forked from bennycode/trading-signals
-
Notifications
You must be signed in to change notification settings - Fork 0
Commit
This commit does not belong to any branch on this repository, and may belong to a fork outside of the repository.
Merge tag 'v3.6.1' into convert-deno
3.6.1 * tag 'v3.6.1': (49 commits) 3.6.1 docs: Updated API docs: updated CHANGELOG.md chore: Update homepage docs: Generate API docs (bennycode#435) chore: Replace David DM with Libraries.io dependency check chore: Enforce LF line endings chore(deps): bump minimist from 1.2.5 to 1.2.6 (bennycode#433) chore: Update dependencies without external actions chore(deps): bump srvaroa/labeler from 0.8 to 0.9 (bennycode#424) chore(deps): bump actions/checkout from 2.4.0 to 3 (bennycode#425) chore(deps-dev): bump eslint from 8.10.0 to 8.11.0 (bennycode#432) chore(deps-dev): bump eslint-config-prettier from 8.4.0 to 8.5.0 (bennycode#430) chore(deps-dev): bump prettier from 2.5.1 to 2.6.0 (bennycode#427) chore(deps-dev): bump @typescript-eslint/eslint-plugin (bennycode#431) chore(deps-dev): bump ts-node from 10.5.0 to 10.7.0 (bennycode#429) chore(deps-dev): bump @typescript-eslint/parser from 5.13.0 to 5.16.0 (bennycode#428) chore(deps-dev): bump lint-staged from 12.3.4 to 12.3.7 (bennycode#426) chore(deps): bump actions/setup-node from 2.5.1 to 3 (bennycode#412) chore(deps-dev): bump @types/jest from 27.4.0 to 27.4.1 (bennycode#422) ...
- Loading branch information
Showing
80 changed files
with
10,589 additions
and
628 deletions.
There are no files selected for viewing
This file was deleted.
Oops, something went wrong.
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -1,24 +1,26 @@ | ||
| name: 'Merge Dependencies' | ||
|
|
||
| # https://github.blog/changelog/2021-02-19-github-actions-workflows-triggered-by-dependabot-prs-will-run-with-read-only-permissions/ | ||
| # https://github.com/ahmadnassri/action-dependabot-auto-merge/issues/60#issuecomment-806027389 | ||
| on: [pull_request_target] | ||
|
|
||
| permissions: | ||
| pull-requests: write | ||
| contents: write | ||
|
|
||
| jobs: | ||
| auto-merge: | ||
| runs-on: ${{ matrix.os }} | ||
| strategy: | ||
| matrix: | ||
| os: [ubuntu-latest] | ||
| node-version: [16.x] | ||
| if: github.actor == 'dependabot[bot]' | ||
| runs-on: ubuntu-latest | ||
| if: ${{ github.event.pull_request.user.login == 'dependabot[bot]' }} | ||
| steps: | ||
| - name: 'Checkout repository' | ||
| uses: actions/[email protected] | ||
|
|
||
| - name: 'Automerge dependency updates from Dependabot' | ||
| uses: ahmadnassri/[email protected] | ||
| # Guarantee that commit comes from Dependabot (don't blindly trust external GitHub Actions) | ||
| if: github.actor == 'dependabot[bot]' | ||
| with: | ||
| github-token: ${{ secrets.GH_AUTOMERGE_TOKEN }} | ||
| # https://docs.github.com/en/pull-requests/collaborating-with-pull-requests/incorporating-changes-from-a-pull-request/automatically-merging-a-pull-request#about-auto-merge | ||
| - name: 'Enable auto-merge on PR' | ||
| run: gh pr merge --auto --squash "$PR_URL" | ||
| env: | ||
| PR_URL: ${{ github.event.pull_request.html_url }} | ||
| # https://docs.github.com/en/actions/security-guides/automatic-token-authentication#about-the-github_token-secret | ||
| GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }} | ||
| - name: 'Approve PR' | ||
| run: gh pr review --approve "$PR_URL" | ||
| env: | ||
| PR_URL: ${{github.event.pull_request.html_url}} | ||
| GITHUB_TOKEN: ${{secrets.GITHUB_TOKEN}} |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1 @@ | ||
| TypeDoc added this file to prevent GitHub Pages from using Jekyll. You can turn off this behavior by setting the `githubPages` option to false. |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,195 @@ | ||
| trading-signals / [Exports](modules.md) | ||
|
|
||
| # Trading Signals | ||
|
|
||
|      | ||
|
|
||
| Technical indicators and overlays to run technical analysis with JavaScript / TypeScript. | ||
|
|
||
| ## Motivation | ||
|
|
||
| The "trading-signals" library provides a TypeScript implementation for common technical indicators with arbitrary-precision decimal arithmetic. | ||
|
|
||
| The main focus of this library is on the accuracy of calculations, but using the provided [faster implementations][2] you can also use it where performance is important. | ||
|
|
||
| All indicators can be updated over time by streaming data (prices or candles) to the `update` method. Some indicators also provide `static` batch methods for further performance improvements when providing data up-front during a backtest or historical data import. | ||
