import isNumber from 'lodash-es/isNumber.js'
import get from 'lodash-es/get.js'
import size from 'lodash-es/size.js'
import each from 'lodash-es/each.js'
import diviProt from './diviProt.mjs'
/**
* 計算各週期之ATR(Average True Range，真實區間均值)
*
* TR(i)=max(|High-Low|,|High-前一筆Close|,|Low-前一筆Close|)，自輸入索引1起算
* ATR種子取索引1至len之TR簡單平均，其後以Wilder's平滑法(ATR=(ATR前一筆*(len-1)+TR)/len)遞推，第一筆對應輸入索引len，資料筆數n小於len+1時該期vs回空陣列
* atrRatio於close為0時回0；atrRatioMod以diviProt保護分母(close+opt.plusClose)避免除以趨近0之值；atrChange第一筆無前值故為0；trRank為當根TR於前len根中嚴格小於之比例
*
* Unit Test: {@link https://github.com/yuda-lyu/w-data-trade/blob/master/test/unit-calcAtr.test.mjs Github}
* @function
* @param {Array} arr 輸入K線陣列，各元素需含time、High、Low、Close欄位
* @param {String} key 輸入計算所用數值欄位名稱字串，本指標固定讀取High/Low/Close欄位，key目前未被使用，僅為與其他指標介面一致而保留
* @param {Object} [opt={}] 輸入設定物件，預設{}
* @param {Number} [opt.plusClose=0] 輸入偏移close以穩定atrRatioMod分母之數值，預設0
* @returns {Promise} 回傳Promise，resolve為各期結果陣列，各元素為{period,len,vs}，vs內各元素為{time,atr,atrRatio,atrRatioMod,atrChange,trRank}
* @example
*
* let arr = [
* { time: '2020-01-01T00:00:00', Open: 100, High: 101, Low: 99, Close: 100 },
* { time: '2020-01-01T04:00:00', Open: 100, High: 103, Low: 99, Close: 102 },
* { time: '2020-01-01T08:00:00', Open: 102, High: 103, Low: 100, Close: 101 },
* { time: '2020-01-01T12:00:00', Open: 101, High: 106, Low: 100, Close: 105 },
* { time: '2020-01-01T16:00:00', Open: 105, High: 106, Low: 102, Close: 103 },
* ]
*
* calcAtr(arr, 'Close')
* .then((rs) => {
* console.log(rs[0])
* // => {
* // period: '12hr',
* // len: 3,
* // vs: [
* // { time: '2020-01-01T12:00:00', atr: 4.333333333333333, atrRatio: 0.04126984126984127, atrRatioMod: 0.04126984126984127, atrChange: 0, trRank: 0.6666666666666666 },
* // { time: '2020-01-01T16:00:00', atr: 4.222222222222222, atrRatio: 0.040992448759439054, atrRatioMod: 0.040992448759439054, atrChange: -0.025641025641025553, trRank: 0.3333333333333333 }
* // ]
* // }
* })
*
*/
let calcAtr = (() => {
let kp = {
'12hr': 3,
'16hr': 4,
'20hr': 5,
'1day': 6, // 1 day = 6 * 4 hours
'2day': 12, // 2 days = 12 * 4 hours
'4day': 24, // 4 days = 24 * 4 hours
'7day': 42, // 7 days = 42 * 4 hours
}
let caAtr = (arr, len, opt = {}) => {
//check
if (!isNumber(len)) {
throw new Error(`len is not a number`)
}
//plusClose: 偏移 close 為穩定分母 (cp = c + plusClose), 用於 atrRatioMod
// 原 atrRatio = atr / close, index OHLC 之 close 可 ≈0 → ratio 爆
// atrRatioMod = atr / (c + plusClose), 用 diviProt 額外保護 |分母| < 0.00001 之邊界
// atr 本身 ≥0 不需偏移
let plusClose = get(opt, 'plusClose', 0)
//n
let n = size(arr)
//check
if (n < len + 1) {
return []
}
let kTime = 'time'
let kHigh = 'High'
let kLow = 'Low'
let kClose = 'Close'
//計算每根K棒的True Range(從i=1開始, 因需要前一根Close)
let trs = new Array(n).fill(0)
for (let i = 1; i < n; i++) {
let h = arr[i][kHigh]
let l = arr[i][kLow]
let cPrev = arr[i - 1][kClose]
//check
if (!isNumber(h)) {
throw new Error(`invalid h[${h}]`)
}
if (!isNumber(l)) {
throw new Error(`invalid l[${l}]`)
}
if (!isNumber(cPrev)) {
throw new Error(`invalid cPrev[${cPrev}]`)
}
//TR = max(H-L, |H-Cprev|, |L-Cprev|)
let tr1 = Math.abs(h - l)
let tr2 = Math.abs(h - cPrev)
let tr3 = Math.abs(l - cPrev)
let tr = Math.max(tr1, tr2, tr3)
trs[i] = tr
}
//種子ATR: 用前len根TR的SMA
let sumTr = 0
for (let i = 1; i <= len; i++) {
sumTr += trs[i]
}
let atrPrev = sumTr / len
//rs
let rs = []
//第一筆ATR(index=len)
{
let close = arr[len][kClose]
let atr = atrPrev
let atrRatio = close !== 0 ? atr / close : 0
let atrRatioMod = diviProt(atr, close + plusClose)
//trRank: 當前TR在過去len期中的百分位
let currentTr = trs[len]
let countLess = 0
for (let j = 1; j <= len; j++) {
if (trs[j] < currentTr) countLess++
}
let trRank = countLess / len
//push
rs.push({
time: arr[len][kTime],
atr,
atrRatio,
atrRatioMod,
atrChange: 0, //第一筆無前值可比
trRank,
})
}
//後續ATR, 使用Wilder's smoothing: ATR = (ATR_prev * (n-1) + TR) / n
for (let i = len + 1; i < n; i++) {
let close = arr[i][kClose]
let atr = (atrPrev * (len - 1) + trs[i]) / len
let atrRatio = close !== 0 ? atr / close : 0
let atrRatioMod = diviProt(atr, close + plusClose)
let atrChange = atrPrev !== 0 ? (atr - atrPrev) / atrPrev : 0
//trRank: 當前TR在過去len期中的百分位
let currentTr = trs[i]
let countLess = 0
for (let j = i - len + 1; j <= i; j++) {
if (trs[j] < currentTr) countLess++
}
let trRank = countLess / len
//push
rs.push({
time: arr[i][kTime],
atr,
atrRatio,
atrRatioMod,
atrChange,
trRank,
})
atrPrev = atr
}
// console.log('rs', rs)
return rs
}
let caAtrs = (arr, opt = {}) => {
//rrs
let rrs = []
each(kp, (len, period) => {
//caAtr
let rs = caAtr(arr, len, opt)
//push
rrs.push({
period,
len,
vs: rs,
})
// console.log('rrs', rrs)
})
return rrs
}
let calcAtr = async(arr, key, opt = {}) => {
// arr = [
// {"time":"2020-01-01T00:00:00","Open":7195,"High":7225.62,"Low":7145.01,"Close":7173.32,"Volumn":4657.972543,...},
// {"time":"2020-01-01T04:00:00","Open":7173.75,"High":7208.41,"Low":7165.1,"Close":7195.23,"Volumn":2091.720176,...},
// ...
// ]
//caAtrs
let rs = caAtrs(arr, opt)
return rs
}
return calcAtr
})()
export default calcAtr