@gabriel3615/ta_analysis/dist/analysis/analyzer/volatility/volatilityConfig.js

stock ta analysis

export const volatilityConfig = {
    periods: {
        atr: 14,
        smaShort: 20,
        smaLong: 200,
        defaultLookback: 20,
    },
    sharpe: {
        annualFactor: 252,
        riskFreeRateAnnual: 0.04,
    },
    regime: {
        low: { atrPercentMax: 1.2, bbWidthMax: 3.0 },
        medium: { atrPercentMax: 2.5, bbWidthMax: 6.0 },
        high: { atrPercentMax: 4.0, bbWidthMax: 10.0 },
    },
    trend: {
        fiveDayIncreaseFast: 15,
        fiveDayIncrease: 5,
        fiveDayDecreaseFast: -15,
        fiveDayDecrease: -5,
        bbSqueezeWidth: 3,
    },
    transition: {
        prevWindow: 60,
        currWindow: 30,
        lookback: 10,
        atrChangeToStrengthFactor: 5,
    },
    pricePosition: {
        yearDays: 250,
    },
    bottomSignal: {
        nearYearLowPercent: 80,
        bbSqueezeForBottom: 3.5,
        recentSlice: 10,
        previousSlice: 10,
        volumeIncreaseFactor: 1.3,
        previousTrendThreshold: -0.05,
        recentTrendThreshold: -0.01,
        weights: {
            nearLow: 20,
            highVolFalling: 15,
            bbSqueeze: 10,
            stabilize: 20,
            volumeIncrease: 15,
        },
        bottomStrongThreshold: 50,
    },
};
export function updateVolatilityConfig(partial) {
    if (partial.periods)
        volatilityConfig.periods = {
            ...volatilityConfig.periods,
            ...partial.periods,
        };
    if (partial.sharpe)
        volatilityConfig.sharpe = { ...volatilityConfig.sharpe, ...partial.sharpe };
    if (partial.regime)
        volatilityConfig.regime = {
            ...volatilityConfig.regime,
            ...partial.regime,
        };
    if (partial.trend)
        volatilityConfig.trend = { ...volatilityConfig.trend, ...partial.trend };
    if (partial.transition)
        volatilityConfig.transition = {
            ...volatilityConfig.transition,
            ...partial.transition,
        };
    if (partial.pricePosition)
        volatilityConfig.pricePosition = {
            ...volatilityConfig.pricePosition,
            ...partial.pricePosition,
        };
    if (partial.bottomSignal) {
        volatilityConfig.bottomSignal = {
            ...volatilityConfig.bottomSignal,
            ...partial.bottomSignal,
            weights: {
                ...volatilityConfig.bottomSignal.weights,
                ...partial.bottomSignal.weights,
            },
        };
    }
}