|
|
||
| ## Benefits & Features | ||
|
|
||
| - **Accurate.** Indicators with intervals will return a result only when the period is reached. | ||
| - **Convenient.** Indicators with intervals will save their all-time highs and lows. | ||
| - **Fast.** If you need high throughput, you can use the included [faster implementations][2]. | ||
| - **Flexible.** All advanced indicators support different smoothing overlays (WSMA, etc.). | ||
| - **Precise.** Better accuracy than calculating with primitive numbers thanks to [big.js][1]. | ||
| - **Robust.** Checked against common division by zero mistakes. | ||
| - **Tested.** Code coverage is 100%. No surprises when using it. | ||
| - **Typed.** Source code is 100% TypeScript. No need to install external typings. | ||
| - **Verified.** All results are verified with [other libraries](#alternatives) to guarantee correctness. | ||
| - **Versatile.** Indicators can be updated up-front or by streaming prices. | ||
|
|
||
| ## Technical Indicator Types | ||
|
|
||
| - Trend indicators: Measure the direction of a trend (uptrend, downtrend or sideways trend) | ||
| - Volume indicators: Measure the strength of a trend (based on volume) | ||
| - Volatility indicators: Measure how much disagreement there is in the market based on price (statistical measure of its dispersion) | ||
| - Momentum indicators: Measure the strength of a trend (based on price / speed of price movement) | ||
|
|
||
| ## Supported Technical Indicators | ||
|
|
||
| 1. Acceleration Bands (ABANDS) | ||
| 1. Accelerator Oscillator (AC) | ||
| 1. Average Directional Index (ADX) | ||
| 1. Average True Range (ATR) | ||
| 1. Awesome Oscillator (AO) | ||
| 1. Bollinger Bands (BBANDS) | ||
| 1. Bollinger Bands Width (BBW) | ||
| 1. Center of Gravity (CG) | ||
| 1. Commodity Channel Index (CCI) | ||
| 1. Directional Movement Index (DMI / DX) | ||
| 1. Double Exponential Moving Average (DEMA) | ||
| 1. Dual Moving Average (DMA) | ||
| 1. Exponential Moving Average (EMA) | ||
| 1. Mean Absolute Deviation (MAD) | ||
| 1. Momentum (MOM / MTM) | ||
| 1. Moving Average Convergence Divergence (MACD) | ||
| 1. On-Balance Volume (OBV) | ||
| 1. Rate-of-Change (ROC) | ||
| 1. Relative Strength Index (RSI) | ||
| 1. Simple Moving Average (SMA) | ||
| 1. Stochastic Oscillator (STOCH) | ||
| 1. Stochastic RSI (STOCHRSI) | ||
| 1. True Range (TR) | ||
| 1. Wilder's Smoothed Moving Average (WSMA / WMA / WWS / SMMA / MEMA) | ||
|
|
||
| Utility Methods: | ||
|
|
||
| 1. Average / Mean | ||
| 1. Standard Deviation | ||
| 1. Rolling Standard Deviation | ||
|
|
||
| ## Usage | ||
|
|
||
| ```typescript | ||
| import {SMA} from 'trading-signals'; | ||
|
|
||
| const sma = new SMA(3); | ||
|
|
||
| // You can add numbers: | ||
| sma.update(40); | ||
| sma.update(30); | ||
| sma.update(20); | ||
|
|
||
| // You can add strings: | ||
| sma.update('10'); | ||
|
|
||
| // You can add arbitrary-precision decimals: | ||
| import Big from 'big.js'; | ||
| sma.update(new Big(30)); | ||
|
|
||
| // You can get the result in various formats: | ||
| console.log(sma.getResult().valueOf()); // "20" | ||
| console.log(sma.getResult().toFixed(2)); // "20.00" | ||
| ``` | ||
|
|
||
| ### When to use `update(...)`? | ||
|
|
||
| You have to call an indicator's `update` method to enter input data. The update method may or may not return a result from the indicator depending on whether the minimum amount of input data has been reached. | ||
|
|
||
| ### When to use `getResult()`? | ||
|
|
||
| You can call `getResult()` at any point in time, but it throws errors unless an indicator has received the minimum amount of data. If you call `getResult()`, before an indicator has received the required amount of input values, a `NotEnoughDataError` will be thrown. | ||
|
|
||
| **Example:** | ||
|
|
||
| ```ts | ||
| import {SMA} from 'trading-signals'; | ||
|
|
||
| // Our interval is 3, so we need 3 input values | ||
| const sma = new SMA(3); | ||
|
|
||
| // We supply 2 input values | ||
| sma.update(10); | ||
| sma.update(40); | ||
|
|
||
| try { | ||
| // We will get an error, because the minimum amount of inputs is 3 | ||
| sma.getResult(); | ||
| } catch (error) { | ||
| console.log(error.constructor.name); // "NotEnoughDataError" | ||
| } | ||
|
|
||
| // We will supply the 3rd input value | ||
| sma.update(70); | ||
|
|
||
| // Now, we will receive a proper result | ||
| console.log(sma.getResult().valueOf()); // "40" | ||
| ``` | ||
|
|
||
