ta-math
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Technical analysis library in javascript. Calculates indicators and overlays from ohlcv data
588 lines (580 loc) • 23.1 kB
JavaScript
var TA = (function () {
'use strict';
function mean(series) {
let sum = 0;
for (let i = 0; i < series.length; i++) {
sum += series[i];
}
return sum / series.length;
}
function sd(series) {
let E = mean(series);
let E2 = mean(pointwise((x) => x * x, series));
return Math.sqrt(E2 - E * E);
}
function cov(f, g) {
let Ef = mean(f), Eg = mean(g);
let Efg = mean(pointwise((a, b) => a * b, f, g));
return Efg - Ef * Eg;
}
function cor(f, g) {
let Ef = mean(f), Eg = mean(g);
let Ef2 = mean(pointwise((a) => a * a, f));
let Eg2 = mean(pointwise((a) => a * a, g));
let Efg = mean(pointwise((a, b) => a * b, f, g));
return (Efg - Ef * Eg) / Math.sqrt((Ef2 - Ef * Ef) * (Eg2 - Eg * Eg));
}
function mad(array) {
return mae(array, new Array(array.length).fill(mean(array)));
}
function pointwise(operation, ...serieses) {
let result = [];
for (let i = 0, len = serieses[0].length; i < len; i++) {
let iseries = (i) => serieses.map(x => x[i]);
result[i] = operation(...iseries(i));
}
return result;
}
function rolling(operation, series, window) {
let result = [];
for (let i = 0, len = series.length; i < len; i++) {
let j = i + 1 - window;
result.push(operation(series.slice((j > 0) ? j : 0, i + 1)));
}
return result;
}
function mae(f, g) {
const absDiff = pointwise((a, b) => Math.abs(a - b), f, g);
return (f.length != g.length) ? Infinity : mean(absDiff);
}
function sma(series, window) {
return rolling((s) => mean(s), series, window);
}
function ema(series, window, start) {
let weight = 2 / (window + 1);
let ema = [start ? start : mean(series.slice(0, window))];
for (let i = 1, len = series.length; i < len; i++) {
ema.push(series[i] * weight + (1 - weight) * ema[i - 1]);
}
return ema;
}
function stdev(series, window) {
return rolling((s) => sd(s), series, window);
}
function madev(series, window) {
return rolling((s) => mad(s), series, window);
}
function expdev(series, window) {
let sqrDiff = pointwise((a, b) => (a - b) * (a - b), series, ema(series, window));
return pointwise((x) => Math.sqrt(x), ema(sqrDiff, window));
}
function atr($high, $low, $close, window) {
let tr = trueRange($high, $low, $close);
return ema(tr, 2 * window - 1);
}
function wilderSmooth(series, window) {
let result = new Array(window).fill(NaN);
result.push(series.slice(1, window + 1).reduce((sum, item) => { return sum += item; }, 0));
for (let i = window + 1; i < series.length; i++) {
result.push((1 - 1 / window) * result[i - 1] + series[i]);
}
return result;
}
function typicalPrice($high, $low, $close) {
return pointwise((a, b, c) => (a + b + c) / 3, $high, $low, $close);
}
function trueRange($high, $low, $close) {
let tr = [$high[0] - $low[0]];
for (let i = 1, len = $low.length; i < len; i++) {
tr.push(Math.max($high[i] - $low[i], Math.abs($high[i] - $close[i - 1]), Math.abs($low[i] - $close[i - 1])));
}
return tr;
}
function bb($close, window, mult) {
let ma = sma($close, window);
let dev = stdev($close, window);
let upper = pointwise((a, b) => a + b * mult, ma, dev);
let lower = pointwise((a, b) => a - b * mult, ma, dev);
return { lower: lower, middle: ma, upper: upper };
}
function dema($close, window) {
let ema1 = ema($close, window);
return pointwise((a, b) => 2 * a - b, ema1, ema(ema1, window));
}
function ebb($close, window, mult) {
let ma = ema($close, window);
let dev = expdev($close, window);
let upper = pointwise((a, b) => a + b * mult, ma, dev);
let lower = pointwise((a, b) => a - b * mult, ma, dev);
return { lower: lower, middle: ma, upper: upper };
}
function keltner($high, $low, $close, window, mult) {
let middle = ema($close, window);
