Alphacate

A Node.js toolkit with various indicators and oscillators for the technical stock analysis. This package contains only the mathematical calculations.

Big thanks to the originator of this project however I'm noticing some things that I'd like to tweak. As this doesn't look like it's being maintained I'm creating this fork to use in my projects.

TODO

• [x] (0.4.1) MFI return object contains typo (negativMoneyFlow -> negativeMoneyFlow)
• [ ] MACD is returned in a strange format, integrate the following function to normalize

    function mergeMACD(data){
        let macdResult = [];
        for(var i in data[0].prices){ //strange but it puts the data in a 1-element array
            macdResult.push({
                slow_ema:   data[0].slow_ema[i],
                fast_ema:   data[0].fast_ema[i],
                signal_ema: data[0].signal_ema[i],
                macd:       data[0].macd[i],
                price:      data[0].prices[i]
            });
        }
        return macdResult;
    }

• [x] (0.4.1) OBV doesn't seem to work correctly, requires lazyEvaluation:true to return a series.
• ^ error with if(!i) yielding result on i = 0 in the for loop
• [x] (0.4.1) RSI - Fixed rounding error raised in this issue: https://github.com/codeplayr/alphacate/issues
• [x] (0.4.1) RSI - Fixed error with initial average including the first bar (always gain, loss = 0). Additionally I confirmed in excel that this was dropping one bar after the initial period

Documentation

• [x] (0.4.1) ATR - Average True Range requires low, high, & close

Installation

Below command will install this repository from github

npm install mdkrieg/alphacate [--save]

Example

//retrieve indicator module via accessor or alias
const LWMA = require('alphacate').LWMA;
const BB = require('alphacate').BollingerBands;

//do computation asynchronously
let run = async () => {
    try{
        //pass optional configuration object into the constructor
        let lwma = new LWMA( {periods: 4} );
        let bb = new BB( {periods: 4} );

        let data = [25.5, 26.75, 27.0, 26.5, 27.25];

        //set data series
        lwma.setValues( data );
        bb.setValues( data );

        //invoke calculate() to compute and retrieve result collection
        //an error will be throw if passed data serie or options are invalid
        let lwmaResultCollection = await lwma.calculate();
        let bbResultCollection = await bb.calculate();
        
        for(let i=0, len=lwmaCollection.length; i<len; i++){
            console.log(`Price: ${lwmaCollection[i].price}, LWMA: ${lwmaCollection[i].lwma}, BB Upper: ${bbCollection[i].upper}`);
        }

    }
    catch( err ){
        console.log(err.message);
    }
};

run();

List of indicators

See the list below for all available indicators in the package. Retrieve the indicator module via the accessor property or with the alias.

Indicator |Module accessor |Alias
----------------------------------------|-----------------------------------|----------- Average True Range |AverageTrueRange |ATR
Bollinger Bands |BollingerBands |BB
Exponential Moving Average |ExponentialMovingAverage |EMA
Linearly Weighted Moving Average |LinearlyWeightedMovingAverage |LWMA
Money Flow Index |MoneyFlowIndex |MFI Moving Average Convergence Divergence |MovingAverageConvergenceDivergence |MACD
On Balance Volume |OnBalanceVolume |OBV
Rate Of Change |RateOfChange |ROC Relative Strength Index |RelativeStrengthIndex |RSI
Simple Moving Average |SimpleMovingAverage |SMA
Smoothed Moving Average |SmoothedMovingAverage |SMMA
Stochastic Oscillator |StochasticOscillator |SO
Weighted Moving Average |WeightedMovingAverage |WMA

Data serie item

The type of the item in the data serie that will be passed into the setValues function

Indicator |Type |Usage ----------------------------------------|-----------|--------------------------------------- Average True Range |Number |{high:<Number>, low:<Number>, close:<Number> };
Bollinger Bands |Number |
Exponential Moving Average |Number |
Linearly Weighted Moving Average |Number | Money Flow Index |Object |{high:<Number>, low:<Number>, close:<Number>, volume:<Number> };
Moving Average Convergence Divergence |Number |
On Balance Volume |Object |{price:<Number>, volume:<Number>}
Rate Of Change |Number |
Relative Strength Index |Number |
Simple Moving Average |Number | Smoothed Moving Average |Number |
Stochastic Oscillator |Number |
Weighted Moving Average |Number |

Result collection item

Each item in the result collection contains several object properties. See the list below which properties belongs to the particular indicator. All values are numbers except where noted.

