/**
* Keltner Channels Indicator
* Volatility-based channels using ATR around EMA
*/
import { calculateEMA } from './moving-averages'
import { calculateATR } from './volatility'
export interface KeltnerChannel {
middle: number | null // EMA (typically 20-period)
upper: number | null // EMA + (multiplier × ATR)
lower: number | null // EMA - (multiplier × ATR)
bandwidth: number | null // (upper - lower) / middle
position: 'above' | 'below' | 'inside' | null // Current price position vs channel
trend: 'expanding' | 'contracting' | 'stable' | null // Channel trend
}
export function calculateKeltnerChannels(
highs: number[],
lows: number[],
closes: number[],
emaPeriod: number = 20,
atrPeriod: number = 14,
multiplier: number = 2
): KeltnerChannel {
// Minimum 5 data points required
if (closes.length < 5) {
return {
middle: null,
upper: null,
lower: null,
bandwidth: null,
position: null,
trend: null,
}
}
// Use adaptive periods
const effectiveEmaPeriod = Math.min(emaPeriod, closes.length)
const effectiveAtrPeriod = Math.min(atrPeriod, closes.length - 1)
// Calculate EMA for middle line
const ema = calculateEMA(closes, effectiveEmaPeriod)
let currentEMA = ema[ema.length - 1]
if (!currentEMA) {
// Fallback: use simple average
currentEMA = closes.slice(-effectiveEmaPeriod).reduce((a, b) => a + b, 0) / effectiveEmaPeriod
}
// Calculate ATR
const atr = calculateATR(highs, lows, closes, effectiveAtrPeriod)
let currentATR = atr[atr.length - 1]
if (!currentATR) {
// Fallback: calculate simple ATR
let trSum = 0
for (let i = 1; i < Math.min(effectiveAtrPeriod + 1, closes.length); i++) {
const tr = Math.max(
highs[i] - lows[i],
Math.abs(highs[i] - closes[i - 1]),
Math.abs(lows[i] - closes[i - 1])
)
trSum += tr
}
currentATR = trSum / Math.max(1, Math.min(effectiveAtrPeriod, closes.length - 1))
}
// Calculate channels
const upper = currentEMA + (multiplier * currentATR)
const lower = currentEMA - (multiplier * currentATR)
const bandwidth = (upper - lower) / currentEMA
// Determine trend (expanding/contracting based on ATR change)
let trend: 'expanding' | 'contracting' | 'stable' | null = null
if (atr.length >= 2) {
const currentATR = atr[atr.length - 1]
const previousATR = atr[atr.length - 2]
const atrChange = (currentATR - previousATR) / previousATR
if (atrChange > 0.05) trend = 'expanding' // ATR increased > 5%
else if (atrChange < -0.05) trend = 'contracting' // ATR decreased > 5%
else trend = 'stable'
}
return {
middle: currentEMA,
upper,
lower,
bandwidth,
position: null, // Will be set by caller with current price
trend,
}
}