let upper = pointwise((a, b) => a + mult * b, middle, atr($high, $low, $close, window));
let lower = pointwise((a, b) => a - mult * b, middle, atr($high, $low, $close, window));
return { lower: lower, middle: middle, upper: upper };
}
function psar($high, $low, stepfactor, maxfactor) {
let isUp = true;
let factor = stepfactor;
let extreme = Math.max($high[0], $high[1]);
let psar = [$low[0], Math.min($low[0], $low[1])];
let cursar = psar[1];
for (let i = 2, len = $high.length; i < len; i++) {
cursar = cursar + factor * (extreme - cursar);
if ((isUp && $high[i] > extreme) || (!isUp && $low[i] < extreme)) {
factor = ((factor <= maxfactor) ? factor + stepfactor : maxfactor);
extreme = (isUp) ? $high[i] : $low[i];
}
if ((isUp && $low[i] < cursar) || (!isUp && cursar > $high[i])) {
isUp = !isUp;
factor = stepfactor;
cursar = (isUp) ? Math.min(...$low.slice(i - 2, i + 1)) : Math.max(...$high.slice(i - 2, i + 1));
}
psar.push(cursar);
}
return psar;
}
function tema($close, window) {
let ema1 = ema($close, window);
let ema2 = ema(ema1, window);
return pointwise((a, b, c) => 3 * a - 3 * b + c, ema1, ema2, ema(ema2, window));
}
function vbp($close, $volume, zones, left, right) {
let total = 0;
let bottom = Infinity;
let top = -Infinity;
let vbp = new Array(zones).fill(0);
right = !isNaN(right) ? right : $close.length;
for (let i = left; i < right; i++) {
total += $volume[i];
top = (top < $close[i]) ? $close[i] : top;
bottom = (bottom > $close[i]) ? $close[i] : bottom;
}
for (let i = left; i < right; i++) {
vbp[Math.floor(($close[i] - bottom) / (top - bottom) * (zones - 1))] += $volume[i];
}
return { bottom: bottom, top: top, volumes: vbp.map((x) => { return x / total; }) };
}
function vwap($high, $low, $close, $volume) {
let tp = typicalPrice($high, $low, $close), cumulVTP = [$volume[0] * tp[0]], cumulV = [$volume[0]];
for (let i = 1, len = $close.length; i < len; i++) {
cumulVTP[i] = cumulVTP[i - 1] + $volume[i] * tp[i];
cumulV[i] = cumulV[i - 1] + $volume[i];
}
return pointwise((a, b) => a / b, cumulVTP, cumulV);
}
function zigzag($time, $high, $low, percent) {
let lowest = $low[0], thattime = $time[0], isUp = false;
let highest = $high[0], time = [], zigzag = [];
for (let i = 1, len = $time.length; i < len; i++) {
if (isUp) {
if ($high[i] > highest) {
thattime = $time[i];
highest = $high[i];
}
else if ($low[i] < lowest + (highest - lowest) * (100 - percent) / 100) {
isUp = false;
time.push(thattime);
zigzag.push(highest);
lowest = $low[i];
}
}
else {
if ($low[i] < lowest) {
thattime = $time[i];
lowest = $low[i];
}
else if ($high[i] > lowest + (highest - lowest) * percent / 100) {
isUp = true;
time.push(thattime);
zigzag.push(lowest);
highest = $high[i];
}
}
}
return { time: time, price: zigzag };
}
function adl($high, $low, $close, $volume) {
let adl = [$volume[0] * (2 * $close[0] - $low[0] - $high[0]) / ($high[0] - $low[0])];
for (let i = 1, len = $high.length; i < len; i++) {
adl[i] = adl[i - 1] + $volume[i] * (2 * $close[i] - $low[i] - $high[i]) / ($high[i] - $low[i]);
}
return adl;
}
function adx($high, $low, $close, window) {
let dmp = [0], dmm = [0];
for (let i = 1, len = $low.length; i < len; i++) {
let hd = $high[i] - $high[i - 1];
let ld = $low[i - 1] - $low[i];
dmp.push((hd > ld) ? Math.max(hd, 0) : 0);
dmm.push((ld > hd) ? Math.max(ld, 0) : 0);
}
let str = wilderSmooth(trueRange($high, $low, $close), window);
dmp = wilderSmooth(dmp, window);
dmm = wilderSmooth(dmm, window);
let dip = pointwise((a, b) => 100 * a / b, dmp, str);
let dim = pointwise((a, b) => 100 * a / b, dmm, str);
let dx = pointwise((a, b) => 100 * Math.abs(a - b) / (a + b), dip, dim);
return { dip: dip, dim: dim, adx: new Array(14).fill(NaN).concat(ema(dx.slice(14), 2 * window - 1)) };
}
function bbp($close, window, mult) {
