fast-technical-indicators/lib/volatility/atr.js

High-performance technical indicators with zero dependencies - compatible with technicalindicators package

function trueRange(high, low, previousClose) {
    const highLow = high - low;
    const highPrevClose = Math.abs(high - previousClose);
    const lowPrevClose = Math.abs(low - previousClose);
    return Math.max(highLow, highPrevClose, lowPrevClose);
}
export function atr(input) {
    const { period = 14, high, low, close } = input;
    if (high.length !== low.length || low.length !== close.length || close.length < period + 1) {
        return [];
    }
    const result = [];
    const trueRanges = [];
    // Calculate true ranges (skip first value since we need previous close)
    for (let i = 1; i < close.length; i++) {
        const tr = trueRange(high[i], low[i], close[i - 1]);
        trueRanges.push(tr);
    }
    // Calculate initial ATR using simple average
    let sum = 0;
    for (let i = 0; i < period; i++) {
        sum += trueRanges[i];
    }
    let currentATR = sum / period;
    result.push(currentATR);
    // Calculate subsequent ATR using Wilder's smoothing
    for (let i = period; i < trueRanges.length; i++) {
        currentATR = ((currentATR * (period - 1)) + trueRanges[i]) / period;
        result.push(currentATR);
    }
    return result;
}
export class ATR {
    constructor(input) {
        this.highValues = [];
        this.lowValues = [];
        this.closeValues = [];
        this.trueRanges = [];
        this.initialized = false;
        this.period = input.period || 14;
    }
    nextValue(high, low, close) {
        this.highValues.push(high);
        this.lowValues.push(low);
        this.closeValues.push(close);
        // Need at least 2 closes to calculate true range
        if (this.closeValues.length < 2) {
            return undefined;
        }
        // Calculate true range
        const previousClose = this.closeValues[this.closeValues.length - 2];
        const tr = trueRange(high, low, previousClose);
        this.trueRanges.push(tr);
        if (!this.initialized) {
            if (this.trueRanges.length === this.period) {
                // Calculate initial ATR using simple average
                const sum = this.trueRanges.reduce((acc, tr) => acc + tr, 0);
                this.currentATR = sum / this.period;
                this.initialized = true;
                return this.currentATR;
            }
            return undefined;
        }
        // Calculate ATR using Wilder's smoothing
        this.currentATR = ((this.currentATR * (this.period - 1)) + tr) / this.period;
        return this.currentATR;
    }
    getResult() {
        if (!this.initialized || this.currentATR === undefined) {
            return [];
        }
        return [this.currentATR];
    }
}
ATR.calculate = atr;