Moving Average Envelope

Install and import#

npm install fintech-algorithms

import { movingAverageEnvelope } from "fintech-algorithms/technical-indicators/bands-envelopes-and-squeezes/moving-average-envelope";

Signature#

movingAverageEnvelope(input)

Moving Average Envelope: a simple moving average of close with bands set a fixed percentage above and below it.

Parameters#

Returns#

TopicResult

series holds center, upper (center * (1 + percentage)) and lower (center * (1 - percentage)); latest carries the last of each. All three share a warm-up of period - 1 leading nulls, so ready_at is 19 at the default period.

Warm-up#

The first `period - 1` bars (19 at the default period) positions are null. The envelope is a pure scaling of the centre line, so the bands become available on exactly the bar the moving average does.

Errors#

• When parameters.percentage is not a finite number, or is negative — throws Error
• When parameters.period is not an integer >= 2 — throws Error
• When a bar is missing open, high, low, close, or volume, or one of them is not a finite number — throws Error

Complexity: time O(n * period), space O(n).

Worked example#

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input#

{
  "bars": [
    {
      "timestamp": "2024-01-02",
      "basis": "synthetic-unadjusted",
      "open": 100,
      "high": 101.45,
      "low": 98.695,
      "close": 100,
      "volume": 750000,
      "benchmark": 200
    },
    {
      "timestamp": "2024-01-03",
      "basis": "synthetic-unadjusted",
      "open": 101.49111452,
      "high": 103.38381693,
      "low": 100.05480022,
      "close": 101.78791214,
      "volume": 795117,
      "benchmark": 200.56326135
    },
    {
      "timestamp": "2024-01-04",
      "basis": "synthetic-unadjusted",
      "open": 102.45519048,
      "high": 104.6701838,
      "low": 100.91147007,
      "close": 102.9549389,
      "volume": 840234,
      "benchmark": 201.11020913
    }
  ],
  "parameters": {}
}

Call#

movingAverageEnvelope(input)

Returns#

object with 9 fields: topic_id, title, state, ready, ready_at, series, latest, parameters, …

{
  "topic_id": "D07-F07-A02",
  "title": "Moving Average Envelope",
  "state": "calculated",
  "ready": true,
  "ready_at": 19,
  "series": {
    "center": [null, null, null, null, null, null],
    "upper": [null, null, null, null, null, null],
    "lower": [null, null, null, null, null, null]
  },
  "latest": {
    "center": 104.20055051999998,
    "upper": 106.80556428299997,
    "lower": 101.59553675699998
  },
  "parameters": {},
  "diagnostics": {
    "causal": true,
    "input_count": 96
  }
}

Diagrams#

Calculation flow#

flowchart LR
    A["ordered OHLC or close observations, a declared centerline,"] --> B["Validate order, basis, and finite values"]
    B --> C["Apply the selected Moving Average Envelope convention"]
    C --> D["Emit value, readiness, and diagnostics"]
    D --> E["Interpret descriptively; test outcomes separately"]
    B -->|invalid or insufficient| X["Withhold output with a reason"]

stateDiagram-v2
    [*] --> Waiting
    Waiting --> Ready: enough valid causal observations
    Waiting --> Rejected: malformed or unsupported input
    Ready --> Calculated: selected formula applied
    Calculated --> Interpreted: diagnostic and limitation retained
    Interpreted --> Ready: next observation arrives
    Rejected --> Waiting: corrected input and deterministic reset

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

• TA-Lib function groups — see linked primary or authoritative record
• TA-Lib C/C++ API — see linked primary or authoritative record
• TA-Lib maintained source — see linked primary or authoritative record
• Evidence decision
• Level 1 evidence map

The rest of the Bands, Envelopes, and Squeezes family#

• Bollinger %BBollinger Bands together with %B, the close's position between the lower and upper band.
• ATR BandsATR Bands: a simple moving average of close with bands multiplier Average True Ranges above and below it.
• Standard Deviation ChannelStandard Deviation Channel: a simple moving average of close with bands multiplier population standard deviations above and b…
• Regression ChannelRegression Channel: the end point of a rolling least-squares fit of close over period bars, with bands multiplier root-mean…
• Raff Regression ChannelRaff Regression Channel: the same rolling least-squares centre line as the regression channel, but the channel half-width is th…
• STARC BandsSTARC Bands: a simple moving average of close with bands multiplier Average True Ranges above and below it.
• Fractal Chaos BandsFractal Chaos Bands: carries forward the most recent confirmed five-bar fractal high and fractal low, each held flat until a ne…
• Projection BandsProjection Bands: fits a least-squares slope to the highs and to the lows of the last period bars, projects every bar in the …
• Dynamic Zone BandsDynamic Zone Bands: a quantile envelope of close -- the upper band is the 1 - q quantile of the last period closes and the …
• TTM SqueezeTTM Squeeze: flags the bars on which the Bollinger band pair sits entirely inside the Keltner channel pair, the conventional si…
• Squeeze MomentumSqueeze Momentum: the TTM squeeze flag and its two band pairs, plus a momentum line -- the regression slope of the close's dist…
• Adaptive Price ZoneAdaptive Price Zone: a double-smoothed EMA of close as the centre line, with bands multiplier double-smoothed EMAs of the hig…