feat: Add Acceleration Bands (ABANDS) indicator

.eslintrc.json

@@ -35,7 +35,7 @@
     "@typescript-eslint/no-floating-promises": "error",
     "@typescript-eslint/no-namespace": "error",
     "@typescript-eslint/no-this-alias": "error",
-    "@typescript-eslint/no-unused-vars": "error",
+    "@typescript-eslint/no-unused-vars": ["error", {"argsIgnorePattern": "^_"}],
     "@typescript-eslint/prefer-for-of": "off",
     "@typescript-eslint/prefer-readonly": "error",
     "@typescript-eslint/typedef": "off",

README.md

@@ -16,9 +16,10 @@ Provide a TypeScript implementation for common technical indicators with arbitra
 
 ## Supported Indicators
 
+1. Acceleration Bands (ABANDS)
 1. Average Directional Index (ADX)
 1. Average True Range (ATR)
-1. Bollinger Bands (BB)
+1. Bollinger Bands (BBANDS)
 1. Double Exponential Moving Average (DEMA)
 1. Double Moving Average (DMA)
 1. Exponential Moving Average (EMA)

src/BANDS/AccelerationBands.test.ts

@@ -0,0 +1,73 @@
+import {AccelerationBands} from './AccelerationBands';
+import {NotEnoughDataError} from '../error';
+import {SMA} from '../SMA/SMA';
+import {EMA} from '../EMA/EMA';
+
+describe('AccelerationBands', () => {
+  describe('constructor', () => {
+    it('works with different kinds of indicators', () => {
+      const accBandsWithSMA = new AccelerationBands(20, 2, SMA);
+      const accBandsWithEMA = new AccelerationBands(20, 2, EMA);
+      expect(accBandsWithSMA).toBeDefined();
+      expect(accBandsWithEMA).toBeDefined();
+    });
+  });
+
+  describe('getResult', () => {
+    it('returns upper, middle and lower bands', () => {
+      const accBands = new AccelerationBands(20, 4);
+      // Test data from: https://github.com/QuantConnect/Lean/blob/master/Tests/TestData/spy_acceleration_bands_20_4.txt
+      const candles: number[][] = [
+        [196.25, 198.05, 194.96, 195.55],
+        [192.88, 193.86, 191.61, 192.59],
+        [195.97, 197.61, 195.17, 197.43],
+        [199.32, 199.47, 194.35, 194.79],
+        [194.5, 197.22, 194.25, 195.85],
+        [195.32, 196.82, 194.53, 196.74],
+        [196.95, 197.01, 195.43, 196.01],
+        [196.59, 198.99, 195.96, 198.46],
+        [198.82, 200.41, 198.41, 200.18],
+        [199.96, 202.89, 199.28, 199.73],
+        [195.74, 198.68, 194.96, 195.45],
+        [196.45, 197.68, 195.21, 196.46],
+        [193.9, 194.46, 192.56, 193.91],
+        [194.13, 194.67, 192.91, 193.6],
+        [192.13, 193.45, 190.56, 192.9],
+        [194.61, 195, 191.81, 192.85],
+        [191.75, 191.91, 187.64, 188.01],
+        [188.24, 189.74, 186.93, 188.12],
+        [190.4, 191.83, 189.44, 191.63],
+        [192.03, 192.49, 189.82, 192.13],
+      ];
+
+      candles.forEach(([_, high, low, close]) => {
+        accBands.update(high, low, close);
+      });
+
+      let result = accBands.getResult();
+
+      expect(result.lower.toFixed(4)).toBe('187.6891');
+      expect(result.middle.toFixed(4)).toBe('194.6195');
+      expect(result.upper.toFixed(4)).toBe('201.8016');
+
+      accBands.update(195.03, 189.12, 195);
+
+      result = accBands.getResult();
+
+      expect(result.lower.toFixed(4)).toBe('187.1217');
+      expect(result.middle.toFixed(4)).toBe('194.5920');
+      expect(result.upper.toFixed(4)).toBe('201.9392');
+    });
+
+    it('throws an error when there is not enough input data', () => {
+      const accBands = new AccelerationBands(20, 2);
+
+      try {
+        accBands.getResult();
+        fail('Expected error');
+      } catch (error) {
+        expect(error).toBeInstanceOf(NotEnoughDataError);
+      }
+    });
+  });
+});

