8078-9ad87fb7a93dc6e3.js

js alphractal.com collected 2026-10-05 05:28:03 UTC 129,822 bytes, 3 lines download raw bytes

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1),p({name:"cumcorr",label:"Cumulative Correlation",description:"Correlation from start to each point.",category:"Correlation",args:[{name:"a",type:"series"},{name:"b",type:"series"}],returnType:"series",example:"cumcorr(m1, m2)",evaluate:e=>{let[t,n]=e;return y(t,n,Number.MAX_SAFE_INTEGER)}}),p({name:"rolling_beta",label:"Rolling Beta",description:"Rolling beta of one series against another using period returns.",category:"Correlation",args:[{name:"asset",type:"series"},{name:"benchmark",type:"series"},{name:"period",type:"number"}],returnType:"series",example:"rolling_beta(m1, m2, 90)",evaluate:e=>{var t;let[n,r,l]=e;return function(e,t,n){let r=w(g(e,t));if(0===r.length)return 0;let l=Math.max(1,Math.floor(n));return{kind:"series",points:r.map((e,t)=>{var n,i;let a=r.slice(Math.max(0,t-l+1),t+1).filter(e=>null!=e.a&&null!=e.b);if(a.length<2)return{time:e.time,value:null};let u=null!==(n=(0,o.J6)(a.map(e=>e.a)))&&void 0!==n?n:0,s=null!==(i=(0,o.J6)(a.map(e=>e.b)))&&void 0!==i?i:0,c=0,m=0;return a.forEach(e=>{c+=(e.a-u)*(e.b-s),m+=Math.pow(e.b-s,2)}),{time:e.time,value:0===m?null:c/m}})}}(n,r,null!==(t=(0,o.He)(l))&&void 0!==t?t:90)}}),p({name:"rolling_alpha",label:"Rolling Alpha",description:"Rolling annualized alpha of an asset against a benchmark using period returns.",category:"Correlation",args:[{name:"asset",type:"series"},{name:"benchmark",type:"series"},{name:"period",type:"number"}],returnType:"series",example:"rolling_alpha(m1, m2, 90)",examples:["rolling_alpha(m1, m2, 90)","rolling_alpha(eth_price, btc_price, 90)"],notes:"Use the asset as the first argument and the benchmark as the second. Output is annualized alpha in percent.",evaluate:e=>{var t;let[n,r,l]=e;return function(e,t,n){let r=w(g(e,t));if(0===r.length)return 0;let l=Math.max(1,Math.floor(n));return{kind:"series",points:r.map((e,t)=>{var n,i;let a=r.slice(Math.max(0,t-l+1),t+1).filter(e=>null!=e.a&&null!=e.b);if(a.length<2)return{time:e.time,value:null};let u=null!==(n=(0,o.J6)(a.map(e=>e.a)))&&void 0!==n?n:0,s=null!==(i=(0,o.J6)(a.map(e=>e.b)))&&void 0!==i?i:0,c=0,m=0;a.forEach(e=>{c+=(e.a-u)*(e.b-s),m+=Math.pow(e.b-s,2)});let d=0===m?0:c/m;return{time:e.time,value:(u-d*s)*N*100}})}}(n,r,null!==(t=(0,o.He)(l))&&void 0!==t?t:90)}}),p({name:"lagged_corr",label:"Lagged Correlation",description:"Rolling correlation where the first series is shifted by a lag before comparing with the second series.",category:"Correlation",args:[{name:"a",type:"series"},{name:"b",type:"series"},{name:"period",type:"number"},{name:"lag",type:"number"}],returnType:"series",example:"lagged_corr(m1, m2, 180, 60)",examples:["lagged_corr(m1, m2, 180, 60)","lagged_corr(global_m2, btc_price, 180, 60)"],notes:"Positive lag shifts the first series backward, useful for testing whether it leads the second series.",evaluate:e=>{var t,n;let[r,l,i,a]=e;return function(e,t,n,r){let l=g(e,t);if(0===l.length)return 0;let i=Math.max(1,Math.floor(n)),a=Math.trunc(r),u=l.map((e,t)=>{var n,r;return{time:e.time,a:null!==(r=null===(n=l[t-a])||void 0===n?void 0:n.a)&&void 0!==r?r:null,b:e.b}});return{kind:"series",points:u.map((e,t)=>{var n,r;let l=u.slice(Math.max(0,t-i+1),t+1).filter(e=>null!=e.a&&null!=e.b);if(l.length<2)return{time:e.time,value:null};let a=l.map(e=>e.a),s=l.map(e=>e.b),c=null!==(n=(0,o.J6)(a))&&void 0!==n?n:0,m=null!==(r=(0,o.J6)(s))&&void 0!==r?r:0,d=0,p=0,f=0;l.forEach(e=>{let t=e.a-c,n=e.b-m;d+=t*n,p+=t*t,f+=n*n});let v=Math.sqrt(p*f);return{time:e.time,value:0===v?null:d/v}})}}(r,l,null!==(t=(0,o.He)(i))&&void 0!