@backtest-kit/signals 14.0.0 → 15.0.0

package/build/index.cjs

@@ -140,13 +140,6 @@ const columns$3 = [
             ? `${await backtestKit.formatPrice(symbol, Number(v))} USD`
             : "N/A",
     },
-    {
-        key: "atr14_raw",
-        label: "ATR(14) Raw",
-        format: async (v, symbol) => v !== null
-            ? `${await backtestKit.formatPrice(symbol, Number(v))} USD`
-            : "N/A",
-    },
     {
         key: "atr20",
         label: "ATR(20)",
@@ -209,6 +202,11 @@ const columns$3 = [
             ? `${await backtestKit.formatPrice(symbol, Number(v))} USD`
             : "N/A",
     },
+    {
+        key: "volumeTrendRatio",
+        label: "Volume Trend Ratio",
+        format: (v) => (v !== null ? `${Number(v).toFixed(2)}x` : "N/A"),
+    },
     {
         key: "currentPrice",
         label: "Current Price",
@@ -343,8 +341,8 @@ function calculateFibonacciLevels$2(candles, endIndex) {
         "61.8%": high - range * 0.618,
         "78.6%": high - range * 0.786,
         "100.0%": low,
-        "127.2%": high - range * 1.272,
-        "161.8%": high - range * 1.618,
+        "127.2% (downside)": high - range * 1.272,
+        "161.8% (downside)": high - range * 1.618,
     };
     const currentPrice = Number(candles[endIndex].close);
     let nearestLevel = {
@@ -438,20 +436,19 @@ function generateAnalysis$3(symbol, candles) {
         if (i < WARMUP_PERIOD$3) {
             return;
         }
-        // Volume trend calculation
-        const volumeSma6 = new tradingSignals.FasterSMA(6);
-        const volumeSma6Prev = new tradingSignals.FasterSMA(6);
+        // Volume trend calculation: average of last 6 candles vs previous 6
         const volumeStart = Math.max(0, i + 1 - 12);
         const prevVolumeData = volumes.slice(volumeStart, Math.min(volumeStart + 6, i + 1));
         const recentVolumeData = volumes.slice(Math.max(0, i + 1 - 6), i + 1);
-        if (prevVolumeData.length > 0) {
-            prevVolumeData.forEach((vol) => volumeSma6Prev.update(vol, false));
-        }
-        if (recentVolumeData.length > 0) {
-            recentVolumeData.forEach((vol) => volumeSma6.update(vol, false));
-        }
-        const recentVolumeRaw = volumeSma6.getResult();
-        const prevVolumeRaw = volumeSma6Prev.getResult();
+        const averageOf = (values) => {
+            const safe = values.filter((value) => !isUnsafe$4(value));
+            if (safe.length === 0) {
+                return null;
+            }
+            return safe.reduce((sum, value) => sum + value, 0) / safe.length;
+        };
+        const recentVolumeRaw = averageOf(recentVolumeData);
+        const prevVolumeRaw = averageOf(prevVolumeData);
         const recentVolume = !isUnsafe$4(recentVolumeRaw)
             ? recentVolumeRaw
             : volumes[i];
@@ -503,9 +500,6 @@ function generateAnalysis$3(symbol, candles) {
             atr14: atr14.getResult() != null && !isUnsafe$4(atr14.getResult())
                 ? atr14.getResult()
                 : null,
-            atr14_raw: atr14.getResult() != null && !isUnsafe$4(atr14.getResult())
-                ? atr14.getResult()
-                : null,
             atr20: atr20.getResult() != null && !isUnsafe$4(atr20.getResult())
                 ? atr20.getResult()
                 : null,
@@ -556,11 +550,12 @@ function generateAnalysis$3(symbol, candles) {
             fibonacciDistance: fibonacciNearest.distance,
             bodySize,
             closePrice: close,
-            date: new Date(),
+            date: new Date(_candle.timestamp),
             lookbackPeriod: "48 candles (48 hours) with SMA(50) from 100 hours",
         });
     });
-    return results;
+    // Return only the last TABLE_ROWS_LIMIT rows
+    return results.slice(-TABLE_ROWS_LIMIT$3);
 }
 /**
  * Generates markdown table with long-term technical analysis history.