src/BANDS/AccelerationBands.ts

@@ -0,0 +1,63 @@
+import {SMA} from '../SMA/SMA';
+import {EMA} from '../EMA/EMA';
+import Big, {BigSource} from 'big.js';
+import {NotEnoughDataError} from '../error';
+import {BandsResult} from './BandsResult';
+
+export class AccelerationBands {
+  private readonly lowerBand: EMA | SMA;
+  private readonly middleBand: EMA | SMA;
+  private readonly upperBand: EMA | SMA;
+  private readonly width: Big;
+
+  /**
+   * Acceleration Bands
+   *
+   * @param period The period of the three moving average (middle, upper and lower band)
+   * @param width A coefficient specifying the distance between the middle band and upper or lower bands
+   * @param Indicator Which indicator (EMA, SMA) to use
+   *
+   * @see https://www.tradingtechnologies.com/xtrader-help/x-study/technical-indicator-definitions/acceleration-bands-abands/
+   * @see https://www.motivewave.com/studies/acceleration_bands.htm
+   * @see https://github.com/QuantConnect/Lean/blob/master/Indicators/AccelerationBands.cs
+   * @see https://github.com/twopirllc/pandas-ta/blob/master/pandas_ta/volatility/accbands.py
+   */
+  constructor(period: number, width: number, Indicator: typeof EMA | typeof SMA = SMA) {
+    this.lowerBand = new Indicator(period);
+    this.middleBand = new Indicator(period);
+    this.upperBand = new Indicator(period);
+    this.width = new Big(width);
+  }
+
+  get isStable(): boolean {
+    try {
+      this.middleBand.getResult();
+      return true;
+    } catch (error) {
+      return false;
+    }
+  }
+
+  update(high: BigSource, low: BigSource, close: BigSource): void {
+    const coefficient = this.width.mul(new Big(high).minus(low).div(new Big(high).plus(low)));
+
+    // (Low * (1 - 4 * (High - Low)/ (High + Low)))
+    this.lowerBand.update(new Big(low).mul(new Big(1).minus(coefficient)));
+    // (Close)
+    this.middleBand.update(close);
+    // (High * ( 1 + 4 * (High - Low) / (High + Low)))
+    this.upperBand.update(new Big(high).mul(new Big(1).plus(coefficient)));
+  }
+
+  getResult(): BandsResult {
+    if (!this.isStable) {
+      throw new NotEnoughDataError();
+    }
+
+    return {
+      lower: this.lowerBand.getResult(),
+      middle: this.middleBand.getResult(),
+      upper: this.upperBand.getResult(),
+    };
+  }
+}

src/BANDS/BandsResult.ts

@@ -0,0 +1,7 @@
+import Big from 'big.js';
+
+export interface BandsResult {
+  lower: Big;
+  middle: Big;
+  upper: Big;
+}

src/BB/BollingerBands.ts → src/BANDS/BollingerBands.ts

@@ -2,19 +2,14 @@ import Big, {BigSource} from 'big.js';
 import {SMA} from '../SMA/SMA';
 import {NotEnoughDataError} from '../error';
 import {MathAnalysis} from '../util';
-
-export type BollingerBandsResult = {
-  lower: Big;
-  middle: Big;
-  upper: Big;
-};
+import {BandsResult} from './BandsResult';
 
 export class BollingerBands {
   public readonly interval: number;
   public readonly deviationMultiplier: number;
   private readonly middleSMA: SMA;
   private readonly prices: Big[] = [];
-  private result: BollingerBandsResult | undefined;
+  private result: BandsResult | undefined;
 
   constructor(interval: number = 0, deviationMultiplier: number = 2) {
     this.interval = interval;
@@ -51,7 +46,7 @@ export class BollingerBands {
     };
   }
 
-  getResult(): BollingerBandsResult {
+  getResult(): BandsResult {
     if (!this.result) {
       throw new NotEnoughDataError();
     }

src/BANDS/index.ts

@@ -0,0 +1,2 @@
+export * from './AccelerationBands';
+export * from './BollingerBands';

src/MACD/MACD.test.ts

@@ -40,7 +40,12 @@ describe('MACD', () => {
         '0.98',
         '0.62',
       ];
-      const indicator = new MACD({longInterval: 5, shortInterval: 2, signalInterval: 9, indicator: EMA});
+      const indicator = new MACD({
+        indicator: EMA,
+        longInterval: 5,
+        shortInterval: 2,
+        signalInterval: 9,
+      });
 
       for (const [index, input] of Object.entries(inputs)) {
         indicator.update(input);
@@ -54,7 +59,12 @@ describe('MACD', () => {
     });
 
     it('throws an error when there is not enough input data', () => {
-      const macd = new MACD({longInterval: 26, shortInterval: 12, signalInterval: 9, indicator: DEMA});
+      const macd = new MACD({
+        indicator: DEMA,
+        longInterval: 26,
+        shortInterval: 12,
+        signalInterval: 9,
+      });
 
       try {
         macd.getResult();
@@ -68,7 +78,12 @@ describe('MACD', () => {
   describe('isStable', () => {
     it('knows when it can return reliable data', () => {
       const longInterval = 18;
-      const macd = new MACD({longInterval, shortInterval: 9, signalInterval: 9, indicator: EMA});
+      const macd = new MACD({
+        indicator: EMA,
+        longInterval,
+        shortInterval: 9,
+        signalInterval: 9,
+      });
 
       const mockedPrices = [
         new Big('0.00019040'),

src/index.ts

@@ -1,6 +1,6 @@
 export * from './ADX/ADX';
 export * from './ATR/ATR';
-export * from './BB/BollingerBands';
+export * from './BANDS';
 export * from './DEMA/DEMA';
 export * from './DMA/DMA';
 export * from './EMA/EMA';