103 lines
2.2 KiB
Go
103 lines
2.2 KiB
Go
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package factorzoo
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import (
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"time"
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"gonum.org/v1/gonum/stat"
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"git.qtrade.icu/lychiyu/bbgo/pkg/datatype/floats"
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"git.qtrade.icu/lychiyu/bbgo/pkg/indicator"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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// price mean reversion
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// assume that the quotient of SMA over close price will dynamically revert into one.
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// so this fraction value is our alpha, PMR
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//go:generate callbackgen -type PMR
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type PMR struct {
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types.IntervalWindow
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types.SeriesBase
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Values floats.Slice
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SMA *indicator.SMA
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EndTime time.Time
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updateCallbacks []func(value float64)
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}
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var _ types.SeriesExtend = &PMR{}
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func (inc *PMR) Update(price float64) {
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if inc.SeriesBase.Series == nil {
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inc.SeriesBase.Series = inc
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inc.SMA = &indicator.SMA{IntervalWindow: inc.IntervalWindow}
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}
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inc.SMA.Update(price)
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if inc.SMA.Length() >= inc.Window {
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reversion := inc.SMA.Last(0) / price
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inc.Values.Push(reversion)
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}
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}
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func (inc *PMR) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *PMR) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *PMR) Length() int {
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return len(inc.Values)
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}
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func (inc *PMR) CalculateAndUpdate(allKLines []types.KLine) {
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if len(inc.Values) == 0 {
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for _, k := range allKLines {
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inc.PushK(k)
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}
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inc.EmitUpdate(inc.Last(0))
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last(0))
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}
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}
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func (inc *PMR) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.CalculateAndUpdate(window)
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}
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func (inc *PMR) Bind(updater indicator.KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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func (inc *PMR) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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return
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}
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inc.Update(types.KLineClosePriceMapper(k))
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last(0))
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}
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func CalculateKLinesPMR(allKLines []types.KLine, window int) float64 {
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return pmr(types.MapKLinePrice(allKLines, types.KLineClosePriceMapper), window)
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}
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func pmr(prices []float64, window int) float64 {
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var end = len(prices) - 1
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if end == 0 {
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return prices[0]
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}
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reversion := -stat.Mean(prices[end-window:end], nil) / prices[end]
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return reversion
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}
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