Technical Indicators

A lightweight TypeScript library for technical analysis indicators used in financial markets. Built with zero external dependencies and real-time streaming support. Have fun.

Installation

yarn add technical-indicators

Quick Start

import { SMA, EMA, RSI, PriceData } from 'technical-indicators';

const prices: PriceData[] = [
  { open: 100, high: 105, low: 99, close: 104, volume: 1000 },
  { open: 104, high: 107, low: 103, close: 106, volume: 1200 },
  // and so on...
];

// Simple Moving Average
const sma = new SMA(20);
const smaValues = sma.calculate(prices);

// Exponential Moving Average  
const ema = new EMA(12);
const emaValues = ema.calculate(prices);

// RSI
const rsi = new RSI(14);
const rsiValues = rsi.calculate(prices);

Available Indicators

Moving Averages

• SMA - Simple Moving Average
• EMA - Exponential Moving Average
• VWMA - Volume Weighted Moving Average
• MACD - Moving Average Convergence Divergence

Momentum Indicators

• RSI - Relative Strength Index

Trend Indicators

• PSAR - Parabolic SAR (Stop and Reverse)

Volume Indicators

• OBV - On-Balance Volume

Volatility Indicators

• Bollinger Bands - Standard deviation bands

Usage Examples

Basic Usage

import { RSI, BollingerBands, PriceData } from 'technical-indicators';

const data: PriceData[] = [
  // OHLCV data
];

// RSI with 14-period
const rsi = new RSI(14);
const rsiValues = rsi.calculate(data);

// Bollinger Bands (20-period, 2 standard deviations)
const bb = new BollingerBands(20, 2);
const bands = bb.calculate(data);

console.log('Current RSI:', rsiValues[rsiValues.length - 1]);
console.log('Current Bands:', bands[bands.length - 1]);

Streaming Data

Perfect for real-time trading applications:

import { EMA, PriceData } from 'technical-indicators';

const ema = new EMA(12);

// historical data
ema.calculate(historicalData);

// incoming data
const newCandle: PriceData = { 
  open: 100, high: 102, low: 99, close: 101, volume: 500 
};

const currentEMA = ema.calculateNext(newCandle);
console.log('Current EMA:', currentEMA);

Configuration

All indicators support configuration:

import { PSAR } from 'technical-indicators';

const psar = new PSAR(0.02, 0.2); // step, maxStep

// reconfigure if needed
psar.configure({ step: 0.01, maxStep: 0.15 });

API Reference

Base Interface

All indicators implement the IIndicator interface:

interface IIndicator<TInput, TOutput> {
  calculate(data: TInput[]): TOutput[];
  calculateNext(newData: TInput): TOutput | null;
  reset(): void;
}

Data Types

interface PriceData {
  open: number;
  high: number;
  low: number;
  close: number;
  volume?: number;
  timestamp?: number;
}

interface BollingerBandsResult {
  upper: number;
  middle: number;
  lower: number;
}

interface PSARResult {
  value: number;
  isReversal: boolean;
  trend: 'up' | 'down';
}

Mathematical Accuracy

This library implements indicators using standard financial formulas:

• SMA: Arithmetic mean over N periods
• EMA: Exponentially weighted average with α = 2/(N+1)
• RSI: Relative Strength Index using EMA-smoothed gains/losses
• PSAR: Parabolic SAR with configurable acceleration factor
• Bollinger Bands: SMA ± (Standard Deviation × multiplier)

Performance

Designed for high-frequency trading environments:

• O(1) complexity for calculateNext() operations
• Minimal memory footprint
• No unnecessary object allocations
• Optimized mathematical operations

Error Handling

The library handles edge cases gracefully:

• Returns NaN for insufficient data periods
• Returns null for streaming when data is insufficient
• Validates input parameters
• Handles division by zero scenarios

License

GNU Lesser General Public License v2.1

Contributing

Contributions are welcome! Please feel free to submit a Pull Request.

Support

If you encounter any issues or have questions, please file an issue on the GitHub repository.