@@ -623,9 +618,7 @@ async function generateHistoryTable$3(indicators, symbol) {
     markdown +=
         "- **ATR(14)**: over previous 14 candles (14 hours on 1h timeframe) before row timestamp (Min: 0 USD, Max: +∞)\n";
     markdown +=
-        "- **ATR(14) Raw**: raw value over previous 14 candles before row timestamp (Min: 0 USD, Max: +∞)\n";
-    markdown +=
-        "- **ATR(20) Raw**: raw value over previous 20 candles (20 hours on 1h timeframe) before row timestamp (Min: 0 USD, Max: +∞)\n";
+        "- **ATR(20)**: over previous 20 candles (20 hours on 1h timeframe) before row timestamp (Min: 0 USD, Max: +∞)\n";
     markdown +=
         "- **CCI(20)**: over previous 20 candles (20 hours on 1h timeframe) before row timestamp (Min: -∞, Max: +∞)\n";
     markdown +=
@@ -650,12 +643,14 @@ async function generateHistoryTable$3(indicators, symbol) {
         "- **EMA(34)**: over previous 34 candles (34 hours on 1h timeframe) before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
     markdown +=
         "- **Momentum(10)**: over previous 10 candles (10 hours on 1h timeframe) before row timestamp (Min: -∞ USD, Max: +∞ USD)\n";
+    markdown +=
+        "- **Volume Trend Ratio**: average volume of last 6 candles relative to previous 6 candles before row timestamp (Min: 0x, Max: +∞x; above 1x = volume increasing)\n";
     markdown +=
         "- **Support**: over previous 4 candles (4 hours on 1h timeframe) before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
     markdown +=
         "- **Resistance**: over previous 4 candles (4 hours on 1h timeframe) before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
     markdown +=
-        "- **Fibonacci Nearest Level**: nearest level name before row timestamp\n";
+        "- **Fibonacci Nearest Level**: nearest level name before row timestamp; levels marked (downside) lie below the range low\n";
     markdown +=
         "- **Fibonacci Nearest Price**: nearest price level before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
     markdown +=
@@ -770,9 +765,7 @@ class LongTermHistoryService {
         this.getReport = async (symbol) => {
             this.loggerService.log("longTermHistoryService getReport", { symbol });
             const fullCandles = await backtestKit.getCandles(symbol, "1h", 100);
-            // Use all candles for indicator warm-up, then filter to last TABLE_ROWS_LIMIT rows
-            const allRows = await this.getData(symbol, fullCandles);
-            const rows = allRows.slice(-TABLE_ROWS_LIMIT$3);
+            const rows = await this.getData(symbol, fullCandles);
             return generateHistoryTable$3(rows, symbol);
         };
         /**
@@ -1068,6 +1061,11 @@ const columns$2 = [
         label: "Volume Ratio",
         format: (v) => (v !== null ? `${Number(v).toFixed(2)}x` : "N/A"),
     },
+    {
+        key: "volumeTrendRatio",
+        label: "Volume Trend Ratio",
+        format: (v) => (v !== null ? `${Number(v).toFixed(2)}x` : "N/A"),
+    },
     {
         key: "volatility5",
         label: "Volatility(5)",
@@ -1157,9 +1155,11 @@ function calculateVolumeMetrics(candles, endIndex) {
     const volumeSma5 = new tradingSignals.FasterSMA(5);
     volumes.forEach((vol) => volumeSma5.update(vol, false));
     const avgVolumeRaw = volumeSma5.getResult();
-    const avgVolume = !isUnsafe$3(avgVolumeRaw) ? avgVolumeRaw : 0;
+    const avgVolume = !isUnsafe$3(avgVolumeRaw) ? avgVolumeRaw : null;
     const currentVolume = volumes[volumes.length - 1];
-    const volumeRatio = avgVolume > 0 && !isUnsafe$3(currentVolume) ? currentVolume / avgVolume : 1;
