const adx = ta.ADX.calculate({\r\n      period: this.period,\r\n      close: closes,\r\n      high: highs,\r\n      low: lows,\r\n    })\r\n\r\n    return adx\r\n  }\r\n}\r\n\r\nexport interface ADXOptions {\r\n  period?: number\r\n}\r\n","import { Indicator } from '@/lib/Indicator'\r\nimport { parseIntoRows } from '@/utils/parseOHLCV'\r\nimport ta from 'technicalindicators'\r\n\r\nexport class VolumeProfile extends Indicator {\r\n  public numberOfBars: number = 20\r\n  constructor(key: string, options: VolumeProfileOptions) {\r\n    super({\r\n      name: 'Volume Profile',\r\n      key: key,\r\n      description: 'Volume Profile.',\r\n    })\r\n\r\n    if (options.numberOfBars) this.numberOfBars = options.numberOfBars\r\n  }\r\n\r\n  generate(): number[] {\r\n    const { closes, highs, lows, opens, volumes } = parseIntoRows(this.data)\r\n\r\n    const volumeProfile = ta.VolumeProfile.calculate({\r\n      close: closes,\r\n      high: highs,\r\n      low: lows,\r\n      open: opens,\r\n      volume: volumes,\r\n      noOfBars: this.numberOfBars,\r\n    })\r\n\r\n    return volumeProfile\r\n  }\r\n}\r\n\r\nexport interface VolumeProfileOptions {\r\n  numberOfBars?: number\r\n}\r\n","import { Indicator } from '@/lib/Indicator'\r\nimport { parseIntoRows } from '@/utils/parseOHLCV'\r\nimport ta from 'technicalindicators'\r\n\r\nexport class VWAP extends Indicator {\r\n  constructor(key: string) {\r\n    super({\r\n      name: 'VWAP',\r\n      key: key,\r\n      description: 'Volume-weighted Average Price.',\r\n    })\r\n  }\r\n\r\n  generate(): number[] {\r\n    const { closes, highs, lows, opens, timestamps, volumes } = parseIntoRows(\r\n      this.data,\r\n    )\r\n\r\n    const vwap = ta.VWAP.calculate({\r\n      close: closes,\r\n      high: highs,\r\n      low: lows,\r\n      volume: volumes,\r\n    })\r\n\r\n    return vwap\r\n  }\r\n}\r\n","import { Indicator } from '@/lib/Indicator'\r\nimport { parseIntoRows } from '@/utils/parseOHLCV'\r\nimport ta from 'technicalindicators'\r\n\r\nexport class ForceIndex extends Indicator {\r\n  public period: number = 9\r\n  constructor(key: string, options: ForceIndexOptions) {\r\n    super({\r\n      name: 'ForceIndex',\r\n      key: key,\r\n      description: 'Force Index.',\r\n    })\r\n\r\n    if (options.period) this.period = options.period\r\n  }\r\n\r\n  generate(): number[] {\r\n    const { closes, volumes } = parseIntoRows(this.data)\r\n\r\n    const forceIndex = ta.ForceIndex.calculate({\r\n      period: this.period,\r\n      close: closes,\r\n      volume: volumes,\r\n    })\r\n\r\n    return forceIndex\r\n  }\r\n}\r\n\r\nexport interface ForceIndexOptions {\r\n  period: 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