/**
* Market Regime Detection
* detectMarketRegime function
*/
import { MarketRegime } from '../types'
import { HistoricalDataPoint } from '../types'
import { calculateATR } from '../technical-indicators'
export function detectMarketRegime(
adx: number | null | undefined,
atr: number | null | undefined,
currentPrice: number,
historicalData: HistoricalDataPoint[] = [],
lookbackATR: number = 20
): MarketRegime {
let regime: 'trending' | 'choppy' | 'neutral' = 'neutral'
let volatility: 'high' | 'normal' | 'low' = '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: number[] = []
// 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
}
}
