fintech-algorithms
/
Using a coding agent? Give it the skill: npx skills add IslamBaraka90/Fintech-Algorithms-Library What it does →

Variable Index Dynamic Average (VIDYA)

Install and import#

bash
npm install fintech-algorithms
ts
import { variableIndexDynamicAverageVidya } from "fintech-algorithms/technical-indicators/trend-smoothing/variable-index-dynamic-average-vidya";

Signature#

variableIndexDynamicAverageVidya(input)

Scales the EMA constant 2 / (period + 1) by the absolute Chande momentum oscillator of the last period one-bar changes, so the average speeds up in one-sided moves and nearly freezes when gains and losses balance.

Parameters#

NameTypeNotes
inputTopicInputbars is a non-empty array of OHLCV records with strictly increasing timestamp, finite open, high, low, close and non-negative volume, all sharing one adjustment basis. From parameters this topic reads only period, an integer of at least 2, default 14, which sets both the base smoothing constant and the momentum lookback.

Returns#

TopicResult

series and latest carry a single key, value. It is null for the first period bars, is seeded with the close at index period, and recurses from there, so with the default period ready_at is 14.

Warm-up#

The first period bars (14 at the default period of 14) positions are null. The momentum window is taken over one-bar changes, whose own first entry is undefined, so the loop starts at index period and seeds value with the close there. ready_at is that index. A window with no gains and no losses scores 0, which holds the average flat.

Errors#

  • When parameters.period is not an integer of at least 2 — throws Error
  • When bars is empty or a bar violates the OHLCV contract — 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#

variableIndexDynamicAverageVidya(input)

Returns#

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

{
  "topic_id": "D07-F01-A17",
  "title": "Variable Index Dynamic Average (VIDYA)",
  "state": "calculated",
  "ready": true,
  "ready_at": 14,
  "series": {
    "value": [null, null, null, null, null, null]
  },
  "latest": {
    "value": 104.2557087704378
  },
  "parameters": {},
  "diagnostics": {
    "causal": true,
    "input_count": 96
  }
}

Diagrams#

Variable Index Dynamic Average (VIDYA) — article hero
Variable Index Dynamic Average (VIDYA) — concept map
Variable Index Dynamic Average (VIDYA) — decision comparison
Variable Index Dynamic Average (VIDYA) — worked example

Calculation flow#

Variable Index Dynamic Average (VIDYA) calculation flow 
flowchart LR
    A["an oldest-to-newest finite price series, declared price so"] --> B["Validate order, basis, and finite values"]
    B --> C["Apply the selected Variable Index Dynamic Average (VIDYA) 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"]
Variable Index Dynamic Average (VIDYA) 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

The rest of the Trend Smoothing family#