lib/vma.js

// Variable Moving Average, by Tushar S. Chande
// VMA automatically adjusts its smoothing constant on the basis of Market Volatility
module.exports =  function vma (s, key, length, source_key) {
  if (!source_key) source_key = 'close'
  let k = 1.0 / length
  if (s.lookback[0] != undefined)
  {
    let pdm = Math.max(s.period[source_key] - s.lookback[0][source_key], 0)
    let mdm = Math.max(s.lookback[0][source_key] - s.period[source_key], 0)
    let pdmS = s.period['pdmS'] = k * pdm + ((s.lookback[0]['pdmS'] != undefined) ? s.lookback[0]['pdmS'] * (1 - k) : 0)
    let mdmS = s.period['mdmS'] = k * mdm + ((s.lookback[0]['mdmS'] != undefined) ? s.lookback[0]['mdmS'] * (1 - k) : 0)
    let s0 = pdmS + mdmS
    let pdi = pdmS / s0
    let mdi = mdmS / s0
    let pdiS = s.period['pdiS'] = k * pdi + ((s.lookback[0]['pdiS'] != undefined) ? s.lookback[0]['pdiS'] * (1 - k) : 0)
    let mdiS = s.period['mdiS'] = k * mdi + ((s.lookback[0]['mdiS'] != undefined) ? s.lookback[0]['mdiS'] * (1 - k) : 0)
    let d = Math.abs(pdiS - mdiS)
    let s1 = pdiS + mdiS
    var iS = s.period['iS'] = k * d / s1 + ((s.lookback[0]['iS'] != undefined) ? s.lookback[0]['iS'] * (1 - k) : 0)
  }
  if (s.lookback.length > length) {
    let hhv, llv
    s.lookback.slice(0, length).forEach(function (period) {
      hhv = (hhv != undefined) ? Math.max(hhv, period['iS']) : period['iS']
      llv = (llv != undefined) ? Math.min(llv, period['iS']) : period['iS']
    })
    hhv = Math.max(hhv, iS)
    llv = Math.min(llv, iS)
    let d1 = hhv - llv
    let vI = (iS - llv) / d1
    let vma = s.period['vma'] = k * vI * s.period[source_key] + 
            ((s.lookback[0]['vma'] != undefined) ? s.lookback[0]['vma'] * (1 - k * vI) : 0)
    s.period[key] = vma
  }   
}