quantitivecalc/dist/TechnicalIndicators/calculateMACD.js

A TypeScript library providing advanced quantitative finance functions for risk analysis, performance metrics, and technical indicators. (Currently in development)

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateMACD = calculateMACD;
const calculateMovingAverage_1 = require("./calculateMovingAverage");
/**
 * Calculates the MACD (Moving Average Convergence Divergence) indicator for a given dataset.
 *
 * The function computes the MACD line, signal line, and histogram values for each row in the input data.
 * It uses exponential moving averages (EMAs) for the fast and slow periods, and the signal line is an EMA of the MACD line.
 *
 * @param data - Array of data objects containing price or value information.
 * @param sourceColumn - The key in each data object to use as the source value for calculations (e.g., 'close').
 * @param macdColumn - The key to store the calculated MACD line value. Defaults to 'macd'.
 * @param signalColumn - The key to store the calculated signal line value. Defaults to 'macd_signal'.
 * @param histogramColumn - The key to store the calculated MACD histogram value. Defaults to 'macd_histogram'.
 * @param fastPeriod - The period for the fast EMA. Defaults to 12.
 * @param slowPeriod - The period for the slow EMA. Defaults to 26.
 * @param signalPeriod - The period for the signal line EMA. Defaults to 9.
 * @returns A new array of data objects with MACD, signal, and histogram columns added.
 */
function calculateMACD(data, sourceColumn, macdColumn = 'macd', signalColumn = 'macd_signal', histogramColumn = 'macd_histogram', fastPeriod = 12, slowPeriod = 26, signalPeriod = 9) {
    if (!data || data.length === 0) {
        return [];
    }
    // Validate that fastPeriod < slowPeriod (standard MACD convention)
    if (fastPeriod >= slowPeriod) {
        throw new Error('Fast period must be less than slow period for MACD calculation');
    }
    // Calculate fast and slow EMAs
    const withFastEMA = (0, calculateMovingAverage_1.calculateMovingAverage)(data, sourceColumn, '__fast_ema', fastPeriod, 'exponential');
    const withBothEMAs = (0, calculateMovingAverage_1.calculateMovingAverage)(withFastEMA, sourceColumn, '__slow_ema', slowPeriod, 'exponential');
    // Calculate MACD line (fast EMA - slow EMA)
    const withMACD = withBothEMAs.map(row => {
        const fastEMA = row.__fast_ema;
        const slowEMA = row.__slow_ema;
        const macdValue = fastEMA !== null && slowEMA !== null ? fastEMA - slowEMA : null;
        return {
            ...row,
            [macdColumn]: macdValue,
            __temp_macd: macdValue,
        };
    });
    // Calculate signal line (EMA of MACD line)
    const withSignal = (0, calculateMovingAverage_1.calculateMovingAverage)(withMACD, '__temp_macd', signalColumn, signalPeriod, 'exponential');
    // Calculate histogram (MACD - Signal) and clean up temporary columns
    return withSignal.map(row => {
        const macdValue = row[macdColumn];
        const signalValue = row[signalColumn];
        const histogramValue = macdValue !== null && signalValue !== null ? macdValue - signalValue : null;
        // Create clean row without temporary columns
        const { ...cleanRow } = row;
        return {
            ...cleanRow,
            [histogramColumn]: histogramValue,
        };
    });
}