TTM Squeeze

Install and import#

bash

npm install fintech-algorithms

import { ttmSqueeze } from "fintech-algorithms/technical-indicators/bands-envelopes-and-squeezes/ttm-squeeze";

Signature#

ttmSqueeze(input)

TTM Squeeze: flags the bars on which the Bollinger band pair sits entirely inside the Keltner channel pair, the conventional sign of a volatility contraction.

Parameters#

Name	Type	Notes
`input`	`TopicInput`	`bars` is the required OHLCV array -- each bar carries `timestamp`, `open`, `high`, `low`, `close`, `volume` and an optional `basis`, strictly ordered by timestamp. From `parameters` this topic reads `period` (default 20, integer >= 2), used for the moving average, the standard deviation, the Keltner EMA and the ATR alike, and `multiplier` (default 2, a finite number >= 0), applied to both band pairs.

Returns#

TopicResult

series holds squeeze_on, bb_upper, bb_lower, kc_upper and kc_lower; latest carries the last of each. squeeze_on is a boolean, not a number, and false is a real reading meaning no squeeze -- only null means not yet computed. All five 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 Bollinger pair, the Keltner pair and therefore the flag all become available on the same bar. Do not treat a falsy squeeze_on as absence of data: check for null explicitly, since false carries meaning.

Errors#

When parameters.period is not an integer >= 2 — throws Error
When parameters.multiplier is not a finite number, or is negative — 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#

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#

ttmSqueeze(input)

Returns#

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

{
  "topic_id": "D07-F07-A11",
  "title": "TTM Squeeze",
  "state": "calculated",
  "ready": true,
  "ready_at": 19,
  "series": {
    "squeeze_on": [null, null, null, null, null, null],
    "bb_upper": [null, null, null, null, null, null],
    "bb_lower": [null, null, null, null, null, null],
    "kc_upper": [null, null, null, null, null, null],
    "kc_lower": [null, null, null, null, null, null]
  },
  "latest": {
    "squeeze_on": true,
    "bb_upper": 108.52982269312228,
    "bb_lower": 99.87127834687767,
    "kc_upper": 110.40185024876313,
    "kc_lower": 97.50750454809507
  },
  "parameters": {},
  "diagnostics": {
    "causal": true,
    "input_count": 96
  }
}

Diagrams#

Calculation flow#

TTM Squeeze 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 TTM Squeeze 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"]

TTM Squeeze readiness and evidence states

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

TTM Squeeze

Install and import#

Signature#

Parameters#

Returns#

Warm-up#

Errors#

Worked example#

Input#

Call#

Returns#

Diagrams#

Calculation flow#

How it works#

References#

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