@cesarvarela/indicators

Technical indicators for financial and time series analysis, built with a functional, composable philosophy.

Features

• 🎯 Type-safe - Full TypeScript support with generics
• 🔧 Flexible - Works with any data structure
• 📦 Tree-shakeable - Import only what you need
• 🚀 Fast - Optimized calculations
• 🧩 Composable - Built on the compute pattern for consistent transformations
• 0️⃣ Zero dependencies - No external packages

Installation

npm install @cesarvarela/indicators

Usage

import { rsi, macd, bollingerBands, atr, obv } from '@cesarvarela/indicators';

// Your data can be any structure with numeric fields
const bars = [
  { open: 100, high: 105, low: 95, close: 102, volume: 1000, timestamp: new Date() },
  { open: 102, high: 108, low: 100, close: 106, volume: 1200, timestamp: new Date() },
  // ... more bars
];

// Most indicators work on any numeric field
const withRSI = rsi(bars, 14, 'close');           // RSI with period 14
const withMACD = macd(bars, 'close');             // MACD with default periods
const withBB = bollingerBands(bars, 'close');     // Bollinger Bands

// Some indicators need specific fields (TypeScript enforces this)
const withATR = atr(bars);  // Requires open, high, low, close
const withOBV = obv(bars);  // Requires volume field

The Compute Philosophy

All indicators are built using the compute function, which enables:

• Immutable transformations (original data is never modified)
• Access to previously computed values during calculation
• Type-safe property additions
• Consistent, predictable API

import { compute } from '@sigma/indicators';

// Create your own indicators using compute
const withCustom = compute(bars, 'myIndicator', (bar, index, allBars, params) => {
    if (index < params.period - 1) return undefined;
    // Your calculation here
    return bar.close * params.multiplier;
}, { period: 10, multiplier: 2 });

Available Indicators

Momentum Indicators

• RSI (Relative Strength Index)
• MACD (Moving Average Convergence Divergence)

Moving Averages

• SMA (Simple Moving Average)
• EMA (Exponential Moving Average)

Volatility Indicators

• Bollinger Bands
• ATR (Average True Range)
• Donchian Channel

Volume Indicators

• OBV (On-Balance Volume)
• OBV MA (OBV Moving Average)

Utility Functions

• slope - Linear regression slope
• relativeChange - Percentage change between values
• crossover/crossunder - Detect line crossings
• zscore - Statistical z-score

Type Requirements

Most indicators work with any object structure. Some require specific fields:

// Minimal interfaces for specific indicators
interface OHLCBar {
    open: number;
    high: number;
    low: number;
    close: number;
}

interface VolumeBar {
    volume: number;
}

// ATR requires OHLC data
const withATR = atr(ohlcBars);

// OBV requires volume data
const withOBV = obv(volumeBars);

// Most indicators work on any field
const withRSI = rsi(anyDataArray, 14, 'anyNumericField');

Examples

Chaining Multiple Indicators

// Each indicator preserves all previous fields
const data = bollingerBands(
    macd(
        rsi(bars, 14, 'close'),
        'close'
    ),
    'close'
);
// Result has RSI, MACD, and Bollinger Bands fields

Custom Indicators

import { compute } from '@sigma/indicators';

// Create a custom momentum indicator
const momentum = <T>(data: T[], field: keyof T, period: number = 10) => {
    return compute(data, 'momentum', (item, index, allItems) => {
        if (index < period) return undefined;
        const oldValue = allItems[index - period][field] as number;
        const currentValue = item[field] as number;
        return ((currentValue - oldValue) / oldValue) * 100;
    }, { period });
};

API Documentation

See the full API documentation for detailed usage of each indicator.

License

MIT © Cesar Varela