@nepse-toolkit/analysis

Technical indicators, screening strategies, fundamental valuation, and backtesting for NEPSE.

Part of the nepse-toolkit monorepo.

Features

Technical Indicators (9)

All indicators account for NEPSE's 10% daily circuit breaker limit.

SMA / EMA — Simple and Exponential Moving Averages
RSI — Relative Strength Index with circuit-aware extremes at 30/70
MACD — Moving Average Convergence Divergence (12/26/9)
Bollinger Bands — 20-period with squeeze detection
ATR — Average True Range capped at 10% circuit limit
VWAP — Volume Weighted Average Price
OBV — On Balance Volume for accumulation/distribution
Stochastic — %K/%D oscillator for overbought/oversold

Screening Strategies (7)

Strategy	Signal
`oversold_bounce`	RSI(14) < 30 with recovery signal
`momentum_breakout`	SMA(20) crosses above SMA(50) with volume
`high_volume_surge`	Volume 2x+ above 20-day average
`golden_cross`	Recent SMA(20)/SMA(50) golden cross
`bollinger_squeeze`	Narrowing Bollinger Bands
`value_picks`	P/E < 15 with ROE > 10%
`dividend_champions`	Dividend yield > 3%

Fundamental Analysis

Graham intrinsic value, DDM, PBV fair value
Portfolio P&L with Nepal capital gains tax (5% long-term / 7.5% short-term)
Position sizing based on risk tolerance

Backtesting

Test strategies against historical data with Sharpe ratio, max drawdown, win rate, and profit factor.

Install

npm install @nepse-toolkit/analysis

Usage

import { calculateIndicators, screenStocks, BacktestEngine } from "@nepse-toolkit/analysis";

// Technical analysis
const signals = calculateIndicators(ohlcvData);

// Screen stocks
const opportunities = screenStocks(stocksData, "oversold_bounce");

// Backtest
const engine = new BacktestEngine();
const results = engine.run("momentum_breakout", historicalData);

License

MIT