/**
* Long/Short Ratio Indicators
* Analyze trader sentiment, contrarian signals, extreme ratios
*/
import { LongShortRatioData } from '../types/futures-types'
export interface LongShortRatioIndicator {
sentiment: {
overall: 'extreme_long' | 'extreme_short' | 'moderate_long' | 'moderate_short' | 'balanced'
retail: 'long' | 'short' | 'balanced'
pro: 'long' | 'short' | 'balanced'
}
contrarian: {
signal: boolean // True if contrarian signal (fade retail)
direction: 'long' | 'short' | 'neutral'
strength: number // 0-1, signal strength
}
extreme: {
detected: boolean // True if extreme ratio (>70% or <30%)
level: 'extreme_long' | 'extreme_short' | 'normal'
reversalSignal: boolean // True if extreme and likely to reverse
}
divergence: {
retailVsPro: number // Divergence between retail and pro (-1 to 1)
signal: 'follow_pro' | 'fade_retail' | 'neutral'
}
}
/**
* Analyze sentiment
*/
function analyzeSentiment(ratioData: LongShortRatioData): LongShortRatioIndicator['sentiment'] {
const longPct = ratioData.longPct
// Overall sentiment
let overall: 'extreme_long' | 'extreme_short' | 'moderate_long' | 'moderate_short' | 'balanced' = 'balanced'
if (longPct > 70) {
overall = 'extreme_long'
} else if (longPct > 55) {
overall = 'moderate_long'
} else if (longPct < 30) {
overall = 'extreme_short'
} else if (longPct < 45) {
overall = 'moderate_short'
}
// Retail sentiment
let retail: 'long' | 'short' | 'balanced' = 'balanced'
if (ratioData.retailLongPct > 55) {
retail = 'long'
} else if (ratioData.retailLongPct < 45) {
retail = 'short'
}
// Pro sentiment
let pro: 'long' | 'short' | 'balanced' = 'balanced'
if (ratioData.proLongPct > 55) {
pro = 'long'
} else if (ratioData.proLongPct < 45) {
pro = 'short'
}
return {
overall,
retail,
pro
}
}
/**
* Detect contrarian signals
*/
function detectContrarian(ratioData: LongShortRatioData): LongShortRatioIndicator['contrarian'] {
// Contrarian: fade retail sentiment
// If retail is 80% long, consider shorts (retail is usually wrong)
const retailLongPct = ratioData.retailLongPct
let signal = false
let direction: 'long' | 'short' | 'neutral' = 'neutral'
let strength = 0
if (retailLongPct > 70) {
// Retail extremely long = contrarian short signal
signal = true
direction = 'short'
strength = Math.min(1, (retailLongPct - 70) / 20) // 70-90% range maps to 0-1
} else if (retailLongPct < 30) {
// Retail extremely short = contrarian long signal
signal = true
direction = 'long'
strength = Math.min(1, (30 - retailLongPct) / 20) // 10-30% range maps to 0-1
}
return {
signal,
direction,
strength: isNaN(strength) ? 0 : strength
}
}
/**
* Detect extreme ratios
*/
function detectExtreme(ratioData: LongShortRatioData): LongShortRatioIndicator['extreme'] {
const longPct = ratioData.longPct
const extreme = longPct > 70 || longPct < 30
let level: 'extreme_long' | 'extreme_short' | 'normal' = 'normal'
if (longPct > 70) {
level = 'extreme_long'
} else if (longPct < 30) {
level = 'extreme_short'
}
// Reversal signal: extreme ratios often reverse
const reversalSignal = extreme
return {
detected: extreme,
level,
reversalSignal
}
}
/**
* Calculate retail vs pro divergence
*/
function calculateDivergence(ratioData: LongShortRatioData): LongShortRatioIndicator['divergence'] {
const retailLongPct = ratioData.retailLongPct
const proLongPct = ratioData.proLongPct
// Divergence: difference between retail and pro positioning
const divergence = (retailLongPct - proLongPct) / 100 // Normalize to -1 to 1
// Signal: follow pro, fade retail
let signal: 'follow_pro' | 'fade_retail' | 'neutral' = 'neutral'
if (Math.abs(divergence) > 0.1) {
// Significant divergence
if (divergence > 0) {
// Retail more long than pro = fade retail (go short)
signal = 'fade_retail'
} else {
// Retail more short than pro = fade retail (go long)
signal = 'fade_retail'
}
} else if (Math.abs(divergence) < 0.05) {
// Pro and retail aligned = follow pro
signal = 'follow_pro'
}
return {
retailVsPro: isNaN(divergence) ? 0 : Math.max(-1, Math.min(1, divergence)),
signal
}
}
/**
* Calculate long/short ratio indicators
*/
export function calculateLongShortRatioIndicators(
ratioData: LongShortRatioData
): LongShortRatioIndicator {
const sentiment = analyzeSentiment(ratioData)
const contrarian = detectContrarian(ratioData)
const extreme = detectExtreme(ratioData)
const divergence = calculateDivergence(ratioData)
return {
sentiment,
contrarian,
extreme,
divergence
}
}
