garch 1.2.1 → 1.2.3

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Files changed (5) hide show
  1. package/README.md +6 -3
  2. package/build/index.cjs +6 -2
  3. package/build/index.mjs +6 -2
  4. package/package.json +1 -1
  5. package/types.d.ts +3 -2
package/README.md CHANGED
@@ -33,7 +33,8 @@ const result = predict(candles, '4h');
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  // {
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  // currentPrice: 97500,
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  // sigma: 0.012, // 1.2% per-period volatility
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- // move: 1177, // upward expected move (upper - current)
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+ // move: 1177, // upward expected move (upper - current), in dollars
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+ // movePercent: 1.21, // upward expected move, in percent (0–100)
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  // upperPrice: 98677, // P·exp(+σ) — ceiling
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  // lowerPrice: 96337, // P·exp(-σ) — floor
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  // modelType: 'egarch',
@@ -87,7 +88,8 @@ Higher confidence = wider corridor. `sigma` stays the same (it's the model's vol
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  interface PredictionResult {
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  currentPrice: number; // Reference price
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  sigma: number; // One-period volatility (decimal, e.g. 0.012 = 1.2%)
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- move: number; // Upward price move = upperPrice - currentPrice
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+ move: number; // Upward price move = upperPrice - currentPrice (dollars)
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+ movePercent: number; // Upward price move in percent (0–100), e.g. 1.21 = 1.21%
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  upperPrice: number; // P · exp(+z·σ)
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  lowerPrice: number; // P · exp(-z·σ)
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  modelType: 'garch' | 'egarch' | 'gjr-garch' | 'har-rv' | 'novas'; // Auto-selected model
@@ -108,7 +110,8 @@ const range = predictRange(candles, '4h', 5);
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  // {
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  // currentPrice: 97500,
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  // sigma: 0.027, // cumulative ~2.7% over 5 candles
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- // move: 2669, // upward expected move
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+ // move: 2669, // upward expected move, in dollars
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+ // movePercent: 2.74, // upward expected move, in percent (0–100)
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  // upperPrice: 100169, // P·exp(+z·σ)
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  // lowerPrice: 94901, // P·exp(-z·σ)
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  // modelType: 'egarch',
package/build/index.cjs CHANGED
@@ -1780,8 +1780,9 @@ function checkReliable(fit) {
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  * @param confidence — two-sided probability in (0,1). Default ≈0.6827 (±1σ).
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  * Common values: 0.90 → z=1.645, 0.95 → z=1.96, 0.99 → z=2.576.
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  */
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- function predict(candles, interval, currentPrice = candles[candles.length - 1].close, confidence = 0.6827) {
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+ function predict(candles, interval, currentPrice, confidence = 0.6827) {
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  assertMinCandles(candles, interval);
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+ currentPrice = currentPrice || candles[candles.length - 1].close;
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  const z = probit(confidence);
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  const fit = fitModel(candles, INTERVALS_PER_YEAR[interval], 1);
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  const sigma = fit.forecast.volatility[0];
@@ -1792,6 +1793,7 @@ function predict(candles, interval, currentPrice = candles[candles.length - 1].c
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  currentPrice,
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  sigma,
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  move: upperPrice - currentPrice,
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+ movePercent: (upperPrice / currentPrice - 1) * 100,
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  upperPrice,
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  lowerPrice,
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  reliable: checkReliable(fit),
@@ -1804,10 +1806,11 @@ function predict(candles, interval, currentPrice = candles[candles.length - 1].c
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  * Uses log-normal price bands: P·exp(±z·σ), where z = probit(confidence).
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  * @param confidence — two-sided probability in (0,1). Default ≈0.6827 (±1σ).
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  */
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- function predictRange(candles, interval, steps, currentPrice = candles[candles.length - 1].close, confidence = 0.6827) {
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+ function predictRange(candles, interval, steps, currentPrice, confidence = 0.6827) {
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  assertMinCandles(candles, interval);
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  const z = probit(confidence);
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  const fit = fitModel(candles, INTERVALS_PER_YEAR[interval], steps);
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+ currentPrice = currentPrice || candles[candles.length - 1].close;
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  const cumulativeVariance = fit.forecast.variance.reduce((sum, v) => sum + v, 0);
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  const sigma = Math.sqrt(cumulativeVariance);
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  const upperPrice = currentPrice * Math.exp(z * sigma);
@@ -1817,6 +1820,7 @@ function predictRange(candles, interval, steps, currentPrice = candles[candles.l
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  currentPrice,
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  sigma,
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  move: upperPrice - currentPrice,
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+ movePercent: (upperPrice / currentPrice - 1) * 100,
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  upperPrice,
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  lowerPrice,
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  reliable: checkReliable(fit),
package/build/index.mjs CHANGED
@@ -1778,8 +1778,9 @@ function checkReliable(fit) {
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  * @param confidence — two-sided probability in (0,1). Default ≈0.6827 (±1σ).
