feat: Add Moving Average Convergence Divergence (MACD) indicator (#7)

README.md

@@ -11,6 +11,7 @@ Provide a TypeScript implementation for common technical indicators with arbitra
 1. Double Exponential Moving Average (DEMA)
 1. Double Moving Average (DMA)
 1. Exponential Moving Average (EMA)
+1. Moving Average Convergence Divergence (MACD)
 1. Rate-of-Change (ROC)
 1. Relative Strength Index (RSI)
 1. Simple Moving Average (SMA)

package.json

@@ -42,6 +42,7 @@
     "ema",
     "exponential-moving-average",
     "indicator",
+    "macd",
     "moving-average",
     "roc",
     "rsi",

src/DMA/DMA.ts

@@ -1,6 +1,8 @@
 import Big, {BigSource} from 'big.js';
 import {SMA} from '..';
 
+export type DMAResult = {long: Big; short: Big};
+
 export class DMA {
   public readonly long: SMA;
   public readonly short: SMA;
@@ -17,7 +19,7 @@ export class DMA {
     this.long.update(price);
   }
 
-  getResult(): {long: Big; short: Big} {
+  getResult(): DMAResult {
     return {
       long: this.long.getResult(),
       short: this.short.getResult(),

src/MACD/MACD.test.ts

@@ -0,0 +1,66 @@
+import {MACD} from './MACD';
+import Big from 'big.js';
+
+import prices from '../test/fixtures/prices.json';
+import results from '../test/fixtures/MACD/results.json';
+
+describe('MACD', () => {
+  describe('getResult', () => {
+    it('calculates MACD diff, signal & result with 12/26/9', () => {
+      const indicator = new MACD({longInterval: 26, shortInterval: 12, signalInterval: 9, useDEMA: false});
+      prices.forEach((price, index) => {
+        indicator.update(new Big(price));
+
+        const {macd, signal, diff} = indicator.getResult();
+
+        const resMACD = new Big(results.macd[index]);
+        const resSignal = new Big(results.signal[index]);
+        const resDiff = new Big(results.diff[index]);
+
+        expect(macd.toPrecision(12)).toEqual(resMACD.toPrecision(12));
+        expect(signal.toPrecision(12)).toEqual(resSignal.toPrecision(12));
+        expect(diff.toPrecision(12)).toEqual(resDiff.toPrecision(12));
+      });
+    });
+
+    it('throws an error when there is not enough input data', () => {
+      const indicator = new MACD({longInterval: 26, shortInterval: 12, signalInterval: 9, useDEMA: true});
+      expect(() => indicator.getResult()).toThrowError();
+    });
+  });
+
+  describe('isStable', () => {
+    it('knows when it can return reliable data', () => {
+      const longInterval = 18;
+      const indicator = new MACD({longInterval, shortInterval: 9, signalInterval: 9, useDEMA: false});
+
+      const mockedPrices = [
+        new Big('0.00019040'),
+        new Big('0.00019071'),
+        new Big('0.00019198'),
+        new Big('0.00019220'),
+        new Big('0.00019214'),
+        new Big('0.00019205'),
+        new Big('0.00019214'),
+        new Big('0.00019222'),
+        new Big('0.00019144'),
+        new Big('0.00019128'),
+        new Big('0.00019159'),
+        new Big('0.00019143'),
+        new Big('0.00019199'),
+        new Big('0.00019214'),
+        new Big('0.00019119'),
+        new Big('0.00019202'),
+        new Big('0.00019220'),
+        new Big('0.00019207'),
+      ];
+
+      expect(mockedPrices.length).toBe(longInterval);
+      expect(indicator.isStable()).toBe(false);
+
+      mockedPrices.forEach(price => indicator.update(price));
+
+      expect(indicator.isStable()).toBe(true);
+    });
+  });
+});

src/MACD/MACD.ts

@@ -0,0 +1,80 @@
+import {EMA} from '../EMA/EMA';
+import Big, {BigSource} from 'big.js';
+import {DEMA} from '..';
+
+export type MACDConfig = {
+  longInterval: number;
+  shortInterval: number;
+  signalInterval: number;
+  useDEMA: boolean;
+};
+
+export type MACDResult = {
+  diff: Big;
+  macd: Big;
+  signal: Big;
+};
+
+export class MACD {
+  private readonly long: EMA | DEMA;
+  private readonly short: EMA | DEMA;
+  private readonly signal: EMA | DEMA;
+
+  private readonly config: any;
+  private age: number = 0;
+
+  private result: MACDResult | undefined;
+
+  constructor(config: MACDConfig) {
+    this.config = config;
+
+    this.long = config.useDEMA ? new DEMA(config.longInterval) : new EMA(config.longInterval);
+    this.short = config.useDEMA ? new DEMA(config.shortInterval) : new EMA(config.shortInterval);
+    this.signal = config.useDEMA ? new DEMA(config.signalInterval) : new EMA(config.signalInterval);
+  }
+
+  isStable(): boolean {
+    return this.age >= this.config.longInterval;
+  }
+
+  update(_price: BigSource): void {
+    const price = new Big(_price);
+
+    this.short.update(price);
+    this.long.update(price);
+
+    const shortEMA = this.short.getResult();
+    const longEMA = this.long.getResult();
+
+    /**
+     * Standard MACD is the short (usually 12 periods) EMA less the long (usually 26 periods) EMA. Closing prices are
+     * used to form the moving averages.
+     */
+    const diff = shortEMA.sub(longEMA);
+
+    /**
+     * A short (usually 9 periods) EMA of MACD is plotted along side to act as a signal line to identify turns in the
+     * indicator.
+     */
+    this.signal.update(diff);
+
+    /**
+     * The MACD-Histogram represents the difference between MACD and its 9-day EMA, the signal line.
+     */
+    this.result = {
+      diff: diff,
+      macd: diff.sub(this.signal.getResult()),
+      signal: this.signal.getResult(),
+    };
+
+    this.age++;
+  }
+
+  getResult(): MACDResult {
+    if (!this.result) {
+      throw Error('Not enough input data');
+    }
+
+    return this.result;
+  }
+}

