feat(transducers-stats): add moving min/max, update donchian

- add movingMaximum() transducer
- add movingMinimum() transducer
- refactor donchian()
- add internal Deque helper class
- add tests

Author: postspectacular

packages/transducers-stats/src/deque.ts

@@ -0,0 +1,26 @@
+import type { Predicate2 } from "@thi.ng/api";
+
+/** @internal */
+export class Deque {
+	index: number[] = [];
+
+	constructor(public samples: number[], public pred: Predicate2<number>) {}
+
+	head() {
+		return this.samples[this.index[0]];
+	}
+
+	add(x: number) {
+		const { index, samples, pred } = this;
+		while (index.length && pred(samples[index[index.length - 1]], x)) {
+			index.pop();
+		}
+		index.push(samples.length - 1);
+	}
+
+	shift() {
+		const { index } = this;
+		if (index[0] === 0) index.shift();
+		for (let i = 0; i < index.length; i++) index[i]--;
+	}
+}

packages/transducers-stats/src/donchian.ts

@@ -1,9 +1,7 @@
-import type { Transducer } from "@thi.ng/transducers";
-import { comp } from "@thi.ng/transducers/comp";
-import { iterator } from "@thi.ng/transducers/iterator";
-import { map } from "@thi.ng/transducers/map";
-import { partition } from "@thi.ng/transducers/partition";
-import { bounds } from "./bounds.js";
+import type { Reducer, Transducer } from "@thi.ng/transducers";
+import { compR } from "@thi.ng/transducers/compr";
+import { iterator1 } from "@thi.ng/transducers/iterator";
+import { Deque } from "./deque.js";
 
 /**
  * Computes Donchian channel, i.e. min/max values for sliding window.
@@ -22,6 +20,23 @@ export function donchian(
 ): IterableIterator<[number, number]>;
 export function donchian(period: number, src?: Iterable<number>): any {
 	return src
-		? iterator(donchian(period), src)
-		: comp<number, number[], number[]>(partition(period, 1), map(bounds));
+		? iterator1(donchian(period), src)
+		: (rfn: Reducer<[number, number], any>) => {
+				const samples: number[] = [];
+				const minDeque = new Deque(samples, (a, b) => a >= b);
+				const maxDeque = new Deque(samples, (a, b) => a <= b);
+				return compR(rfn, (acc: any, x: number) => {
+					const num = samples.push(x);
+					minDeque.add(x);
+					maxDeque.add(x);
+					if (num > period) {
+						samples.shift();
+						minDeque.shift();
+						maxDeque.shift();
+					}
+					return num >= period
+						? rfn[2](acc, [minDeque.head(), maxDeque.head()])
+						: acc;
+				});
+		  };
 }

packages/transducers-stats/src/index.ts

@@ -4,6 +4,8 @@ export * from "./ema.js";
 export * from "./hma.js";
 export * from "./macd.js";
 export * from "./momentum.js";
+export * from "./moving-maximum.js";
+export * from "./moving-minimum.js";
 export * from "./roc.js";
 export * from "./rsi.js";
 export * from "./sd.js";
@@ -13,5 +15,6 @@ export * from "./trix.js";
 export * from "./wma.js";
 
 export * from "./bounds.js";
+export * from "./deque.js";
 export * from "./dot.js";
 export * from "./mse.js";

packages/transducers-stats/src/moving-maximum.ts

@@ -0,0 +1,27 @@
+import type { Reducer, Transducer } from "@thi.ng/transducers";
+import { compR } from "@thi.ng/transducers/compr";
+import { iterator1 } from "@thi.ng/transducers/iterator";
+import { Deque } from "./deque.js";
+
+export function movingMaximum(period: number): Transducer<number, number>;
+export function movingMaximum(
+	period: number,
+	src: Iterable<number>
+): IterableIterator<number>;
+export function movingMaximum(period: number, src?: Iterable<number>): any {
+	return src
+		? iterator1(movingMaximum(period), src)
+		: (rfn: Reducer<number, any>) => {
+				const samples: number[] = [];
+				const deque = new Deque(samples, (a, b) => a <= b);
+				return compR(rfn, (acc: any, x: number) => {
+					const num = samples.push(x);
+					deque.add(x);
+					if (num > period) {
+						samples.shift();
+						deque.shift();
+					}
+					return num >= period ? rfn[2](acc, deque.head()) : acc;
+				});
+		  };
+}

packages/transducers-stats/src/moving-minimum.ts

@@ -0,0 +1,27 @@
+import type { Reducer, Transducer } from "@thi.ng/transducers";
+import { compR } from "@thi.ng/transducers/compr";
+import { iterator1 } from "@thi.ng/transducers/iterator";
+import { Deque } from "./deque.js";
+
+export function movingMinimum(period: number): Transducer<number, number>;
+export function movingMinimum(
+	period: number,
+	src: Iterable<number>
+): IterableIterator<number>;
+export function movingMinimum(period: number, src?: Iterable<number>): any {
+	return src
+		? iterator1(movingMinimum(period), src)
+		: (rfn: Reducer<number, any>) => {
+				const samples: number[] = [];
+				const deque = new Deque(samples, (a, b) => a >= b);
+				return compR(rfn, (acc: any, x: number) => {
+					const num = samples.push(x);
+					deque.add(x);
+					if (num > period) {
+						samples.shift();
+						deque.shift();
+					}
+					return num >= period ? rfn[2](acc, deque.head()) : acc;
+				});
+		  };
+}

packages/transducers-stats/test/main.test.ts

@@ -1,4 +1,27 @@
 import { expect, test } from "bun:test";
-// import * as transducers-stats from "../src/index.js"
+import { donchian, movingMaximum, movingMinimum } from "../src/index.js";
 
-test.todo("transducers-stats", () => {});
+test("movingMaxium", () => {
+	expect([...movingMaximum(3, [1, 3, 1, 1, 4, 1, 1, 2, 5, 6])]).toEqual([
+		3, 3, 4, 4, 4, 2, 5, 6,
+	]);
+});
+
+test("movingMinium", () => {
+	expect([...movingMinimum(3, [1, 3, 1, 1, 4, 1, 1, 2, 5, 6])]).toEqual([
+		1, 1, 1, 1, 1, 1, 1, 2,
+	]);
+});
+
+test("donchian", () => {
+	expect([...donchian(3, [1, 3, 1, 1, 4, 1, 1, 2, 5, 6])]).toEqual([
+		[1, 3],
+		[1, 3],
+		[1, 4],
+		[1, 4],
+		[1, 4],
+		[1, 2],
+		[1, 5],
+		[2, 6],
+	]);
+});