/**
* Volatility Indicators
* ATR, Bollinger Bands calculations
*/
import { calculateSMA } from './moving-averages'
import { BollingerBands } from '../types'
export function calculateBollingerBands(
closes: number[],
period: number = 20,
stdDev: number = 2
): BollingerBands[] {
if (closes.length === 0) return []
// Use adaptive period for small datasets
const effectivePeriod = Math.min(period, closes.length)
const bands: BollingerBands[] = []
const sma = calculateSMA(closes, effectivePeriod)
for (let i = effectivePeriod - 1; i < closes.length; i++) {
const periodCloses = closes.slice(i - effectivePeriod + 1, i + 1)
const mean = sma[i - effectivePeriod + 1]
// Calculate standard deviation
const variance = periodCloses.reduce((sum, val) => sum + Math.pow(val - mean, 2), 0) / effectivePeriod
const standardDeviation = Math.sqrt(variance)
bands.push({
upper: mean + (stdDev * standardDeviation),
middle: mean,
lower: mean - (stdDev * standardDeviation)
})
}
return bands
}
export function calculateATR(
highs: number[],
lows: number[],
closes: number[],
period: number = 14
): number[] {
// Need at least 2 data points to calculate true range
if (highs.length < 2 || lows.length < 2 || closes.length < 2) {
return []
}
// Use adaptive period for small datasets
const effectivePeriod = Math.min(period, closes.length - 1)
const trueRanges: number[] = []
// 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)
}
if (trueRanges.length === 0) {
return []
}
// Calculate ATR as SMA of True Ranges
const atr: number[] = []
let sum = 0
// Initial ATR = average of first effectivePeriod true ranges
const initialPeriod = Math.min(effectivePeriod, trueRanges.length)
for (let i = 0; i < initialPeriod; i++) {
sum += trueRanges[i]
}
atr.push(sum / initialPeriod)
// Subsequent ATR values use Wilder's smoothing method (exponential moving average)
for (let i = initialPeriod; i < trueRanges.length; i++) {
const currentATR = ((atr[atr.length - 1] * (effectivePeriod - 1)) + trueRanges[i]) / effectivePeriod
atr.push(currentATR)
}
return atr
}
