Merge pull request #114 from cinar:cinar/issue111

Volume Weighted Moving Average (VWMA)

README.md

@@ -38,6 +38,7 @@ The following list of indicators are currently supported by this package:
 - [Triangular Moving Average (TRIMA)](src/indicator/trend/index.md#triangular-moving-average-trima)
 - [Triple Exponential Average (TRIX)](#triple-exponential-average-trix)
 - [Typical Price](src/indicator/trend/index.md#typical-price)
+- [Volume Weighted Moving Average (VWMA)](src/indicator/trend/index.md#volume-weighted-moving-average-vwma)
 - [Vortex Indicator](src/indicator/trend/index.md#vortex-indicator)
 
 ### Momentum Indicators

package.json

@@ -1,6 +1,6 @@
 {
   "name": "indicatorts",
-  "version": "1.0.9",
+  "version": "1.0.10",
   "description": "Stock technical indicators and strategies in TypeScript for browser and server programs.",
   "main": "dist/index.js",
   "module": "dist/index.es.js",

src/index.ts

@@ -46,6 +46,7 @@ export * from './indicator/trend/tema';
 export * from './indicator/trend/trima';
 export * from './indicator/trend/trix';
 export * from './indicator/trend/typicalPrice';
+export * from './indicator/trend/vwma';
 export * from './indicator/trend/vortex';
 export * from './indicator/volatility/accelerationBands';
 export * from './indicator/volatility/atr';
@@ -83,6 +84,7 @@ export * from './strategy/trend/kdjStrategy';
 export * from './strategy/trend/macdStrategy';
 export * from './strategy/trend/parabolicSarStrategy';
 export * from './strategy/trend/typicalPriceStrategy';
+export * from './strategy/trend/vwmaStrategy';
 export * from './strategy/trend/vortexStrategy';
 export * from './strategy/volatility/accelerationBandsStrategy';
 export * from './strategy/volatility/bollingerBandsStrategy';

src/indicator/trend/index.md

@@ -24,6 +24,7 @@ Trend indicators measure the direction and strength of a trend.
 - [Triangular Moving Average (TRIMA)](#triangular-moving-average-trima)
 - [Triple Exponential Average (TRIX)](#triple-exponential-average-trix)
 - [Typical Price](#typical-price)
+- [Volume Weighted Moving Average (VWMA)](#volume-weighted-moving-average-vwma)
 - [Vortex Indicator](#vortex-indicator)
 
