WaveTrend Oscillator

Install and import#

npm install fintech-algorithms

import { wavetrendOscillator } from "fintech-algorithms/technical-indicators/momentum/wavetrend-oscillator";

Signature#

wavetrendOscillator(input)

Builds a CCI-style channel index from the typical price against its own 10-period EMA and mean deviation, then smooths it into a fast line and a slower trigger.

Parameters#

Returns#

TopicResult

series and latest carry two keys: wt1, the 21-period EMA of the channel index, and wt2, the 4-period simple average of wt1. The two keys have different warm-ups, wt2 trailing wt1 by three bars.

Warm-up#

The first 38 bars for `wt1`, 41 bars for `wt2` positions are null. The 10-period EMA of typical price seeds at index 9, its mean-deviation EMA at 18, and the 21-period EMA at 38, so ready_at is 38 on the canonical fixture; wt2 remains null until index 41. A mean deviation of exactly 0 also yields a null.

Errors#

• When period is supplied but is not an integer >= 2, even though this topic ignores it — throws Error
• When a bar's high is below its open, close, or low — throws Error

Complexity: time O(n), 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#

wavetrendOscillator(input)

Returns#

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

{
  "topic_id": "D07-F03-A23",
  "title": "WaveTrend Oscillator",
  "state": "calculated",
  "ready": true,
  "ready_at": 38,
  "series": {
    "wt1": [null, null, null, null, null, null],
    "wt2": [null, null, null, null, null, null]
  },
  "latest": {
    "wt1": -25.94276818159519,
    "wt2": -13.858032304032271
  },
  "parameters": {},
  "diagnostics": {
    "causal": true,
    "input_count": 96
  }
}

Diagrams#

Calculation flow#

flowchart LR
    A["an ordered price or OHLC series, declared lookbacks, smoot"] --> B["Validate order, basis, and finite values"]
    B --> C["Apply the selected WaveTrend Oscillator 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 Momentum family#

• Relative Strength Index (RSI)Relative strength index: Wilder-smoothed average gain over average loss, mapped to 0–100.
• Stochastic OscillatorWhere the close sits within the high–low range of the lookback, expressed as 0–100, then smoothed twice.
• Stochastic RSIThe stochastic formula applied to RSI rather than to price — a second-order indicator that measures where RSI sits within its o…
• Williams %RWhere the close sits within the lookback's high–low range, on a −100…0 scale.
• Commodity Channel Index (CCI)Commodity channel index: the typical price's distance from its moving average, scaled by mean absolute deviation.
• Ultimate OscillatorWeighted buying pressure across three lookbacks at once, which is what makes it less sensitive to the choice of any single peri…
• True Strength Index (TSI)True strength index: price change smoothed twice, divided by absolute price change smoothed the same way.
• Connors RSIThe average of three components: RSI of price, RSI of the up/down streak length, and the percentile rank of the latest return.
• Absolute Price OscillatorSubtracts a slow EMA of close from a fast EMA of close, leaving the momentum spread in price units rather than as a percent…
• Rate-of-Change Variants (ROC, ROCP, and ROCR)Expresses the same period-bar price ratio three ways: as a percentage, as a proportion, and as the raw ratio.
• Price Momentum (MOM)The plain price difference between the current close and the close period bars earlier.
• Chande Momentum OscillatorCompares summed up-closes against summed down-closes over a period window and scales the imbalance to a -100..100 range.
• Awesome OscillatorSubtracts a 34-period simple average of the median price from a 5-period one, measuring the gap between short and long swing mo…
• Accelerator OscillatorSubtracts a 5-period simple average of the Awesome Oscillator from the oscillator itself, isolating the change in momentum rath…
• TRIXThe one-bar percentage rate of change of a triple-smoothed EMA of close, which strips most short-cycle noise before measuring…
• Stochastic Momentum IndexMeasures where close sits relative to the midpoint of the period high-low range, then double-smooths both the distance and …
• Relative Vigor IndexDivides the period average of the candle body by the period average of the candle range, reading closing vigour relative to…
• Relative Momentum IndexAn RSI-shaped 0..100 reading built on the change over momentum_lag bars instead of the one-bar change, Wilder-smoothed over `…
• Fisher TransformRescales close to its position within the period high-low range of closes, clamps it just inside -1..1, and applies the Fis…
• Inverse Fisher TransformSquashes a scaled one-bar close change into -1..1 with the inverse Fisher transform, which is the hyperbolic tangent of the sca…
• Schaff Trend CycleRuns the MACD line through two stochastic passes, each followed by a 3-period EMA, turning a trend measure into a 0..100 cycle …
• Quantitative Qualitative Estimation (QQE)Smooths a Wilder RSI with a 5-period EMA and wraps it in a volatility band derived from a double Wilder-smoothed average of the…
• Know Sure Thing (KST)Weights four smoothed rate-of-change readings taken over different lookbacks into a single momentum line, with a simple-average…
• Chande Forecast OscillatorFits a least-squares line to the last period closes and reports how far the actual close sits from that line's endpoint, as a…
• Detrended Price OscillatorRemoves the trend by subtracting the current period simple average from a close shifted back half that window, leaving the sh…
• Balance of PowerDivides each candle's body by its full range, giving a per-bar -1..1 reading of how much of the session's travel the close mana…
• Psychological LineThe percentage of the last period bars that closed above the previous close, a plain count of how one-sided recent sentiment …
• Pretty Good OscillatorExpresses the gap between close and its period simple average in units of average true range, so readings stay comparable a…
• Price Momentum OscillatorSmooths a heavily scaled one-bar rate of change through two successive EMAs, then adds a third EMA as the signal line.