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calculator lib for finance related indicators

how to use

basic concept

case 1:

resultArr0 = ARR_0 * 2 // would like to multiply each item in ARR_0 by 2, and saves in resultArr0.

in js it's actually:

resultArr0 = ARR_0.map(item => item * 2)

case 2:

resultArr1 = ARR_1 - ARR_2 // which means items in ARR_1 minus items in ARR_2 one by one, and returns a new array with the result.

with this lib to implement the above cases:

import FinUtil from './util/FinUtil'

resultArr0 = FinUtil.arrOp(ARR_0, 2, '*') // case1, ARR_0 * 2

resultArr1 = FinUtil.arrOp(ARR_1, ARR_2, '-') // case2, ARR_1 - ARR_2

TL;DR

an original formula you learn from any sources such as some stock-softwares or wikipedia, which aims to calculate 123 days/months/minutes of the moving average of the close prices would probably look like this:

MA(CLOSE, 123)

//assume your data arranged as following:
const _DATAS_ = [{
  "open": 140.12,
  "high": 141.03,
  "low": 139.5,
  "cLoSe": 139.68,
  "volume": 25446000,
  "date": "2019-08-11"
},
{
  "open": 139.69,
  "high": 140.29,
  "low": 139.52,
  "cLoSe": 139.55,
  "volume": 13304300,
  "date": "2019-08-12"
}]
  1. do the import:
import FinUtil from '@/lib/util/FinUtil'
import MA from '@/lib/MA'
  1. generate close-price array and do the math:
const closePriceArr = FinUtil.genArrByProp(_DATAS_, 'cLoSe')

const ma = MA(closePriceArr, 123) // calculate the ma based on CLOSE and the parameter 123

take MACD as an example:

DIF = EMA(CLOSE, SHORT) - EMA(CLOSE, LONG)
DEA = EMA(DIF, MID)
MACD = (DIF - DEA) * 2

import FinUtil from '@/lib/util/FinUtil'
import EMA from '@/lib/EMA'

const close = FinUtil.genArrByProp(_DATAS_, 'cLoSe')

const dif = FinUtil.arrOp(EMA(close, 12), EMA(close, 26), '-') // DIF = EMA(CLOSE, 12) - EMA(CLOSE, 26)

const dea = EMA(dif, 9) // DEA = EMA(DIF, 9)

const macd = FinUtil.arrOp(FinUtil.arrOp(dif, dea, '-'), 2, '*') // MACD = (DIF - DEA) * 2

an online preview:

https://fincalc.web.cloudendpoint.cn/

providing indicators

ASI

image

ATR

TR1 = MAX(MAX((HIGH - LOW), ABS(REF(CLOSE, 1) - HIGH)), ABS(REF(CLOSE, 1) - LOW))
ATR1 = MA(TR1, M)

image

BBIBOLL

BBIBOLL = (MA(CLOSE, 3) + MA(CLOSE, 6) + MA(CLOSE, 12) + MA(CLOSE, 24)) / 4
UPR = BBIBOLL + M * STD(BBIBOLL, N)
DWN = BBIBOLL - M * STD(BBIBOLL, N)

image

BIAS

MA_V0 = MA(CLOSE, V0)
MA_V1 = MA(CLOSE, V1)
MA_V2 = MA(CLOSE, V2)
BIAS1 = (CLOSE - MA_V0) / MA_V0 * 100
BIAS2 = (CLOSE - MA_V1) / MA_V1 * 100
BIAS3 = (CLOSE - MA_V2) / MA_V2 * 100

image

BOLL

MID  = MA(CLOSE, PERIOD)
UPPER= MID + TIMES * STD(CLOSE, PERIOD)
LOWER= MID - TIMES * STD(CLOSE, PERIOD)

image

CCI

TYP = (HIGH + LOW + CLOSE) / 3
CCI = (TYP - MA(TYP, N)) / (0.015 * AVEDEV(TYP, N))