+    const volumeRatio = avgVolume !== null && avgVolume > 0 && !isUnsafe$3(currentVolume)
+        ? currentVolume / avgVolume
+        : null;
     let volumeTrendRatio = null;
     if (volumes.length >= 6) {
         const recent3 = volumes.slice(-3);
@@ -1196,15 +1196,15 @@ function calculatePriceChanges(candles, endIndex) {
         return { priceChange1m: null, priceChange3m: null, priceChange5m: null };
     }
     const current = closes[closes.length - 1];
-    const priceChange1m = closes.length >= 2
+    const priceChange1m = closes.length >= 2 && closes[closes.length - 2] > 0
         ? ((current - closes[closes.length - 2]) / closes[closes.length - 2]) *
             100
         : null;
-    const priceChange3m = closes.length >= 4
+    const priceChange3m = closes.length >= 4 && closes[closes.length - 4] > 0
         ? ((current - closes[closes.length - 4]) / closes[closes.length - 4]) *
             100
         : null;
-    const priceChange5m = closes.length >= 6
+    const priceChange5m = closes.length >= 6 && closes[closes.length - 6] > 0
         ? ((current - closes[closes.length - 6]) / closes[closes.length - 6]) *
             100
         : null;
@@ -1350,9 +1350,9 @@ function generateAnalysis$2(symbol, candles) {
         sma8.update(close, false);
         dema8.update(close, false);
         wma5.update(close, false);
-        // Determine minimum warm-up period needed (largest indicator period)
-        // EMA(21) is the largest period
-        // Skip rows until all indicators are warmed up
+        // Skip rows until the primary indicators are warmed up.
+        // WARMUP_PERIOD covers EMA(21); slower indicators (e.g. StochRSI(14)
+        // needs ~28 candles) render as N/A in the first rows until ready.
         if (i < WARMUP_PERIOD$2) {
             return;
         }
@@ -1523,7 +1523,7 @@ function generateAnalysis$2(symbol, candles) {
             squeezeMomentum,
             pressureIndex,
             closePrice: close,
-            date: new Date(),
+            date: new Date(_candle.timestamp),
             lookbackPeriod: "60 candles (60 minutes)",
         });
     });
@@ -1609,7 +1609,7 @@ async function generateHistoryTable$2(indicators, symbol) {
     markdown +=
         "- **Bollinger Width(8,2.0)**: width percentage before row timestamp (Min: 0%, Max: +∞)\n";
     markdown +=
-        "- **Bollinger Position**: price position within bands before row timestamp (Min: 0%, Max: 100%)\n";
+        "- **Bollinger Position**: price position within bands before row timestamp (0% = lower band, 100% = upper band; can go below 0% or above 100% when price is outside the bands)\n";
     markdown +=
         "- **Stochastic K(3,3,3)**: over previous 3 candles (3 minutes on 1m timeframe) before row timestamp (Min: 0, Max: 100)\n";
     markdown +=
@@ -1646,6 +1646,8 @@ async function generateHistoryTable$2(indicators, symbol) {
         "- **Volume SMA(5)**: over previous 5 candles (5 minutes on 1m timeframe) before row timestamp (Min: 0, Max: +∞)\n";
     markdown +=
         "- **Volume Ratio**: volume relative to average at row timestamp (Min: 0x, Max: +∞x)\n";
+    markdown +=
+        "- **Volume Trend Ratio**: average volume of last 3 candles relative to previous 3 candles at row timestamp (Min: 0x, Max: +∞x; above 1x = volume increasing)\n";
     markdown +=
         "- **Support**: over previous 30 candles (30 minutes on 1m timeframe) before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
     markdown +=
@@ -1896,6 +1898,11 @@ const columns$1 = [
         label: "ROC(10) - Rate of Change %",
