trading-signals/dist/trend/VSTOP/VolatilityStop.js

Technical indicators to run technical analysis with JavaScript / TypeScript.

import { TechnicalIndicator, TradingSignal } from '../../base/Indicator.js';
import { ATR } from '../../volatility/ATR/ATR.js';
export class VolatilityStop extends TechnicalIndicator {
    #atr;
    #previous = null;
    #previousSnapshot = null;
    interval;
    multiplier;
    constructor({ interval = 5, multiplier = 3.5 } = {}) {
        super();
        this.interval = interval;
        this.multiplier = multiplier;
        this.#atr = new ATR(interval);
    }
    getRequiredInputs() {
        return this.#atr.getRequiredInputs();
    }
    update(candle, replace) {
        if (replace) {
            this.#previous = this.#previousSnapshot;
        }
        else {
            this.#previousSnapshot = this.#previous;
        }
        const atr = this.#atr.update(candle, replace);
        if (atr === null) {
            return null;
        }
        const { close } = candle;
        const loss = this.multiplier * atr;
        const previous = this.#previous;
        let result;
        if (previous === null) {
            result = { signal: TradingSignal.BULLISH, stop: close - loss };
        }
        else if (close > previous.stop && previous.close > previous.stop) {
            result = { signal: TradingSignal.BULLISH, stop: Math.max(previous.stop, close - loss) };
        }
        else if (close < previous.stop && previous.close < previous.stop) {
            result = { signal: TradingSignal.BEARISH, stop: Math.min(previous.stop, close + loss) };
        }
        else if (close > previous.stop) {
            result = { signal: TradingSignal.BULLISH, stop: close - loss };
        }
        else {
            result = { signal: TradingSignal.BEARISH, stop: close + loss };
        }
        this.#previous = { close, stop: result.stop };
        return (this.result = result);
    }
}
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