Profiles & statistics¶

VolumeProfile¶

const vp = new flox.VolumeProfile(tickSize);
vp.addTrade(price, qty, isBuy);

Method	Returns	Description
`addTrade(price, qty, isBuy)`	`void`	Feed a trade
`poc()`	`number`	Point of control (highest volume price)
`valueAreaHigh()`	`number`	Value area high
`valueAreaLow()`	`number`	Value area low
`totalVolume()`	`number`	Total volume
`clear()`	`void`	Reset

const mp = new flox.MarketProfile(tickSize, periodMinutes, sessionStartNs);
mp.addTrade(timestampNs, price, qty, isBuy);

Method	Returns	Description
`addTrade(tsNs, price, qty, isBuy)`	`void`	Feed a trade
`poc()`	`number`	Point of control
`valueAreaHigh()`	`number`	Value area high
`valueAreaLow()`	`number`	Value area low
`initialBalanceHigh()`	`number`	Initial balance high
`initialBalanceLow()`	`number`	Initial balance low
`isPoorHigh()`	`boolean`	Poor high
`isPoorLow()`	`boolean`	Poor low
`clear()`	`void`	Reset

Buy/sell delta per price level.

const fp = new flox.FootprintBar(tickSize);
fp.addTrade(price, qty, isBuy);

Method / Property	Returns	Description
`addTrade(price, qty, isBuy)`	`void`	Feed a trade
`totalDelta()`	`number`	Net buy minus sell volume
`totalVolume()`	`number`	Total volume
`numLevels`	`number`	Number of price levels (property)
`clear()`	`void`	Reset

All functions take Float64Array inputs.

Function	Returns	Description
`correlation(x, y)`	`number`	Pearson correlation
`profitFactor(pnl)`	`number`	Gross profit / gross loss
`winRate(pnl)`	`number`	Fraction of positive values
`bootstrapCI(data, confidence?, samples?)`	`{ lower, median, upper }`	Bootstrap confidence interval (default: 0.95, 10000 samples)
`permutationTest(group1, group2, samples?)`	`number`	Two-sample permutation p-value (default: 10000)
`barReturns(longSignals, shortSignals, logReturns)`	`Float64Array`	Per-bar returns given signal arrays
`tradePnl(longSignals, shortSignals, logReturns)`	`Float64Array`	PnL per closed trade