| Most of the time, the minimum amount of data depends on the interval / time period used. | ||
|
|
||
| ## Performance | ||
|
|
||
| ### Arbitrary-precision decimal arithmetic | ||
|
|
||
| JavaScript is very bad with numbers. When calculating `0.1 + 0.2` it shows you `0.30000000000000004`, but the truth is `0.3`. | ||
|
|
||
|  | ||
|
|
||
| As specified by the ECMAScript standard, all arithmetic in JavaScript uses [double-precision floating-point arithmetic](https://en.wikipedia.org/wiki/Double-precision_floating-point_format), which is only accurate until certain extent. To increase the accuracy and avoid miscalculations, the [trading-signals](https://github.com/bennycode/trading-signals) library uses [big.js][1] which offers arbitrary-precision decimal arithmetic. However, this arbitrary accuracy comes with a downside: Calculations with it are not as performant as with the primitive data type `number`. | ||
|
|
||
| ### Faster implementations | ||
|
|
||
| To get the best of both worlds (high accuracy & high performance), you will find two implementations of each indicator (e.g. `SMA` & `FasterSMA`). The standard implementation uses big.js and the `Faster`-prefixed version uses common `number` types. Use the standard one when you need high accuracy and use the `Faster`-one when you need high performance. | ||
|
|
||
| ### Benchmarks | ||
|
|
||
| You can run `yarn start:benchmark` to see the runtime performance of each technical indicator on your machine. This will give you an understanding of which indicators can be calculated faster than others. | ||
|
|
||
| ## Disclaimer | ||
|
|
||
| The information and publications of [trading-signals](https://github.com/bennycode/trading-signals) do not constitute financial advice, investment advice, trading advice or any other form of advice. All results from [trading-signals](https://github.com/bennycode/trading-signals) are intended for information purposes only. | ||
|
|
||
| It is very important to do your own analysis before making any investment based on your own personal circumstances. If you need financial advice or further advice in general, it is recommended that you identify a relevantly qualified individual in your jurisdiction who can advise you accordingly. | ||
|
|
||
| ## Alternatives | ||
|
|
||
| - [Cloud9Trader Indicators (JavaScript)](https://github.com/Cloud9Trader/TechnicalIndicators) | ||
| - [Crypto Trading Hub Indicators (TypeScript)](https://github.com/anandanand84/technicalindicators) | ||
| - [Jesse Trading Bot Indicators (Python)](https://docs.jesse.trade/docs/indicators/reference.html) | ||
| - [libindicators (C#)](https://github.com/mgfx/libindicators) | ||
| - [Pandas TA (Python)](https://github.com/twopirllc/pandas-ta) | ||
| - [Technical Analysis for Rust (Rust)](https://github.com/greyblake/ta-rs) | ||
| - [Technical Analysis Library using Pandas and Numpy (Python)](https://github.com/bukosabino/ta) | ||
| - [Tulip Indicators (ANSI C)](https://github.com/TulipCharts/tulipindicators) | ||
| - [ta4j (Java)](https://github.com/ta4j/ta4j) | ||
|
|
||
| ## Maintainers | ||
|
|
||
| [![Benny Neugebauer on Stack Exchange][stack_exchange_bennycode_badge]][stack_exchange_bennycode_url] | ||
|
|
||
| - [Follow Benny on Twitter](https://twitter.com/bennycode) or [on YouTube](https://www.youtube.com/typescripttv) | ||
|
|
||
| ## Contributing | ||
|
|
||
| Contributions, issues and feature requests are welcome! | ||
|
|
||
| Feel free to check the [issues page](https://github.com/bennycode/trading-signals/issues). | ||
|
|
||
| ## License | ||
|
|
||
| This project is [MIT](./LICENSE) licensed. | ||
|
|
||
| ## ⭐️ Show your support ⭐️ | ||
|
|
||
| [Please leave a star](https://github.com/bennycode/trading-signals/stargazers) if you find this project useful. | ||
|
|
||
| If you like this project, you might also like these related projects: | ||
|
|
||
| - [**coinbase-pro-node**](https://github.com/bennycode/coinbase-pro-node), Actively maintained Coinbase Pro API written in TypeScript. | ||
| - [**ig-trading-api**](https://github.com/bennycode/ig-trading-api), IG CFD Trading API written in TypeScript. | ||
| - [**binance-api-node**](https://github.com/Ashlar/binance-api-node), Heavily tested and Promise-based Binance API with TypeScript definitions. | ||
|
|
||
| [1]: http://mikemcl.github.io/big.js/ | ||
| [2]: #faster-implementations | ||
| [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 |
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,2 @@ | ||
| - [Home](/) | ||
| - [API](/modules.md) |
Oops, something went wrong.