dspasyuk/Technical-Analysis

Technical Analysis (ta.js)

This is modified version of ta.js, a JavaScript module for dealing with financial technical analysis. The original repository could be found here:

https://github.com/Bitvested/ta.js

Usage

const ta = require('ta.min.js');

<script src="./ta.min.js"></script>

Examples

• Simple Moving Average
• Smoothed Moving Average
• Weighted Moving Average
• Wilder's Smoothing Moving Average
• Parabolic Weighted Moving Average
• Hyperbolic Weighted Moving Average
• Hull Moving Average
• Kaufman Adaptive Moving Average
• Volume Weighted Moving Average
• Exponential Moving Average
• Least Squares Moving Average
• Moving Average Convergence / Divergence
• Relative Strength Index
• Wilder's Relative Strength Index
• True Strength Index
• Balance Of Power
• Force Index
• Accumulative Swing Index
• Awesome Oscillator
• Williams %R
• Stochastics
• Variance
• Standard Deviation
• Inverse Normal Distribution
• Monte Carlo Simulation
• Correlation
• Percentage Difference
• Median
• K-means Clustering
• Normalize
• Denormalize
• Median Absolute Deviation
• Average Absolute Deviation
• Sum Squared Differences
• Bollinger Bands
• Bollinger Bandwidth
• Keltner Channels
• Donchian Channels
• Ichimoku Cloud
• Average True Range
• Aroon Up
• Aroon Down
• Aroon Oscillator
• Money Flow Index
• Rate Of Change
• Coppock Curve
• Know Sure Thing
• On-Balance Volume
• Volume-Weighted Average Price
• Chande Momentum Oscillator
• Momentum
• Heikin Ashi
• Renko

Simple Moving Average (SMA)

var data = [1, 2, 3, 4, 5, 6, 10];
var length = 6; // default = 14
ta.sma(data, length);
// output (array)
// [3.5, 5]

Smoothed Moving Average (SMMA)

var data = [1, 2, 3, 4, 5, 6, 10];
var length = 5; // default = 14
ta.smma(data, length);
// output (array)
// [3.4, 4.92]

Weighted Moving Average (WMA)

var data = [69, 68, 66, 70, 68];
var length = 4; // default = 14
ta.wma(data, length);
// output (array)
// [68.3, 68.2]

Wilder's Smoothing Moving Average

var data = [1, 2, 3, 4, 5, 6, 10];
var length = 6; // default = 14
ta.wsma(data, length);
// output (array)
// [3.5, 4.58]

Parabolic Weighted Moving Average

var data = [17, 26, 23, 29, 20];
var length = 4; // default = 14
ta.pwma(data, length);
// output (array)
// [24.09, 25.18]

Hyperbolic Weighted Moving Average

var data = [54, 51, 86, 42, 47];
var length = 4; // default = 14
ta.hwma(data, length);
// output (array)
// [56.2, 55.0]

Hull Moving Average

var data = [6, 7, 5, 6, 7, 4, 5, 7];
var length = 6; // default = 14
ta.hull(data, length);
// output (array)
// [4.76, 5.48]

Kaufman Adaptive Moving Average (KAMA)

var data = [8, 7, 8, 9, 7, 9];
var length1 = 2; // default = 10
var length2 = 4; // default = 2
var length3 = 8; // default = 30
ta.kama(data, length1, length2, length3);
// output (array)
// [8, 8.64, 8.57, 8.57]

Volume Weighted Moving Average (VWMA)

var data = [[1, 59], [1.1, 82], [1.21, 27], [1.42, 73], [1.32, 42]]; // [price, volume (quantity)]
var length = 4; // default = 20
ta.vwma(data, length);
// output (array)
// [1.185, 1.259]

Exponential Moving Average (EMA)

var data = [1, 2, 3, 4, 5, 6, 10];
var length = 6; // default = 12
ta.ema(data, length);
// output (array)
// [3.5, 5.357]

Least Squares Moving Average (LSMA)

var data = [5, 6, 6, 3, 4, 6, 7];
var length = 6; // default = 25
ta.lsma(data, length);
// output (array)
// [4.714, 5.761]

Moving Average Convergence / Divergence (MACD)

var data = [1, 2, 3, 4, 5, 6, 14];
var length1 = 3; // default = 12
var length2 = 6; // default = 26
ta.macd(data, length1, length2);
// output (array)
// [1.5, 3]

Relative Strength Index (RSI)

var data = [1, 2, 3, 4, 5, 6, 7, 5];
var length = 6; // default = 14
ta.rsi(data, length);
// output (array)
// [100.0, 100.0, 66.667]

Wilder's Relative Strength Index

var data = [1, 2, 3, 4, 5, 6, 7, 5, 6];
var length = 6; // default = 14
ta.wrsi(data, length);
// output (array)
// [100, 71.43, 75.61]

True Strength Index (TSI)

var data = [1.32, 1.27, 1.42, 1.47, 1.42, 1.45, 1.59];
var longlength = 3; // default = 25
var shortlength = 2; // default = 13
var signallength = 2; // default = 13
ta.tsi(data, longlength, shortlength, signallength);
// output (array)
// [[0.327, 0.320], [0.579, 0.706]]
// [strength line, signal line]

