Fix ichimoku indicators calculation (#452) (#455)

Fix #452

- [x] Fix indicators calculation
- [x] Reduce duplication
- [x] Update documentation

.gitignore

@@ -1,3 +1,4 @@
 node_modules/
 coverage/
 dist/
+.idea/

package.json

@@ -26,6 +26,7 @@
     "bollinger-bands",
     "finance",
     "financial-instruments",
+    "ichimoku",
     "indicators",
     "macd",
     "quant",

src/helper/numArray.ts

@@ -197,6 +197,41 @@ export function shiftRightBy(n: number, values: number[]): number[] {
   return shiftRightAndFillBy(n, 0, values);
 }
 
+/**
+ * Shift values left by given amount and fill with value.
+ * @param n shift amount.
+ * @param fill fill value.
+ * @param values values array.
+ * @returns shifted and filled values.
+ */
+export function shiftLeftAndFillBy(
+    n: number,
+    fill: number,
+    values: number[]
+): number[] {
+  const result = new Array<number>(values.length);
+
+  for (let i = 0; i < result.length; i++) {
+    if (i < n) {
+      result[i] = values[i+n];
+    } else {
+      result[i] = fill;
+    }
+  }
+
+  return result;
+}
+
+/**
+ * Shifts values left by given amount.
+ * @param n shift amount.
+ * @param values values array.
+ * @return shifted values.
+ */
+export function shiftLeftBy(n: number, values: number[]): number[] {
+  return shiftLeftAndFillBy(n, 0, values);
+}
+
 /**
  * Change between the current value and the value n before.
  * @param n shift amount.

src/indicator/momentum/README.md

@@ -63,16 +63,16 @@ The [ichimokuCloud](./ichimokuCloud.ts), also known as Ichimoku Kinko Hyo, calcu
 ```
 Tenkan-sen (Conversion Line) = (9-Period High + 9-Period Low) / 2
 Kijun-sen (Base Line) = (26-Period High + 26-Period Low) / 2
-Senkou Span A (Leading Span A) = (Conversion Line + Base Line) / 2
-Senkou Span B (Leading Span B) = (52-Period High + 52-Period Low) / 2
-Chikou Span (Lagging Span) = Closing plotted 26 days in the past.
+Senkou Span A (Leading Span A) = (Conversion Line + Base Line) / 2 projected 26 periods in the future
+Senkou Span B (Leading Span B) = (52-Period High + 52-Period Low) / 2 projected 26 periods in the future
+Chikou Span (Lagging Span) = Closing plotted 26 periods in the past.
 ```
 
 ```TypeScript
 import { ichimokuCloud } from 'indicatorts';
 
 const defaultConfig = { short: 9, medium: 26, long: 52, close: 26 };
-const { conversion, base, leadingSpanA, leadingSpanB, leadingSpan } = ichimokuCloud(highs, lows, closings, defaultConfig);
+const { tenkan, kijub, ssa, ssb, leadingSpan } = ichimokuCloud(highs, lows, closings, defaultConfig);
 ```
 
 ## Percentage Price Oscillator (PPO)

src/indicator/momentum/ichimokuCloud.test.ts

@@ -1,47 +1,70 @@
 // Copyright (c) 2022 Onur Cinar. All Rights Reserved.
 // https://github.com/cinar/indicatorts
 
-import { deepStrictEqual } from 'assert';
-import { roundDigitsAll } from '../../helper/numArray';
-import { ichimokuCloud } from './ichimokuCloud';
+import {deepStrictEqual} from 'assert';
+import {roundDigitsAll} from '../../helper/numArray';
+import {ichimokuCloud} from './ichimokuCloud';
 
