69 lines
2.0 KiB
Go
69 lines
2.0 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/types"
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)
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// Refer: Hull Moving Average
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// Refer URL: https://fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/hull-moving-average
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//
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// The Hull Moving Average (HMA) is a technical analysis indicator that uses a weighted moving average to reduce the lag in simple moving averages.
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// It was developed by Alan Hull, who sought to create a moving average that was both fast and smooth. The HMA is calculated by first taking
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// the weighted moving average of the input data using a weighting factor of W, where W is the square root of the length of the moving average.
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// The result is then double-smoothed by taking the weighted moving average of this result using a weighting factor of W/2. This final average
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// forms the HMA line, which can be used to make predictions about future price movements.
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//
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//go:generate callbackgen -type HULL
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type HULL struct {
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types.SeriesBase
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types.IntervalWindow
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ma1 *EWMA
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ma2 *EWMA
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result *EWMA
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updateCallbacks []func(value float64)
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}
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var _ types.SeriesExtend = &HULL{}
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func (inc *HULL) Update(value float64) {
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if inc.result == nil {
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inc.SeriesBase.Series = inc
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inc.ma1 = &EWMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window / 2}}
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inc.ma2 = &EWMA{IntervalWindow: inc.IntervalWindow}
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inc.result = &EWMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: int(math.Sqrt(float64(inc.Window)))}}
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}
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inc.ma1.Update(value)
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inc.ma2.Update(value)
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inc.result.Update(2*inc.ma1.Last(0) - inc.ma2.Last(0))
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}
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func (inc *HULL) Last(i int) float64 {
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if inc.result == nil {
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return 0
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}
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return inc.result.Last(i)
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}
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func (inc *HULL) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *HULL) Length() int {
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if inc.result == nil {
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return 0
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}
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return inc.result.Length()
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}
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func (inc *HULL) PushK(k types.KLine) {
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if inc.ma1 != nil && inc.ma1.Length() > 0 && k.EndTime.Before(inc.ma1.EndTime) {
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return
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}
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inc.Update(k.Close.Float64())
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inc.EmitUpdate(inc.Last(0))
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}
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