         format: (v) => (v !== null ? `${Number(v).toFixed(3)}%` : "N/A"),
     },
+    {
+        key: "volumeTrendRatio",
+        label: "Volume Trend Ratio",
+        format: (v) => (v !== null ? `${Number(v).toFixed(2)}x` : "N/A"),
+    },
     {
         key: "sma50",
         label: "SMA(50)",
@@ -2070,8 +2077,8 @@ function calculateFibonacciLevels$1(candles, endIndex) {
         "61.8%": high - range * 0.618,
         "78.6%": high - range * 0.786,
         "100.0%": low,
-        "127.2%": high - range * 1.272,
-        "161.8%": high - range * 1.618,
+        "127.2% (downside)": high - range * 1.272,
+        "161.8% (downside)": high - range * 1.618,
     };
     const currentPrice = Number(candles[endIndex].close);
     let nearestLevel = {
@@ -2250,7 +2257,8 @@ function generateAnalysis$1(symbol, candles) {
             bollingerWidth10_2: bollingerResult &&
                 !isUnsafe$2(bollingerResult.upper) &&
                 !isUnsafe$2(bollingerResult.lower) &&
-                !isUnsafe$2(bollingerResult.middle)
+                !isUnsafe$2(bollingerResult.middle) &&
+                bollingerResult.middle !== 0
                 ? ((bollingerResult.upper - bollingerResult.lower) /
                     bollingerResult.middle) *
                     100
@@ -2311,7 +2319,7 @@ function generateAnalysis$1(symbol, candles) {
             fibonacciDistance: fibonacciNearest.distance,
             bodySize,
             closePrice: close,
-            date: new Date(),
+            date: new Date(_candle.timestamp),
             lookbackPeriod: "144 candles (36 hours)",
         });
     });
@@ -2398,6 +2406,8 @@ async function generateHistoryTable$1(indicators, symbol) {
         "- **ROC(5)**: over previous 5 candles (75 minutes on 15m timeframe) before row timestamp (Min: -∞%, Max: +∞%)\n";
     markdown +=
         "- **ROC(10)**: over previous 10 candles (150 minutes on 15m timeframe) before row timestamp (Min: -∞%, Max: +∞%)\n";
+    markdown +=
+        "- **Volume Trend Ratio**: average volume of last 8 candles relative to previous 8 candles before row timestamp (Min: 0x, Max: +∞x; above 1x = volume increasing)\n";
     markdown +=
         "- **SMA(50)**: over previous 50 candles (750 minutes on 15m timeframe) before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
     markdown +=
@@ -2413,9 +2423,9 @@ async function generateHistoryTable$1(indicators, symbol) {
     markdown +=
         "- **Resistance**: over previous 48 candles (12 hours on 15m timeframe) before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
     markdown +=
-        "- **Fibonacci Nearest Level**: nearest level name before row timestamp\n";
+        "- **Fibonacci Nearest Level**: nearest level name before row timestamp; levels marked (downside) lie below the range low\n";
     markdown +=
-        "- **Fibonacci Nearest Price**: nearest price level over 288 candles (72h on 15m timeframe) before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
+        "- **Fibonacci Nearest Price**: nearest price level over up to 288 candles (limited by the 144-candle / 36h report history) before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
     markdown +=
         "- **Fibonacci Distance**: distance to nearest level before row timestamp (Min: 0 USD, Max: +∞ USD)\n";
     markdown +=
@@ -2570,6 +2580,11 @@ const TABLE_ROWS_LIMIT = 30;
  * Ensures all technical indicators (especially EMA(34)) have sufficient data.
  */
 const WARMUP_PERIOD = 34;
+/**
+ * Rolling window (in candles) for the volatility calculation.
+ * Keeps the metric comparable across rows regardless of total history length.
