import isNumber from 'lodash-es/isNumber.js'
import size from 'lodash-es/size.js'
import get from 'lodash-es/get.js'
import each from 'lodash-es/each.js'
import diviProt from './diviProt.mjs'
/**
* 計算各週期之Supertrend(Olivier Seban ATR通道趨勢指標)
*
* 各週期kp值為{len,mult}物件，len為ATR平滑期數(以4hr K線為基準之根數)，mult為ATR通道厚度倍數；資料筆數n小於len+1時，該期vs為空陣列
* TR(真實區間)=max(|High-Low|,|High-前一根Close|,|Low-前一根Close|)，ATR種子為第1至len根TR之算術平均，其後以Wilder平滑遞推(atr=(atr*(len-1)+TR)/len)
* basicUpper=(High+Low)/2+mult*ATR，basicLower=(High+Low)/2-mult*ATR
* finalUpper僅在basicUpper較前值小或前一根Close高於前值時更新為basicUpper，否則鎖死沿用前值；finalLower僅在basicLower較前值大或前一根Close低於前值時更新為basicLower，否則鎖死沿用前值
* 方向dir沿續前一根，多頭且Close跌破finalLower時翻空，空頭且Close突破finalUpper時翻多；首根依Close是否小於等於finalUpper判定初始方向
* ST線line：多頭取finalLower，空頭取finalUpper
* stDistance=(Close-line)/Close，Close=0時給0
* stDistanceMod=diviProt(Close+opt.plusClose-line, Close+opt.plusClose)，opt.plusClose=0時退化為stDistance；diviProt對分母絕對值小於0.00001時會鎖定為±0.00001(保留正負號)以避免除以0爆炸
* 各期第1筆對應輸入之第len根，其後逐根對齊至最後一根
*
* Unit Test: {@link https://github.com/yuda-lyu/w-data-trade/blob/master/test/unit-calcSupertrend.test.mjs Github}
* @function
* @param {Array} arr 輸入K線陣列，各元素需含time、High、Low、Close等欄位
* @param {String} key 輸入計算所用數值欄位名稱字串，目前未實際使用(內部固定採用High、Low、Close)
* @param {Object} [opt={}] 輸入設定物件，預設{}
* @param {Number} [opt.plusClose=0] 輸入stDistanceMod計算時對Close之偏移量，用以避免Close接近0時除法爆炸，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,stDistance,stDistanceMod}
* @example
*
* let arr = [
* { time: '2020-01-01T00:00:00', Open: 10, High: 10, Low: 10, Close: 10 },
* { time: '2020-01-01T04:00:00', Open: 10, High: 12, Low: 10, Close: 12 },
* { time: '2020-01-01T08:00:00', Open: 12, High: 12, Low: 11, Close: 11 },
* { time: '2020-01-01T12:00:00', Open: 11, High: 13, Low: 11, Close: 13 },
* ]
*
* calcSupertrend(arr, 'Close')
* .then((rs) => {
* console.log(rs[0])
* // => {
* // period: '12hr',
* // len: 3,
* // vs: [ { time: '2020-01-01T12:00:00', stDistance: -0.17948717948717954, stDistanceMod: -0.17948717948717954 } ]
* // }
* })
*
*/
let calcSupertrend = (() => {
//Supertrend 各 period 對應 (len, mult) 配對 (4hr K 線)
//len = ATR 平滑期數 (n × 4hr)
//mult = ATR 通道厚度倍數 (k)
//設計原則: period 越長 → ATR 反應越平滑 + 通道越厚, 兩者同向降翻轉敏感度
//錨點: 1day=(6,3) 對應 Olivier Seban 原版 (10,3); 4day=(24,4) 對應 d12 grid 最佳 (20,4)
let kp = {
'12hr': { len: 3, mult: 2 },
'16hr': { len: 4, mult: 2 },
'20hr': { len: 5, mult: 2.5 },
'1day': { len: 6, mult: 3 },
'2day': { len: 12, mult: 3 },
'4day': { len: 24, mult: 4 },
'7day': { len: 42, mult: 4 },
'15day': { len: 90, mult: 5 },
'30day': { len: 180, mult: 5 },
}
let caSupertrend = (arr, len, mult, opt = {}) => {
//check
if (!isNumber(len)) {
throw new Error(`len is not a number`)
}
if (!isNumber(mult)) {
throw new Error(`mult is not a number`)
}
//n
let n = size(arr)
//check
if (n < len + 1) {
return []
}
//plusClose
let plusClose = get(opt, 'plusClose', 0)
let kTime = 'time'
let kHigh = 'High'
let kLow = 'Low'
let kClose = 'Close'
