feat(CCI): Add faster CCI implementation (#356)

src/CCI/CCI.test.ts

@@ -1,4 +1,4 @@
-import {CCI} from './CCI';
+import {CCI, FasterCCI} from './CCI';
 import {NotEnoughDataError} from '../error';
 
 describe('CCI', () => {
@@ -26,17 +26,33 @@ describe('CCI', () => {
   describe('getResult', () => {
     it('calculates the Commodity Channel Index (CCI)', () => {
       const cci = new CCI(5);
+      const fasterCCI = new FasterCCI(5);
       for (const candle of candles) {
         cci.update(candle);
-        if (cci.isStable) {
+        fasterCCI.update(candle);
+        if (cci.isStable && fasterCCI.isStable) {
           const expected = expectations.shift();
           expect(cci.getResult().toFixed(2)).toBe(expected!);
+          expect(fasterCCI.getResult().toFixed(2)).toBe(expected!);
         }
       }
       const actual = cci.getResult().toFixed(2);
       expect(actual).toBe('71.93');
     });
 
+    it("stores the highest and lowest result throughout the indicator's lifetime", () => {
+      const cci = new CCI(5);
+      const fasterCCI = new FasterCCI(5);
+      for (const candle of candles) {
+        cci.update(candle);
+        fasterCCI.update(candle);
+      }
+      expect(cci.highest!.toFixed(2)).toBe('166.67');
+      expect(cci.lowest!.toFixed(2)).toBe('71.93');
+      expect(fasterCCI.highest!.toFixed(2)).toBe('166.67');
+      expect(fasterCCI.lowest!.toFixed(2)).toBe('71.93');
+    });
+
     it('throws an error when there is not enough input data', () => {
       const cci = new CCI(5);
       try {
@@ -45,6 +61,14 @@ describe('CCI', () => {
       } catch (error) {
         expect(error).toBeInstanceOf(NotEnoughDataError);
       }
+
+      const fasterCCI = new FasterCCI(5);
+      try {
+        fasterCCI.getResult();
+        fail('Expected error');
+      } catch (error) {
+        expect(error).toBeInstanceOf(NotEnoughDataError);
+      }
     });
   });
 });

src/CCI/CCI.ts

@@ -1,16 +1,22 @@
-import {BigIndicatorSeries} from '../Indicator';
+import {BigIndicatorSeries, NumberIndicatorSeries} from '../Indicator';
 import {Big, BigSource} from 'big.js';
-import {HighLowClose} from '../util';
-import {SMA} from '../SMA/SMA';
-import {MAD} from '../MAD/MAD';
+import {HighLowClose, HighLowCloseNumbers} from '../util';
+import {FasterSMA, SMA} from '../SMA/SMA';
+import {FasterMAD, MAD} from '../MAD/MAD';
 
 /**
  * Commodity Channel Index (CCI)
  * Type: Momentum
  *
- * The Commodity Channel Index (CCI), developed by Donald Lambert in 1980, compares the current mean price with the average mean price over a period of time. Approximately 70 to 80 percent of CCI values are between −100 and +100, which makes it an oscillator. Values above +100 imply an overbought condition, while values below −100 imply an oversold condition.
+ * The Commodity Channel Index (CCI), developed by Donald Lambert in 1980, compares the current mean price with the
+ * average mean price over a period of time. Approximately 70 to 80 percent of CCI values are between −100 and +100,
+ * which makes it an oscillator. Values above +100 imply an overbought condition, while values below −100 imply an
+ * oversold condition.
  *
- * According to [Investopia.com](https://www.investopedia.com/articles/active-trading/031914/how-traders-can-utilize-cci-commodity-channel-index-trade-stock-trends.asp#multiple-timeframe-cci-strategy), traders often buy when the CCI dips below -100 and then rallies back above -100 to sell the security when it moves above +100 and then drops back below +100.
+ * According to
+ * [Investopia.com](https://www.investopedia.com/articles/active-trading/031914/how-traders-can-utilize-cci-commodity-channel-index-trade-stock-trends.asp#multiple-timeframe-cci-strategy),
+ * traders often buy when the CCI dips below -100 and then rallies back above -100 to sell the security when it moves
+ * above +100 and then drops back below +100.
  *
  * @see https://en.wikipedia.org/wiki/Commodity_channel_index
  */
@@ -50,3 +56,40 @@ export class CCI extends BigIndicatorSeries {
     return typicalPrice;
   }
 }
+
+export class FasterCCI extends NumberIndicatorSeries {
+  public readonly prices: number[] = [];
+  protected result?: number;
+  private readonly sma: FasterSMA;
+  private readonly typicalPrices: number[] = [];
+
+  constructor(public readonly interval: number) {
+    super();
+    this.sma = new FasterSMA(this.interval);
+  }
+
+  override get isStable(): boolean {
+    return this.result !== undefined;
+  }
+
+  override update(candle: HighLowCloseNumbers): void | number {
+    const typicalPrice = this.cacheTypicalPrice(candle);
+    this.sma.update(typicalPrice);
+    if (this.sma.isStable) {
+      const mean = this.sma.getResult();
+      const meanDeviation = FasterMAD.getResultFromBatch(this.typicalPrices, mean);
+      const a = typicalPrice - mean;
+      const b = 0.015 * meanDeviation;
+      return this.setResult(a / b);
+    }
+  }
+
+  private cacheTypicalPrice({high, low, close}: HighLowCloseNumbers): number {
+    const typicalPrice = (high + low + close) / 3;
+    this.typicalPrices.push(typicalPrice);
+    if (this.typicalPrices.length > this.interval) {
+      this.typicalPrices.shift();
+    }
+    return typicalPrice;
+  }
+}

src/Indicator.ts

@@ -85,5 +85,5 @@ export abstract class NumberIndicatorSeries implements IndicatorSeries<number> {
     return this.result;
   }
 
