feat(WMA): Add Weighted Moving Average (WMA) (#677)

docs/README.md

@@ -60,6 +60,7 @@ All indicators can be updated over time by streaming data (prices or candles) to
 1. Stochastic RSI (STOCHRSI)
 1. True Range (TR)
 1. Wilder's Smoothed Moving Average (WSMA / WMA / WWS / SMMA / MEMA)
+1. Weighted Moving Average (WMA)
 
 Utility Methods:
 

src/WMA/WMA.test.ts

@@ -0,0 +1,134 @@
+import {Big, FasterWMA, NotEnoughDataError, WMA} from '../index.js';
+import {describe} from 'vitest';
+
+describe('WMA', () => {
+  describe('prices', () => {
+    it('does not cache more prices than necessary to fill the interval', () => {
+      const wma = new WMA(3);
+      const fasterWMA = new FasterWMA(3);
+      wma.update(1);
+      fasterWMA.update(1);
+      wma.update(2);
+      fasterWMA.update(2);
+      expect(wma.prices.length).toBe(2);
+      expect(fasterWMA.prices.length).toBe(2);
+      wma.update(3);
+      fasterWMA.update(3);
+      expect(wma.prices.length).toBe(3);
+      expect(fasterWMA.prices.length).toBe(3);
+      wma.update(4);
+      fasterWMA.update(4);
+      expect(wma.prices.length).toBe(3);
+      expect(fasterWMA.prices.length).toBe(3);
+      wma.update(5);
+      fasterWMA.update(5);
+      expect(wma.prices.length).toBe(3);
+      expect(fasterWMA.prices.length).toBe(3);
+      wma.update(6);
+      fasterWMA.update(6);
+      expect(wma.prices.length).toBe(3);
+      expect(fasterWMA.prices.length).toBe(3);
+    });
+  });
+
+  describe('update', () => {
+    it('can replace recently added values', () => {
+      const interval = 3;
+
+      const wma = new WMA(interval);
+      const fasterWMA = new FasterWMA(interval);
+
+      wma.update(30);
+      fasterWMA.update(30);
+
+      wma.update(60);
+      fasterWMA.update(60);
+
+      wma.update(90);
+      fasterWMA.update(90);
+
+      expect(wma.getResult().toFixed()).toBe('70');
+      expect(fasterWMA.getResult().toFixed()).toBe('70');
+
+      wma.update(60, true);
+      fasterWMA.update(60, true);
+
+      expect(wma.getResult().toFixed()).toBe('55');
+      expect(fasterWMA.getResult().toFixed()).toBe('55');
+    });
+  });
+
+  describe('updates', () => {
+    it('supports multiple updates at once', () => {
+      const prices = [30, 60, 90, 60, 90];
+      const interval = 5;
+
+      const wma = new WMA(interval);
+      const fasterWMA = new FasterWMA(interval);
+      wma.updates(prices);
+      fasterWMA.updates(prices);
+
+      expect(wma.getResult().toFixed()).toBe('74');
+      expect(fasterWMA.getResult().toFixed()).toBe('74');
+    });
+  });
+
+  describe('isStable', () => {
+    it('knows when there is enough input data', () => {
+      const wma = new WMA(3);
+      wma.update(30);
+      wma.update(60);
+      expect(wma.isStable).toBe(false);
+      wma.update(90);
+      expect(wma.isStable).toBe(true);
+      wma.update('120');
+      wma.update(new Big(60));
+      expect(wma.getResult().valueOf()).toBe('85');
+      expect(wma.lowest?.toFixed(2)).toBe('70.00');
+      expect(wma.highest?.toFixed(2)).toBe('100.00');
+    });
+  });
+
+  describe('getResult', () => {
+    it('calculates the moving average based on the last 5 prices', () => {
+      const prices = [91, 90, 89, 88, 90];
+      const expectations = ['89.33'];
+      const wma = new WMA(5);
+      const fasterWMA = new FasterWMA(5);
+
+      for (const price of prices) {
+        const result = wma.update(price);
+        const fasterResult = fasterWMA.update(price);
+
+        if (result && fasterResult) {
+          const expected = expectations.shift()!;
+          expect(result.toFixed(2)).toBe(expected);
+          expect(fasterResult.toFixed(2)).toBe(expected);
+        }
+      }
+
+      expect(wma.isStable).toBe(true);
+      expect(fasterWMA.isStable).toBe(true);
+    });
+
+    it('throws an error when there is not enough input data', () => {
+      const wma = new WMA(26);
+
+      try {
+        wma.getResult();
+        throw new Error('Expected error');
+      } catch (error) {
+        expect(error).toBeInstanceOf(NotEnoughDataError);
+      }
+
+      const fasterWMA = new FasterWMA(5);
+
+      try {
+        fasterWMA.getResult();
+        throw new Error('Expected error');
+      } catch (error) {
+        expect(error).toBeInstanceOf(NotEnoughDataError);
+      }
+    });
+  });
+});