==t?t:180,null!==(n=(0,o.He)(a))&&void 0!==n?n:0)}}),p({name:"relative_strength",label:"Relative Strength",description:"Percent outperformance of the first series versus the second over a lookback period.",category:"Correlation",args:[{name:"a",type:"series"},{name:"b",type:"series"},{name:"period",type:"number"}],returnType:"series",example:"relative_strength(m1, m2, 90)",evaluate:e=>{var t;let[n,r,l]=e;return function(e,t,n){let r=g(e,t);if(0===r.length)return 0;let l=Math.max(1,Math.floor(n));return{kind:"series",points:r.map((e,t)=>{let n=r[t-l];if(null==e.a||null==e.b||(null==n?void 0:n.a)==null||(null==n?void 0:n.b)==null||0===n.a||0===n.b)return{time:e.time,value:null};let i=e.a/n.a,a=e.b/n.b;return{time:e.time,value:0===a?null:(i/a-1)*100}

1})}}(n,r,null!==(t=(0,o.He)(l))&&void 0!==t?t:90)}}),p({name:"count_if",label:"Count If",description:"Counts how many times a condition was true in a rolling window.",category:"Conditional",args:[{name:"condition",type:"any"},{name:"period",type:"number"}],returnType:"series",example:"count_if(rsi(m1, 14) < 30, 90)",examples:["count_if(rsi(m1, 14) < 30, 90)","count_if(m1 < m2, 365)","count_if(m1 > sma(m1, 200), 90)"],evaluate:e=>{let[t,n]=e;return function(e,t){var n;if(!(0,o.AZ)(e))return(0,o.He)(e)?1:0;let r=Math.max(1,Math.floor(null!==(n=(0,o.He)(t))&&void 0!==n?n:1)),l=e.points.map(e=>(0,o.yx)(e.value));return{kind:"series",points:e.points.map((e,t)=>{let n=l.slice(Math.max(0,t-r+1),t+1);return n.length<r||null==l[t]?{time:e.time,value:null}:{time:e.time,value:n.reduce((e,t)=>e+(null!=t&&0!==t?1:0),0)}})}}(t,n)}}),p({name:"bars_since",label:"Bars Since",description:"Counts how many bars have passed since a condition last became true.",category:"Conditional",args:[{name:"condition",type:"any"}],returnType:"series",example:"bars_since(cross_under(m1, sma(m1, 200)))",examples:["bars_since(cross_under(m1, sma(m1, 200)))","bars_since(m1 < m2)","bars_since(rsi(m1, 14) < 30)"],evaluate:e=>{let[t]=e;return function(e){if(!(0,o.AZ)(e))return(0,o.He)(e)?0:1;let t=null;return{kind:"series",points:e.points.map((e,n)=>{let r=(0,o.yx)(e.value);return null!=r&&0!==r&&(t=n),{time:e.time,value:null==t?null:n-t}})}}(t)}}),p({name:"streak",label:"Streak",description:"Counts the current consecutive run of true values for a condition. The condition can compare one series with another, such as m1 < m2.",category:"Conditional",args:[{name:"condition",type:"any"}],returnType:"series",example:"streak(m1 < m2)",examples:["streak(m1 < m2)","streak(m1 < sma(m1, 200))","streak(rsi(m1, 14) < 40)"],evaluate:e=>{let[t]=e;return function(e){if(!(0,o.AZ)(e))return(0,o.He)(e)?1:0;let t=0;return{kind:"series",points:e.points.map(e=>{let n=(0,o.yx)(e.value);return t=null!=n&&0!==n?t+1:0,{time:e.time,value:null==n?null:t}})}}(t)}}),p({name:"if",label:"If",description:"Chooses one value when condition is true and another when false.",category:"Conditional",args:[{name:"condition",type:"any"},{name:"trueValue",type:"any"},{name:"falseValue",type:"any"}],returnType:"series",example:"if(m1 > 0, m1, 0)",evaluate:e=>{let[t,n,r]=e;if(!(0,o.AZ)(t))return(0,o.He)(t)?n:r;let l=(0,o.AZ)(n)?new Map(n.points.map(e=>[e.time,e.value])):null,i=(0,o.AZ)(r)?new Map(r.points.map(e=>[e.time,e.value])):null,a=l?null:(0,o.He)(n),u=i?null:(0,o.He)(r);return{kind:"series",points:t.points.map(e=>{var t,n;let r=(0,o.yx)(e.value)?null!==(t=null==l?void 0:l.get(e.time))&&void 0!==t?t:a:null!==(n=null==i?void 0:i.get(e.time))&&void 0!==n?n:u;return{time:e.time,value:(0,o.yx)(r)}})}}}),p({name:"value_at",label:"Value At",description:"Value at an index.",category:"Transform",args:[{name:"series",type:"series"},{name:"index",type:"number"}],returnType:"number",example:"value_at(m1, 0)",evaluate:e=>{var t,n,r;let[l,i]=e;return(0,o.AZ)(l)&&null!