+ */
+const VOLATILITY_WINDOW = 20;
 const columns = [
     {
         key: "rsi14",
@@ -3003,16 +3018,20 @@ function generateAnalysis(symbol, candles) {
         if (i < WARMUP_PERIOD) {
             return;
         }
-        const priceChanges = closes
-            .slice(0, i + 1)
-            .slice(1)
-            .map((price, idx) => {
-            const prevPrice = closes.slice(0, i + 1)[idx];
-            return ((price - prevPrice) / prevPrice) * 100;
-        });
-        const volatility = priceChanges.length > 0
-            ? Math.sqrt(priceChanges.reduce((sum, change) => sum + change ** 2, 0) /
-                priceChanges.length)
+        let volatilitySumSq = 0;
+        let volatilityCount = 0;
+        for (let idx = Math.max(1, i + 1 - VOLATILITY_WINDOW); idx <= i; idx++) {
+            const prevPrice = closes[idx - 1];
+            const currPrice = closes[idx];
+            if (isUnsafe$1(prevPrice) || isUnsafe$1(currPrice) || prevPrice <= 0) {
+                continue;
+            }
+            const change = ((currPrice - prevPrice) / prevPrice) * 100;
+            volatilitySumSq += change ** 2;
+            volatilityCount += 1;
+        }
+        const volatility = volatilityCount > 0
+            ? Math.sqrt(volatilitySumSq / volatilityCount)
             : null;
         const { support, resistance } = calculateSupportResistance(candles, i);
         const fibonacci = calculateFibonacciLevels(candles, i);
@@ -3108,7 +3127,7 @@ function generateAnalysis(symbol, candles) {
             fibonacciPositionPercent: fibonacci.fibonacciPositionPercent,
             bodySize,
             closePrice: close,
-            date: new Date(),
+            date: new Date(_candle.timestamp),
             lookbackPeriod: "96 candles (48 hours)",
         });
     });
@@ -3222,7 +3241,7 @@ async function generateHistoryTable(indicators, symbol) {
     markdown +=
         "- **Volume**: trading volume at row timestamp (Min: 0, Max: +∞)\n";
     markdown +=
-        "- **Volatility**: volatility percentage at row timestamp (Min: 0%, Max: +∞)\n";
+        "- **Volatility**: RMS of 1-candle percentage changes over previous 20 candles (10 hours on 30m timeframe) before row timestamp (Min: 0%, Max: +∞)\n";
     markdown += "\n## Column Descriptions\n\n";
     markdown += "**RSI(14) - Relative Strength Index**: Momentum oscillator measuring the speed and magnitude of price changes on 30-minute timeframe. Values above 70 indicate overbought conditions suitable for profit-taking, below 30 indicate oversold conditions suitable for entries.\n\n";
     markdown += "**StochRSI(14) - RSI Oscillator**: Applies Stochastic calculation to RSI values, providing more sensitive overbought/oversold signals for swing trading. Range 0-100, with 80+ being overbought and 20- being oversold.\n\n";
@@ -3627,11 +3646,11 @@ class HourCandleHistoryService {
                 markdown += `### 1h Candle ${index + 1}\n`;
                 markdown += `- **Price Change**: ${priceChangePercent.toFixed(3)}%\n`;
                 markdown += `- **Time**: ${formattedTime}\n`;
-                markdown += `- **Open**: ${backtestKit.formatPrice(symbol, candle.open)} USD\n`;
-                markdown += `- **High**: ${backtestKit.formatPrice(symbol, candle.high)} USD\n`;
-                markdown += `- **Low**: ${backtestKit.formatPrice(symbol, candle.low)} USD\n`;
-                markdown += `- **Close**: ${backtestKit.formatPrice(symbol, candle.close)} USD\n`;
-                markdown += `- **Volume**: ${backtestKit.formatQuantity(symbol, candle.volume)}\n`;
+                markdown += `- **Open**: ${await backtestKit.formatPrice(symbol, candle.open)} USD\n`;
+                markdown += `- **High**: ${await backtestKit.formatPrice(symbol, candle.high)} USD\n`;
+                markdown += `- **Low**: ${await backtestKit.formatPrice(symbol, candle.low)} USD\n`;
+                markdown += `- **Close**: ${await backtestKit.formatPrice(symbol, candle.close)} USD\n`;
+                markdown += `- **Volume**: ${await backtestKit.formatQuantity(symbol, candle.volume)}\n`;
