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About

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This package provides a set of transducers for technical (financial) and statistical analysis and replaces the older @thi.ng/indicators package.

The transducers provided here accept an optional input iterable, which allows them them to be used directly instead of having to wrap their call in one of the transducer execution functions (i.e. transduce(), iterator()). If executed this way, the functions will return a transforming ES6 iterator (generator) instead of a transducer.

Supported indicators

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Installation

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Dependencies

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API

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import * as tx from "@thi.ng/transducers";
import * as stats from "@thi.ng/transducers-stats";

// Simple moving average (SMA) (sliding window size 5)
// if an input is given (as is the case here), then returns
// a transforming iterator instead of transducer
[...stats.sma(5, [1,2,3,4,5,10,11,12,13,14,9,8,7,6,5])]
// [ 3, 4.8, 6.6, 8.4, 10.2, 12, 11.8, 11.2, 10.2, 8.8, 7 ]

// compute multiple stats at once
tx.transduce(
    tx.comp(
        tx.multiplexObj({
            sma: stats.sma(5),
            ema: stats.ema(5),
            wma: stats.wma(5)
        }),
        // ignore first `period-1` values
        // (because MAs require at least `period` inputs to warm up)
        tx.drop(4)
    ),
    tx.push(),
    [1,2,3,4,5,10,11,12,13,14,9,8,7,6,5]
);
// [ { wma: 3.6666666666666665, ema: 3, sma: 3 },
//   { wma: 6, ema: 5.333333333333333, sma: 4.8 },
//   { wma: 8.066666666666666, ema: 7.222222222222221, sma: 6.6 },
//   { wma: 9.866666666666667, ema: 8.814814814814815, sma: 8.4 },
//   { wma: 11.4, ema: 10.209876543209877, sma: 10.2 },
//   { wma: 12.666666666666666, ema: 11.473251028806585, sma: 12 },
//   { wma: 11.666666666666666, ema: 10.64883401920439, sma: 11.8 },
//   { wma: 10.4, ema: 9.76588934613626, sma: 11.2 },
//   { wma: 9, ema: 8.843926230757507, sma: 10.2 },
//   { wma: 7.6, ema: 7.895950820505004, sma: 8.8 },
//   { wma: 6.333333333333333, ema: 6.93063388033667, sma: 7 } ]