@4ex/indicators/dist/indicators/average-true-range.js

Technical indicators for ohlc charts written in TypeScript

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.ATR = void 0;
const fp_1 = require("lodash/fp");
const technicalindicators_1 = require("technicalindicators");
const types_1 = require("../types");
const defaultInput = {
    period: 14,
};
/**
 * The average true range (ATR) is a technical analysis indicator,
 * introduced by market technician J. Welles Wilder Jr.
 * in his book New Concepts in Technical Trading Systems, that measures
 * market volatility by decomposing the entire range of an asset price
 * for that period. The true range indicator is taken as the greatest
 * of the following: current high less the current low; the absolute
 * value of the current high less the previous close; and the absolute
 * value of the current low less the previous close. The ATR is then a
 * moving average, generally using 14 days, of the true ranges.
 */
class ATR {
    /**
     * @param {OHLC[]} series candles series
     * @param {number} period period for indicator
     */
    constructor(series, period = defaultInput.period) {
        // super();
        const high = fp_1.map(types_1.OHLCEnum.HIGH)(series);
        const low = fp_1.map(types_1.OHLCEnum.LOW)(series);
        const close = fp_1.map(types_1.OHLCEnum.CLOSE)(series);
        this.indicator = new technicalindicators_1.ATR({ high, low, close, period });
    }
    /**
     * Retrieve ATR values for instance
     * @return {number[]} values for instance data
     */
    getResults() {
        return this.indicator.getResult();
    }
    /**
     * Calculate ATR to next tick
     * @param {OHLC} candle new candle to add to series
     * @return {number | undefined} next ATR value or undefined if period is
     * greater than actual series length
     */
    next(candle) {
        return this.indicator.nextValue(candle);
    }
    /**
     * Create instance from data
     * @param {AverageTrueRangeInput} input input data
     * @return {ATR} ATR instance
     */
    static generator({ series, period }) {
        return new ATR(series, period);
    }
    /**
     * Get ATR values from input
     * @param {AverageTrueRangeInput} input input data
     * @return {number[]} ATR values
     */
    static calculate({ series, period, }) {
        const high = fp_1.map(types_1.OHLCEnum.HIGH)(series);
        const low = fp_1.map(types_1.OHLCEnum.LOW)(series);
        const close = fp_1.map(types_1.OHLCEnum.CLOSE)(series);
        return technicalindicators_1.ATR.calculate({
            high,
            low,
            close,
            period: period !== null && period !== void 0 ? period : defaultInput.period,
        });
    }
}
exports.ATR = ATR;