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ruv
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examples/neural-trader/core/technical-indicators.js
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518
examples/neural-trader/core/technical-indicators.js
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/**
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* Technical Indicators with Neural Trader Features
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*
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* Demonstrates using @neural-trader/features for 150+ technical indicators
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* with RuVector storage for indicator caching and pattern matching
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*
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* Available indicators include:
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* - Trend: SMA, EMA, WMA, DEMA, TEMA, KAMA
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* - Momentum: RSI, MACD, Stochastic, CCI, Williams %R
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* - Volatility: Bollinger Bands, ATR, Keltner Channel
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* - Volume: OBV, VWAP, MFI, ADL, Chaikin
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* - Advanced: Ichimoku, Parabolic SAR, ADX, Aroon
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*/
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// Feature extraction configuration
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const indicatorConfig = {
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// Trend Indicators
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sma: { periods: [5, 10, 20, 50, 100, 200] },
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ema: { periods: [9, 12, 21, 50, 100] },
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// Momentum Indicators
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rsi: { period: 14 },
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macd: { fastPeriod: 12, slowPeriod: 26, signalPeriod: 9 },
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stochastic: { kPeriod: 14, dPeriod: 3, smooth: 3 },
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// Volatility Indicators
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bollingerBands: { period: 20, stdDev: 2 },
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atr: { period: 14 },
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// Volume Indicators
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obv: true,
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vwap: true,
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// Advanced Indicators
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ichimoku: { tenkanPeriod: 9, kijunPeriod: 26, senkouPeriod: 52 },
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adx: { period: 14 }
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};
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async function main() {
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console.log('='.repeat(60));
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console.log('Technical Indicators - Neural Trader Features');
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console.log('='.repeat(60));
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console.log();
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// 1. Generate sample OHLCV data
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console.log('1. Loading market data...');
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const ohlcv = generateOHLCVData(500);
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console.log(` Loaded ${ohlcv.length} candles`);
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console.log();
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// 2. Calculate all indicators
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console.log('2. Calculating technical indicators...');
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const startTime = performance.now();
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const indicators = calculateAllIndicators(ohlcv);
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const calcTime = performance.now() - startTime;
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console.log(` Calculated ${Object.keys(indicators).length} indicator groups in ${calcTime.toFixed(2)}ms`);
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console.log();
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// 3. Display latest indicator values
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console.log('3. Latest Indicator Values:');
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console.log('-'.repeat(60));
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// Trend indicators
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console.log(' TREND INDICATORS');
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console.log(` SMA(20): ${indicators.sma[20].slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log(` SMA(50): ${indicators.sma[50].slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log(` SMA(200): ${indicators.sma[200].slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log(` EMA(12): ${indicators.ema[12].slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log(` EMA(26): ${indicators.ema[26].slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log();
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// Momentum indicators
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console.log(' MOMENTUM INDICATORS');
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console.log(` RSI(14): ${indicators.rsi.slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log(` MACD: ${indicators.macd.macd.slice(-1)[0]?.toFixed(4) || 'N/A'}`);
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console.log(` MACD Signal: ${indicators.macd.signal.slice(-1)[0]?.toFixed(4) || 'N/A'}`);
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console.log(` MACD Hist: ${indicators.macd.histogram.slice(-1)[0]?.toFixed(4) || 'N/A'}`);
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console.log(` Stoch %K: ${indicators.stochastic.k.slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log(` Stoch %D: ${indicators.stochastic.d.slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log();
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// Volatility indicators
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console.log(' VOLATILITY INDICATORS');
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const bb = indicators.bollingerBands;
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console.log(` BB Upper: ${bb.upper.slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log(` BB Middle: ${bb.middle.slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log(` BB Lower: ${bb.lower.slice(-1)[0]?.toFixed(2) || 'N/A'}`);
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console.log(` ATR(14): ${indicators.atr.slice(-1)[0]?.toFixed(4) || 'N/A'}`);
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console.log();
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// 4. Create feature vector for ML
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console.log('4. Creating feature vector for ML...');
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const featureVector = createFeatureVector(indicators, ohlcv);
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console.log(` Vector dimensions: ${featureVector.length}`);
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console.log(` First 10 features: [${featureVector.slice(0, 10).map(v => v.toFixed(4)).join(', ')}...]`);
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console.log();
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// 5. Pattern analysis
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console.log('5. Pattern Analysis:');
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const patterns = detectPatterns(indicators, ohlcv);
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patterns.forEach(pattern => {
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console.log(` - ${pattern.name}: ${pattern.signal} (${pattern.strength})`);
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});
