@socktrader/indicators
v2.0.3
Published
SockTrader indicators is a single utility package for all technical indicators, financial analysis as well as statistical utilities
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What is "@socktrader/indicators"?
This independent package contains various utility functions to support risk, performance, quantitative and technical analysis. @socktrader/indicators
is part of the SockTrader monorepo project but can be used in any project without depending on the rest of the SockTrader project.
Quickstart
- Install library:
npm install @socktrader/indicators
- Use library
activeReturn([0.003], [0.04], 12)
Indicators
Technical indicators
@socktrader/indicators
re-exports all indicators from technicalindicators.
Check the technicalindicators docs for more API details.
Performance metrics
const x = [0.003, 0.026, 0.015, -0.009, 0.014, 0.024, 0.015, 0.066, -0.014, 0.039]
const z = [0.04, -0.022, 0.043, 0.028, -0.078, -0.011, 0.033, -0.049, 0.09, 0.087]
activeReturn(x, z, 12)
// 0.041978811047168385
annualReturn(x, 12)
// 0.2338146820656939
compoundAnnualGrowthRate(x, x.length / 12)
// 0.22938756017127182
internalRateOfReturn([250000, 25000, -10000, -285000])
// 0.024712563094781776
mdietz(1200, 1000, [10, 50, 35, 20], [15, 38, 46, 79], 90)
// 0.0804331826306382
percpos(x)
// 0.8
rateOfReturn(x)
// 0.18779277315203946
timeWeightedReturn([250000, 255000, 257000, 288000, 293000, 285000], [0, 0, 25000, 0, -10000, 0])
// 0.07564769566198049
Risk metrics
const x = [0.003, 0.026, 0.015, -0.009, 0.014, 0.024, 0.015, 0.066, -0.014, 0.039]
const y = [-0.005, 0.081, 0.04, -0.037, -0.061, 0.058, -0.049, -0.021, 0.062, 0.058]
const z = [0.04, -0.022, 0.043, 0.028, -0.078, -0.011, 0.033, -0.049, 0.09, 0.087]
adjustedSharpeRatio(x, 0.02 / 12)
// 0.7481337144481773
annualAdjustedSharpeRatio(x, 0.02, 12, Mode.geometric)
// 3.3767236091658313
annualRisk(x, 12)
// 0.08047276972160623
avgDrawdown(x)
// 0.01150000000000001
burkeRatio(x, 0, 12)
// 14.048562698619559
calmarRatio(x, 0, 12)
// 16.70104871897814
continuousDrawdown(x)
// [0.009000000000000008, 0.014000000000000012]
downsidePotential(x, 0.1 / 100)
// 0.0024999999999999996
downsideRisk(x, 0.1 / 100)
// 0.005700877125495689
drawdown(x)
// {
// 'dd': [0, 0, 0, 0.00900000000000004, 0, 0, 0, 0, 0.013999999999999995, 0],
// 'ddrecov': [0, 0, 0, 4, 0, 0, 0, 0, 9, 0],
// 'maxdd': 0.013999999999999995,
// 'maxddrecov': [8, 9]
// }
histcondvar(x)
// 0.014
histvar(x)
// 0.013999999999999999
informationRatio(x, y)
// 0.09369148584852913
jensenAlpha(x, y)
// 0.01760907323602524
m2sortino(x, y, 0, 0, 12)
// 0.504144074388577
martinRatio(x, 0, 12)
// 44.42545597931942
modigliani(x, y)
// 0.040694064858387835
monteCarloValueAtRisk(x, 0.95, 1, 0, 1, 10000)
// random: 0 < x < 1
omegaRatio(x)
// 8.782608695652174
painIndex(x)
// 0.0023000000000000034
painRatio(x, 0, 12)
// 101.04495520047377
parametricConditionalValueAtRisk(mean(x), std(x))
// 0.030017825479120894
parametricValueAtRisk([0, 0, 0], [1, 2, 3])
// [1.6448536127562643, 3.2897072255125286, 4.934560838268792]
sharpeRatio(x, 0.02 / 12)
// 0.6987943426529188
sortino(x, 0.02 / 12)
// 3.0843795993743215
sterlingRatio(x, 0, 12)
// 16.70104871897812
trackingError(x, z)
// 0.06843618276256436
treynorRatio(x, z, 0.01 / 12)
// -0.09568702060685172
ulcerIndex(x)
// 0.005263078946776312
upsidePotential(x, 0.1 / 100)
// 0.0194