data-forge-indicators

Financial and quantitative trading indicators for use with Data-Forge.

Need to learn data wrangling? See my book Data Wrangling with JavaScript or blog The Data Wrangler.

Do prototyping and data analysis in JavaScript with Data-Forge Notebook.

Indicators supported

• Simple moving average
• Bollinger bands

MORE INDICATORS COMING SOON

Setup

Install Data-Forge, Data-Forge Indicators and auxilary modules via npm:

npm install --save data-forge data-forge-fs data-forge-plot data-forge-indicators 

Import into your script (JavaScript):

const dataForge = require('data-forge');
require('data-forge-fs'); // Add file system functions to Data-Forge.
require('data-forge-plot'); // Add chart plotting functions to Data-Forge.
require('data-forge-indicators'); // Add financial indicator functions to Data-Forge.

Import into your script (TypeScript):

import * as dataForge from 'data-forge';
import 'data-forge-fs'; // Add file system functions to Data-Forge.
import 'data-forge-plot'; // Add chart plotting functions to Data-Forge.
import 'data-forge-indicators'; // Add financial indicator functions to Data-Forge.

Loading some data

To compute some indicators you'll need to load some data. You can load your data from whatever source you want, you might load it from a database or a REST API. For this example we'll load our data from a CSV data file:

let inputSeries = dataForge.readFileSync("STW.csv")
    .parseCSV()
    .parseDates("date", "DD/MM/YYYY")
    .parseFloats(["open", "high", "low", "close", "volume"])
    .setIndex("date") // Index so we can later merge on date.
    .bake();

Simple moving average

Use the sma function to compute a simple moving average of a data series:

const movingAverage = inputSeries
    .deflate(bar => bar.close)  // Extract closing price series from input data.
    .sma(30)                    // 30 day moving average.
    .bake();                    // Force lazy evaluation to complete.

To compare the moving average against your input data you'll need to merge it back into your source data:

const withMovingAverage = inputSeries
    .skip(30)                           // Skip blank sma entries.
    .withSeries("sma", movingAverage)   // Integrate moving average into data, indexed on date.
    .bake();

You can preview your data in Data-Forge Notebook using the display function:

display(withMovingAverage.tail(5));

You can plot the moving average and compare to the source data using Data-Forge Plot:

const plot = withMovingAverage.plot({}, { y: ["close", "sma"] }));
plot.renderImage("sma.png");

Or plot with the Data-Forge Notebook display function:

display(plot);

The rendered chart looks like this:

Bollinger bands

Use the bollinger function to compute Bollinger Bands from a data series:

const bollingerBands = inputSeries
    .deflate(bar => bar.close)  // Extract closing price series from input data.
    .bollinger(20, 2, 2)        // 20 days with bands at 2 standard deviations.
    .bake();

You can preview your data in Data-Forge Notebook using the display function:

display(bollingerBands.tail(5));

To compare Bollinger Bands to the closing price, merge the closing price data series into the bollinger bands dataframe:

const withBollingerBands = bollingerBands
    .withSeries("close",
        inputSeries.deflate(row => row.close)
    );

You can render a chart using Data-Forge Plot or Data-Forge Notebook.

The chart looks like this: