MFI indicator implementation and unit tests for #46

coin-unknown · Sep 19, 2024 · 31245b5 · 31245b5
1 parent 58fcb58
commit 31245b5
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Showing 33 changed files with 24,512 additions and 24,212 deletions.
diff --git a/index.ts b/index.ts
@@ -37,4 +37,4 @@ export { CircularBuffer } from './src/providers/circular-buffer';
 export { Sampler } from './src/providers/sampler';
 export { VolumeProfile } from './src/volume-profile'; /** BETA UNSTABLE */
 export { ChaikinOscillator } from './src/chaikin';
-// export { OrderBlock } from './src/order-block';
+// export { OrderBlock } from './src/order-block';
diff --git a/package.json b/package.json
@@ -47,7 +47,7 @@
         "test": "jest",
         "version": "npm run build",
         "postversion": "git push && git push --tags",
-        "prettier": "prettier --config './.prettierrc' --write 'src/**/*.ts'"
+        "prettier": "prettier --config './.prettierrc' --write './**/*.ts'"
     },
     "bugs": {
         "url": "https://github.com/debut-js/Indicators/issues"

diff --git a/src/mfi.ts b/src/mfi.ts
@@ -0,0 +1,54 @@
+import { CircularBuffer } from './providers/circular-buffer';
+
+/**
+ * Money Flow Index (MFI) is a movement indicator used in technical analysis that looks at time and price
+ * to measure the trading pressure — buying or selling. It is also called volume-weighted
+ * Relative Strength Index (RSI), as it includes volume, unlike RSI, which only incorporates price.
+ */
+export class MFI {
+    private positiveMoneyFlowSum = 0;
+    private negativeMoneyFlowSum = 0;
+    private pevTypicalPrice = 0;
+    private posCircular: CircularBuffer;
+    private negCircular: CircularBuffer;
+
+    constructor(period = 14) {
+        this.posCircular = new CircularBuffer(period);
+        this.negCircular = new CircularBuffer(period);
+    }
+
+    nextValue(high: number, low: number, close: number, volume: number) {
+        const typicalPrice = (high + low + close) / 3;
+        const moneyFlow = typicalPrice * volume;
+
+        if (!this.pevTypicalPrice) {
+            this.pevTypicalPrice = typicalPrice;
+            return;
+        }
+
+        const positiveMoneyFlow = typicalPrice > this.pevTypicalPrice ? moneyFlow : 0;
+        const negativeMoneyFlow = typicalPrice < this.pevTypicalPrice ? moneyFlow : 0;
+
+        this.pevTypicalPrice = typicalPrice;
+        this.negativeMoneyFlowSum += negativeMoneyFlow;
+        this.positiveMoneyFlowSum += positiveMoneyFlow;
+
+        const posRedunant = this.posCircular.push(positiveMoneyFlow);
+        const negRedunant = this.negCircular.push(negativeMoneyFlow);
+
+        if (!this.posCircular.filled) {
+            return;
+        }
+
+        this.negativeMoneyFlowSum -= negRedunant || 0;
+        this.positiveMoneyFlowSum -= posRedunant || 0;
+
+        const moneyFlowRatio = this.positiveMoneyFlowSum / this.negativeMoneyFlowSum;
+
+        return 100 - 100 / (1 + moneyFlowRatio);
+    }
+
+    momentValue(high: number, low: number, close: number, volume: number) {
+        return 0;
+    }
+}
diff --git a/src/providers/max-value.ts b/src/providers/max-value.ts
@@ -23,8 +23,8 @@ export class MaxProvider {
 
         const rmMax = this.highest.push(high);
 
-         // Most perf degrade case
-         if (rmMax === this.max && high !== this.max) {
+        // Most perf degrade case
+        if (rmMax === this.max && high !== this.max) {
             // console.count('degrade_max');
 
             this.max = getMax(this.highest.toArray());
@@ -37,4 +37,3 @@ export class MaxProvider {
         return this.max > high ? this.max : high;
     }
 }
-
diff --git a/src/stochastic-rsi.ts b/src/stochastic-rsi.ts
@@ -4,10 +4,10 @@ import { MinProvider } from './providers/min-value';
 import { RSI } from './rsi';
 