                 markdown += `- **1h Volatility**: ${volatilityPercent.toFixed(2)}%\n`;
                 markdown += `- **Body Size**: ${bodyPercent.toFixed(1)}%\n\n`;
             }
@@ -3781,7 +3800,7 @@ class OneMinuteCandleHistoryService {
                 markdown += `- **High**: ${await backtestKit.formatPrice(symbol, candle.high)} USD\n`;
                 markdown += `- **Low**: ${await backtestKit.formatPrice(symbol, candle.low)} USD\n`;
                 markdown += `- **Close**: ${await backtestKit.formatPrice(symbol, candle.close)} USD\n`;
-                markdown += `- **Volume**: ${backtestKit.formatQuantity(symbol, candle.volume)}\n`;
+                markdown += `- **Volume**: ${await backtestKit.formatQuantity(symbol, candle.volume)}\n`;
                 markdown += `- **1m Volatility**: ${volatilityPercent.toFixed(2)}%\n`;
                 markdown += `- **Body Size**: ${bodyPercent.toFixed(1)}%\n\n`;
             }
@@ -3931,7 +3950,7 @@ class ThirtyMinuteCandleHistoryService {
                 report += `- **High**: ${await backtestKit.formatPrice(symbol, candle.high)} USD\n`;
                 report += `- **Low**: ${await backtestKit.formatPrice(symbol, candle.low)} USD\n`;
                 report += `- **Close**: ${await backtestKit.formatPrice(symbol, candle.close)} USD\n`;
-                report += `- **Volume**: ${backtestKit.formatQuantity(symbol, candle.volume)}\n`;
+                report += `- **Volume**: ${await backtestKit.formatQuantity(symbol, candle.volume)}\n`;
                 report += `- **30m Volatility**: ${volatilityPercent.toFixed(2)}%\n`;
                 report += `- **Body Size**: ${bodyPercent.toFixed(1)}%\n\n`;
             }
@@ -4262,18 +4281,18 @@ class BookDataMathService {
             });
             const depth = await backtestKit.getOrderBook(symbol, MAX_DEPTH_LEVELS);
             // Just process raw data - no calculations
-            const bids = processOrderBookSide(depth.bids.sort((a, b) => parseFloat(b.price) - parseFloat(a.price))); // Сортировка по убыванию
-            const asks = processOrderBookSide(depth.asks.sort((a, b) => parseFloat(a.price) - parseFloat(b.price))); // Сортировка по возрастанию
-            const bestBid = bids.length > 0 ? bids[0].price : 0;
-            const bestAsk = asks.length > 0 ? asks[0].price : 0;
-            const midPrice = (bestBid + bestAsk) / 2;
-            const spread = bestAsk - bestBid;
+            const bids = processOrderBookSide([...depth.bids].sort((a, b) => parseFloat(b.price) - parseFloat(a.price))); // Сортировка по убыванию
+            const asks = processOrderBookSide([...depth.asks].sort((a, b) => parseFloat(a.price) - parseFloat(b.price))); // Сортировка по возрастанию
+            const bestBid = bids.length > 0 ? bids[0].price : null;
+            const bestAsk = asks.length > 0 ? asks[0].price : null;
+            const midPrice = bestBid !== null && bestAsk !== null ? (bestBid + bestAsk) / 2 : null;
+            const spread = bestBid !== null && bestAsk !== null ? bestAsk - bestBid : null;
             // Calculate depth imbalance
             const totalBidVolume = bids.reduce((sum, bid) => sum + bid.quantity, 0);
             const totalAskVolume = asks.reduce((sum, ask) => sum + ask.quantity, 0);
             const depthImbalance = totalBidVolume + totalAskVolume > 0
                 ? (totalBidVolume - totalAskVolume) / (totalBidVolume + totalAskVolume)
-                : 0;
+                : null;
             return {
                 symbol,
                 timestamp: new Date().toISOString(),
@@ -5026,7 +5045,7 @@ const commitHistorySetup = async (symbol, history) => {
     await commitShortTermMath(symbol, history);
     await commitSwingTermMath(symbol, history);
     await commitLongTermMath(symbol, history);
-    const displayName = await String(symbol).toUpperCase();
+    const displayName = String(symbol).toUpperCase();
     const currentPrice = await backtestKit.getAveragePrice(symbol);
     const currentData = await backtestKit.getDate();
     await history.push({