Volatility, bands and ranges

True range, bands, channels and choppiness measures. See the indicator reference for how to read a signature, and Indicators for the construction and guarding rules.

BBW

Bollinger BandWidth as TradingView plots it: the distance between the bands in percent of their basis, (upper − lower) / basis × 100 (4.5 for bands 4.5% apart).

new BBW(sourceIndicator: Indicator<number>, period: number, stdDevMultiplier: number = 2)

• Input: A number stream whose values are never undefined.
• Value (getValue() after hasValue()): number | undefined
• Warm-up: First value on candle period.

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new BBW(candles.close, 20);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  if (value === undefined) return;
  manager.debugLog('BBW', value);
});

BBWP

Bollinger BandWidth Percentile, The_Caretaker's: the share, in percent, of the previous lookback BBW values (fewer at first) lower than or equal to the current one.

new BBWP(sourceIndicator: Indicator<number>, period: number, lookback: number)

• Input: A number stream whose values are never undefined.
• Value (getValue() after hasValue()): number | undefined
• Warm-up: First value on candle period + 2.

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new BBWP(candles.close, 13, 252);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  if (value === undefined) return;
  manager.debugLog('BBWP', value);
});

Bollinger

Bollinger bands: the maPeriod SMA (mean) plus and minus stdDevMultiplier standard deviations.

new Bollinger(sourceIndicator: Indicator<number>, maPeriod: number = 20, stdDevMultiplier: number = 2)

• Input: A number stream whose values are never undefined (candles.close).
• Value (getValue() after hasValue()): BollingerValue
  • upper: number | undefined
  • mean: number | undefined
  • lower: number | undefined
• Warm-up: Fields are undefined until maPeriod candles have been seen.

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new Bollinger(candles.close, 20, 2);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  if (value.upper === undefined || value.lower === undefined || value.mean === undefined) return;
  manager.debugLog('upper', value.upper, 'mean', value.mean, 'lower', value.lower);
});

Chop

Choppiness index: 100 × log10(Σ TR / (highest high − lowest low)) / log10(period); high values mean a sideways market.

new Chop(highIndicator: Indicator<number | undefined>, lowIndicator: Indicator<number | undefined>, trIndicator: Indicator<number | undefined>, period: number)

• Input: Three number streams: highs, lows and true range.
• Value (getValue() after hasValue()): number | undefined
• Warm-up: First value on candle period; not finite when the window's highest high equals its lowest low.

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new Chop(candles.high, candles.low, new TR(candles), 14);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  if (value === undefined || !Number.isFinite(value)) return;
  manager.debugLog('chop', value);
});

Choppy

Counts monotonic runs among the last six closes: type rates the current run ('none', 'weak', 'medium', 'strong') and line counts trending candles among the last ten.

new Choppy(candleIndicator: Indicator<Candle>)

• Input: The candle series.
• Value (getValue() after hasValue()): ChoppyValue
  • type: ChoppyType
  • line: number
• ChoppyType is 'none' | 'weak' | 'medium' | 'strong'.
• Warm-up: type is 'none' until six candles have been seen; line fills over ten candles.

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new Choppy(candles);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  manager.debugLog('run', value.type, 'trending candles out of 10', value.line);
});

DC

Donchian channel MIDLINE: (highest high + lowest low) / 2 over extremePeriod candles, current included. For the upper and lower channel lines use Extreme.

new DC(candleIndicator: Indicator<Candle>, extremePeriod: number)

• Input: The candle series.
• Value (getValue() after hasValue()): number
• Warm-up: A number from the first candle (partial window until extremePeriod candles).

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new DC(candles, 20);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  manager.debugLog('Donchian midline', value);
});

Envelope

Percentage bands around an SMA or EMA basis.

new Envelope(sourceIndicator: Indicator<number | undefined>, length: number = 20, percent: number = 10, exponential: boolean = false)

• Input: Numeric source stream.
• Value (getValue() after hasValue()): EnvelopeValue
  • basis: number | undefined
  • upper: number | undefined
  • lower: number | undefined
• Warm-up: All three values start at bar length - 1. EMA restart convergence measured up to 958 bars at length 100 across three markets. Chart preloads max(200, 30 * length); percent is not a lookback.

