trading-signals/dist/trend/KAMA/KAMA.js

Technical indicators to run technical analysis with JavaScript / TypeScript.

import { MovingAverage } from '../MA/MovingAverage.js';
import { pushUpdate } from '../../util/pushUpdate.js';
export class KAMA extends MovingAverage {
    static #FAST = 2 / (2 + 1);
    static #SLOW = 2 / (30 + 1);
    #prices = [];
    getRequiredInputs() {
        return this.interval;
    }
    update(price, replace) {
        pushUpdate(this.#prices, replace, price, this.interval + 1);
        if (this.#prices.length < this.interval) {
            return null;
        }
        if (this.#prices.length === this.interval) {
            return this.setResult(price, replace);
        }
        let volatility = 0;
        for (let i = 1; i < this.#prices.length; i++) {
            volatility += Math.abs(this.#prices[i] - this.#prices[i - 1]);
        }
        const netChange = Math.abs(price - this.#prices[0]);
        const efficiencyRatio = volatility === 0 ? 1 : netChange / volatility;
        const smoothing = (efficiencyRatio * (KAMA.#FAST - KAMA.#SLOW) + KAMA.#SLOW) ** 2;
        const previous = (replace ? this.previousResult : this.result);
        return this.setResult(previous + smoothing * (price - previous), replace);
    }
}
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