109 lines
3.1 KiB
Go
109 lines
3.1 KiB
Go
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package indicator
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import (
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"math"
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"git.qtrade.icu/lychiyu/bbgo/pkg/datatype/floats"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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// Refer: Commodity Channel Index
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// Refer URL: http://www.andrewshamlet.net/2017/07/08/python-tutorial-cci
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// with modification of ddof=0 to let standard deviation to be divided by N instead of N-1
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//
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// CCI = (Typical Price - n-period SMA of TP) / (Constant x Mean Deviation)
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//
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// Typical Price (TP) = (High + Low + Close)/3
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//
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// Constant = .015
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//
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// The Commodity Channel Index (CCI) is a technical analysis indicator that is used to identify potential overbought or oversold conditions
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// in a security's price. It was originally developed for use in commodity markets, but can be applied to any security that has a sufficient
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// amount of price data. The CCI is calculated by taking the difference between the security's typical price (the average of its high, low, and
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// closing prices) and its moving average, and then dividing the result by the mean absolute deviation of the typical price. This resulting value
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// is then plotted as a line on the price chart, with values above +100 indicating overbought conditions and values below -100 indicating
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// oversold conditions. The CCI can be used by traders to identify potential entry and exit points for trades, or to confirm other technical
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// analysis signals.
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//go:generate callbackgen -type CCI
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type CCI struct {
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types.SeriesBase
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types.IntervalWindow
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Input floats.Slice
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TypicalPrice floats.Slice
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MA floats.Slice
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Values floats.Slice
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UpdateCallbacks []func(value float64)
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}
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func (inc *CCI) Update(value float64) {
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if len(inc.TypicalPrice) == 0 {
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inc.SeriesBase.Series = inc
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inc.TypicalPrice.Push(value)
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inc.Input.Push(value)
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return
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} else if len(inc.TypicalPrice) > MaxNumOfEWMA {
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inc.TypicalPrice = inc.TypicalPrice[MaxNumOfEWMATruncateSize-1:]
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inc.Input = inc.Input[MaxNumOfEWMATruncateSize-1:]
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}
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inc.Input.Push(value)
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tp := inc.TypicalPrice.Last(0) - inc.Input.Last(inc.Window) + value
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inc.TypicalPrice.Push(tp)
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if len(inc.Input) < inc.Window {
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return
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}
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ma := tp / float64(inc.Window)
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inc.MA.Push(ma)
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if len(inc.MA) > MaxNumOfEWMA {
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inc.MA = inc.MA[MaxNumOfEWMATruncateSize-1:]
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}
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md := 0.
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for i := 0; i < inc.Window; i++ {
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diff := inc.Input.Last(i) - ma
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md += diff * diff
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}
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md = math.Sqrt(md / float64(inc.Window))
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cci := (value - ma) / (0.015 * md)
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inc.Values.Push(cci)
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if len(inc.Values) > MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
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}
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}
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func (inc *CCI) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *CCI) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *CCI) Length() int {
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return len(inc.Values)
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}
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var _ types.SeriesExtend = &CCI{}
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func (inc *CCI) PushK(k types.KLine) {
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inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
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}
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func (inc *CCI) CalculateAndUpdate(allKLines []types.KLine) {
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if inc.TypicalPrice.Length() == 0 {
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for _, k := range allKLines {
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inc.PushK(k)
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inc.EmitUpdate(inc.Last(0))
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}
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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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