-  abstract update(...args: any): void;
+  abstract update(...args: any): void | number;
 }

src/MAD/MAD.test.ts

@@ -82,17 +82,17 @@ describe('MAD', () => {
       // Test data verified with:
       // https://en.wikipedia.org/wiki/Average_absolute_deviation#Mean_absolute_deviation_around_a_central_point
       const prices = [2, 2, 3, 4, 14];
-      const result = MAD.getResultFromBatch(prices);
-      expect(result.valueOf()).toBe('3.6');
+      expect(MAD.getResultFromBatch(prices).valueOf()).toBe('3.6');
+      expect(FasterMAD.getResultFromBatch(prices).valueOf()).toBe(3.6);
     });
 
     it('accepts a supplied mean', () => {
       // Test data verified with:
       // https://en.wikipedia.org/wiki/Average_absolute_deviation#Mean_absolute_deviation_around_a_central_point
       const prices = [2, 2, 3, 4, 14];
       const mean = 5;
-      const result = MAD.getResultFromBatch(prices, mean);
-      expect(result.valueOf()).toBe('3.6');
+      expect(MAD.getResultFromBatch(prices, mean).valueOf()).toBe('3.6');
+      expect(FasterMAD.getResultFromBatch(prices, mean).valueOf()).toBe(3.6);
     });
   });
 });

src/MAD/MAD.ts

@@ -73,4 +73,14 @@ export class FasterMAD extends NumberIndicatorSeries {
       this.setResult(sum / this.interval);
     }
   }
+
+  static getResultFromBatch(prices: number[], average?: number): number {
+    const mean = average || getFasterAverage(prices);
+    let sum = 0;
+    for (let i = 0; i < prices.length; i++) {
+      const deviation = Math.abs(prices[i] - mean);
+      sum += deviation;
+    }
+    return sum / prices.length;
+  }
 }

src/index.ts

@@ -4,6 +4,7 @@ export * from './ADX/ADX';
 export * from './AO/AO';
 export * from './ATR/ATR';
 export * from './BBANDS/BollingerBands';
+export * from './CCI/CCI';
 export * from './CG/CG';
 export * from './DEMA/DEMA';
 export * from './DMA/DMA';
@@ -13,6 +14,7 @@ export * from './Indicator';
 export * from './MA/MovingAverage';
 export * from './MA/MovingAverageTypeContext';
 export * from './MACD/MACD';
+export * from './MAD/MAD';
 export * from './MOM/MOM';
 export * from './ROC/ROC';
 export * from './RSI/RSI';

src/start/startBenchmark.ts

@@ -3,11 +3,23 @@ import candles from '../test/fixtures/candles/100-candles.json';
 import {FasterMAD, MAD} from '../MAD/MAD';
 import {BollingerBands, FasterBollingerBands} from '../BBANDS/BollingerBands';
 import {EMA, FasterEMA} from '../EMA/EMA';
-import {getFasterAverage, getAverage, getFasterStandardDeviation, getStandardDeviation} from '../util';
-import {SMA, FasterSMA} from '../SMA/SMA';
+import {
+  getAverage,
+  getFasterAverage,
+  getFasterStandardDeviation,
+  getStandardDeviation,
+  HighLowCloseNumbers,
+} from '../util';
+import {FasterSMA, SMA} from '../SMA/SMA';
+import {CCI, FasterCCI} from '../CCI/CCI';
 
 const interval = 20;
-const prices = candles.map(candle => parseInt(candle.close, 10));
+const prices: number[] = candles.map(candle => parseInt(candle.close, 10));
+const highLowCloses: HighLowCloseNumbers[] = candles.map(candle => ({
+  close: parseInt(candle.close, 10),
+  high: parseInt(candle.high, 10),
+  low: parseInt(candle.low, 10),
+}));
 
 new Benchmark.Suite('Technical Indicators')
   .add('BollingerBands', () => {
@@ -16,6 +28,24 @@ new Benchmark.Suite('Technical Indicators')
       bb.update(price);
     }
   })
+  .add('FasterBollingerBands', () => {
+    const fasterBB = new FasterBollingerBands(interval, 2);
+    for (const price of prices) {
+      fasterBB.update(price);
+    }
+  })
+  .add('CCI', () => {
+    const cci = new CCI(interval);
+    for (const candle of highLowCloses) {
+      cci.update(candle);
+    }
+  })
+  .add('FasterCCI', () => {
+    const fasterCCI = new FasterCCI(interval);
+    for (const candle of highLowCloses) {
+      fasterCCI.update(candle);
+    }
+  })
   .add('EMA', () => {
     const ema = new EMA(interval);
     for (const price of prices) {
@@ -28,12 +58,6 @@ new Benchmark.Suite('Technical Indicators')
       fasterEMA.update(price);
     }
   })
-  .add('FasterBollingerBands', () => {
-    const fasterBB = new FasterBollingerBands(interval, 2);
-    for (const price of prices) {
-      fasterBB.update(price);
-    }
-  })
   .add('MAD', () => {
     const mad = new MAD(interval);
     for (const price of prices) {

src/util/HighLowClose.ts

@@ -1,3 +1,5 @@
 import {BigSource} from 'big.js';
 
 export type HighLowClose = {close: BigSource; high: BigSource; low: BigSource};
+
+export type HighLowCloseNumbers = {close: number; high: number; low: number};