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'
/**
* 計算各週期之唐奇安通道DC(Donchian Channel)
*
* 各週期len為該期涵蓋之K線根數(以4hr K線為基準，1day=6根)，資料筆數不足該期len時，該期vs為空陣列
* opt.excludeCurrent=false(預設)時，視窗為[i-len+1,i]含當前根，第1筆對應輸入之第len根(index len-1)；
* 為true時視窗為[i-len,i-1]不含當前根，第1筆對應輸入之第len+1根(index len)
* 其後皆逐根對齊至最後一根
*
* Unit Test: {@link https://github.com/yuda-lyu/w-data-trade/blob/master/test/unit-calcDonchian.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，例如'Close'(僅供介面一致性，本函式實際計算取用High/Low/Close)
* @param {Object} [opt={}] 輸入設定物件，預設{}
* @param {Boolean} [opt.excludeCurrent=false] 輸入視窗是否排除當前根之布林值，預設false，預設含當前根
* @param {Number} [opt.subMid=0] 輸入計算dcWidthMod前，mid去中心化之扣除量，預設0
* @param {Number} [opt.plusMid=0] 輸入mid去中心化後之平移量，避免mid趨近0時比值爆炸，預設0
* @param {Number} [opt.powMid=1] 輸入mid絕對值之次方數(保留原符號)，預設1
* @param {Number} [opt.plusBandWidth=0] 輸入bandWidth之偏移量，用於穩定dcWidthMod分子，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,dcPctB,dcWidth,dcWidthChange,dcWidthMod,dcWidthChangeMod}
* @example
*
* let arr = [
* { time: '2020-01-01T00:00:00', Open: 101, High: 101.5, Low: 100.5, Close: 101 },
* { time: '2020-01-01T04:00:00', Open: 101, High: 105.17, Low: 99.28, Close: 103.45 },
* { time: '2020-01-01T08:00:00', Open: 103.45, High: 108.74, Low: 101.35, Close: 106.64 },
* ]
*
* calcDonchian(arr, 'Close')
* .then((rs) => {
* let r = rs.find((v) => v.period === '12hr')
* console.log(r.vs)
* // => [
* // {
* // time: '2020-01-01T08:00:00',
* // dcPctB: 0.7780126849894297,
* // dcWidth: 0.09095279300067297,
* // dcWidthChange: 0,
* // dcWidthMod: 0.09095279300067297,
* // dcWidthChangeMod: 0
* // }
* // ]
* })
*
*/
let calcDonchian = (() => {
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
'15day': 90, // 15 days = 90 * 4 hours
'30day': 180, // 30 days = 180 * 4 hours
}
let caDonchian = (arr, len, opt = {}) => {
//check
if (!isNumber(len)) {
throw new Error(`len is not a number`)
}
//excludeCurrent, 視窗是否排除當前根
//false: 視窗含當前根 (適合做 pctB 位置判斷, 對齊 BBpctB 行為)
//true: 視窗不含當前根 (適合做突破信號, 不會永遠成立; 對齊 d14 methodVolumeBreakout 用法)
let excludeCurrent = get(opt, 'excludeCurrent', false)
//subMid: 先扣 mid 之均值 (去中心化), 預設 0 不扣
// 目的: 原始 mid 偏負 (mean≈-3.4e-4, 69% 負/31% 正), 先扣均值讓正負樣本接近平衡 (47/53)
// 之後 pow 變換 + plusMid 平移效果更可控
let subMid = get(opt, 'subMid', 0)
//plusMid: 平移 mid (扣均值後) 遠離 0, 對 mid≈0 之大宗樣本生效
// 原 dcWidth = bandWidth / mid, index OHLC 之 mid 可 ≈0 或負 → ratio 爆
// 命名 plusMid (非 plusClose) 因 mid 是 H/L 之 mid, 跟 close 不同來源
let plusMid = get(opt, 'plusMid', 0)
//powMid: 對 mid 之絕對值次方, 保留原符號之非線性變換
// powMid<1 對小值有擴大效果 (例: |x|=0.0001 開根號變 0.01)
// powMid=1 退化成線性
// powMid>1 對大值有擴大效果, 小值被壓更小
let powMid = get(opt, 'powMid', 1)
//plusBandWidth: 偏移 bandWidth (=upper-lower, ≥0) 為穩定 dcWidth 分子
// 目的: 連動改善 dcWidthChangeMod (差分後分布過度擠 0 的問題)
// bandWidth 本身 ≥0, 故只加不減