 #### Absolute Price Oscillator (APO)
@@ -384,6 +385,20 @@ import {typicalPrice} from 'indicatorts';
 const result = typicalPrice(highs, lows, closings);
 ```
 
+#### Volume Weighted Moving Average (VWMA)
+
+The [vwma](./vwma.ts) function calculates the Volume Weighted Moving Average (VWMA) averaging the price data with an emphasis on volume, meaning areas with higher volume will have a greater weight.
+
+```
+VWMA = Sum(Price * Volume) / Sum(Volume) for a given Period.
+```
+
+```TypeScript
+import {vwma} from 'indicatorts';
+
+const result = vwma(period, closings, volumes);
+```
+
 #### Vortex Indicator
 
 The [vortex](./vortex.ts) function provides two oscillators that capture positive and negative trend movement. A bullish signal triggers when the positive trend indicator crosses above the negative trend indicator or a key level. A bearish signal triggers when the negative trend indicator crosses above the positive trend indicator or a key level.

src/indicator/trend/vwma.test.ts

@@ -0,0 +1,27 @@
+// Copyright (c) 2022 Onur Cinar. All Rights Reserved.
+// https://github.com/cinar/indicatorts
+
+import { deepStrictEqual } from 'assert';
+import { roundDigitsAll } from '../../helper/numArray';
+import { defaultVwma, vwma } from './vwma';
+
+describe('Volume Weighted Moving Average', () => {
+  it('should be able to compute VWMA', () => {
+    const closings = [20, 21, 21, 19, 16];
+    const volumes = [100, 50, 40, 50, 100];
+    const expected = [20, 20.33, 20.47, 20.29, 17.84];
+    const period = 3;
+
+    const actual = vwma(period, closings, volumes);
+    deepStrictEqual(roundDigitsAll(2, actual), expected);
+  });
+
+  it('should be able to compute default', () => {
+    const closings = [20, 21, 21, 19, 16];
+    const volumes = [100, 50, 40, 50, 100];
+    const expected = [20, 20.33, 20.47, 20.17, 18.94];
+
+    const actual = defaultVwma(closings, volumes);
+    deepStrictEqual(roundDigitsAll(2, actual), expected);
+  });
+});

src/indicator/trend/vwma.ts

@@ -0,0 +1,42 @@
+// Copyright (c) 2022 Onur Cinar. All Rights Reserved.
+// https://github.com/cinar/indicatorts
+
+import { divide, multiply } from '../../helper/numArray';
+import { msum } from './msum';
+
+/** Default VWMA period value. */
+export const DEFAULT_VWMA_PERIOD = 20;
+
+/**
+ * The vwma function calculates the Volume Weighted Moving Average (VWMA)
+ * averaging the price data with an emphasis on volume, meaning areas
+ * with higher volume will have a greater weight.
+ *
+ * VWMA = Sum(Price * Volume) / Sum(Volume) for a given Period.
+ *
+ * @param period period value.
+ * @param closings asset closings.
+ * @param volumes asset volumes.
+ * @returns vwma values.
+ */
+export function vwma(
+  period: number,
+  closings: number[],
+  volumes: number[]
+): number[] {
+  return divide(
+    msum(period, multiply(closings, volumes)),
+    msum(period, volumes)
+  );
+}
+
+/**
+ * The defaultVwma function calculates VWMA with a period of 20.
+ *
+ * @param closings asset closings.
+ * @param volumes asset volumes.
+ * @returns vwma values.
+ */
+export function defaultVwma(closings: number[], volumes: number[]): number[] {
+  return vwma(DEFAULT_VWMA_PERIOD, closings, volumes);
+}

src/strategy/trend/index.md

@@ -100,6 +100,24 @@ import {typicalPriceStrategy} from 'indicatorts';
 const actions = typicalPriceStrategy(asset);
 ```
 
+#### Volume Weighted Moving Average (VWMA) Strategy
+
+The [vwmaStrategy](./vwmaStrategy.ts) function uses SMA and VWMA indicators to provide a _BUY_ action when VWMA is above SMA, and a _SELL_ signal when VWMA is below SMA, a _HOLD_ signal otherwse.
+
+```TypeScript
+import { vwmaStrategy } from 'indicatorts';
+
+const actions = vwmaStrategy(period, asset);
+```
+
+The [defaultVwmaStrategy](./vwmaStrategy.ts) function can be used with the default period of 20.
+
+```TypeScript
+import { defaultVwmaStrategy } from 'indicatorts';
+
+const actions = defaultVwmaStrategy(asset);
+```
+
 #### Vortex Strategy
 
 The [vortexStrategy](./vortexStrategy.ts) uses the values that are generated by the [Vortex Indicator](../../indicator/trend/index.md#vortex-indicator) indicator function to provide a _BUY_ action when the _plusVi_ is greather than the _minusVi_, and _SELL_ action when the _plusVi_ is less than the _minusVi_, and _HOLD_ action when the _plusVi_ is equal to the _minusVi_.

src/strategy/trend/vwmaStrategy.test.ts

@@ -0,0 +1,31 @@
+// Copyright (c) 2022 Onur Cinar. All Rights Reserved.
+// https://github.com/cinar/indicatorts
+
+import { deepStrictEqual } from 'assert';
+import { Asset } from '../asset';
+import { Action } from '../action';
+import { wvmaStrategy } from './vwmaStrategy';
+
+describe('VWMA stategy', () => {
+  it('should be able to compute strategy', () => {
+    const asset: Asset = {
+      dates: [],
+      openings: [],
+      highs: [],
+      lows: [],
+      closings: [20, 21, 21, 19, 16],
+      volumes: [100, 50, 40, 50, 100],
+    };
+    const expected = [
+      Action.HOLD,
+      Action.SELL,
+      Action.SELL,
+      Action.SELL,
+      Action.SELL,
+    ];
+    const period = 3;
+
+    const actual = wvmaStrategy(period, asset);
+    deepStrictEqual(actual, expected);
+  });
+});