Keltner Channel (KC) fixes issue #3 (#24)

* Prettier added.

* Make prettier use .gitignore.

* Prettier added.

* Make prettier use .gitignore.

* Ulcer format.

* Keltner Channel (KC) added.

* FIxed import.

README.md

@@ -50,6 +50,7 @@ The following list of indicators are currently supported by this package:
 - [Bollinger Band Width](src/indicator/volatility/index.md#bollinger-band-width)
 - [Bollinger Bands](src/indicator/volatility/index.md#bollinger-bands)
 - [Chandelier Exit](src/indicator/volatility/index.md#chandelier-exit)
+- [Keltner Channel (KC)](src/indicator/volatility/index.md#keltner-channel-kc)
 - [Moving Standard Deviation (Std)](src/indicator/volatility/index.md#moving-standard-deviation-std)
 - [Projection Oscillator (PO)](src/indicator/volatility/index.md#projection-oscillator-po)
 - [Ulcer Index (UI)](src/indicator/volatility/index.md#ulcer-index-ui)

src/indicator/volatility/atr.ts

@@ -25,7 +25,6 @@ export interface AtrResult {
  * @param lows low values.
  * @param closings closing values.
  * @return atr result.const ATR_PERIOD = 14;
-
  */
 export function atr(
   period: number,

src/indicator/volatility/index.md

@@ -7,6 +7,7 @@ Volatility indicators measure the rate of movement regardless of its direction.
 - [Bollinger Band Width](#bollinger-band-width)
 - [Bollinger Bands](#bollinger-bands)
 - [Chandelier Exit](#chandelier-exit)
+- [Keltner Channel (KC)](#keltner-channel-kc)
 - [Moving Standard Deviation (Std)](#moving-standard-deviation-std)
 - [Projection Oscillator (PO)](#projection-oscillator-po)
 - [Ulcer Index (UI)](#ulcer-index-ui)
@@ -89,6 +90,30 @@ import {chandelierExit} from 'indicatorts';
 const result = chandelierExit(highs, lows, closings);
 ```
 
+#### Keltner Channel (KC)
+
+The [keltnerChannel](./keltnerChannel.ts) provides volatility-based bands that are placed on either side of an asset's price and can aid in determining the direction of a trend.
+
+```
+Middle Line = EMA(period, closings)
+Upper Band = EMA(period, closings) + 2 * ATR(period, highs, lows, closings)
+Lower Band = EMA(period, closings) - 2 * ATR(period, highs, lows, closings)
+```
+
+```TypeScript
+import {keltnerChannel} from 'indicatorts';
+
+const result = keltnerChannel(period, highs, lows, closings);
+```
+
+The [defaultKeltnerChannel](./keltnerChannel.ts) calculates it with the default period of 20.
+
+```TypeScript
+import {defaultKeltnerChannel} from 'indicatorts';
+
+const result = defaultKeltnerChannel(highs, lows, closings);
+```
+
 #### Moving Standard Deviation (Std)
 
 The [mstd](./mstd.ts) function calculates the moving standard deviation for a given period.

src/indicator/volatility/keltnerChannel.test.ts

@@ -0,0 +1,27 @@
+// Copyright (c) 2022 Onur Cinar. All Rights Reserved.
+// https://github.com/cinar/indicatorts
+
+import { roundDigitsAll } from '../../helper/numArray';
+import { defaultKeltnerChannel } from './keltnerChannel';
+
+describe('Keltner Channel', () => {
+  it('should be able to compute KC', () => {
+    const highs = [10, 9, 12, 14, 12];
+    const lows = [6, 7, 9, 12, 10];
+    const closings = [9, 11, 7, 10, 8];
+    const expectedMiddleLine = [9, 9.19, 8.98, 9.08, 8.98];
+    const expectedUpperBand = [17, 17.19, 17.65, 17.58, 17.38];
+    const expectedLowerBand = [1, 1.19, 0.32, 0.58, 0.58];
+
+    const actual = defaultKeltnerChannel(highs, lows, closings);
+    expect(roundDigitsAll(2, actual.middleLine)).toStrictEqual(
+      expectedMiddleLine
+    );
+    expect(roundDigitsAll(2, actual.upperBand)).toStrictEqual(
+      expectedUpperBand
+    );
+    expect(roundDigitsAll(2, actual.lowerBand)).toStrictEqual(
+      expectedLowerBand
+    );
+  });
+});

src/indicator/volatility/keltnerChannel.ts

@@ -0,0 +1,71 @@
+// Copyright (c) 2022 Onur Cinar. All Rights Reserved.
+// https://github.com/cinar/indicatorts
+
+import { add, multiplyBy, substract } from '../../helper/numArray';
+import { ema } from '../trend/ema';
+import { atr } from './atr';
+
+/**
+ * Default period for KC.
+ */
+export const KC_PERIOD = 20;
+
+/**
+ * Keltner channel result object.
+ */
+export interface KeltnerChannelResult {
+  middleLine: number[];
+  upperBand: number[];
+  lowerBand: number[];
+}
+
+/**
+ * The Keltner Channel (KC) provides volatility-based bands that are placed
+ * on either side of an asset's price and can aid in determining the
+ * direction of a trend.
+ *
+ * Middle Line = EMA(period, closings)
+ * Upper Band = EMA(period, closings) + 2 * ATR(period, highs, lows, closings)
+ * Lower Band = EMA(period, closings) - 2 * ATR(period, highs, lows, closings)
+ *
+ * @param period window period.
+ * @param highs high values.
+ * @param lows low values.
+ * @param closings closing values.
+ * @returns kc result.
+ */
+export function keltnerChannel(
+  period: number,
+  highs: number[],
+  lows: number[],
+  closings: number[]
+): KeltnerChannelResult {
+  const atrResult = atr(period, highs, lows, closings);
+  const atr2 = multiplyBy(2, atrResult.atrLine);
+
+  const middleLine = ema(period, closings);
+  const upperBand = add(middleLine, atr2);
+  const lowerBand = substract(middleLine, atr2);
+
+  return {
+    middleLine,
+    upperBand,
+    lowerBand,
+  };
+}
+
+/**
+ * The default keltner channel with the default period of 20.
+ *
+ * @param highs high values.
+ * @param lows low values.
+ * @param closings closing values.
+ * @returns kc result.
+ */
+export function defaultKeltnerChannel(
+  highs: number[],
+  lows: number[],
+  closings: number[]
+): KeltnerChannelResult {
+  return keltnerChannel(KC_PERIOD, highs, lows, closings);
+}