image

CDP

CH = REF(HIGH, 1)
CL = REF(LOW, 1)
CC = REF(CLOSE, 1)
CDP = (CH + CL + CC) / 3
AH = CDP + CH - CL
AL = CDP - CH + CL
NH = CDP * 2 - CL
NL = CDP * 2 - CH

image

DMA

DIF = MA(CLOSE, SHORT) - MA(CLOSE, LONG)
DMA = MA(DIF, M)

image

DMI

MTR = EXPMEMA(MAX(MAX(HIGH - LOW, ABS(HIGH - REF(CLOSE, 1))), ABS(REF(CLOSE, 1) - LOW)), N)
HD = HIGH - REF(HIGH, 1)
LD = REF(LOW, 1) - LOW
DMP = EXPMEMA(IF(HD > 0 && HD > LD, HD, 0), N)
DMM = EXPMEMA(IF(LD > 0 && LD > HD, LD, 0), N)
PDI = DMP * 100 / MTR
MDI = DMM * 100 / MTR
ADX = EXPMEMA(ABS(MDI - PDI) / (MDI + PDI) * 100, M)
ADXR = EXPMEMA(ADX, M)

image

EMA

image

EMV

VOLUME = MA(VOL, N) / VOL
MID = 100 * (HIGH + LOW - REFV(HIGH + LOW, 1)) / (HIGH + LOW)
EMV = MA(MID * VOLUME * (HIGH - LOW) / MA(HIGH - LOW, N), N)
EMVA = MA(EMV, N1)

image

ENE

UPPER = (1 + M1 / 100) * MA(CLOSE, M)
LOWER = (1 - M2 / 100) * MA(CLOSE, M)
ENE = (UPPER + LOWER) / 2

image

KDJ

RSV = (CLOSE - LLV(LOW, P1)) / (HHV(HIGH, P1) - LLV(LOW, P1)) * 100
K = SMA(RSV, P2, 1)
D = SMA(K, P3, 1)
J = 3 * K - 2 * D

image

Moving Average (MA)

image

MACD

DIF = EMA(CLOSE, SHORT) - EMA(CLOSE, LONG)
DEA = EMA(DIF, MID)
MACD = (DIF - DEA) * 2

image

MI

AA = C - REF(C, M)
MI = SMA(AA, M, 1)

image

MTM

MTM = CLOSE - REF(CLOSE, N)
MTMMA = MA(MTM, M)

image

OBV

image

OSC

OSC = 100 * (CLOSE - MA(CLOSE, N))
OSCEMA = EXPMEMA(OSC, M)

image

ROC

ROC = (CLOSE - REF(CLOSE, N)) / REF(CLOSE, N) * 100
ROCMA = MA(ROC, M)

image

RSI

LC = REF(CLOSE, 1)
MAXARR = MAX(CLOSE - LC, 0)
ABSARR = ABS(CLOSE - LC)
RSI1 = SMA(MAXARR, v0, 1) / SMA(ABSARR, v0, 1) * 100
RSI2 = SMA(MAXARR, v1, 1) / SMA(ABSARR, v1, 1) * 100
RSI3 = SMA(MAXARR, v2, 1) / SMA(ABSARR, v2, 1) * 100

image

SAR

image

TRIX

TR = EMA(EMA(EMA(CLOSE, P), P), P)
TR1 = REF(TR, 1)
TRIX = (TR - TR1) / TR1 * 100
TRMA = MA(TRIX, N)

image

VR

ref1 = REF(CLOSE, 1)
TH = SUM(IFF(CLOSE > LC, VOL, 0), N)
TL = SUM(IFF(CLOSE < LC, VOL, 0), N)
TQ = SUM(IFF(CLOSE = LC, VOL, 0), N)
VR = 100 * (TH * 2 + TQ) / (TL * 2 + TQ)
VRMA = MA(VR, M)

image

WR

image

WVAD

WVAD = (CLOSE - OPEN) / (HIGH - LOW) * VOL

image