69 lines
2.0 KiB
Go
69 lines
2.0 KiB
Go
package indicator
|
|
|
|
import (
|
|
"math"
|
|
|
|
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
|
|
)
|
|
|
|
// Refer: Hull Moving Average
|
|
// Refer URL: https://fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/hull-moving-average
|
|
//
|
|
// The Hull Moving Average (HMA) is a technical analysis indicator that uses a weighted moving average to reduce the lag in simple moving averages.
|
|
// 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
|
|
// 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.
|
|
// 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
|
|
// forms the HMA line, which can be used to make predictions about future price movements.
|
|
//
|
|
//go:generate callbackgen -type HULL
|
|
type HULL struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
ma1 *EWMA
|
|
ma2 *EWMA
|
|
result *EWMA
|
|
|
|
updateCallbacks []func(value float64)
|
|
}
|
|
|
|
var _ types.SeriesExtend = &HULL{}
|
|
|
|
func (inc *HULL) Update(value float64) {
|
|
if inc.result == nil {
|
|
inc.SeriesBase.Series = inc
|
|
inc.ma1 = &EWMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window / 2}}
|
|
inc.ma2 = &EWMA{IntervalWindow: inc.IntervalWindow}
|
|
inc.result = &EWMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: int(math.Sqrt(float64(inc.Window)))}}
|
|
}
|
|
inc.ma1.Update(value)
|
|
inc.ma2.Update(value)
|
|
inc.result.Update(2*inc.ma1.Last(0) - inc.ma2.Last(0))
|
|
}
|
|
|
|
func (inc *HULL) Last(i int) float64 {
|
|
if inc.result == nil {
|
|
return 0
|
|
}
|
|
return inc.result.Last(i)
|
|
}
|
|
|
|
func (inc *HULL) Index(i int) float64 {
|
|
return inc.Last(i)
|
|
}
|
|
|
|
func (inc *HULL) Length() int {
|
|
if inc.result == nil {
|
|
return 0
|
|
}
|
|
return inc.result.Length()
|
|
}
|
|
|
|
func (inc *HULL) PushK(k types.KLine) {
|
|
if inc.ma1 != nil && inc.ma1.Length() > 0 && k.EndTime.Before(inc.ma1.EndTime) {
|
|
return
|
|
}
|
|
|
|
inc.Update(k.Close.Float64())
|
|
inc.EmitUpdate(inc.Last(0))
|
|
}
|