fintech-algorithms

Percentage Price Oscillator (PPO)

Normalize the MACD Spread

Install and import

bash
npm install fintech-algorithms
ts
import { ppo } from "fintech-algorithms/technical-indicators/trend-systems/percentage-price-oscillator";

Signature

ppo(values, fastSpan, slowSpan, signalSpan)

MACD expressed as a percentage of the slow EMA rather than in price units, which makes readings comparable across instruments and across time in a way MACD is not.

Parameters

NameTypeNotes
values(number | null)[]Observation series in chronological order, oldest first.
nulls: propagate
fastSpannumberSpan of the fast EMA.
min: 1 · integer: true
slowSpannumberSpan of the slow EMA; must exceed the fast span.
min: 1 · integer: true
signalSpannumberSpan of the EMA taken over the PPO line itself.
min: 1 · integer: true

Returns

Record<string, (number | null)[]> · length same-as-input

Parallel series: fast_ema, slow_ema, ppo, signal and histogram.

Warm-up

The first slowSpan − 1 for the PPO line, and slowSpan + signalSpan − 2 for the signal and histogram positions are null. As with MACD, the signal line is defined later than the line it smooths.

Errors

  • When any span is < 1, is not an integer, or fastSpan ≥ slowSpan — throws RangeError

Complexity: time O(n), space O(n).

Worked example

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input

values
[96.42, 96.948156, 97.568602, 98.255035, 98.973258, 99.68459]

Showing 6 of 180 elements.

fastSpan
12
slowSpan
26
signalSpan
9

Call

ppo(values, fastSpan, slowSpan, signalSpan)

Returns

object with 5 fields: fast_ema, slow_ema, ppo, signal, histogram

{
  "fast_ema": [null, null, null, null, null, null],
  "slow_ema": [null, null, null, null, null, null],
  "ppo": [null, null, null, null, null, null],
  "signal": [null, null, null, null, null, null],
  "histogram": [null, null, null, null, null, null]
}

Diagrams

Percentage Price Oscillator (PPO) — canonical trace
Percentage Price Oscillator (PPO) — failure boundary
Percentage Price Oscillator (PPO) — mechanism map

Calculation flow

Percentage Price Oscillator calculation flow 
flowchart LR
    A["Validated finalized bar"] --> B["Causal window or recursive state"]
    B --> C["Explicit seed and boundary rule"]
    C --> D["Aligned Percentage Price Oscillator output"]
    D --> E["Diagnostics and audit evidence"]

How it works

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References