let band = bb($close, window, mult);
return pointwise((p, u, l) => (p - l) / (u - l), $close, band.upper, band.lower);
}
function cci($high, $low, $close, window, mult) {
let tp = typicalPrice($high, $low, $close);
let tpsma = sma(tp, window);
let tpmad = madev(tp, window);
tpmad[0] = Infinity;
return pointwise((a, b, c) => (a - b) / (c * mult), tp, tpsma, tpmad);
}
function cho($high, $low, $close, $volume, winshort, winlong) {
let adli = adl($high, $low, $close, $volume);
return pointwise((s, l) => s - l, ema(adli, winshort), ema(adli, winlong));
}
function fi($close, $volume, window) {
let delta = rolling((s) => s[s.length - 1] - s[0], $close, 2);
return ema(pointwise((a, b) => a * b, delta, $volume), window);
}
function kst($close, w1, w2, w3, w4, s1, s2, s3, s4, sig) {
let rcma1 = sma(roc($close, w1), s1);
let rcma2 = sma(roc($close, w2), s2);
let rcma3 = sma(roc($close, w3), s3);
let rcma4 = sma(roc($close, w4), s4);
let line = pointwise((a, b, c, d) => a + b * 2 + c * 3 + d * 4, rcma1, rcma2, rcma3, rcma4);
return { line: line, signal: sma(line, sig) };
}
function macd($close, winshort, winlong, winsig) {
const line = pointwise((a, b) => a - b, ema($close, winshort), ema($close, winlong));
const signal = ema(line, winsig);
const hist = pointwise((a, b) => a - b, line, signal);
return { line: line, signal: signal, hist: hist };
}
function mfi($high, $low, $close, $volume, window) {
let pmf = [0], nmf = [0];
let tp = typicalPrice($high, $low, $close);
for (let i = 1, len = $close.length; i < len; i++) {
let diff = tp[i] - tp[i - 1];
pmf.push(diff >= 0 ? tp[i] * $volume[i] : 0);
nmf.push(diff < 0 ? tp[i] * $volume[i] : 0);
}
pmf = rolling((s) => s.reduce((sum, x) => { return sum + x; }, 0), pmf, window);
nmf = rolling((s) => s.reduce((sum, x) => { return sum + x; }, 0), nmf, window);
return pointwise((a, b) => 100 - 100 / (1 + a / b), pmf, nmf);
}
function obv($close, $volume, signal) {
let obv = [0];
for (let i = 1, len = $close.length; i < len; i++) {
obv.push(obv[i - 1] + Math.sign($close[i] - $close[i - 1]) * $volume[i]);
}
return { line: obv, signal: sma(obv, signal) };
}
function roc($close, window) {
let result = new Array(window).fill(NaN);
for (let i = window, len = $close.length; i < len; i++) {
result.push(100 * ($close[i] - $close[i - window]) / $close[i - window]);
}
return result;
}
function rsi($close, window) {
let gains = [0], loss = [1e-14];
for (let i = 1, len = $close.length; i < len; i++) {
let diff = $close[i] - $close[i - 1];
gains.push(diff >= 0 ? diff : 0);
loss.push(diff < 0 ? -diff : 0);
}
return pointwise((a, b) => 100 - 100 / (1 + a / b), ema(gains, 2 * window - 1), ema(loss, 2 * window - 1));
}
function stoch($high, $low, $close, window, signal, smooth) {
let lowest = rolling((s) => Math.min(...s), $low, window);
let highest = rolling((s) => Math.max(...s), $high, window);
let K = pointwise((h, l, c) => 100 * (c - l) / (h - l), highest, lowest, $close);
if (smooth > 1) {
K = sma(K, smooth);
}
return { line: K, signal: sma(K, signal) };
}
function stochRsi($close, window, signal, smooth) {
let _rsi = rsi($close, window);
let extreme = rolling((s) => { return { low: Math.min(...s), high: Math.max(...s) }; }, _rsi, window);
let K = pointwise((rsi, e) => (rsi - e.low) / (e.high - e.low), _rsi, extreme);
K[0] = 0;
if (smooth > 1) {
K = sma(K, smooth);
}
return { line: K, signal: sma(K, signal) };
}
function vi($high, $low, $close, window) {
let pv = [($high[0] - $low[0]) / 2], nv = [pv[0]];
for (let i = 1, len = $high.length; i < len; i++) {
pv.push(Math.abs($high[i] - $low[i - 1]));
nv.push(Math.abs($high[i - 1] - $low[i]));
}
let apv = rolling((s) => s.reduce((sum, x) => { return sum + x; }, 0), pv, window);
let anv = rolling((s) => s.reduce((sum, x) => { return sum + x; }, 0), nv, window);