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new Envelope(candles.close, 20, 10, false);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  if (value.basis === undefined) return;
  manager.debugLog('envelope', value.basis, value.upper, value.lower);
});

FindMarketBottom

Williams VIX Fix bottom finder: wvf = 100 × (highest close over 22 − low) / highest close, with Bollinger and percentile ranges; alert is true when wvf spikes above them.

new FindMarketBottom(candleIndicator: ICandleIndicator, bollingerLength: number = 20, bollingerMult: number = 2.0, percentileLookback: number = 50, highPercentile: number = 0.85, lowPercentile: number = 1.01)

• Input: The candle series.
• Value (getValue() after hasValue()): FindMarketBottomValue
  • wvf: number | undefined
  • upperBand: number | undefined
  • midLine: number | undefined
  • lowerBand: number | undefined
  • rangeHigh: number | undefined
  • rangeLow: number | undefined
  • alert: boolean
• Warm-up: alert is always a boolean; band fields are undefined until bollingerLength and percentileLookback values exist (about 50 candles with the defaults).

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new FindMarketBottom(candles);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  if (value.alert) manager.debugLog('possible bottom, wvf', value.wvf);
});

KeltnerChannels

Keltner channels: an EMA of the close (middle) plus and minus multiplier ATRs.

new KeltnerChannels(candleIndicator: ICandleIndicator, period: number = 20, multiplier: number = 2, atrPeriod: number = 10)

• Input: The candle series.
• Value (getValue() after hasValue()): { upper: number | undefined; middle: number | undefined; lower: number | undefined; }
  • upper: number | undefined
  • middle: number | undefined
  • lower: number | undefined
• Warm-up: Fields are undefined until both the EMA (candle period) and the ATR (candle atrPeriod + 1) are ready.

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new KeltnerChannels(candles, 20, 2, 10);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  if (value.upper === undefined || value.lower === undefined) return;
  manager.debugLog('upper', value.upper, 'lower', value.lower);
});

Median

Nearest-rank median with ATR bands and an EMA of the median.

new Median(candleIndicator: Indicator<Candle>, sourceIndicator: Indicator<number | undefined>, length: number = 3, atrLength: number = 14, atrMultiplier: number = 2)

• Input: Candle stream for ATR and a numeric stream for the median.
• Value (getValue() after hasValue()): MedianValue
  • value: number | undefined
  • upper: number | undefined
  • lower: number | undefined
  • ema: number | undefined
• Warm-up: Median begins at bar length - 1, its EMA at 2 * (length - 1), and bands at max(length, atrLength) - 1 on complete data. Measured restart convergence up to 1691 bars at length/ATR 100 across three markets. Chart preloads max(200, 30 * largest length); the multiplier is not a lookback.
• The nearest-rank median of [1, 2, 3, 4] is 2, rather than 2.5. Missing median observations are skipped.

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new Median(candles, candles.hl2, 3, 14, 2);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  if (value.value === undefined) return;
  manager.debugLog('median', value.value, value.upper, value.lower, value.ema);
});

TR

True range: max(high − low, |high − previous close|, |low − previous close|). Smooth it with RMA for an ATR (TradingView's ta.atr).

new TR(candleIndicator: Indicator<Candle>, handleNa: boolean = true)

• Input: The candle series.
• Value (getValue() after hasValue()): number | undefined
• Warm-up: A value from the first candle; from the second with handleNa set to false.

const symbol = 'BTC';
const candles = manager.getIntervalData(symbol, 60);
const indicator = new TR(candles);

manager.onIntervalCandle(symbol, 60, () => {
  if (!indicator.hasValue()) return;
  const value = indicator.getValue();
  if (value === undefined) return;
  manager.debugLog('true range', value);
});