==(r=(0,o.yx)(null===(t=l.points[Math.floor(null!==(n=(0,o.He)(i))&&void 0!==n?n:0)])||void 0===t?void 0:t.value))&&void 0!==r?r:0}}),p({name:"upper",label:"Upper",description:"Mean plus rolling standard deviation multiplier.",category:"Statistics",args:[{name:"series",type:"series"},{name:"period",type:"number"},{name:"multiplier",type:"number",optional:!0}],minArgs:2,returnType:"series",example:"upper(m1, 30, 2)",evaluate:e=>{var t;let[n,r,l]=e;return S(n,r,null!==(t=(0,o.He)(l))&&void 0!==t?t:2,"upper")}}),p({name:"lower",label:"Lower",description:"Mean minus rolling standard deviation multiplier.",category:"Statistics",args:[{name:"series",type:"series"},{name:"period",type:"number"},{name:"multiplier",type:"number",optional:!0}],minArgs:2,returnType:"series",example:"lower(m1, 30, 2)",evaluate:e=>{var t;let[n,r,l]=e;return S(n,r,null!==(t=(0,o.He)(l))&&void 0!==t?t:2,"lower")}}),p({name:"subset",label:"Subset",description:"Keeps values between start and end indexes.",category:"Transform",args:[{name:"series",type:"series"},{name:"start",type:"number"},{name:"end",type:"number"}],returnType:"series",example:"subset(m1, 10, 100)",evaluate:e=>{var t,n;let[r,l,i]=e;if(!(0,o.AZ)(r))return r;let a=Math.floor(null!==(t=(0,o.He)(l))&&void 0!==t?t:0),u=Math.floor(null!==(n=(0,o.He)(i))&&void 0!==n?n:r.points.length-1);return{kind:"series",points:r.points.map((e,t)=>({time:e.time,value:t>=a&&t<=u?e.value:null}))}}}),p({name:"round",label:"Round",description:"Rounds to decimal places.",category:"Math",args:[{name:"value",type:"any"},{name:"decimals",type:"number",optional:!0}],minArgs:1,returnType:"series",example:"round(m1, 2)",evaluate:e=>{var t;let[n,r]=e,l=Math.pow(10,Math.max(0,Math.floor(null!==(t=(0,o.He)(r))&&void 0!==t?t:0)));return(0,o.KH)(n,e=>null==e?null:Math.round(e*l)/l)}}),p({name:"drawdown",label:"Drawdown",description:"Percent drawdown from cumulative high.",category:"Risk Metrics",args:[{name:"series",type:"series"}],returnType:"series",example:"drawdown(m1)",evaluate:e=>{let[t]=e;if(!(0,o.AZ)(t))return 0;let n=null;return{kind:"series",points:t.points.map(e=>{let t=(0,o.yx)(e.value);if(null==t)return{time:e.time,value:null};let r=Math.abs(n=null==n?t:Math.max(n,t));return{time:e.time,value:0===r?null:(t-n)/r*100}})}}}),p({name:"rolling_drawdown",label:"Rolling Drawdown",description:"Current percent drawdown from the rolling high over a trailing window.",category:"Risk Metrics",args:[{name:"series",type:"series"},{name:"period",type:"number"}],returnType:"series",example:"rolling_drawdown(m1, 365)",examples:["rolling_drawdown(m1, 365)","rolling_drawdown(price, 180)"],notes:"Compares each value with the rolling maximum over the trailing window. The function starts plotting after the full window is available.",evaluate:e=>{let[t,n]=e;return function(e,t){var n;if(!(0,o.AZ)(e))return 0;let r=Math.max(1,Math.floor(null!==(n=(0,o.He)(t))&&void 0!==n?n:1)),l=e.points.map(e=>(0,o.yx)(e.value));return{kind:"series",points:e.points.map((e,t)=>{let n=l[t];if(null==n)return{time:e.time,value:null};let a=l.slice(Math.max(0,t-r+1),t+1).filter(e=>null!=e);if(a.length<r)return{time:e.time,value:null};let o=(0,i.u)(a),u=Math.abs(o);return{time:e.time,value:0===u?null:(n-o)/u*100}})}}(t,n)}}),p({name:"drawup",label:"Drawup",description:"Percent advance from the cumulative low.",category:"Risk Metrics",args:[{name:"series",type:"series"}],returnType:"series",example:"drawup(m1)",examples:["drawup(m1)","drawup(price)"],notes:"Returns percent advance from the cumulative low. 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