let plusBandWidth = get(opt, 'plusBandWidth', 0)
//n
let n = size(arr)
//check
if (n < len) {
return []
}
let kTime = 'time'
let kHigh = 'High'
let kLow = 'Low'
let kClose = 'Close'
//iStart: 第一個能算出值的 index
//含當前根: 需 [0, len-1] 共 len 根 → iStart = len-1
//不含當前根: 需 [0, len-1] 為視窗, 當前根 = len → iStart = len
let iStart = excludeCurrent ? len : len - 1
//rs
let rs = []
let widthPrev = null
let widthModPrev = null
for (let i = iStart; i < n; i++) {
//視窗範圍 [winStart, winEnd] inclusive
let winEnd
let winStart
if (excludeCurrent) {
winEnd = i - 1
winStart = i - len
}
else {
winEnd = i
winStart = i - len + 1
}
//掃 max(High) / min(Low)
let upper = -Infinity
let lower = Infinity
for (let j = winStart; j <= winEnd; j++) {
let h = arr[j][kHigh]
let l = arr[j][kLow]
//check
if (!isNumber(h)) {
throw new Error(`invalid h[${h}]`)
}
if (!isNumber(l)) {
throw new Error(`invalid l[${l}]`)
}
if (h > upper) {
upper = h
}
if (l < lower) {
lower = l
}
}
//c
let c = arr[i][kClose]
//check
if (!isNumber(c)) {
throw new Error(`invalid c[${c}]`)
}
//mid, bandWidth
let mid = (upper + lower) / 2
let bandWidth = upper - lower
//dcPctB = (Close - Lower) / (Upper - Lower), 0~1 (excludeCurrent=true 時可能 <0 或 >1)
let dcPctB = bandWidth !== 0 ? (c - lower) / bandWidth : 0.5
//dcWidth = (Upper - Lower) / Mid, 通道寬度 ratio (類比 BBwidth)
let dcWidth = mid !== 0 ? bandWidth / mid : 0
//dcWidthChange = dcWidth - dcWidth_prev
let dcWidthChange = widthPrev !== null ? dcWidth - widthPrev : 0
//dcWidthMod = (bandWidth+plusBandWidth) / (mid+plusMid), 對 index OHLC 之爆炸修正
// plusMid/plusBandWidth=0 時退化成原版 dcWidth (price 預設用法)
// plusBandWidth 在分子, plusMid 在分母, 兩者分別調控中心位置與分母穩定度
let mids = mid - subMid
let midsp = Math.sign(mids) * Math.abs(mids) ** powMid
let midspp = midsp + plusMid
let bandWidthp = bandWidth + plusBandWidth
let dcWidthMod = diviProt(bandWidthp, midspp)
//dcWidthChangeMod = dcWidthMod - dcWidthMod_prev (用 Mod ratio 之差分, 同源穩定)
let dcWidthChangeMod = widthModPrev !== null ? dcWidthMod - widthModPrev : 0
//push
rs.push({
time: arr[i][kTime],
dcPctB,
dcWidth,
dcWidthChange,
dcWidthMod,
dcWidthChangeMod,
})
widthPrev = dcWidth
widthModPrev = dcWidthMod
}
// console.log('rs', rs)
return rs
}
let caDonchians = (arr, opt = {}) => {
//rrs
let rrs = []
each(kp, (len, period) => {
//caDonchian
let rs = caDonchian(arr, len, opt)
//push
rrs.push({
period,
len,
vs: rs,
})
// console.log('rrs', rrs)
})
return rrs
}
let calcDonchian = async(arr, key, opt = {}) => {
// arr = [
// {"time":"2020-01-01T00:00:00","Open":7195,"High":7225.62,"Low":7145.01,"Close":7173.32,...},
// {"time":"2020-01-01T04:00:00","Open":7173.75,"High":7208.41,"Low":7165.1,"Close":7195.23,...},
// ...
// ]
//caDonchians
let rs = caDonchians(arr, opt)
return rs
}
return calcDonchian
})()
export default calcDonchian