ohlcv-indicators 3.4.7 → 3.4.9

package/index.js

@@ -259,6 +259,27 @@ export default class OHLCV_INDICATORS {
         return this
     }
 
+    atr(size = 14, options = {}) {
+
+        const methodName = 'atr'
+
+        isAlreadyComputed(this)
+
+        validateNumber(size, {min: 1, max: this.len, allowDecimals: false}, 'size', methodName)
+        validateObject(options, 'options', methodName)
+
+        const {lag = 0, tp = null, sl = null} = options
+
+        validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
+
+        if(tp !== null) validateNumber(tp, {min: 0.01, max: 100, allowDecimals: true}, 'options.tp', methodName)
+        if(sl !== null) validateNumber(sl, {min: 0.01, max: 100, allowDecimals: true}, 'options.tp', methodName)
+
+        this.inputParams.push({key: methodName, params: [size, {lag, tp, sl}]})
+
+        return this
+    }
+
     ema(size = 5, options = {}) {
 
         const methodName = 'ema'

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.4.7",
+  "version": "3.4.9",
   "description": "A JavaScript library featuring optimized trading indicators for OHLCV arrays [{open, high, low, close, value}]. This library is optimized for backtesting and trading bot development.",
   "main": "index.js",
   "type": "module",

package/src/core-functions/mainLoop.js

@@ -10,6 +10,7 @@ import { lag } from "../studies/lag.js";
 import { crossPairs } from "../studies/findCrosses.js";
 import { dateTime } from "../studies/dateTime.js";
 import { scaler } from "../studies/scaler.js";
+import { atr } from "../volatility/atr.js";
 
 import { buildArray } from "../utilities/assignTypes.js";
 import {  numberFormater } from "../utilities/numberUtilities.js";
@@ -19,6 +20,7 @@ import { dateFormaters } from "../utilities/dateUtilities.js";
 const indicatorFunctions = {
   dateTime,
   rsi,
+  atr,
   ema: movingAverages,
   sma: movingAverages,
   macd,

package/src/moving-averages/movingAverages.js

@@ -1,7 +1,10 @@
 
 import {FasterEMA, FasterSMA} from 'trading-signals';
 
-const indicatorClasses = {ema: FasterEMA, sma: FasterSMA} 
+const indicatorClasses = {
+  ema: FasterEMA, 
+  sma: FasterSMA
+} 
 
 export const movingAverages = (main, index, indicatorName, size, { target, lag, precomputed }) => {
   const { verticalOhlcv, instances } = main
@@ -18,13 +21,13 @@ export const movingAverages = (main, index, indicatorName, size, { target, lag,
 
   // Retrieve the current price value.
   const value = verticalOhlcv[target][index]
-  const { maInstance } = instances[keyName]
+  const instance = instances[keyName]
 
   // Update the moving average instance.
-  maInstance.update(value);
+  instance.update(value);
   let currMa = NaN;
   try {
-    currMa = maInstance.getResult();
+    currMa = instance.getResult();
   } catch (err) {
 
   }
@@ -42,9 +45,7 @@ export const precomputeMovingAverages = ({main, size, target, lag, methodName})
   const keyName = `${methodName}_${size}${suffix}`
 
     // Create the main moving average instance.
-    instances[keyName] = {
-      maInstance: new indicatorClasses[methodName](size)
-    }
+    instances[keyName] = new indicatorClasses[methodName](size)
 
     verticalOhlcv[keyName] = new Float64Array(len).fill(NaN)
 

package/src/volatility/atr.js

@@ -0,0 +1,71 @@
+
+import {FasterATR, FasterWSMA} from 'trading-signals';
+
+export const atr = (main, index, size, {lag, tp, sl}) => {
+  const { verticalOhlcv, instances } = main
+  const keyName = `atr_${size}`
+
+  if (index === 0) {
+
+    const {instances, verticalOhlcv, arrayTypes, len, priceBased} = main
+
+    instances[keyName] = new FasterATR(size, FasterWSMA)
+    
+    const keyNames = [keyName]
+
+    if(tp !== null)
+    {
+      keyNames.push(`${keyName}_tp`)
+    }
+
+    if(sl !== null)
+    {
+       keyNames.push(`${keyName}_sl`)
+    }
+
+    for(const k of keyNames)
+    {
+      priceBased.add(k)
+      verticalOhlcv[k] = new Float64Array(len).fill(NaN)
+      arrayTypes[k] = 'Float64Array'
+    }
+    
+
+    if(lag > 0)
+    {
+      main.lag(keyNames, lag)
+    }
+  }
+
+  // Retrieve the current price value.
+  const curr = {
+      high: verticalOhlcv.high[index],
+      low: verticalOhlcv.low[index],
+      close: verticalOhlcv.close[index],
+    } 
+  const instance = instances[keyName]
+
+  // Update the moving average instance.
+  instance.update(curr);
+  let currAtr = NaN;
+  try {
+    currAtr = instance.getResult();
+  } catch (err) {
+
+  }
+
+  if(tp !== null)
+  {
+    main.pushToMain({ index, key: `${keyName}_tp`, value: (!Number.isNaN(currAtr)) ? curr.close + (currAtr*tp) : NaN });
+  }
+
+  if(sl !== null)
+  {
+    main.pushToMain({ index, key: `${keyName}_sl`, value: (!Number.isNaN(currAtr)) ? curr.close - (currAtr*sl) : NaN });
+  }
+
+  // Always push the MA value (even if NaN).
+  main.pushToMain({ index, key: keyName, value: currAtr });
+
+  return true;
+}