/**
* Market Regime Detection
* detectMarketRegime function
*/
import { calculateATR } from '../technical-indicators';
export function detectMarketRegime(adx, atr, currentPrice, historicalData = [], lookbackATR = 20) {
let regime = 'neutral';
let volatility = 'normal';
// Determine trend strength from ADX
if (adx && adx > 25) {
regime = 'trending';
}
else if (adx && adx < 20) {
regime = 'choppy';
}
else {
regime = 'neutral';
}
// Determine volatility from ATR - compare current ATR to historical average
if (atr && currentPrice > 0) {
const atrPercent = (atr / currentPrice) * 100;
// If we have historical data, calculate average ATR for comparison
if (historicalData && historicalData.length >= lookbackATR) {
const recentData = historicalData.slice(-lookbackATR);
const atrValues = [];
// Calculate ATR for each period in historical data
for (let i = 14; i < recentData.length; i++) {
const periodData = recentData.slice(i - 14, i);
if (periodData.length === 14) {
const highs = periodData.map(d => d.high || d.close);
const lows = periodData.map(d => d.low || d.close);
const closes = periodData.map(d => d.close);
const periodATR = calculateATR(highs, lows, closes, 14);
if (periodATR && periodATR.length > 0) {
atrValues.push(periodATR[periodATR.length - 1]);
}
}
}
if (atrValues.length > 0) {
const avgATR = atrValues.reduce((a, b) => a + b, 0) / atrValues.length;
const avgATRPercent = (avgATR / currentPrice) * 100;
// Compare current ATR to average
if (atrPercent > avgATRPercent * 1.5) {
volatility = 'high';
}
else if (atrPercent < avgATRPercent * 0.5) {
volatility = 'low';
}
else {
volatility = 'normal';
}
}
else {
// Fallback to simple percentage check
if (atrPercent > 3) {
volatility = 'high';
}
else if (atrPercent < 1) {
volatility = 'low';
}
else {
volatility = 'normal';
}
}
}
else {
// Fallback to simple percentage check if no historical data
if (atrPercent > 3) {
volatility = 'high';
}
else if (atrPercent < 1) {
volatility = 'low';
}
else {
volatility = 'normal';
}
}
}
// Calculate regime score (0-100) based on regime strength
let regimeScore = 0;
if (regime === 'trending') {
regimeScore += 50; // Trending regime (50 points)
if (adx && adx > 25) {
regimeScore += 30; // Strong trend (ADX > 25)
}
else if (adx && adx > 20) {
regimeScore += 20; // Moderate trend (ADX > 20)
}
else if (adx && adx > 15) {
regimeScore += 10; // Weak trend (ADX > 15)
}
}
else if (regime === 'choppy') {
regimeScore += 20; // Choppy/ranging regime (20 points)
}
else if (regime === 'neutral') {
regimeScore += 30; // Neutral regime (30 points)
}
// Add volatility score
if (volatility === 'normal') {
regimeScore += 20; // Normal volatility (20 points)
}
else if (volatility === 'low') {
regimeScore += 10; // Low volatility (10 points)
}
else if (volatility === 'high') {
regimeScore += 5; // High volatility (5 points - less predictable)
}
// Clamp to 0-100
regimeScore = Math.max(0, Math.min(100, regimeScore));
return {
regime: regime,
volatility: volatility,
adx: adx || null,
atrPercent: atr && currentPrice > 0 ? (atr / currentPrice) * 100 : null,
regimeScore: regimeScore
};
}
