fix: Align MACD results with Tulip Indicators (#171)

README.md

@@ -1,6 +1,6 @@
 # Trading Signals
 
-![Language Details](https://img.shields.io/github/languages/top/bennyn/trading-signals) ![Code Coverage](https://img.shields.io/codecov/c/github/bennyn/trading-signals/main) ![License](https://img.shields.io/npm/l/trading-signals.svg) ![Package Version](https://img.shields.io/npm/v/trading-signals.svg) ![Dependency Updates](https://img.shields.io/david/bennyn/trading-signals.svg)
+![Language Details](https://img.shields.io/github/languages/top/bennycode/trading-signals) ![Code Coverage](https://img.shields.io/codecov/c/github/bennycode/trading-signals/main) ![License](https://img.shields.io/npm/l/trading-signals.svg) ![Package Version](https://img.shields.io/npm/v/trading-signals.svg) ![Dependency Updates](https://img.shields.io/david/bennycode/trading-signals.svg)
 
 Technical indicators and overlays to run technical analysis with JavaScript / TypeScript.
 
@@ -52,9 +52,14 @@ console.log(sma.getResult().valueOf()); // "20"
 console.log(sma.getResult().toFixed(2)); // "20.00"
 ```
 
+## Alternatives
+
+- [Tulip Indicators [ANSI C]](https://github.com/TulipCharts/tulipindicators)
+- [Pandas TA [Python]](https://github.com/twopirllc/pandas-ta)
+
 ## Maintainers
 
-[![Benny Neugebauer on Stack Exchange][stack_exchange_bennyn_badge]][stack_exchange_bennyn_url]
+[![Benny Neugebauer on Stack Exchange][stack_exchange_bennycode_badge]][stack_exchange_bennycode_url]
 
 ## Contributing
 
@@ -76,5 +81,5 @@ If you like this project, you might also like these related projects:
 - [**binance-api-node**](https://github.com/Ashlar/binance-api-node), Heavily tested and Promise-based Binance API.
 
 [1]: http://mikemcl.github.io/big.js/
-[stack_exchange_bennyn_badge]: https://stackexchange.com/users/flair/203782.png?theme=default
-[stack_exchange_bennyn_url]: https://stackexchange.com/users/203782/benny-neugebauer?tab=accounts
+[stack_exchange_bennycode_badge]: https://stackexchange.com/users/flair/203782.png?theme=default
+[stack_exchange_bennycode_url]: https://stackexchange.com/users/203782/benny-neugebauer?tab=accounts

src/MACD/MACD.test.ts

@@ -1,31 +1,60 @@
 import {MACD} from './MACD';
 import Big from 'big.js';
-
-import prices from '../test/fixtures/prices.json';
-import results from '../test/fixtures/MACD/results.json';
-import {NotEnoughDataError} from '../error';
+import {DEMA, EMA, NotEnoughDataError} from '..';
 
 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();
+    it('is compatible with values from "Tulip Indicators (TI)"', () => {
+      /** @see https://tulipindicators.org/macd */
+      const inputs = [
+        81.59,
+        81.06,
+        82.87,
+        83.0,
+        83.61,
+        83.15,
+        82.84,
+        83.99,
+        84.55,
+        84.36,
+        85.53,
+        86.54,
+        86.89,
+        87.77,
+        87.29,
+      ];
+      const expectedMacds = [
+        undefined,
+        undefined,
+        undefined,
+        undefined,
+        '0.62',
+        '0.35',
+        '0.11',
+        '0.42',
+        '0.58',
+        '0.42',
+        '0.68',
+        '0.93',
+        '0.89',
+        '0.98',
+        '0.62',
+      ];
+      const indicator = new MACD({longInterval: 5, shortInterval: 2, signalInterval: 9, indicator: EMA});
 
-        const resMACD = new Big(results.macd[index]);
-        const resSignal = new Big(results.signal[index]);
-        const resDiff = new Big(results.diff[index]);
+      for (const [index, input] of Object.entries(inputs)) {
+        indicator.update(input);
 
-        expect(macd.toPrecision(12)).toEqual(resMACD.toPrecision(12));
-        expect(signal.toPrecision(12)).toEqual(resSignal.toPrecision(12));
-        expect(diff.toPrecision(12)).toEqual(resDiff.toPrecision(12));
-      });
+        const expectedMacd = expectedMacds[parseInt(index, 10)];
+        if (expectedMacd !== undefined) {
+          const {macd} = indicator.getResult();
+          expect(macd.toFixed(2)).toBe(expectedMacd);
+        }
+      }
     });
 
     it('throws an error when there is not enough input data', () => {
-      const macd = new MACD({longInterval: 26, shortInterval: 12, signalInterval: 9, useDEMA: true});
+      const macd = new MACD({longInterval: 26, shortInterval: 12, signalInterval: 9, indicator: DEMA});
 
       try {
         macd.getResult();
@@ -39,7 +68,7 @@ describe('MACD', () => {
   describe('isStable', () => {
     it('knows when it can return reliable data', () => {
       const longInterval = 18;
-      const macd = new MACD({longInterval, shortInterval: 9, signalInterval: 9, useDEMA: false});
+      const macd = new MACD({longInterval, shortInterval: 9, signalInterval: 9, indicator: EMA});
 
       const mockedPrices = [
         new Big('0.00019040'),

src/MACD/MACD.ts

@@ -3,14 +3,14 @@ import Big, {BigSource} from 'big.js';
 import {DEMA, NotEnoughDataError} from '..';
 
 export type MACDConfig = {
+  indicator: typeof EMA | typeof DEMA;
   longInterval: number;
   shortInterval: number;
   signalInterval: number;
-  useDEMA: boolean;
 };
 
 export type MACDResult = {
-  diff: Big;
+  histogram: Big;
   macd: Big;
   signal: Big;
 };
@@ -24,9 +24,9 @@ export class MACD {
   private result: MACDResult | undefined;
 
   constructor(private readonly config: MACDConfig) {
-    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);
+    this.long = new config.indicator(config.longInterval);
+    this.short = new config.indicator(config.shortInterval);
+    this.signal = new config.indicator(config.signalInterval);
   }
 
   get isStable(): boolean {
@@ -54,13 +54,15 @@ export class MACD {
      */
     this.signal.update(diff);
 
+    const signal = this.signal.getResult();
+
     /**
      * 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(),
+      histogram: diff.sub(signal),
+      macd: diff,
+      signal,
     };
 
     this.age++;