Professional-grade quantitative finance framework for JavaScript/TypeScript - algorithmic trading, backtesting, risk management, and portfolio optimization
npm install meridianalgo
MeridianAlgo is a professional-grade, high-performance quantitative finance framework for JavaScript and TypeScript. It provides institutional-quality tools for algorithmic trading, backtesting, risk management, and portfolio optimization in a single, unified package.
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* High Performance: Native TypeScript implementation optimized for large datasets.
* Technical Indicators (100+): Classic (SMA, RSI, MACD) to advanced (GARCH, Hurst Exponent, VPIN, Kalman Filter).
* Backtesting Engine: Realistic time-based simulation with custom commission and slippage models.
* Risk Management: VaR, CVaR, Stress Testing, and Performance Attribution.
* Portfolio Optimization: Mean-Variance (Markowitz), Black-Litterman, and Risk Parity.
* Plugin Architecture: Easily extend the framework with custom data adapters, strategies, and models.
* Machine Learning: Built-in utilities for feature engineering, regime detection, and state-space models.
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``bashUsing npm
npm install meridianalgo
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Quick Start
$3
typescript
import { TimeBasedEngine, Indicators, YahooAdapter } from 'meridianalgo';async function run() {
const data = await new YahooAdapter().ohlcv('AAPL', {
start: '2023-01-01',
end: '2024-01-01',
interval: '1d'
});
const engine = new TimeBasedEngine({
initialCash: 100000,
data,
strategy: {
id: 'simple-ema',
next: (bar) => {
// Your logic here
return { t: bar.t, value: 1 };
}
}
});
const result = await engine.run();
console.log(
Total Return: ${result.metrics.totalReturn * 100}%);
}
`---
Advanced Quantitative Tools
MeridianAlgo v4.0.0+ includes cutting-edge tools for modern quants:
* Hurst Exponent: Measure time-series persistence and mean reversion.
* Fractional Differencing: Achieve stationarity while preserving long-term memory.
* Ornstein-Uhlenbeck Process: Estimate mean reversion speed and long-term equilibrium.
* Kalman Filter: Dynamic state estimation and noise reduction for signals.
* Black-Litterman: Blend market equilibrium with subjective investor views.
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Project Structure
The project has been consolidated into a streamlined single-package structure for better performance and easier dependency management:
text
src/
├── core/ # Core types & Plugin system
├── indicators/ # Classic & Advanced TA Indicators
├── data/ # Adapters (Yahoo, Binance, Alpaca, Polygon)
├── backtest/ # Simulation Engines
├── strategies/ # Templates & Logical Composers
├── risk/ # Metrics (VaR, Sharpe) & Stress Testing
├── portfolio/ # Optimization & Allocation Models
├── execution/ # Order Management & Broker Adapters
└── utils/ # Math, Stats, & Time Utilities
``---
* Quick Start Guide
* API Reference
* Developer Guide
* Mathematical Foundations
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We welcome contributions! See CONTRIBUTING.md for details on how to get involved.
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Copyright (c) 2026 Meridian Algorithmic Research Team. Licensed under the MIT License.
DISCLAIMER: This software is for educational and research purposes only. Trading financial markets involves significant risk of loss. Read the full DISCLAIMER before use.