Technical analysis math

Well tested library for calculating technical indicators and overlays. You can choose format of price data from provider and library will return result. It distributed with Typescript, ES6 and ES5.

Check example with plotly library, ccxt data provider and BTC prices from Binance exchange.

Technical Overlays

Function	Technical Overlay	Tested	Developed by	Year
bb	Bollinger Band	✔️️	John Bollinger	1980s
dema	Double Exponential Moving Average	️ ✔️️	Patrick Mulloy	1994
ema	Exponential Moving Average	✔️️
ebb	Exponential Bollinger Band	✔️️	Based on Welford's
keltner	Keltner Channels	✔️️	Chester Keltner	1960
psar	Parabolic SAR		Welles Wilder	1978
sma	Simple Moving Average	✔️️
tema	Triple Exponential Moving Average	️ ✔️️	Patrick Mulloy	1994
vbp	Volume by Price	✔️️
vwap	Volume Weighted Average Price	✔️️	James Elkins	1984
zigzag	ZigZag Indicator	✔️️	Arthur Merrill	1977

Technical Indicators

Function	Technical Indicator	Tested	Developed by	Year
adl	Accumulation / Distribution line	✔️	Marc Chaikin	1970s
atr	Average True Range	✔️	Welles Wilder	1978
adx	Average Directional Index	✔️	Welles Wilder	1978
bbp	Bollinger Bands Percent Bandwidth %B	👌
cci	Commodity Channel Index	✔️	Donald Lambert	1980
cho	Chaikin Oscillator	👌	Marc Chaikin
expdev	Exponential Weighted Deviation	✔️
fi	Force Index	✔️
kst	Know Sure Thing	✔️
macd	Moving Average Convergence/Divergence	✔️	Gerald Appel	1979
madev	Mean Absolute Deviation	✔️
mfi	Money Flow Index (volume-weighted RSI)	✔️	Gene Quong and Avrum Soudack	1989
obv	On Balance Volume	✔️	Joseph Granville	1963
roc	Rate-of-Change	✔️
rsi	Relative Strength Index	✔️	Welles Wilder	1978
stdev	Standard Deviation	✔️️
stoch	Stochastic Oscillator (Slow/Fast/Full)	✔️	George Lane	1950s
stochRsi	Combines Stochastics with the RSI	✔️	Welles Wilder	1994
vi	Vortex Indicator	✔️	Etienne Botes and Douglas Siepman	2010
williams	Williams %R	✔️

Error methods

Function	Error methods	Tested
mae	Mean Absolute Error	✔️
mape	Mean Absulute Percentage Error	✔️
nrmse	Normalized Root-Mean-Square Error	✔️
rmse	Root-Mean-Square Error	✔️

Price transformations

Function	Price transformation	Tested
trueRange	True Range	✔️
typicalPrice	Typical Price	✔️

Statistical methods

Function	Statistical methods	Tested
cov	Covariation	✔️
cor	Correlation	✔️
mean	Mean (Average)	✔️
sd	Standard deviation	✔️

Correlation matrix

Usage

  const ohlcv = [[t,o,h,l,c,v], [t2,o2,h2,l2,c2,v2],  ...  ,[tN,oN,hN,lN,cN,vN]];
  const ta = new TA(ohlcv, TA.exchangeFormat);
  const emaShort = ta.ema(10);
  const emaLong = ta.ema(21);
  const bband = ta.bb(15, 2);
  const bbUpper = bband.upper;
  const bbLower = bband.lower;
  const smaOpenPrice = TA.sma(ta.$open);

Installation

Install npm package npm i ta-math or add ta-math.js script file on web page.

2do list

Contributing

Feel free to contribute. Here reference how to implement new indicators. There are test samples in the .xls files, also you can generate testing data with 'generator.py' file. To convert columns into rows in .xls you can use this tool.

raja3c/ta-math