indicator-nwe-lux v0.0.1

indicator-nwe-lux

Nadaraya–Watson envelope derived from the indicator from LuxAlgo with some changes

This version has a 'slow' calculation which is slow which is equivalent to running the 'fast' calculation once for every candle in the input but it only uses prior-data per-candle. The 'fast' version calculates the value for lookBackLen candles fast but 'historic values' change with new data and so the values derived from the fast version may not be appropriate for backtests. They also look a bit different.

Experimental, different than the original, use at your own risk

CC-SA-NC license as per the original. note this module is not supported by/affiliated with LuxAlgo.

Installation

npm i indicator-nwe-lux

Usage

var candles = require('candles-sample-aapl').loadNMinuteCandles(5).slice(-1500);//.slice(50);
var {computeForSingleCandle, computeForAllCandlesFast, computeForAllCandlesSlow} = require('./index.js');

// var h = 14; //orig 8
// var mult = 3; //orig 3
// var lookBackLen = 499;
// var doLog = true; //log iteration count as it runs
// computeForAllCandlesSlow(candles, lookBackLen, h, mult, doLog) //all candles affected - in-place! only uses back-data -- very slow!

//or, if you only care about the last candle ...
// var lastCandleIndex = candles.length-1;
// computeForSingleCandle(candles, lastCandleIndex,  499, h, mult);
// console.log(candles[candles.length-1]);

var h = 14; //orig 8
var mult = 3; //orig 3
var lookBackLen = 499;
//much faster; smoother curve; but 'history may change' with new data. not good for backtesting
candles = computeForAllCandlesFast(candles,  lookBackLen, h, mult); //note -- only the last 499 (lookBackLen) candles are affected

// candles now each have fields {NWEtop:price, NWEbottom:price, buy:bool, sell:bool}
// "buy"/"sell" bools set if price cross below/above curve

var {drawChartForCandles,saveChartForCandles} = require('ohlc-chart-simple');

candles = candles.map(function(candle,index){
    //add shifted signal to the graph as an indicator
    var signalS = candle.NWEbottom;
    var signalT = candle.NWEtop;
    candle.indicators = {
        "T_LINE": signalT,
        "S_LINE": signalS,
        "S_LINE_color": [0,0,0],
        "S_LINE_thickness": 0,
        "T_LINE_color": [0,0,0],
        "T_LINE_thickness": 0
    }
    return candle;
}).slice(-500);

var config = {
    w: Math.floor(1024/2),
    h: Math.floor(700/2),
    profileBucketsTotal: 64,
    profileBucketsWidth: 16,
    volumeBarsHeight: 64,
    bgColor: [255,255,255],

    //alternative to volume profile: arbitrary kernel density histogram
    kdePrices: candles.map(c=>[c.low, 1]), //[value, weight]
    // kdeBandwidthDollars: 0.01,
    kdeBandwidthPercent: 1.00,
    kdeIsGaussian: true, //false == kernel is triangular
    kdeColor: [0,0,255],

    skipDrawOhlcBars: false,
    skipDrawIndicators: false,
    skipDrawLegend: false,
    expandLegendText: false,
    expandTitle: false,
    expandPrice: false,
    skipDrawDate: true,
    skipDrawPrice: false,
    skipDrawPriceBars: false,
    title: "AAPL",
    filename: "./candlestick-chart-fast.png",
}

saveChartForCandles(candles, config);

fast version ^

slow version ^