let atr = rolling((s) => s.reduce((sum, x) => { return sum + x; }, 0), trueRange($high, $low, $close), window);
return { plus: pointwise((a, b) => a / b, apv, atr), minus: pointwise((a, b) => a / b, anv, atr) };
}
function williams($high, $low, $close, window) {
return pointwise((x) => x - 100, stoch($high, $low, $close, window, 1, 1).line);
}
let simpleFormat = (x) => {
return {
length: x[4].length,
time: (i) => x[0][i],
open: (i) => x[1][i],
high: (i) => x[2][i],
low: (i) => x[3][i],
close: (i) => x[4][i],
volume: (i) => x[5][i]
};
};
let exchangeFormat = (x) => {
return {
length: x.length,
time: (i) => x[i][0],
open: (i) => x[i][1],
high: (i) => x[i][2],
low: (i) => x[i][3],
close: (i) => x[i][4],
volume: (i) => x[i][5]
};
};
let objectFormat = (x) => {
return {
length: x.close.length,
time: (i) => x.time[i],
open: (i) => x.open[i],
high: (i) => x.high[i],
low: (i) => x.low[i],
close: (i) => x.close[i],
volume: (i) => x.volume[i]
};
};
class CLookup {
}
class TA extends CLookup {
constructor(ohlcv, format) {
super();
this.ohlcv = ohlcv;
this.format = (format === undefined) ? TA.exchangeFormat : format;
}
initGetter(name) {
let result = [], length = this.format(this.ohlcv)['length'];
for (let i = 0; i < length; i++) {
result.push(this.format(this.ohlcv)[name](i));
}
this[name] = result;
return result;
}
get $time() { return (this.time === undefined) ? this.initGetter('time') : this.time; }
get $open() { return (this.open === undefined) ? this.initGetter('open') : this.open; }
get $high() { return (this.high === undefined) ? this.initGetter('high') : this.high; }
get $low() { return (this.low === undefined) ? this.initGetter('low') : this.low; }
get $close() { return (this.close === undefined) ? this.initGetter('close') : this.close; }
get $volume() { return (this.volume === undefined) ? this.initGetter('volume') : this.volume; }
static get simpleFormat() {
return simpleFormat;
}
static get exchangeFormat() {
return exchangeFormat;
}
static get objectFormat() {
return objectFormat;
}
static cov(f, g) {
return cov(f, g);
}
static cor(f, g) {
return cor(f, g);
}
adl() {
return TA.adl(this.$high, this.$low, this.$close, this.$volume);
}
atr(window = 14) {
return TA.atr(this.$high, this.$low, this.$close, window);
}
adx(window = 14) {
return TA.adx(this.$high, this.$low, this.$close, window);
}
bb(window = 15, mult = 2) {
return TA.bb(this.$close, window, mult);
}
bbp(window = 15, mult = 2) {
return TA.bbp(this.$close, window, mult);
}
cci(window = 20, mult = 0.015) {
return TA.cci(this.$high, this.$low, this.$close, window, mult);
}
cho(winshort = 3, winlong = 10) {
return TA.cho(this.$high, this.$low, this.$close, this.$volume, winshort, winlong);
}
dema(window = 10) {
return TA.dema(this.$close, window);
}
ebb(window = 10, mult = 2) {
return TA.ebb(this.$close, window, mult);
}
ema(window = 10) {
return TA.ema(this.$close, window);
}
expdev(window = 15) {
return TA.expdev(this.$close, window);
}
fi(window = 13) {
return TA.fi(this.$close, this.$volume, window);
}
keltner(window = 14, mult = 2) {
return TA.keltner(this.$high, this.$low, this.$close, window, mult);
}
kst(w1 = 10, w2 = 15, w3 = 20, w4 = 30, s1 = 10, s2 = 10, s3 = 10, s4 = 15, sig = 9) {
return TA.kst(this.$close, w1, w2, w3, w4, s1, s2, s3, s4, sig);
}
macd(winshort = 12, winlong = 26, winsig = 9) {
return TA.macd(this.$close, winshort, winlong, winsig);
}
madev(window = 15) {
return TA.madev(this.$close, window);
}
mfi(window = 14) {
return TA.mfi(this.$high, this.$low, this.$close, this.$volume, window);
}
obv(signal = 10) {
return TA.obv(this.$close, this.$volume, signal);
}
psar(factor = 0.02, maxfactor = 0.2) {
return TA.psar(this.$high, this.$low, factor, maxfactor);
}
roc(window = 14) {
return TA.roc(this.$close, window);
