quantitivecalc/dist/TechnicalIndicators/calculateMovingAverage.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.calculateMovingAverage = calculateMovingAverage;
/**
 * Calculates the moving average (simple or exponential) for a given dataset.
 *
 * @param data - The input array of objects containing the data to process.
 * @param sourceColumn - The key in each object from which to read the numeric value.
 * @param resultColumn - The key in each object where the calculated moving average will be stored.
 * @param windowSize - The number of periods to use for the moving average calculation. Defaults to 20.
 * @param type - The type of moving average to calculate: `'simple'` for Simple Moving Average (SMA), `'exponential'` for Exponential Moving Average (EMA). Defaults to `'simple'`.
 * @returns A new array of objects with the moving average values added to each object under `resultColumn`.
 *
 * @remarks
 * - For SMA, the result for the first `windowSize - 1` elements will be `null`.
 * - For EMA, the first valid value is used as the initial EMA.
 * - Non-numeric or invalid values in `sourceColumn` are skipped for SMA and carry forward the previous EMA for EMA.
 */
function calculateMovingAverage(data, sourceColumn, resultColumn, windowSize = 20, type = 'simple') {
    if (!data || data.length === 0) {
        return [];
    }
    const result = data.map(row => ({ ...row }));
    if (type === 'simple') {
        // Simple Moving Average
        for (let i = 0; i < result.length; i++) {
            if (i < windowSize - 1) {
                result[i][resultColumn] = null;
            }
            else {
                let sum = 0;
                let count = 0;
                for (let j = i - windowSize + 1; j <= i; j++) {
                    const value = result[j][sourceColumn];
                    if (typeof value === 'number' && !isNaN(value)) {
                        sum += value;
                        count++;
                    }
                }
                result[i][resultColumn] = count > 0 ? sum / count : null;
            }
        }
    }
    else {
        // Exponential Moving Average
        const multiplier = 2 / (windowSize + 1);
        let ema = null;
        for (let i = 0; i < result.length; i++) {
            const value = result[i][sourceColumn];
            if (typeof value === 'number' && !isNaN(value)) {
                if (ema === null) {
                    ema = value; // First valid value becomes initial EMA
                }
                else {
                    ema = value * multiplier + ema * (1 - multiplier);
                }
                result[i][resultColumn] = ema;
            }
            else {
                result[i][resultColumn] = ema; // Keep previous EMA if current value is invalid
            }
        }
    }
    return result;
}