From e10fe1e9e12a470218cfc153471e46ae2c95313a Mon Sep 17 00:00:00 2001
From: Abhishek Mittal <abhishekmittal964@gmail.com>
Date: Sat, 8 Jul 2023 09:43:25 +0530
Subject: [PATCH] Attempted to fix the Projection Upper band and lower band
 calculation

---
 .../volatility/projectionOscillator.ts        | 115 +++++++++++++++---
 1 file changed, 101 insertions(+), 14 deletions(-)

diff --git a/src/indicator/volatility/projectionOscillator.ts b/src/indicator/volatility/projectionOscillator.ts
index 8a01751..9417a0f 100644
--- a/src/indicator/volatility/projectionOscillator.ts
+++ b/src/indicator/volatility/projectionOscillator.ts
@@ -3,16 +3,18 @@
 
 import {
   add,
+  addBy,
   divide,
   generateNumbers,
   multiply,
   multiplyBy,
   subtract,
-} from '../../helper/numArray';
-import { movingLeastSquare } from '../../helper/regression';
-import { ema } from '../trend/ema';
-import { mmax } from '../trend/mmax';
-import { mmin } from '../trend/mmin';
+  subtractBy,
+} from "../../helper/numArray";
+import { movingLeastSquare } from "../../helper/regression";
+import { ema } from "../trend/ema";
+import { mmax } from "../trend/mmax";
+import { mmin } from "../trend/mmin";
 
 /**
  * Projection oscillator result object.
@@ -22,15 +24,31 @@ export interface ProjectionOscillator {
   spo: number[];
 }
 
+// Just pads a number array with zeros to the right so that the length of the arr becomes desiredLength
+function padWithZeros(desiredLength: number, arr: number[]) {
+  const currentLength: number = arr.length;
+  const result: number[] = new Array(desiredLength);
+
+  for (let i = 0; i < desiredLength; i++) {
+    if (i < currentLength) {
+      result[i] = arr[i];
+    } else {
+      result[i] = 0;
+    }
+  }
+  return result;
+}
+
 /**
  * ProjectionOscillator calculates the Projection Oscillator (PO). The PO
  * uses the linear regression slope, along with highs and lows.
  *
  * Period defines the moving window to calculates the PO, and the smooth
  * period defines the moving windows to take EMA of PO.
- *
- * PL = Min(period, (high + MLS(period, x, high)))
- * PU = Max(period, (low + MLS(period, x, low)))
+ * mHighs = MLS(period, x, high)
+ * mLows = MLS(period, x, low)
+ * PL[i] = Min(lows[i - period + 1, i] + mLows[i] * [0, period - 1])
+ * PU[i] = Max(highs[i - period + 1, i] + mHighs[i] * [0, period - 1])
  * PO = 100 * (Closing - PL) / (PU - PL)
  * SPO = EMA(smooth, PO)
  *
@@ -46,17 +64,64 @@ export function projectionOscillator(
   smooth: number,
   highs: number[],
   lows: number[],
-  closings: number[]
+  closings: number[],
 ): ProjectionOscillator {
   const x = generateNumbers(0, closings.length, 1);
   const lsHighs = movingLeastSquare(period, x, highs);
   const lsLows = movingLeastSquare(period, x, lows);
+  // const vHighs = add(highs, multiply(lsHighs.m, x));
+  // const vLows = add(lows, multiply(lsLows.m, x));
+
+  const arr_period: number[] = generateNumbers(0, period, 1);
+  const pu = new Array(closings.length);
+  for (let i = 0; i < highs.length; i++) {
+    // for (let j = 0; j < period; j++) {
+    //   if (i < j) {
+    //     continue;
+    //   }
+    //   pu[i] = Math.max(
+    //     pu[i],
+    //     highs[i - j] + lsHighs.m[i] * arr_period[j],
+    //   );
+    // }
+    ///////////////////////////////////
+    // LOOK HERE
+    ///////////////////////////////////
+    const newHighs = padWithZeros(
+      period,
+      highs.slice(Math.max(0, i - period + 1), i + 1),
+    );
+    const vHighs = add(newHighs, multiplyBy(lsHighs.m[i], arr_period));
+    pu[i] = Math.max(...vHighs);
+  }
+
+  const pl = new Array(closings.length);
+  for (let i = 0; i < lows.length; i++) {
+    // for (let j = 0; j < period; j++) {
+    //   if (i < j) {
+    //     continue;
+    //   }
+    //   pl[i] = Math.min(
+    //     pl[i],
+    //     lows[i - j] + lsLows.m[i] * arr_period[j],
+    //   );
+    // }
+    ///////////////////////////////////
+    // LOOK HERE
+    ///////////////////////////////////
+    const newLows = padWithZeros(
+      period,
+      lows.slice(Math.max(0, i - period + 1), i + 1),
+    );
+    const vLows = add(newLows, multiplyBy(lsLows.m[i], arr_period));
+    pl[i] = Math.min(...vLows);
+  }
 
-  const vHighs = add(highs, multiply(lsHighs.m, x));
-  const vLows = add(lows, multiply(lsLows.m, x));
+  console.log(pu);
+  console.log(pl);
 
-  const pu = mmax(period, vHighs);
-  const pl = mmin(period, vLows);
+  // const pu = mmax(period, vHighs);
+  // const pl = mmin(period, vLows);
 
   const po = divide(multiplyBy(100, subtract(closings, pl)), subtract(pu, pl));
   const spo = ema(smooth, po);
@@ -77,7 +142,29 @@ export function projectionOscillator(
 export function defaultProjectionOscillator(
   highs: number[],
   lows: number[],
-  closings: number[]
+  closings: number[],
 ): ProjectionOscillator {
   return projectionOscillator(14, 3, highs, lows, closings);
 }
+function rng(mean: number, stdDev: number) {
+  return mean + stdDev * (Math.random() - 0.5);
+}
+
+function generateRandomNumbers(count: number, mean: number, stdDev: number) {
+  const result: number[] = new Array(count);
+  for (let i = 0; i < count; i++) {
+    result[i] = rng(mean, stdDev);
+  }
+  return result;
+}
+
+const closings = generateRandomNumbers(100, 30, 5);
+const highs = addBy(0.5, closings);
+const lows = subtractBy(0.5, closings);
+
+const result = projectionOscillator(14, 5, highs, lows, closings);
+
+// Check if any of the values are below 0 or above 100 in the result array
+console.log(result);
+console.log(result.po.some((v) => v < 0 || v > 100));
+// This is returning false, which means that all the values are between 0 and 100