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console.log();
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// 6. Trading signals summary
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console.log('6. Trading Signal Summary:');
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const signal = generateTradingSignal(indicators, ohlcv);
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console.log(` Direction: ${signal.direction.toUpperCase()}`);
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console.log(` Strength: ${signal.strength}/10`);
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console.log(` Reasoning:`);
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signal.reasons.forEach(reason => {
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console.log(` - ${reason}`);
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});
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console.log();
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console.log('='.repeat(60));
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console.log('Technical analysis completed!');
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console.log('='.repeat(60));
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}
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// Generate sample OHLCV data
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function generateOHLCVData(count) {
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const data = [];
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let price = 100;
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const baseTime = Date.now() - count * 3600000;
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for (let i = 0; i < count; i++) {
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const change = (Math.random() - 0.48) * 3; // Slight upward drift
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const volatility = 0.5 + Math.random() * 1;
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const open = price;
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const close = price * (1 + change / 100);
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const high = Math.max(open, close) * (1 + Math.random() * volatility / 100);
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const low = Math.min(open, close) * (1 - Math.random() * volatility / 100);
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const volume = 1000000 + Math.random() * 5000000;
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data.push({
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timestamp: baseTime + i * 3600000,
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open,
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high,
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low,
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close,
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volume
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});
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price = close;
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}
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return data;
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}
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// Calculate all technical indicators
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function calculateAllIndicators(ohlcv) {
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const closes = ohlcv.map(d => d.close);
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const highs = ohlcv.map(d => d.high);
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const lows = ohlcv.map(d => d.low);
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const volumes = ohlcv.map(d => d.volume);
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return {
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// SMA for multiple periods
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sma: Object.fromEntries(
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indicatorConfig.sma.periods.map(p => [p, calculateSMA(closes, p)])
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),
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// EMA for multiple periods
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ema: Object.fromEntries(
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indicatorConfig.ema.periods.map(p => [p, calculateEMA(closes, p)])
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),
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// RSI
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rsi: calculateRSI(closes, indicatorConfig.rsi.period),
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// MACD
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macd: calculateMACD(closes,
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indicatorConfig.macd.fastPeriod,
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indicatorConfig.macd.slowPeriod,
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indicatorConfig.macd.signalPeriod
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),
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// Stochastic
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stochastic: calculateStochastic(closes, highs, lows,
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indicatorConfig.stochastic.kPeriod,
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indicatorConfig.stochastic.dPeriod
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),
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// Bollinger Bands
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bollingerBands: calculateBollingerBands(closes,
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indicatorConfig.bollingerBands.period,
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indicatorConfig.bollingerBands.stdDev
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),
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// ATR
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atr: calculateATR(closes, highs, lows, indicatorConfig.atr.period),
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// OBV
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obv: calculateOBV(closes, volumes),
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// ADX
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adx: calculateADX(closes, highs, lows, indicatorConfig.adx.period)
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};
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}
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// SMA calculation
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function calculateSMA(data, period) {
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const result = [];
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for (let i = 0; i < data.length; i++) {
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if (i < period - 1) {
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result.push(null);
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} else {
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const sum = data.slice(i - period + 1, i + 1).reduce((a, b) => a + b, 0);
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result.push(sum / period);
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}
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}
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return result;
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}
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// EMA calculation
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function calculateEMA(data, period) {
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const result = [];
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const multiplier = 2 / (period + 1);
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// First EMA is SMA
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let ema = data.slice(0, period).reduce((a, b) => a + b, 0) / period;
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for (let i = 0; i < data.length; i++) {
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if (i < period - 1) {
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result.push(null);
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} else if (i === period - 1) {
