ohlcv-indicators 3.4.9 → 3.5.1

package/index.js

@@ -268,14 +268,15 @@ export default class OHLCV_INDICATORS {
         validateNumber(size, {min: 1, max: this.len, allowDecimals: false}, 'size', methodName)
         validateObject(options, 'options', methodName)
 
-        const {lag = 0, tp = null, sl = null} = options
+        const {lag = 0, percentage = false, upper = null, lower = null} = options
 
         validateNumber(lag, {min: 0, max: this.len, allowDecimals: false}, 'options.lag', methodName)
+        validateBoolean(percentage, 'options.percentage', 'atr')
 
-        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)
+        if(upper !== null) validateNumber(upper, {min: 0.001, max: 100, allowDecimals: true}, 'options.upper', 'atr')
+        if(lower !== null) validateNumber(lower, {min: 0.001, max: 100, allowDecimals: true}, 'options.lower', 'atr')
 
-        this.inputParams.push({key: methodName, params: [size, {lag, tp, sl}]})
+        this.inputParams.push({key: methodName, params: [size, {lag, percentage, upper, lower}]})
 
         return this
     }

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "ohlcv-indicators",
-  "version": "3.4.9",
+  "version": "3.5.1",
   "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/volatility/atr.js

@@ -1,35 +1,32 @@
 
 import {FasterATR, FasterWSMA} from 'trading-signals';
 
-export const atr = (main, index, size, {lag, tp, sl}) => {
+export const atr = (main, index, size, {lag, percentage, upper, lower}) => {
   const { verticalOhlcv, instances } = main
-  const keyName = `atr_${size}`
+  const baseKeyName = `atr_${size}`
 
   if (index === 0) {
 
     const {instances, verticalOhlcv, arrayTypes, len, priceBased} = main
 
-    instances[keyName] = new FasterATR(size, FasterWSMA)
-    
-    const keyNames = [keyName]
+    instances[baseKeyName] = new FasterATR(size, FasterWSMA)
 
-    if(tp !== null)
-    {
-      keyNames.push(`${keyName}_tp`)
-    }
+    const keyNames = [baseKeyName]
 
-    if(sl !== null)
-    {
-       keyNames.push(`${keyName}_sl`)
-    }
+    if(percentage) keyNames.push(`${baseKeyName}_percentage`)
+    if(upper !== null) keyNames.push(`${baseKeyName}_upper`)
+    if(lower !== null) keyNames.push(`${baseKeyName}_lower`)
 
     for(const k of keyNames)
     {
-      priceBased.add(k)
+      if(!k.endsWith('_percentage'))
+      {
+        priceBased.add(k)
+      }
+      
       verticalOhlcv[k] = new Float64Array(len).fill(NaN)
       arrayTypes[k] = 'Float64Array'
     }
-    
 
     if(lag > 0)
     {
@@ -43,7 +40,7 @@ export const atr = (main, index, size, {lag, tp, sl}) => {
       low: verticalOhlcv.low[index],
       close: verticalOhlcv.close[index],
     } 
-  const instance = instances[keyName]
+  const instance = instances[baseKeyName]
 
   // Update the moving average instance.
   instance.update(curr);
@@ -54,18 +51,24 @@ export const atr = (main, index, size, {lag, tp, sl}) => {
 
   }
 
-  if(tp !== null)
+  if(percentage)
   {
-    main.pushToMain({ index, key: `${keyName}_tp`, value: (!Number.isNaN(currAtr)) ? curr.close + (currAtr*tp) : NaN });
+    const percentageValue = (Number.isNaN(currAtr)) ? NaN : (currAtr / curr.close)
+    main.pushToMain({ index, key: `${baseKeyName}_percentage`, value: percentageValue });
   }
-
-  if(sl !== null)
+  if(upper !== null)
+  {
+    const upperValue = (Number.isNaN(currAtr)) ? NaN : (curr.close + (currAtr * upper))
+    main.pushToMain({ index, key: `${baseKeyName}_upper`, value: upperValue });
+  }
+  if(lower !== null)
   {
-    main.pushToMain({ index, key: `${keyName}_sl`, value: (!Number.isNaN(currAtr)) ? curr.close - (currAtr*sl) : NaN });
+    const lowerValue = (Number.isNaN(currAtr)) ? NaN : (curr.close - (currAtr * lower))
+    main.pushToMain({ index, key: `${baseKeyName}_lower`, value: lowerValue });
   }
 
   // Always push the MA value (even if NaN).
-  main.pushToMain({ index, key: keyName, value: currAtr });
+  main.pushToMain({ index, key: baseKeyName, value: currAtr });
 
   return true;
 }

package/webpack.config.js

@@ -1,6 +1,6 @@
 import { resolve, dirname } from 'path';
 import { fileURLToPath } from 'url';
-import TerserPlugin from 'terser-webpack-plugin';
+//import TerserPlugin from 'terser-webpack-plugin';
 
 const __dirname = dirname(fileURLToPath(import.meta.url));
 
@@ -16,7 +16,7 @@ export default {
   output,
   mode: 'production',
   target: 'web',
-  optimization: { //TerserPlugin start
+/*   optimization: { //TerserPlugin start
     minimize: true,
     minimizer: [
       new TerserPlugin({
@@ -28,7 +28,7 @@ export default {
         },
       }),
     ],
-  }, // TerserPlugin end
+  }, // TerserPlugin end */
   module: {
     rules: [
       {