@thi.ng/transducers-stats v2.1.115

This project is part of the @thi.ng/umbrella monorepo.

• About
• Supported indicators
  • Status
• Installation
• Dependencies
• Usage examples
• API
• Authors
• License

About

Transducers for statistical / technical analysis. This is a support package for @thi.ng/transducers.

This package provides a set of transducers for technical (financial) and statistical analysis and replaces the older @thi.ng/indicators package.

The transducers provided here accept an optional input iterable, which allows them them to be used directly instead of having to wrap their call in one of the transducer execution functions (i.e. transduce(), iterator()). If executed this way, the functions will return a transforming ES6 iterator (generator) instead of a transducer.

Supported indicators

• Bollinger Bands
• Donchian Channel
• EMA (Exponential Moving Average)
• HMA (Hull Moving Average)
• MACD (Moving Average Convergence/Divergence)
• Momentum
• ROC (Rate of change)
• RSI (Relative Strength Index)
• SD (Standard Deviation)
• SMA (Simple Moving Average)
• Stochastic oscillator
• TRIX (Triple smoothed EMA)
• WMA (Weighted Moving Average)

Status

STABLE - used in production

Search or submit any issues for this package

Installation

yarn add @thi.ng/transducers-stats

ES module import:

<script type="module" src="https://cdn.skypack.dev/@thi.ng/transducers-stats"></script>

Skypack documentation

For Node.js REPL:

# with flag only for < v16
node --experimental-repl-await

> const transducersStats = await import("@thi.ng/transducers-stats");

Package sizes (gzipped, pre-treeshake): ESM: 1.21 KB

Dependencies

• @thi.ng/checks
• @thi.ng/dcons
• @thi.ng/errors
• @thi.ng/transducers

Usage examples

Several demos in this repo's /examples directory are using this package.

A selection:

API

Generated API docs

import * as tx from "@thi.ng/transducers";
import * as stats from "@thi.ng/transducers-stats";

// Simple moving average (SMA) (sliding window size 5)
// if an input is given (as is the case here), then returns
// a transforming iterator instead of transducer
[...stats.sma(5, [1,2,3,4,5,10,11,12,13,14,9,8,7,6,5])]
// [ 3, 4.8, 6.6, 8.4, 10.2, 12, 11.8, 11.2, 10.2, 8.8, 7 ]

// compute multiple stats at once
tx.transduce(
    tx.comp(
        tx.multiplexObj({
            sma: stats.sma(5),
            ema: stats.ema(5),
            wma: stats.wma(5)
        }),
        // ignore first `period-1` values
        // (because MAs require at least `period` inputs to warm up)
        tx.drop(4)
    ),
    tx.push(),
    [1,2,3,4,5,10,11,12,13,14,9,8,7,6,5]
);
// [ { wma: 3.6666666666666665, ema: 3, sma: 3 },
//   { wma: 6, ema: 5.333333333333333, sma: 4.8 },
//   { wma: 8.066666666666666, ema: 7.222222222222221, sma: 6.6 },
//   { wma: 9.866666666666667, ema: 8.814814814814815, sma: 8.4 },
//   { wma: 11.4, ema: 10.209876543209877, sma: 10.2 },
//   { wma: 12.666666666666666, ema: 11.473251028806585, sma: 12 },
//   { wma: 11.666666666666666, ema: 10.64883401920439, sma: 11.8 },
//   { wma: 10.4, ema: 9.76588934613626, sma: 11.2 },
//   { wma: 9, ema: 8.843926230757507, sma: 10.2 },
//   { wma: 7.6, ema: 7.895950820505004, sma: 8.8 },
//   { wma: 6.333333333333333, ema: 6.93063388033667, sma: 7 } ]

Authors

Karsten Schmidt

If this project contributes to an academic publication, please cite it as:

@misc{thing-transducers-stats,
  title = "@thi.ng/transducers-stats",
  author = "Karsten Schmidt",
  note = "https://thi.ng/transducers-stats",
  year = 2017
}

License

© 2017 - 2021 Karsten Schmidt // Apache Software License 2.0