Indicator |Collection Item properties ----------------------------------------|-------------------------------------------------- Average True Range |{tr, atr}
Bollinger Bands |{upper:<Array>, middle:<Array>, lower:<Array>, price:<Array>}
Exponential Moving Average |{price, ema}
Linearly Weighted Moving Average |{price, lmwa} Moving Average Convergence Divergence |{slow_ema:<Array>, fast_ema:<Array>, signal_ema:<Array>, macd:<Array>, prices:<Array>} On Balance Volume |{price, obv}
Rate Of Change |{price, roc} Relative Strength Index |{price, gain, loss, avg_gain, avg_loss, rs, rsi}
Simple Moving Average |{price, sma}
Smoothed Moving Average |{price, smma}
Stochastic Oscillator |{k,v, price}
Weighted Moving Average |{price, wma}

Indicator options

To configure the indicator with different settings, you can pass an optional configuration object into the indicator constructor.

Indicator |Option properties ----------------------------------------|------------------------------------------- Average True Range |periods, startIndex, endIndex, lazyEvaluation, maxTickDuration Bollinger Bands |periods, startIndex, endIndex, sliceOffset, lazyEvaluation, maxTickDuration Exponential Moving Average |periods, startIndex, endIndex, sliceOffset, lazyEvaluation, maxTickDuration, emaResultsOnly, startWithFirst Linearly Weighted Moving Average |periods, startIndex, endIndex, sliceOffset, lazyEvaluation, maxTickDuration Money Flow Index |periods, startIndex, endIndex, sliceOffset, lazyEvaluation, maxTickDuration Moving Average Convergence Divergence |fastPeriods, slowPeriods, signalPeriods, sliceOffset, lazyEvaluation, maxTickDuration On Balance Volume |startIndex, endIndex, lazyEvaluation, maxTickDuration Rate Of Change |periods, startIndex, endIndex, sliceOffset, lazyEvaluation, maxTickDuration Relative Strength Index |periods, startIndex, endIndex, sliceOffset, lazyEvaluation, maxTickDuration Simple Moving Average |periods, startIndex, endIndex, sliceOffset, lazyEvaluation, maxTickDuration Smoothed Moving Average |periods, startIndex, endIndex, sliceOffset, lazyEvaluation, maxTickDuration Stochastic Oscillator |periods, startIndex, endIndex, smaPeriods, sliceOffset, lazyEvaluation, maxTickDuration Weighted Moving Average |periods, startIndex, endIndex, sliceOffset, lazyEvaluation, maxTickDuration

See the table below for a description of the particular option property.

Option property |Type |Description --------------------|-----------|------------------------ periods |Number |The time periods to calculate the indicator startIndex |Number |The index for the passed data serie to start the calulation endIndex |Number |The index for the passed data serie to end the calculation sliceOffset |Boolean |Omit items in result collection used for inital period calculation fastPeriods |Number |The time periods for the fast moving average slowPeriods |Number |The time periods for the slow moving average signalPeriods |Number |The time periods for the signal average smaPeriods |Number |The time periods for the simple moving average lazyEvaluation |Boolean |Do the computation of passed values in an asynchronous fashion maxTickDuration |Number |The computation tick duration in milliseconds. If the computation is not completed, it will be continued in the tick of the next event loop.

Run Tests

All tests are inside test folder

Run tests:

$ npm test

Run code coverage report:

$ npm run coverage    

License

This project is under the MIT License. See the LICENSE file for the full license text.