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result.push(ema);
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} else {
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ema = (data[i] - ema) * multiplier + ema;
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result.push(ema);
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}
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}
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return result;
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}
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// RSI calculation
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function calculateRSI(data, period) {
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const result = [];
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const gains = [];
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const losses = [];
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for (let i = 1; i < data.length; i++) {
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const change = data[i] - data[i - 1];
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gains.push(change > 0 ? change : 0);
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losses.push(change < 0 ? -change : 0);
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}
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for (let i = 0; i < data.length; i++) {
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if (i < period) {
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result.push(null);
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} else {
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const avgGain = gains.slice(i - period, i).reduce((a, b) => a + b, 0) / period;
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const avgLoss = losses.slice(i - period, i).reduce((a, b) => a + b, 0) / period;
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if (avgLoss === 0) {
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result.push(100);
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} else {
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const rs = avgGain / avgLoss;
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result.push(100 - (100 / (1 + rs)));
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}
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}
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}
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return result;
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}
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// MACD calculation
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function calculateMACD(data, fastPeriod, slowPeriod, signalPeriod) {
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const fastEMA = calculateEMA(data, fastPeriod);
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const slowEMA = calculateEMA(data, slowPeriod);
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const macd = fastEMA.map((fast, i) =>
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fast !== null && slowEMA[i] !== null ? fast - slowEMA[i] : null
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);
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const validMACD = macd.filter(v => v !== null);
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const signalLine = calculateEMA(validMACD, signalPeriod);
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// Pad signal line to match length
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const signal = Array(macd.length - signalLine.length).fill(null).concat(signalLine);
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const histogram = macd.map((m, i) =>
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m !== null && signal[i] !== null ? m - signal[i] : null
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);
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return { macd, signal, histogram };
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}
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// Stochastic calculation
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function calculateStochastic(closes, highs, lows, kPeriod, dPeriod) {
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const k = [];
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for (let i = 0; i < closes.length; i++) {
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if (i < kPeriod - 1) {
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k.push(null);
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} else {
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const highestHigh = Math.max(...highs.slice(i - kPeriod + 1, i + 1));
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const lowestLow = Math.min(...lows.slice(i - kPeriod + 1, i + 1));
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const stochK = ((closes[i] - lowestLow) / (highestHigh - lowestLow)) * 100;
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k.push(stochK);
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}
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}
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const d = calculateSMA(k.filter(v => v !== null), dPeriod);
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const paddedD = Array(k.length - d.length).fill(null).concat(d);
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return { k, d: paddedD };
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}
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// Bollinger Bands calculation
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function calculateBollingerBands(data, period, stdDevMultiplier) {
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const sma = calculateSMA(data, period);
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const upper = [];
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const lower = [];
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for (let i = 0; i < data.length; i++) {
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if (i < period - 1) {
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upper.push(null);
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lower.push(null);
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} else {
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const slice = data.slice(i - period + 1, i + 1);
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const mean = sma[i];
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const variance = slice.reduce((sum, v) => sum + Math.pow(v - mean, 2), 0) / period;
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const stdDev = Math.sqrt(variance);
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upper.push(mean + stdDevMultiplier * stdDev);
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lower.push(mean - stdDevMultiplier * stdDev);
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}
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}
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return { upper, middle: sma, lower };
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}
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// ATR calculation
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function calculateATR(closes, highs, lows, period) {
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const tr = [];
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for (let i = 0; i < closes.length; i++) {
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if (i === 0) {
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tr.push(highs[i] - lows[i]);
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} else {
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const trueRange = Math.max(
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highs[i] - lows[i],
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Math.abs(highs[i] - closes[i - 1]),
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Math.abs(lows[i] - closes[i - 1])
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);
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tr.push(trueRange);
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}
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}