src/index.ts

@@ -1,6 +1,7 @@
 export * from './DEMA/DEMA';
 export * from './DMA/DMA';
 export * from './EMA/EMA';
+export * from './MACD/MACD';
 export * from './ROC/ROC';
 export * from './RSI/RSI';
 export * from './SMA/SMA';

src/test/fixtures/MACD/results.json

@@ -0,0 +1,125 @@
+{
+  "macd": [
+    0,
+    -3.6376068376068362,
+    -2.4639072734799217,
+    -5.031340295620034,
+    -5.521802745494824,
+    -6.076152724792792,
+    -3.053848272963074,
+    0.33568310636747434,
+    2.9473056543174314,
+    -1.7093100949105917,
+    0.8774837070937913,
+    2.1231125756183227,
+    2.585623647541957,
+    -1.5571775822256484,
+    1.0154188470421683,
+    1.8525149219271597,
+    -0.42461879714695083,
+    0.3167899361939739,
+    -0.7270321370494885,
+    -3.3439676735158663,
+    -4.504658691176687,
+    -4.107132512783021,
+    -1.6595236920538383,
+    -1.7529125979171347,
+    0.7180893397975616,
+    1.8572538942113148,
+    -0.07210193668202258,
+    3.4517711329096086,
+    5.350885446717413,
+    6.247517316069724,
+    7.3480176240854345,
+    1.5457357005888681,
+    2.1198449676882127,
+    -2.0235768893083987,
+    -2.839360636962912,
+    -4.3281862834160645,
+    0.2946340051329588,
+    1.6766181261237905,
+    -1.2825765539962966
+  ],
+  "signal": [
+    -0.00000000000000162,
+    -0.9094017094017091,
+    -1.5253785277716898,
+    -2.7832136016766986,
+    -4.163664288050406,
+    -5.6827024692486034,
+    -6.446164537489373,
+    -6.362243760897504,
+    -5.625417347318147,
+    -6.052744871045796,
+    -5.833373944272349,
+    -5.30259580036777,
+    -4.65618988848228,
+    -5.045484284038693,
+    -4.791629572278152,
+    -4.328500841796362,
+    -4.4346555410831,
+    -4.355458057034607,
+    -4.537216091296979,
+    -5.373208009675945,
+    -6.499372682470117,
+    -7.526155810665873,
+    -7.941036733679333,
+    -8.379264883158616,
+    -8.199742548209226,
+    -7.735429074656398,
+    -7.753454558826904,
+    -6.890511775599502,
+    -5.55279041392015,
+    -3.990911084902719,
+    -2.153906678881361,
+    -1.767472753734144,
+    -1.2375115118120907,
+    -1.7434057341391904,
+    -2.4532458933799184,
+    -3.535292464233935,
+    -3.4616339629506956,
+    -3.0424794314197485,
+    -3.363123569918823
+  ],
+  "diff": [
+    -0.00000000000000162,
+    -4.547008547008545,
+    -3.9892858012516115,
+    -7.814553897296733,
+    -9.68546703354523,
+    -11.758855194041395,
+    -9.500012810452446,
+    -6.02656065453003,
+    -2.678111693000716,
+    -7.762054965956388,
+    -4.955890237178558,
+    -3.179483224749447,
+    -2.070566240940323,
+    -6.6026618662643415,
+    -3.776210725235984,
+    -2.4759859198692027,
+    -4.859274338230051,
+    -4.038668120840633,
+    -5.264248228346467,
+    -8.717175683191812,
+    -11.004031373646804,
+    -11.633288323448895,
+    -9.600560425733171,
+    -10.13217748107575,
+    -7.4816532084116645,
+    -5.8781751804450835,
+    -7.825556495508927,
+    -3.4387406426898934,
+    -0.20190496720273643,
+    2.256606231167005,
+    5.1941109452040735,
+    -0.2217370531452758,
+    0.8823334558761218,
+    -3.766982623447589,
+    -5.29260653034283,
+    -7.863478747649999,
+    -3.166999957817737,
+    -1.365861305295958,
+    -4.64570012391512
+  ]
+}