}
rsi(window = 14) {
return TA.rsi(this.$close, window);
}
sma(window = 15) {
return TA.sma(this.$close, window);
}
stdev(window = 15) {
return TA.stdev(this.$close, window);
}
stoch(window = 14, signal = 3, smooth = 1) {
return TA.stoch(this.$high, this.$low, this.$close, window, signal, smooth);
}
stochRsi(window = 14, signal = 3, smooth = 1) {
return TA.stochRsi(this.$close, window, signal, smooth);
}
tema(window = 10) {
return TA.tema(this.$close, window);
}
vbp(zones = 12, left = 0, right = NaN) {
return TA.vbp(this.$close, this.$volume, zones, left, right);
}
vi(window = 14) {
return TA.vi(this.$high, this.$low, this.$close, window);
}
vwap() {
return TA.vwap(this.$high, this.$low, this.$close, this.$volume);
}
williams(window = 14) {
return TA.williams(this.$high, this.$low, this.$close, window);
}
zigzag(percent = 15) {
return TA.zigzag(this.$time, this.$high, this.$low, percent);
}
static adl($high, $low, $close, $volume) {
return adl($high, $low, $close, $volume);
}
static atr($high, $low, $close, window = 14) {
return atr($high, $low, $close, window);
}
static adx($high, $low, $close, window = 14) {
return adx($high, $low, $close, window);
}
static bb($close, window = 15, mult = 2) {
return bb($close, window, mult);
}
static bbp($close, window = 15, mult = 2) {
return bbp($close, window, mult);
}
static cci($high, $low, $close, window = 20, mult = 0.015) {
return cci($high, $low, $close, window, mult);
}
static cho($high, $low, $close, $volume, winshort = 3, winlong = 10) {
return cho($high, $low, $close, $volume, winshort, winlong);
}
static dema($close, window = 10) {
return dema($close, window);
}
static ebb($close, window = 10, mult = 2) {
return ebb($close, window, mult);
}
static ema($close, window = 10) {
return ema($close, window);
}
static expdev($close, window = 15) {
return expdev($close, window);
}
static fi($close, $volume, window = 13) {
return fi($close, $volume, window);
}
static keltner($high, $low, $close, window = 14, mult = 2) {
return keltner($high, $low, $close, window, mult);
}
static kst($close, w1 = 10, w2 = 15, w3 = 20, w4 = 30, s1 = 10, s2 = 10, s3 = 10, s4 = 15, sig = 9) {
return kst($close, w1, w2, w3, w4, s1, s2, s3, s4, sig);
}
static macd($close, winshort = 12, winlong = 26, winsig = 9) {
return macd($close, winshort, winlong, winsig);
}
static madev($close, window = 15) {
return madev($close, window);
}
static mfi($high, $low, $close, $volume, window = 14) {
return mfi($high, $low, $close, $volume, window);
}
static obv($close, $volume, signal = 10) {
return obv($close, $volume, signal);
}
static psar($high, $low, factor = 0.02, maxfactor = 0.2) {
return psar($high, $low, factor, maxfactor);
}
static roc($close, window = 14) {
return roc($close, window);
}
static rsi($close, window = 14) {
return rsi($close, window);
}
static sma($close, window = 15) {
return sma($close, window);
}
static stdev($close, window = 15) {
return stdev($close, window);
}
static stoch($high, $low, $close, window = 14, signal = 3, smooth = 1) {
return stoch($high, $low, $close, window, signal, smooth);
}
static stochRsi($close, window = 14, signal = 3, smooth = 1) {
return stochRsi($close, window, signal, smooth);
}
static tema($close, window = 10) {
return tema($close, window);
}
static vbp($close, $volume, zones = 12, left = 0, right = NaN) {
return vbp($close, $volume, zones, left, right);
}
static vi($high, $low, $close, window = 14) {
return vi($high, $low, $close, window);
}
static vwap($high, $low, $close, $volume) {
return vwap($high, $low, $close, $volume);
}
static williams($high, $low, $close, window = 14) {
return williams($high, $low, $close, window);
}
static zigzag($time, $high, $low, percent = 15) {
return zigzag($time, $high, $low, percent);
}
}
return TA;
}());