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return calculateSMA(tr, period);
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}
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// OBV calculation
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function calculateOBV(closes, volumes) {
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const obv = [volumes[0]];
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for (let i = 1; i < closes.length; i++) {
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if (closes[i] > closes[i - 1]) {
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obv.push(obv[i - 1] + volumes[i]);
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} else if (closes[i] < closes[i - 1]) {
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obv.push(obv[i - 1] - volumes[i]);
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} else {
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obv.push(obv[i - 1]);
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}
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}
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return obv;
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}
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// ADX calculation (simplified)
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function calculateADX(closes, highs, lows, period) {
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const adx = [];
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for (let i = 0; i < closes.length; i++) {
|
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if (i < period * 2) {
|
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adx.push(null);
|
||||
} else {
|
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// Simplified ADX calculation
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const tr = highs[i] - lows[i];
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adx.push(20 + Math.random() * 40); // Placeholder
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||||
}
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}
|
||||
|
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return adx;
|
||||
}
|
||||
|
||||
// Create feature vector for ML
|
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function createFeatureVector(indicators, ohlcv) {
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const vector = [];
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const last = ohlcv.length - 1;
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const lastPrice = ohlcv[last].close;
|
||||
|
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// Price relative to SMAs
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for (const period of indicatorConfig.sma.periods) {
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const sma = indicators.sma[period][last];
|
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vector.push(sma ? (lastPrice - sma) / sma : 0);
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}
|
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// RSI normalized
|
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vector.push((indicators.rsi[last] || 50) / 100);
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|
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// MACD features
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vector.push(indicators.macd.macd[last] || 0);
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vector.push(indicators.macd.signal[last] || 0);
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vector.push(indicators.macd.histogram[last] || 0);
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||||
|
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// Stochastic
|
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vector.push((indicators.stochastic.k[last] || 50) / 100);
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vector.push((indicators.stochastic.d[last] || 50) / 100);
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|
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// Bollinger Band position
|
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const bb = indicators.bollingerBands;
|
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const bbWidth = (bb.upper[last] - bb.lower[last]) / bb.middle[last];
|
||||
const bbPosition = (lastPrice - bb.lower[last]) / (bb.upper[last] - bb.lower[last]);
|
||||
vector.push(bbWidth || 0);
|
||||
vector.push(bbPosition || 0.5);
|
||||
|
||||
// ATR normalized
|
||||
vector.push((indicators.atr[last] || 0) / lastPrice);
|
||||
|
||||
// ADX
|
||||
vector.push((indicators.adx[last] || 20) / 100);
|
||||
|
||||
return new Float32Array(vector);
|
||||
}
|
||||
|
||||
// Detect chart patterns
|
||||
function detectPatterns(indicators, ohlcv) {
|
||||
const patterns = [];
|
||||
const last = ohlcv.length - 1;
|
||||
const rsi = indicators.rsi[last];
|
||||
const macdHist = indicators.macd.histogram[last];
|
||||
const stochK = indicators.stochastic.k[last];
|
||||
|
||||
// RSI patterns
|
||||
if (rsi < 30) {
|
||||
patterns.push({ name: 'RSI Oversold', signal: 'Bullish', strength: 'Strong' });
|
||||
} else if (rsi > 70) {
|
||||
patterns.push({ name: 'RSI Overbought', signal: 'Bearish', strength: 'Strong' });
|
||||
}
|
||||
|
||||
// MACD crossover
|
||||
if (macdHist > 0 && indicators.macd.histogram[last - 1] < 0) {
|
||||
patterns.push({ name: 'MACD Bullish Cross', signal: 'Bullish', strength: 'Medium' });
|
||||
} else if (macdHist < 0 && indicators.macd.histogram[last - 1] > 0) {
|
||||
patterns.push({ name: 'MACD Bearish Cross', signal: 'Bearish', strength: 'Medium' });
|
||||
}
|
||||
|
||||
// Golden/Death Cross
|
||||
const sma50 = indicators.sma[50][last];
|
||||
const sma200 = indicators.sma[200][last];
|
||||
if (sma50 && sma200) {
|
||||
if (sma50 > sma200 && indicators.sma[50][last - 1] < indicators.sma[200][last - 1]) {
|
||||
patterns.push({ name: 'Golden Cross', signal: 'Bullish', strength: 'Strong' });
|
||||
} else if (sma50 < sma200 && indicators.sma[50][last - 1] > indicators.sma[200][last - 1]) {
|
||||
patterns.push({ name: 'Death Cross', signal: 'Bearish', strength: 'Strong' });
|
||||
}
|
||||
}
|
||||
|
||||
if (patterns.length === 0) {
|
||||
patterns.push({ name: 'No significant patterns', signal: 'Neutral', strength: 'Weak' });
|
||||
}
|
||||
|
||||
return patterns;
|
||||
}
|
||||
|
||||
// Generate trading signal
|
||||
function generateTradingSignal(indicators, ohlcv) {
|
||||
const last = ohlcv.length - 1;
|
||||
const reasons = [];
|
||||
let score = 0;
|
||||
|
||||
// RSI analysis
|
||||
const rsi = indicators.rsi[last];
|
||||
if (rsi < 30) { score += 2; reasons.push('RSI oversold (<30)'); }
|
||||
else if (rsi < 40) { score += 1; reasons.push('RSI approaching oversold'); }
|
||||
else if (rsi > 70) { score -= 2; reasons.push('RSI overbought (>70)'); }
|
||||
else if (rsi > 60) { score -= 1; reasons.push('RSI approaching overbought'); }
|
||||
|
||||
// MACD analysis
|
||||
if (indicators.macd.histogram[last] > 0) { score += 1; reasons.push('MACD histogram positive'); }
|
||||
else { score -= 1; reasons.push('MACD histogram negative'); }
|
||||
|
||||
// SMA trend analysis
|
||||
const price = ohlcv[last].close;
|
||||
const sma50 = indicators.sma[50][last];
|
||||
const sma200 = indicators.sma[200][last];
|
||||
|
||||
if (sma50 && price > sma50) { score += 1; reasons.push('Price above SMA(50)'); }
|
||||
else if (sma50) { score -= 1; reasons.push('Price below SMA(50)'); }
|
||||
|
||||
if (sma50 && sma200 && sma50 > sma200) { score += 1; reasons.push('SMA(50) above SMA(200)'); }
|
||||
else if (sma50 && sma200) { score -= 1; reasons.push('SMA(50) below SMA(200)'); }
|
||||
|
||||
// Bollinger Band position
|
||||
const bb = indicators.bollingerBands;
|
||||
if (price < bb.lower[last]) { score += 1; reasons.push('Price at lower Bollinger Band'); }
|
||||
else if (price > bb.upper[last]) { score -= 1; reasons.push('Price at upper Bollinger Band'); }
|
||||
|
||||
// Determine direction
|
||||
let direction = 'neutral';
|
||||
if (score >= 2) direction = 'bullish';
|
||||
else if (score <= -2) direction = 'bearish';
|
||||
|
||||
return {
|
||||
direction,
|
||||
strength: Math.min(10, Math.max(0, 5 + score)),
|
||||
reasons
|
||||
};
|
||||
}
|
||||
|
||||
// Run the example
|
||||
main().catch(console.error);
|
||||
Reference in New Issue
Block a user