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Attempted to fix the Projection Upper band and lower band calculation #329

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Attempted to fix the Projection Upper band and lower band calculation #329

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115 changes: 101 additions & 14 deletions src/indicator/volatility/projectionOscillator.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -3,16 +3,18 @@

import {
add,
addBy,
divide,
generateNumbers,
multiply,
multiplyBy,
subtract,
} from '../../helper/numArray';
import { movingLeastSquare } from '../../helper/regression';
import { ema } from '../trend/ema';
import { mmax } from '../trend/mmax';
import { mmin } from '../trend/mmin';
subtractBy,
} from "../../helper/numArray";
import { movingLeastSquare } from "../../helper/regression";
import { ema } from "../trend/ema";
import { mmax } from "../trend/mmax";
import { mmin } from "../trend/mmin";

/**
* Projection oscillator result object.
Expand All @@ -22,15 +24,31 @@ export interface ProjectionOscillator {
spo: number[];
}

// Just pads a number array with zeros to the right so that the length of the arr becomes desiredLength
function padWithZeros(desiredLength: number, arr: number[]) {
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This is a very nice helper function to add to ../../helper/numArray probably?

const currentLength: number = arr.length;
const result: number[] = new Array(desiredLength);

for (let i = 0; i < desiredLength; i++) {
if (i < currentLength) {
result[i] = arr[i];
} else {
result[i] = 0;
}
}
return result;
}

/**
* ProjectionOscillator calculates the Projection Oscillator (PO). The PO
* uses the linear regression slope, along with highs and lows.
*
* Period defines the moving window to calculates the PO, and the smooth
* period defines the moving windows to take EMA of PO.
*
* PL = Min(period, (high + MLS(period, x, high)))
* PU = Max(period, (low + MLS(period, x, low)))
* mHighs = MLS(period, x, high)
* mLows = MLS(period, x, low)
* PL[i] = Min(lows[i - period + 1, i] + mLows[i] * [0, period - 1])
* PU[i] = Max(highs[i - period + 1, i] + mHighs[i] * [0, period - 1])
* PO = 100 * (Closing - PL) / (PU - PL)
* SPO = EMA(smooth, PO)
*
Expand All @@ -46,17 +64,64 @@ export function projectionOscillator(
smooth: number,
highs: number[],
lows: number[],
closings: number[]
closings: number[],
): ProjectionOscillator {
const x = generateNumbers(0, closings.length, 1);
const lsHighs = movingLeastSquare(period, x, highs);
const lsLows = movingLeastSquare(period, x, lows);
// const vHighs = add(highs, multiply(lsHighs.m, x));
// const vLows = add(lows, multiply(lsLows.m, x));

const arr_period: number[] = generateNumbers(0, period, 1);
const pu = new Array(closings.length);
for (let i = 0; i < highs.length; i++) {
// for (let j = 0; j < period; j++) {
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Shall we remove these comments?

// if (i < j) {
// continue;
// }
// pu[i] = Math.max(
// pu[i],
// highs[i - j] + lsHighs.m[i] * arr_period[j],
// );
// }
///////////////////////////////////
// LOOK HERE
///////////////////////////////////
const newHighs = padWithZeros(
period,
highs.slice(Math.max(0, i - period + 1), i + 1),
);
const vHighs = add(newHighs, multiplyBy(lsHighs.m[i], arr_period));
pu[i] = Math.max(...vHighs);
}

const pl = new Array(closings.length);
for (let i = 0; i < lows.length; i++) {
// for (let j = 0; j < period; j++) {
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Shall we remove these comments?

// if (i < j) {
// continue;
// }
// pl[i] = Math.min(
// pl[i],
// lows[i - j] + lsLows.m[i] * arr_period[j],
// );
// }
///////////////////////////////////
// LOOK HERE
///////////////////////////////////
const newLows = padWithZeros(
period,
lows.slice(Math.max(0, i - period + 1), i + 1),
);
const vLows = add(newLows, multiplyBy(lsLows.m[i], arr_period));
pl[i] = Math.min(...vLows);
}

const vHighs = add(highs, multiply(lsHighs.m, x));
const vLows = add(lows, multiply(lsLows.m, x));
console.log(pu);
console.log(pl);

const pu = mmax(period, vHighs);
const pl = mmin(period, vLows);
// const pu = mmax(period, vHighs);
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Shall we remove these comments?

// const pl = mmin(period, vLows);

const po = divide(multiplyBy(100, subtract(closings, pl)), subtract(pu, pl));
const spo = ema(smooth, po);
Expand All @@ -77,7 +142,29 @@ export function projectionOscillator(
export function defaultProjectionOscillator(
highs: number[],
lows: number[],
closings: number[]
closings: number[],
): ProjectionOscillator {
return projectionOscillator(14, 3, highs, lows, closings);
}
function rng(mean: number, stdDev: number) {
return mean + stdDev * (Math.random() - 0.5);
}

function generateRandomNumbers(count: number, mean: number, stdDev: number) {
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May be the function can be named differently to reflect how you are using the mean and stdDev? I guess they are not just random number right? Also would be nice to have this in ../../helper/numArray.ts as well.

const result: number[] = new Array(count);
for (let i = 0; i < count; i++) {
result[i] = rng(mean, stdDev);
}
return result;
}

const closings = generateRandomNumbers(100, 30, 5);
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I guess some test code got left over here?

const highs = addBy(0.5, closings);
const lows = subtractBy(0.5, closings);

const result = projectionOscillator(14, 5, highs, lows, closings);
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Since you have a test case here, can we put it into the unit test?


// Check if any of the values are below 0 or above 100 in the result array
console.log(result);
console.log(result.po.some((v) => v < 0 || v > 100));
// This is returning false, which means that all the values are between 0 and 100