src/WMA/WMA.ts

@@ -0,0 +1,78 @@
+import {Big, type BigSource} from '../index.js';
+import {FasterMovingAverage, MovingAverage} from '../MA/MovingAverage.js';
+
+/**
+ * Weighted Moving Average (WMA)
+ * Type: Trend
+ *
+ * Compared to SMA, the WMA puts more emphasis on the recent prices to reduce lag. Due to its responsiveness to price
+ * changes, it rises faster and falls faster than the SMA when the price is inclining or declining.
+ *
+ * @see https://corporatefinanceinstitute.com/resources/career-map/sell-side/capital-markets/weighted-moving-average-wma/
+ */
+export class WMA extends MovingAverage {
+  public readonly prices: BigSource[] = [];
+
+  constructor(public readonly interval: number) {
+    super(interval);
+  }
+
+  override update(price: BigSource, replace: boolean = false): Big | void {
+    if (this.prices.length && replace) {
+      this.prices[this.prices.length - 1] = price;
+    } else {
+      this.prices.push(price);
+    }
+
+    if (this.prices.length > this.interval) {
+      this.prices.shift();
+    }
+
+    if (this.prices.length === this.interval) {
+      const weightedPricesSum = this.prices.reduce((acc: Big, price: BigSource, index: number) => {
+        const weightedPrice = new Big(price).mul(index + 1);
+
+        return acc.add(weightedPrice);
+      }, new Big(0));
+
+      const weightBase = (this.interval * (this.interval + 1)) / 2; // the numerator will always be even and the value will be an int.
+      const weightedMa = weightedPricesSum.div(weightBase);
+
+      return this.setResult(weightedMa);
+    }
+  }
+}
+
+export class FasterWMA extends FasterMovingAverage {
+  public readonly prices: number[] = [];
+
+  constructor(public readonly interval: number) {
+    super(interval);
+  }
+
+  override update(price: number, replace: boolean = false): number | void {
+    if (this.prices.length && replace) {
+      this.prices[this.prices.length - 1] = price;
+    } else {
+      this.prices.push(price);
+    }
+
+    if (this.prices.length > this.interval) {
+      this.prices.shift();
+    }
+
+    if (this.prices.length === this.interval) {
+      const weightedPricesSum = this.prices.reduce((acc: number, price: number, index: number) => {
+        const weightedPrice = price * (index + 1);
+
+        return acc + weightedPrice;
+      }, 0);
+
+      const weightBase = (this.interval * (this.interval + 1)) / 2; // the numerator will always be even and the value will be an int.
+
+      const weightedMa = weightedPricesSum / weightBase;
+
+      return this.setResult(weightedMa);
+    }
+  }
+}

src/index.ts

@@ -27,4 +27,5 @@ export * from './STOCH/StochasticOscillator.js';
 export * from './STOCH/StochasticRSI.js';
 export * from './TR/TR.js';
 export * from './util/index.js';
+export * from './WMA/WMA.js';
 export * from './WSMA/WSMA.js';

src/start/startBenchmark.ts

@@ -39,6 +39,7 @@ import {
   FasterStochasticRSI,
   FasterTR,
   FasterWSMA,
+  FasterWMA,
   getAverage,
   getFasterAverage,
   getFasterStandardDeviation,
@@ -55,6 +56,7 @@ import {
   StochasticRSI,
   TR,
   WSMA,
+  WMA,
   type OpenHighLowCloseVolumeNumber,
 } from '../index.js';
 
@@ -376,6 +378,18 @@ new Benchmark.Suite('Technical Indicators')
       fasterWSMA.update(price);
     }
   })
+  .add('WMA', () => {
+    const wma = new WMA(interval);
+    for (const price of prices) {
+      wma.update(price);
+    }
+  })
+  .add('FasterWMA', () => {
+    const fasterWMA = new FasterWMA(interval);
+    for (const price of prices) {
+      fasterWMA.update(price);
+    }
+  })
   .add('getAverage', () => {
     return getAverage(prices);
   })