tsb — Stock Returns

Skills: pctChangeSeries, Series.rolling().mean/std, derived columns, basic signal generation.

1 · Daily prices and returns

Compute daily percentage returns from raw closing prices.

TypeScript

Click ▶ Run to execute

Ctrl+Enter to run · Tab to indent

2 · Rolling stats & SMA crossover signal

A common workflow: fast SMA (3-day) crossing a slow SMA (5-day) is a buy signal; the reverse is a sell signal.

TypeScript

import { DataFrame } from "tsb";

const prices = DataFrame.fromColumns({
  day: Array.from({ length: 15 }, (_, i) => i + 1),
  close: [100.0,101.5,99.8,102.1,103.4,102.7,104.0,105.6,104.9,
          106.3,107.0,106.2,108.5,109.1,110.0],
});

const close = prices.col("close");
const sma3 = close.rolling(3).mean();
const sma5 = close.rolling(5).mean();
const vol5 = close.rolling(5).std();

const out = prices.assign({ sma3, sma5, vol5 });
console.log(out.toString());

// Signals: sma3 crosses above sma5 → BUY; crosses below → SELL
const sma3v = [...sma3.values];
const sma5v = [...sma5.values];
const signals: string[] = [];
for (let i = 1; i < sma3v.length; i++) {
  const a  = sma3v[i]     as number | null;
  const b  = sma5v[i]     as number | null;
  const ap = sma3v[i - 1] as number | null;
  const bp = sma5v[i - 1] as number | null;
  if (a == null || b == null || ap == null || bp == null) continue;
  if (a > b && ap <= bp) signals.push(`day ${i + 1}: BUY  (sma3=${a.toFixed(2)} > sma5=${b.toFixed(2)})`);
  else if (a < b && ap >= bp) signals.push(`day ${i + 1}: SELL (sma3=${a.toFixed(2)} < sma5=${b.toFixed(2)})`);
}
console.log("\nSignals:");
if (signals.length === 0) console.log("  (no crossovers in window)");
for (const s of signals) console.log("  " + s);

Click ▶ Run to execute

Ctrl+Enter to run · Tab to indent

📈 Stock Returns Analysis

1 · Daily prices and returns

2 · Rolling stats & SMA crossover signal