Balance Of Power

var data = [[4, 5, 4, 5], [5, 6, 5, 6], [6, 8, 5, 6]]; // [open, high, low, close]
var length = 2; // default = 14
ta.bop(data, length);
// output (array)
// [1, 0.5]

Force Index

var data = [[1.4, 200], [1.5, 240], [1.1, 300], [1.2, 240], [1.5, 400]]; // [close, volume]
var length = 4; // default = 13
ta.fi(data, length);
// output (array)
// [0.0075]

Accumulative Swing Index

var data = [[7, 6, 4], [9, 7, 5], [9, 8, 6]]; // [high, close, low]
ta.asi(data);
// output (array)
// [0, -12.5]

Awesome Oscillator

var data = [[6, 5], [8, 6], [7, 4], [6, 5], [7, 6], [9, 8]]; // [high, low]
var shortlength = 2; // default = 5
var longlength = 5; // default = 35
ta.ao(data, shortlength, longlength);
// output (array)
// [0, 0.9]

Williams %R

var data = [2, 1, 3, 1, 2];
var length = 4; // default = 14
ta.pr(data, length);
// output (array)
// [-0, -100, -50]

Stochastics

var data = [[3,2,1], [2,2,1], [4,3,1], [2,2,1]]; // [high, close, low]
var length = 2; // default = 14
var smoothd = 1; // default = 3
var smoothk = 1; // default = 3
ta.stoch(data, length, smoothd, smoothk);
// output (array)
// [[66.667, 66.667], [33.336, 33.336]]
// [kline, dline]

Variance

var data = [6, 7, 2, 3, 5, 8, 6, 2];
var length = 7; // default = data.length
ta.variance(data, length);
// output (array)
// [3.918, 5.061]

Standard Deviation

var data = [1, 2, 3];
var length = 3; // default = data.length
ta.std(data, length);
// output (float)
// 0.81649658092773

Inverse Normal Distribution

var data = 0.4732;
ta.normsinv(data);
// output (float)
// -0.06722824471054376

Monte Carlo Simulation

var data = [6, 4, 7, 8, 5, 6];
var length = 2; // default = 50
var simulations = 100; // default = 1000
var percentile = 0.5; // default = undefined (returns all raw simulations)
ta.sim(data, length, simulations, percentile);
// output (array)
// [6, 4, 7, 8, 5, 6, 5.96, 5.7]

Correlation

var data1 = [1, 2, 3, 4, 5, 2];
var data2 = [1, 3, 2, 4, 6, 3];
ta.cor(data1, data2);
// output (float)
// 0.8808929232684737

Percentage Difference

var newval = 0.75;
var oldval = 0.5;
ta.dif(newval, oldval);
// output (float)
// 0.5

Median

var data = [4, 6, 3, 1, 2, 5];
var length = 4; // default = data.length
ta.median(data, length);
// output (array)
// [3, 2, 2]

K-means Clustering

var data = [2, 3, 4, 5, 3, 5, 7, 8, 6, 8, 6, 4, 2, 6];
var length = 4;
ta.kmeans(data, length);
// output (array)
// [[ 4, 5, 5, 4 ], [ 7, 6, 6, 6 ], [ 8, 8 ], [ 2, 3, 3, 2 ]]

Normalize

var data = [5,4,9,4];
var margin = 0.1; // margin % (default = 0)
ta.normalize(data, margin);
// output (array)
// [0.22, 0.06, 0.86, 0.06]

Denormalize

var data = [5,4,9,4]; // original data || [highest, lowest]
var norm = [0.22, 0.06, 0.86, 0.06, 0.44]; // normalized data
var margin = 0.1; // margin % (default = 0)
ta.denormalize(data, norm, margin);
// output (array)
// [5 ,4, 9, 4, 6.4]

Median Absolute Deviation

var data = [3, 7, 5, 4, 3, 8, 9];
var length = 6; // default = data.length
ta.mad(data, length);
// output (array)
// [1, 2]

Average Absolute Deviation

var data = [4, 6, 8, 6, 8, 9, 10, 11];
var length = 7; // default = data.length
ta.aad(data, length);
// output (array)
// [1.673, 1.468]

Sum Squared Differences

var data = [7, 6, 5, 7, 9, 8, 3, 5, 4];
var length = 7; // default = data.length
ta.ssd(data, length);
// output (array)
// [4.869, 4.986]

Bollinger Bands

var data = [1, 2, 3, 4, 5, 6];
var length = 5; // default = 14
var deviations = 2; // default = 1
ta.bands(data, length, deviations);
// output (array)
// [[5.828, 3, 0.172], [6.828, 4, 1.172]]
// [upper band, middle band, lower band]

Bollinger Bandwidth

var data = [1, 2, 3, 4, 5, 6];
var length = 5; // default = 14
var deviations = 2; // default = 1
ta.bandwidth(data, length, deviations);
// output (array)
// [1.886, 1.344]