 describe('Ichimoku Cloud', () => {
-  const highs = [10, 11, 12, 13, 14, 15, 16, 17];
-  const lows = [1, 2, 3, 4, 5, 6, 7, 8];
-  const closings = [5, 6, 7, 8, 9, 10, 11, 12];
-
-  it('should be able to compute with a config', () => {
-    const conversion = [5.5, 6, 7, 8, 9, 10, 11, 12];
-    const base = [5.5, 6, 6.5, 7, 7.5, 8, 8.5, 9];
-    const leadingSpanA = [5.5, 6, 6.75, 7.5, 8.25, 9, 9.75, 10.5];
-    const leadingSpanB = [5.5, 6, 6.5, 7, 7.5, 8, 8.5, 9];
-    const laggingSpan = [0, 0, 0, 0, 0, 0, 0, 0];
-
-    const actual = ichimokuCloud(highs, lows, closings, {
-      short: 2,
-      medium: 24,
-      long: 48,
-      close: 28,
-    });
-    deepStrictEqual(roundDigitsAll(2, actual.conversion), conversion);
-    deepStrictEqual(roundDigitsAll(2, actual.base), base);
-    deepStrictEqual(roundDigitsAll(2, actual.leadingSpanA), leadingSpanA);
-    deepStrictEqual(roundDigitsAll(2, actual.leadingSpanB), leadingSpanB);
-    deepStrictEqual(roundDigitsAll(2, actual.laggingSpan), laggingSpan);
-  });
-
-  it('should be able to compute without a config', () => {
-    const conversion = [5.5, 6, 6.5, 7, 7.5, 8, 8.5, 9];
-    const base = [5.5, 6, 6.5, 7, 7.5, 8, 8.5, 9];
-    const leadingSpanA = [5.5, 6, 6.5, 7, 7.5, 8, 8.5, 9];
-    const leadingSpanB = [5.5, 6, 6.5, 7, 7.5, 8, 8.5, 9];
-    const laggingSpan = [0, 0, 0, 0, 0, 0, 0, 0];
-
-    const actual = ichimokuCloud(highs, lows, closings);
-    deepStrictEqual(roundDigitsAll(2, actual.conversion), conversion);
-    deepStrictEqual(roundDigitsAll(2, actual.base), base);
-    deepStrictEqual(roundDigitsAll(2, actual.leadingSpanA), leadingSpanA);
-    deepStrictEqual(roundDigitsAll(2, actual.leadingSpanB), leadingSpanB);
-    deepStrictEqual(roundDigitsAll(2, actual.laggingSpan), laggingSpan);
-  });
+    it('calculates Tenkan-sen as the middle point between high and low over the configured short period', () => {
+        const highs = [2, 4]
+        const lows = [1, 3]
+        const closings = [1.5, 3.5]
+
+        {
+            const {tenkan} = ichimokuCloud(highs, lows, closings, {short: 1})
+            deepStrictEqual(roundDigitsAll(2, tenkan), [(2 + 1) / 2, (4 + 3) / 2]);
+        }
+        {
+            const {tenkan} = ichimokuCloud(highs, lows, closings, {short: 2})
+            deepStrictEqual(roundDigitsAll(2, tenkan), [0, (4 + 1) / 2]);
+        }
+    })
+
+    it('calculates Kijun-sen as the middle point between high and low over the configured medium period', () => {
+        const highs = [2, 4]
+        const lows = [1, 3]
+        const closings = [1.5, 3.5]
+
+        {
+            const {kijun} = ichimokuCloud(highs, lows, closings, {medium: 1})
+            deepStrictEqual(roundDigitsAll(2, kijun), [(2 + 1) / 2, (4 + 3) / 2]);
+        }
+        {
+            const {kijun} = ichimokuCloud(highs, lows, closings, {medium: 2})
+            deepStrictEqual(roundDigitsAll(2, kijun), [0, (4 + 1) / 2]);
+        }
+    })
+
+    it('calculates SSA (Senkou-Span A) as the average between Tenkan-Sen and Kijun-Sen projected in the future by the medium period', () => {
+        const highs = [2, 4]
+        const lows = [1, 3]
+        const closings = [1.5, 3.5]
+
+        const {ssa} = ichimokuCloud(highs, lows, closings, {short: 1, medium: 2})
+
+        const tenkan = (4 + 3) / 2
+        const kijun = (4 + 1) / 2
+        deepStrictEqual(roundDigitsAll(2, ssa), [0, 0, 0, (tenkan + kijun) / 2]);
+    })
+
+    it('calculates SSB (Senkou-Span B) as the middle point between high and low over the configured long period projected in the future by the medium period', () => {
+        const highs = [2, 4, 8, 10]
+        const lows = [1, 3, 6, 3]
+        const closings = [1.5, 3.5, 7.5, 3.5]
+
+        const {ssb} = ichimokuCloud(highs, lows, closings, {medium: 2, long: 3})
+
+        deepStrictEqual(roundDigitsAll(2, ssb), [0, 0, 0, 0, (8 + 1) / 2, (10 + 3) / 2]);
+    })
+
+    it('laggingSpan (Chikou-Span) is closings projected in the past by the close periods', () => {
+        const highs = [2, 4, 8, 10]
+        const lows = [1, 3, 6, 3]
+        const closings = [1.5, 3.5, 7.5, 3.5]
+
+        const {laggingSpan} = ichimokuCloud(highs, lows, closings, {close: 2})
+
+        deepStrictEqual(roundDigitsAll(2, laggingSpan), [7.5, 3.5, 0, 0]);
+    })
 });