@react-financial-charts/indicators/lib/calculator/atr.js

Indicators for react-financial-charts

import { sum } from "d3-array";
import { slidingWindow } from "../utils";
import { ATR as defaultOptions } from "./defaultOptionsForComputation";
export default function () {
    let options = defaultOptions;
    let source = (d) => ({ open: d.open, high: d.high, low: d.low, close: d.close });
    const calculator = (data) => {
        const { windowSize } = options;
        const trueRangeAlgorithm = slidingWindow()
            .windowSize(2)
            .source(source)
            .undefinedValue((d) => d.high - d.low) // the first TR value is simply the High minus the Low
            .accumulator((values) => {
            const prev = values[0];
            const d = values[1];
            return Math.max(d.high - d.low, d.high - prev.close, d.low - prev.close);
        });
        let prevATR;
        const atrAlgorithm = slidingWindow()
            .skipInitial(1) // trueRange starts from index 1 so ATR starts from 1
            .windowSize(windowSize)
            .accumulator((values) => {
            const tr = values[values.length - 1];
            const atr = prevATR !== undefined ? (prevATR * (windowSize - 1) + tr) / windowSize : sum(values) / windowSize;
            prevATR = atr;
            return atr;
        });
        const newData = atrAlgorithm(trueRangeAlgorithm(data));
        return newData;
    };
    calculator.undefinedLength = () => {
        const { windowSize } = options;
        return windowSize - 1;
    };
    calculator.options = (newOptions) => {
        if (newOptions === undefined) {
            return options;
        }
        options = Object.assign(Object.assign({}, defaultOptions), newOptions);
        return calculator;
    };
    calculator.source = (newSource) => {
        if (newSource === undefined) {
            return source;
        }
        source = newSource;
        return calculator;
    };
    return calculator;
}
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