/**
* Volatility Indicators
* ATR, Bollinger Bands calculations
*/
import { calculateSMA } from './moving-averages';
export function calculateBollingerBands(closes, period = 20, stdDev = 2) {
if (closes.length < period)
return [];
const bands = [];
const sma = calculateSMA(closes, period);
for (let i = period - 1; i < closes.length; i++) {
const periodCloses = closes.slice(i - period + 1, i + 1);
const mean = sma[i - period + 1];
// Calculate standard deviation
const variance = periodCloses.reduce((sum, val) => sum + Math.pow(val - mean, 2), 0) / period;
const standardDeviation = Math.sqrt(variance);
bands.push({
upper: mean + (stdDev * standardDeviation),
middle: mean,
lower: mean - (stdDev * standardDeviation)
});
}
return bands;
}
export function calculateATR(highs, lows, closes, period = 14) {
if (highs.length < period + 1 || lows.length < period + 1 || closes.length < period + 1) {
return [];
}
const trueRanges = [];
// Calculate True Range for each period
for (let i = 1; i < closes.length; i++) {
const high = highs[i];
const low = lows[i];
const prevClose = closes[i - 1];
// True Range = max(high - low, abs(high - prevClose), abs(low - prevClose))
const tr1 = high - low;
const tr2 = Math.abs(high - prevClose);
const tr3 = Math.abs(low - prevClose);
const trueRange = Math.max(tr1, tr2, tr3);
trueRanges.push(trueRange);
}
// Calculate ATR as SMA of True Ranges
const atr = [];
let sum = 0;
// Initial ATR = average of first period true ranges
for (let i = 0; i < period && i < trueRanges.length; i++) {
sum += trueRanges[i];
}
if (trueRanges.length >= period) {
atr.push(sum / period);
// Subsequent ATR values use Wilder's smoothing method (exponential moving average)
for (let i = period; i < trueRanges.length; i++) {
const currentATR = ((atr[atr.length - 1] * (period - 1)) + trueRanges[i]) / period;
atr.push(currentATR);
}
}
return atr;
}
