68 lines
2.2 KiB
Go
68 lines
2.2 KiB
Go
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package supertrend
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import (
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"git.qtrade.icu/lychiyu/bbgo/pkg/bbgo"
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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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type DoubleDema struct {
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Interval types.Interval `json:"interval"`
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// FastDEMAWindow DEMA window for checking breakout
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FastDEMAWindow int `json:"fastDEMAWindow"`
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// SlowDEMAWindow DEMA window for checking breakout
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SlowDEMAWindow int `json:"slowDEMAWindow"`
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fastDEMA *indicator.DEMA
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slowDEMA *indicator.DEMA
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}
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// getDemaSignal get current DEMA signal
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func (dd *DoubleDema) getDemaSignal(openPrice float64, closePrice float64) types.Direction {
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var demaSignal types.Direction = types.DirectionNone
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if closePrice > dd.fastDEMA.Last(0) && closePrice > dd.slowDEMA.Last(0) && !(openPrice > dd.fastDEMA.Last(0) && openPrice > dd.slowDEMA.Last(0)) {
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demaSignal = types.DirectionUp
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} else if closePrice < dd.fastDEMA.Last(0) && closePrice < dd.slowDEMA.Last(0) && !(openPrice < dd.fastDEMA.Last(0) && openPrice < dd.slowDEMA.Last(0)) {
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demaSignal = types.DirectionDown
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}
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return demaSignal
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}
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// preloadDema preloads DEMA indicators
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func (dd *DoubleDema) preloadDema(kLineStore *bbgo.MarketDataStore) {
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if klines, ok := kLineStore.KLinesOfInterval(dd.fastDEMA.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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dd.fastDEMA.Update((*klines)[i].GetClose().Float64())
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}
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}
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if klines, ok := kLineStore.KLinesOfInterval(dd.slowDEMA.Interval); ok {
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for i := 0; i < len(*klines); i++ {
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dd.slowDEMA.Update((*klines)[i].GetClose().Float64())
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}
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}
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}
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// newDoubleDema initializes double DEMA indicators
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func newDoubleDema(kLineStore *bbgo.MarketDataStore, interval types.Interval, fastDEMAWindow int, slowDEMAWindow int) *DoubleDema {
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dd := DoubleDema{Interval: interval, FastDEMAWindow: fastDEMAWindow, SlowDEMAWindow: slowDEMAWindow}
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// DEMA
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if dd.FastDEMAWindow == 0 {
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dd.FastDEMAWindow = 144
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}
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dd.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.FastDEMAWindow}}
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dd.fastDEMA.Bind(kLineStore)
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if dd.SlowDEMAWindow == 0 {
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dd.SlowDEMAWindow = 169
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}
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dd.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.SlowDEMAWindow}}
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dd.slowDEMA.Bind(kLineStore)
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dd.preloadDema(kLineStore)
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return &dd
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}
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