Keltner Channels

var data = [[3,2,1], [2,2,1], [4,3,1], [2,2,1], [3,3,1]]; // [high, close, low]
var length = 5; // default = 14
var deviations = 1; // default = 1
ta.keltner(data, length, deviations);
// output (array)
// [[3.93, 2.06, 0.20]]
// [upper band, middle band, lower band]

Donchian Channels

var data = [[6, 2], [5, 2], [5, 3], [6, 3], [7, 4], [6, 3]]; // [high, low]
var length = 5; // default = 20
ta.don(data, length);
// output (array)
// [[7, 4.5, 2], [7, 4.5, 2]]
// [upper band, base line, lower band]

Ichimoku Cloud

var data = [[6, 3, 2], [5, 4, 2], [5, 4, 3], [6, 4, 3], [7, 6, 4], [6, 5, 3]]; // [high, close, low]
var length1 = 9; // default = 9
var length2 = 26; // default = 26
var length3 = 52; // default = 52
var displacement = 26; // default = 26
ta.ichimoku(data, length1, length2, length3, displacement);
// output (array)
// [conversion line, base line, leading span A, leading span B, lagging span]

Average True Range (ATR)

var data = [[3,2,1], [2,2,1], [4,3,1], [2,2,1]]; // [high, close, low]
var length = 3; // default = 14
ta.atr(data, length);
// output (array)
// [2, 1.667, 2.111, 1.741]

Aroon Up

var data = [5, 4, 5, 2];
var length = 3; // default = 10
ta.aroon_up(data, length);
// output (array)
// [66.67, 33.36]

Aroon Down

var data = [2, 5, 4, 5];
var length = 3; // default = 10
ta.aroon_down(data, length);
// output (array)
// [66.67, 33.36]

Aroon Oscillator

var data = [2, 5, 4, 5];
var length = 3; // default = 25
ta.aroon_osc(data, length);
// output (array)
// [-33.36, 33.36]

Money Flow Index

var data = [[19, 13], [14, 38], [21, 25], [32, 17]]; // [buy volume, sell volume]
var length = 3; // default = 14
ta.mfi(data, length);
// output (array)
// [41.54, 45.58]

Rate Of Change

var data = [1, 2, 3, 4];
var length = 3; // default = 14
ta.roc(data, length);
// output (array)
// [2, 1]

Coppock Curve

var data = [3, 4, 5, 3, 4, 5, 6, 4, 7, 5, 4, 7, 5];
var length1 = 4; // (ROC period 1) default = 11
var length2 = 6; // (ROC period 2) default = 14
var length3 = 5; // (WMA smoothing period) default = 10
ta.cop(data, length1, length2, length3);
// output (array)
// [0.376, 0.237]

Know Sure Thing

var data = [8, 6, 7, 6, 8, 9, 7, 5, 6, 7, 6, 8, 6, 7, 6, 8, 9, 9, 8, 6, 4, 6, 5, 6, 7, 8, 9];
// roc sma #1
var r1 = 5; // default = 10
var s1 = 5; // default = 10
// roc sma #2
var r2 = 7; // default = 15
var s2 = 5; // default = 10
// roc sma #3
var r3 = 10; // default = 20
var s3 = 5; // default = 10
// roc sma #4
var r4 = 15; // default = 30
var s4 = 7; // default = 15
// signal line
var sig = 4; // default = 9
ta.kst(data, r1, r2, r3, r4, s1, s2, s3, s4, sig);
// output (array)
// [[-0.68, -0.52], [-0.29, -0.58]]
// [kst line, signal line]

On-Balance Volume

var data = [[25200, 10], [30000, 10.15], [25600, 10.17], [32000, 10.13]]; // [asset volume, close price]
ta.obv(data);
// output (array)
// [0, 30000, 55600, 23600]

Volume-Weighted Average Price

var data = [[127.21, 89329], [127.17, 16137], [127.16, 23945]]; // [average price, volume (quantity)]
var length = 2; // default = data.length
ta.vwap(data, length);
// output (array)
// [127.204, 127.164]

Chande Momentum Oscillator

var data = [1, 1.2, 1.3, 1.3, 1.2, 1.4];
var length = 4; // default = 9
ta.mom_osc(data, length);
// output (array)
// [31.6, -31.6]

Momentum

var data = [1, 1.1, 1.2, 1.24, 1.34];
var length = 4; // default = 10
var percentage = false; // default = false (true returns percentage)
ta.mom(data, length, percentage);
// output (array)
// [0.24, 0.24]

Heikin Ashi

var data = [[3, 4, 2, 3], [3, 6, 3, 5], [5, 5, 2, 3]]; // [open, high, low, close]
ta.ha(data);
// output (array)
// [open, high, low, close]
// first 7-10 candles are unreliable

Renko

var data = [[8, 6], [9, 7], [9, 8]]; // [high, low]
var bricksize = 3;
ta.ren(data, bricksize);
// output (array)
// [open, high, low, close]

Contributing

Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.

Please make sure to update tests as appropriate.

License

MIT