//計算各根 TR (從 i=1 開始, 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]
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[${cPrev}]`)
}
let tr = Math.max(Math.abs(h - l), Math.abs(h - cPrev), Math.abs(l - cPrev))
trs[i] = tr
}
//種子 ATR: 前 len 根 TR 的 SMA (對齊 calcAtr 風格)
let sumTr = 0
for (let i = 1; i <= len; i++) {
sumTr += trs[i]
}
let atrPrev = sumTr / len
//rs
let rs = []
//遞推狀態
let finalUpperPrev = null
let finalLowerPrev = null
let closePrev = arr[len - 1][kClose] //「前一根 Close」用於 finalBand 重置判斷
let dirPrev = null
for (let i = len; i < n; i++) {
//當前根 ATR (Wilder smoothing): i=len 用種子, 之後遞推
let atrNow
if (i === len) {
atrNow = atrPrev
}
else {
atrNow = (atrPrev * (len - 1) + trs[i]) / len
}
let h = arr[i][kHigh]
let l = arr[i][kLow]
let c = arr[i][kClose]
//check
if (!isNumber(c)) {
throw new Error(`invalid c[${c}]`)
}
//basic 通道
let hl2 = (h + l) / 2
let basicUpper = hl2 + mult * atrNow
let basicLower = hl2 - mult * atrNow
//final upper (鎖死: 只能下移或上根穿越時重置)
let finalUpper
if (finalUpperPrev === null) {
finalUpper = basicUpper
}
else {
if (basicUpper < finalUpperPrev || closePrev > finalUpperPrev) {
finalUpper = basicUpper
}
else {
finalUpper = finalUpperPrev
}
}
//final lower (鎖死: 只能上移或上根跌破時重置)
let finalLower
if (finalLowerPrev === null) {
finalLower = basicLower
}
else {
if (basicLower > finalLowerPrev || closePrev < finalLowerPrev) {
finalLower = basicLower
}
else {
finalLower = finalLowerPrev
}
}
//direction: 沿續前根, 收盤穿越對側通道時翻轉
let dir
if (dirPrev === null) {
//初始化: close <= finalUpper → 視為空頭起點; 否則多頭
dir = c <= finalUpper ? -1 : 1
}
else {
dir = dirPrev
if (dirPrev === 1 && c < finalLower) {
dir = -1
}
else if (dirPrev === -1 && c > finalUpper) {
dir = 1
}
}
//ST 線: 多頭用 finalLower (下方支撐), 空頭用 finalUpper (上方壓力)
let line = dir === 1 ? finalLower : finalUpper
//stDistance = (Close - line) / Close (原版, 保留供日後對比)
//多頭: Close > line → 正值 (buffer 大小); 空頭: Close < line → 負值
let stDistance = c !== 0 ? (c - line) / c : 0
//stDistanceMod = (Close+plusClose - line) / (Close+plusClose)
// plusClose=0 時退化成原版 (c-line)/c (price 預設用法)
// plusClose>0 時把 Close 偏移正方向, 對 index OHLC (close 可 ≈0 或負) 修正除法爆炸
// diviProt 額外保護: |分母| < 0.00001 時 floor 至 ±0.00001 (保留 sign)
let cp = c + plusClose
let stDistanceMod = diviProt(cp - line, cp)
//push (內含方向(sign) + 強度(magnitude), 對齊 d05 DE 搜門檻架構)
rs.push({
time: arr[i][kTime],
stDistance,
stDistanceMod,
})
//next iter
finalUpperPrev = finalUpper
finalLowerPrev = finalLower
closePrev = c
dirPrev = dir
atrPrev = atrNow
}
// console.log('rs', rs)
return rs
}
let caSupertrends = (arr, opt = {}) => {
//rrs
let rrs = []
each(kp, (cfg, period) => {
//caSupertrend
let rs = caSupertrend(arr, cfg.len, cfg.mult, opt)
//push
rrs.push({
period,
len: cfg.len,
vs: rs,
})
// console.log('rrs', rrs)
})
return rrs
}
let calcSupertrend = 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,...},
// ...
// ]
//caSupertrends
let rs = caSupertrends(arr, opt)
return rs
}
return calcSupertrend
})()
export default calcSupertrend