bbgo/pkg/indicator/supertrendPivot.go

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package indicator
import (
"math"
"time"
"github.com/sirupsen/logrus"
"git.qtrade.icu/lychiyu/bbgo/pkg/datatype/floats"
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
)
// based on "Pivot Point Supertrend by LonesomeTheBlue" from tradingview
var logpst = logrus.WithField("indicator", "pivotSupertrend")
//go:generate callbackgen -type PivotSupertrend
type PivotSupertrend struct {
types.SeriesBase
types.IntervalWindow
ATRMultiplier float64 `json:"atrMultiplier"`
PivotWindow int `json:"pivotWindow"`
AverageTrueRange *ATR // Value must be set when initialized in strategy
PivotLow *PivotLow // Value must be set when initialized in strategy
PivotHigh *PivotHigh // Value must be set when initialized in strategy
trendPrices floats.Slice // Tsl: value of the trend line (buy or sell)
supportLine floats.Slice // The support line in an uptrend (green)
resistanceLine floats.Slice // The resistance line in a downtrend (red)
closePrice float64
previousClosePrice float64
uptrendPrice float64
previousUptrendPrice float64
downtrendPrice float64
previousDowntrendPrice float64
lastPp float64
src float64 // center
previousPivotHigh float64 // temp variable to save the last value
previousPivotLow float64 // temp variable to save the last value
trend types.Direction
previousTrend types.Direction
tradeSignal types.Direction
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *PivotSupertrend) Last(i int) float64 {
return inc.trendPrices.Last(i)
}
func (inc *PivotSupertrend) Index(i int) float64 {
return inc.Last(i)
}
func (inc *PivotSupertrend) Length() int {
return len(inc.trendPrices)
}
func (inc *PivotSupertrend) Update(highPrice, lowPrice, closePrice float64) {
if inc.Window <= 0 {
panic("window must be greater than 0")
}
if inc.AverageTrueRange == nil {
inc.SeriesBase.Series = inc
}
// Start with DirectionUp
if inc.trend != types.DirectionUp && inc.trend != types.DirectionDown {
inc.trend = types.DirectionUp
}
inc.previousPivotLow = inc.PivotLow.Last(0)
inc.previousPivotHigh = inc.PivotHigh.Last(0)
// Update High / Low pivots
inc.PivotLow.Update(lowPrice)
inc.PivotHigh.Update(highPrice)
// Update ATR
inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice)
// Update last prices
inc.previousUptrendPrice = inc.uptrendPrice
inc.previousDowntrendPrice = inc.downtrendPrice
inc.previousClosePrice = inc.closePrice
inc.previousTrend = inc.trend
inc.closePrice = closePrice
// Initialize lastPp as soon as pivots are made
if inc.lastPp == 0 || math.IsNaN(inc.lastPp) {
if inc.PivotHigh.Length() > 0 {
inc.lastPp = inc.PivotHigh.Last(0)
} else if inc.PivotLow.Length() > 0 {
inc.lastPp = inc.PivotLow.Last(0)
} else {
inc.lastPp = math.NaN()
return
}
}
// Set lastPp to the latest pivotPoint (only changed when new pivot is found)
if inc.PivotHigh.Last(0) != inc.previousPivotHigh {
inc.lastPp = inc.PivotHigh.Last(0)
} else if inc.PivotLow.Last(0) != inc.previousPivotLow {
inc.lastPp = inc.PivotLow.Last(0)
}
// calculate the Center line using pivot points
if inc.src == 0 || math.IsNaN(inc.src) {
inc.src = inc.lastPp
} else {
// weighted calculation
inc.src = (inc.src*2 + inc.lastPp) / 3
}
// Update uptrend
inc.uptrendPrice = inc.src - inc.AverageTrueRange.Last(0)*inc.ATRMultiplier
if inc.previousClosePrice > inc.previousUptrendPrice {
inc.uptrendPrice = math.Max(inc.uptrendPrice, inc.previousUptrendPrice)
}
// Update downtrend
inc.downtrendPrice = inc.src + inc.AverageTrueRange.Last(0)*inc.ATRMultiplier
if inc.previousClosePrice < inc.previousDowntrendPrice {
inc.downtrendPrice = math.Min(inc.downtrendPrice, inc.previousDowntrendPrice)
}
// Update trend
if inc.previousTrend == types.DirectionUp && inc.closePrice < inc.previousUptrendPrice {
inc.trend = types.DirectionDown
} else if inc.previousTrend == types.DirectionDown && inc.closePrice > inc.previousDowntrendPrice {
inc.trend = types.DirectionUp
} else {
inc.trend = inc.previousTrend
}
// Update signal
if inc.AverageTrueRange.Last(0) <= 0 {
inc.tradeSignal = types.DirectionNone
} else if inc.trend == types.DirectionUp && inc.previousTrend == types.DirectionDown {
inc.tradeSignal = types.DirectionUp
} else if inc.trend == types.DirectionDown && inc.previousTrend == types.DirectionUp {
inc.tradeSignal = types.DirectionDown
} else {
inc.tradeSignal = types.DirectionNone
}
// Update trend price
if inc.trend == types.DirectionDown {
inc.trendPrices.Push(inc.downtrendPrice)
} else {
inc.trendPrices.Push(inc.uptrendPrice)
}
// Save the trend lines
inc.supportLine.Push(inc.uptrendPrice)
inc.resistanceLine.Push(inc.downtrendPrice)
logpst.Debugf("Update pivot point supertrend result: closePrice: %v, uptrendPrice: %v, downtrendPrice: %v, trend: %v,"+
" tradeSignal: %v, AverageTrueRange.Last(): %v", inc.closePrice, inc.uptrendPrice, inc.downtrendPrice,
inc.trend, inc.tradeSignal, inc.AverageTrueRange.Last(0))
}
// GetSignal returns signal (Down, None or Up)
func (inc *PivotSupertrend) GetSignal() types.Direction {
return inc.tradeSignal
}
// GetDirection return the current trend
func (inc *PivotSupertrend) Direction() types.Direction {
return inc.trend
}
// LastSupertrendSupport return the current supertrend support value
func (inc *PivotSupertrend) LastSupertrendSupport() float64 {
return inc.supportLine.Last(0)
}
// LastSupertrendResistance return the current supertrend resistance value
func (inc *PivotSupertrend) LastSupertrendResistance() float64 {
return inc.resistanceLine.Last(0)
}
var _ types.SeriesExtend = &PivotSupertrend{}
func (inc *PivotSupertrend) PushK(k types.KLine) {
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
return
}
inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64())
inc.EndTime = k.EndTime.Time()
inc.EmitUpdate(inc.Last(0))
}
func (inc *PivotSupertrend) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *PivotSupertrend) LoadK(allKLines []types.KLine) {
inc.SeriesBase.Series = inc
for _, k := range allKLines {
inc.PushK(k)
}
}