 /**
-* Developed by Tushar Chande and Stanley Kroll, StochRSI is an oscillator that measures the level of RSI relative
-* to its high-low range over a set time period. StochRSI applies the Stochastics formula to RSI values, rather
-* than price values, making it an indicator of an indicator. The result is an oscillator that 
-* fluctuates between 0 and 1.
+ * Developed by Tushar Chande and Stanley Kroll, StochRSI is an oscillator that measures the level of RSI relative
+ * to its high-low range over a set time period. StochRSI applies the Stochastics formula to RSI values, rather
+ * than price values, making it an indicator of an indicator. The result is an oscillator that
+ * fluctuates between 0 and 1.
  */
 export class StochasticRSI {
     private max: MaxProvider;
@@ -28,7 +28,7 @@ export class StochasticRSI {
      * Get next value for closed candle
      * affect all next calculations
      */
-    nextValue(close: number): { k: number, d: number, stochRsi: number } {
+    nextValue(close: number): { k: number; d: number; stochRsi: number } {
         const rsi = this.rsi.nextValue(close);
 
         if (rsi === undefined) {
@@ -37,7 +37,7 @@ export class StochasticRSI {
 
         const max = this.max.nextValue(rsi);
         const min = this.min.nextValue(rsi);
-        
+
         if (!this.max.filled()) {
             return;
         }
@@ -58,7 +58,7 @@ export class StochasticRSI {
      * Get next value for non closed (tick) candle hlc
      * does not affect any next calculations
      */
-    momentValue(close: number): { k: number, d: number, stochRsi: number} {
+    momentValue(close: number): { k: number; d: number; stochRsi: number } {
         if (!this.max.filled()) {
             return;
         }

diff --git a/src/stochastic.ts b/src/stochastic.ts
@@ -51,7 +51,6 @@ export class Stochastic {
         const max = this.max.momentValue(high);
         const min = this.min.momentValue(low);
 
-
         const k: number = ((close - min) / (max - min)) * 100;
         const d: number = this.sma.momentValue(k);
 

diff --git a/tests/ac/excel-data.ts b/tests/ac/excel-data.ts
@@ -1,112 +1,16 @@
 export const highs = [
-    7150,
-    7169,
-    7278.2,
-    7410,
-    7500,
-    7520,
-    7535,
-    7588,
-    7584.6,
-    7598,
-    7647,
-    7592,
-    7598,
-    7660.5,
-    7668.4,
-    7773.4,
-    7791.55,
-    7809.95,
-    7796.7,
-    7751.95,
-    7822,
-    7848.95,
-    7800,
-    7839.9,
-    7790.15,
-    7687.3,
-    7670.7,
-    7629.9,
-    7743.5,
-    7769,
-    7926.8,
-    7962,
-    7996.5,
-    8021.9,
-    7980,
-    7952,
-    8029,
-    8035.15,
-    8037,
-    7950,
-    7874.45,
-    7949.95,
-    7789,
-    7817.5,
-    7770.6,
-    7912.2,
-    7933.55,
-    7909.9,
-    7939.4,
-    7891.8,
-    7898.1,
-    7957.8,
+    7150, 7169, 7278.2, 7410, 7500, 7520, 7535, 7588, 7584.6, 7598, 7647, 7592, 7598, 7660.5, 7668.4, 7773.4, 7791.55,
+    7809.95, 7796.7, 7751.95, 7822, 7848.95, 7800, 7839.9, 7790.15, 7687.3, 7670.7, 7629.9, 7743.5, 7769, 7926.8, 7962,
+    7996.5, 8021.9, 7980, 7952, 8029, 8035.15, 8037, 7950, 7874.45, 7949.95, 7789, 7817.5, 7770.6, 7912.2, 7933.55,
+    7909.9, 7939.4, 7891.8, 7898.1, 7957.8,
 ];
 
 export const lows = [
-    7060,
-    6884.85,
-    7092.25,
-    7344.15,
-    7407,
-    7443,
-    7457.3,
-    7451.75,
-    7491.6,
-    7508,
-    7584.65,
-    7532.15,
-    7492,
-    7545.1,
-    7587.8,
-    7672.15,
-    7714,
-    7738.8,
-    7686.4,
-    7676.65,
-    7726.8,
-    7783.3,
-    7733.7,
-    7767.15,
-    7645,
-    7639,
-    7590.1,
-    7584.8,
-    7566,
-    7717.15,
-    7818.7,
-    7885.3,
-    7930.15,
-    7924,
-    7922,
-    7867.6,
-    7871.1,
-    7991,
-    7884,
-    7831.1,
-    7805.1,
-    7770.1,
-    7725,
-    7733,
-    7700.95,
-    7775,
-    7867.15,
-    7798.2,
-    7860.4,
-    7787.3,
-    7780.1,
-    7896,
-]
+    7060, 6884.85, 7092.25, 7344.15, 7407, 7443, 7457.3, 7451.75, 7491.6, 7508, 7584.65, 7532.15, 7492, 7545.1, 7587.8,
+    7672.15, 7714, 7738.8, 7686.4, 7676.65, 7726.8, 7783.3, 7733.7, 7767.15, 7645, 7639, 7590.1, 7584.8, 7566, 7717.15,
+    7818.7, 7885.3, 7930.15, 7924, 7922, 7867.6, 7871.1, 7991, 7884, 7831.1, 7805.1, 7770.1, 7725, 7733, 7700.95, 7775,
+    7867.15, 7798.2, 7860.4, 7787.3, 7780.1, 7896,
+];
 