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  * Common values: 0.90 → z=1.645, 0.95 → z=1.96, 0.99 → z=2.576.
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  */
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- function predict(candles, interval, currentPrice = candles[candles.length - 1].close, confidence = 0.6827) {
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+ function predict(candles, interval, currentPrice, confidence = 0.6827) {
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  assertMinCandles(candles, interval);
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+ currentPrice = currentPrice || candles[candles.length - 1].close;
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  const z = probit(confidence);
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  const fit = fitModel(candles, INTERVALS_PER_YEAR[interval], 1);
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  const sigma = fit.forecast.volatility[0];
@@ -1790,6 +1791,7 @@ function predict(candles, interval, currentPrice = candles[candles.length - 1].c
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  currentPrice,
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  sigma,
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  move: upperPrice - currentPrice,
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+ movePercent: (upperPrice / currentPrice - 1) * 100,
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  upperPrice,
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  lowerPrice,
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  reliable: checkReliable(fit),
@@ -1802,10 +1804,11 @@ function predict(candles, interval, currentPrice = candles[candles.length - 1].c
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  * Uses log-normal price bands: P·exp(±z·σ), where z = probit(confidence).
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  * @param confidence — two-sided probability in (0,1). Default ≈0.6827 (±1σ).
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  */
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- function predictRange(candles, interval, steps, currentPrice = candles[candles.length - 1].close, confidence = 0.6827) {
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+ function predictRange(candles, interval, steps, currentPrice, confidence = 0.6827) {
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  assertMinCandles(candles, interval);
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  const z = probit(confidence);
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  const fit = fitModel(candles, INTERVALS_PER_YEAR[interval], steps);
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+ currentPrice = currentPrice || candles[candles.length - 1].close;
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  const cumulativeVariance = fit.forecast.variance.reduce((sum, v) => sum + v, 0);
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  const sigma = Math.sqrt(cumulativeVariance);
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  const upperPrice = currentPrice * Math.exp(z * sigma);
@@ -1815,6 +1818,7 @@ function predictRange(candles, interval, steps, currentPrice = candles[candles.l
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  currentPrice,
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  sigma,
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  move: upperPrice - currentPrice,
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+ movePercent: (upperPrice / currentPrice - 1) * 100,
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  upperPrice,
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  lowerPrice,
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  reliable: checkReliable(fit),
package/package.json CHANGED
@@ -1,6 +1,6 @@
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  {
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  "name": "garch",
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- "version": "1.2.1",
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+ "version": "1.2.3",
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  "description": "GARCH and EGARCH volatility models for TypeScript",
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  "type": "module",
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  "main": "./build/index.cjs",
package/types.d.ts CHANGED
@@ -501,6 +501,7 @@ interface PredictionResult {
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  currentPrice: number;
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  sigma: number;
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  move: number;
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+ movePercent: number;
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  upperPrice: number;
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  lowerPrice: number;
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  modelType: 'garch' | 'egarch' | 'gjr-garch' | 'har-rv' | 'novas';
@@ -514,7 +515,7 @@ interface PredictionResult {
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  * @param confidence — two-sided probability in (0,1). Default ≈0.6827 (±1σ).
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  * Common values: 0.90 → z=1.645, 0.95 → z=1.96, 0.99 → z=2.576.
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  */
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- declare function predict(candles: Candle[], interval: CandleInterval, currentPrice?: number, confidence?: number): PredictionResult;
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+ declare function predict(candles: Candle[], interval: CandleInterval, currentPrice?: number | null, confidence?: number): PredictionResult;
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  /**
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  * Forecast expected price range over multiple candles.
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  *
@@ -522,7 +523,7 @@ declare function predict(candles: Candle[], interval: CandleInterval, currentPri
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  * Uses log-normal price bands: P·exp(±z·σ), where z = probit(confidence).
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  * @param confidence — two-sided probability in (0,1). Default ≈0.6827 (±1σ).
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  */
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- declare function predictRange(candles: Candle[], interval: CandleInterval, steps: number, currentPrice?: number, confidence?: number): PredictionResult;
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+ declare function predictRange(candles: Candle[], interval: CandleInterval, steps: number, currentPrice?: number | null, confidence?: number): PredictionResult;
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  /**
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  * Walk-forward backtest of predict.
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  *