 export const aoValues = [
     undefined,
@@ -161,4 +65,4 @@ export const aoValues = [
     28.34868,
     16.81946,
     8.91114,
-]
+];
diff --git a/tests/ao/excel-data.ts b/tests/ao/excel-data.ts
@@ -1,112 +1,16 @@
 export const highs = [
-    7150,
-    7169,
-    7278.2,
-    7410,
-    7500,
-    7520,
-    7535,
-    7588,
-    7584.6,
-    7598,
-    7647,
-    7592,
-    7598,
-    7660.5,
-    7668.4,
-    7773.4,
-    7791.55,
-    7809.95,
-    7796.7,
-    7751.95,
-    7822,
-    7848.95,
-    7800,
-    7839.9,
-    7790.15,
-    7687.3,
-    7670.7,
-    7629.9,
-    7743.5,
-    7769,
-    7926.8,
-    7962,
-    7996.5,
-    8021.9,
-    7980,
-    7952,
-    8029,
-    8035.15,
-    8037,
-    7950,
-    7874.45,
-    7949.95,
-    7789,
-    7817.5,
-    7770.6,
-    7912.2,
-    7933.55,
-    7909.9,
-    7939.4,
-    7891.8,
-    7898.1,
-    7957.8,
+    7150, 7169, 7278.2, 7410, 7500, 7520, 7535, 7588, 7584.6, 7598, 7647, 7592, 7598, 7660.5, 7668.4, 7773.4, 7791.55,
+    7809.95, 7796.7, 7751.95, 7822, 7848.95, 7800, 7839.9, 7790.15, 7687.3, 7670.7, 7629.9, 7743.5, 7769, 7926.8, 7962,
+    7996.5, 8021.9, 7980, 7952, 8029, 8035.15, 8037, 7950, 7874.45, 7949.95, 7789, 7817.5, 7770.6, 7912.2, 7933.55,
+    7909.9, 7939.4, 7891.8, 7898.1, 7957.8,
 ];
 
 export const lows = [
-    7060,
-    6884.85,
-    7092.25,
-    7344.15,
-    7407,
-    7443,
-    7457.3,
-    7451.75,
-    7491.6,
-    7508,
-    7584.65,
-    7532.15,
-    7492,
-    7545.1,
-    7587.8,
-    7672.15,
-    7714,
-    7738.8,
-    7686.4,
-    7676.65,
-    7726.8,
-    7783.3,
-    7733.7,
-    7767.15,
-    7645,
-    7639,
-    7590.1,
-    7584.8,
-    7566,
-    7717.15,
-    7818.7,
-    7885.3,
-    7930.15,
-    7924,
-    7922,
-    7867.6,
-    7871.1,
-    7991,
-    7884,
-    7831.1,
-    7805.1,
-    7770.1,
-    7725,
-    7733,
-    7700.95,
-    7775,
-    7867.15,
-    7798.2,
-    7860.4,
-    7787.3,
-    7780.1,
-    7896,
-]
+    7060, 6884.85, 7092.25, 7344.15, 7407, 7443, 7457.3, 7451.75, 7491.6, 7508, 7584.65, 7532.15, 7492, 7545.1, 7587.8,
+    7672.15, 7714, 7738.8, 7686.4, 7676.65, 7726.8, 7783.3, 7733.7, 7767.15, 7645, 7639, 7590.1, 7584.8, 7566, 7717.15,
+    7818.7, 7885.3, 7930.15, 7924, 7922, 7867.6, 7871.1, 7991, 7884, 7831.1, 7805.1, 7770.1, 7725, 7733, 7700.95, 7775,
+    7867.15, 7798.2, 7860.4, 7787.3, 7780.1, 7896,
+];
 
 export const aoValues = [
     undefined,
@@ -161,4 +65,4 @@ export const aoValues = [
     47.6922,
     44.2532,
     45.0772,
-]
+];