124 lines
3.2 KiB
Go
124 lines
3.2 KiB
Go
package types
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import (
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"reflect"
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"git.qtrade.icu/lychiyu/bbgo/pkg/datatype/floats"
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)
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// The interface maps to pinescript basic type `series`
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// Access the internal historical data from the latest to the oldest
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// Index(0) always maps to Last()
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type Series interface {
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Last(i int) float64
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Index(i int) float64
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Length() int
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}
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type SeriesExtend interface {
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Series
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Sum(limit ...int) float64
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Mean(limit ...int) float64
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Abs() SeriesExtend
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Predict(lookback int, offset ...int) float64
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NextCross(b Series, lookback int) (int, float64, bool)
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CrossOver(b Series) BoolSeries
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CrossUnder(b Series) BoolSeries
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Highest(lookback int) float64
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Lowest(lookback int) float64
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Add(b interface{}) SeriesExtend
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Minus(b interface{}) SeriesExtend
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Div(b interface{}) SeriesExtend
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Mul(b interface{}) SeriesExtend
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Dot(b interface{}, limit ...int) float64
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Array(limit ...int) (result []float64)
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Reverse(limit ...int) (result floats.Slice)
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Change(offset ...int) SeriesExtend
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PercentageChange(offset ...int) SeriesExtend
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Stdev(params ...int) float64
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Rolling(window int) *RollingResult
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Shift(offset int) SeriesExtend
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Skew(length int) float64
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Variance(length int) float64
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Covariance(b Series, length int) float64
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Correlation(b Series, length int, method ...CorrFunc) float64
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AutoCorrelation(length int, lag ...int) float64
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Rank(length int) SeriesExtend
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Sigmoid() SeriesExtend
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Softmax(window int) SeriesExtend
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Entropy(window int) float64
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CrossEntropy(b Series, window int) float64
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Filter(b func(i int, value float64) bool, length int) SeriesExtend
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}
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func NewSeries(a Series) SeriesExtend {
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return &SeriesBase{
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Series: a,
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}
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}
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type UpdatableSeries interface {
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Series
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Update(float64)
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}
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type UpdatableSeriesExtend interface {
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SeriesExtend
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Update(float64)
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}
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func Clone(u UpdatableSeriesExtend) UpdatableSeriesExtend {
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method, ok := reflect.TypeOf(u).MethodByName("Clone")
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if ok {
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out := method.Func.Call([]reflect.Value{reflect.ValueOf(u)})
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return out[0].Interface().(UpdatableSeriesExtend)
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}
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panic("method Clone not exist")
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}
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func TestUpdate(u UpdatableSeriesExtend, input float64) UpdatableSeriesExtend {
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method, ok := reflect.TypeOf(u).MethodByName("TestUpdate")
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if ok {
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out := method.Func.Call([]reflect.Value{reflect.ValueOf(u), reflect.ValueOf(input)})
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return out[0].Interface().(UpdatableSeriesExtend)
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}
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panic("method TestUpdate not exist")
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}
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// The interface maps to pinescript basic type `series` for bool type
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// Access the internal historical data from the latest to the oldest
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// Index(0) always maps to Last()
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type BoolSeries interface {
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Last() bool
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Index(int) bool
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Length() int
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}
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// Calculate sum of the series
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// if limit is given, will only sum first limit numbers (a.Index[0..limit])
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// otherwise will sum all elements
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func Sum(a Series, limit ...int) (sum float64) {
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l := a.Length()
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if len(limit) > 0 && limit[0] < l {
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l = limit[0]
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}
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for i := 0; i < l; i++ {
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sum += a.Last(i)
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}
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return sum
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}
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// Calculate the average value of the series
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// if limit is given, will only calculate the average of first limit numbers (a.Index[0..limit])
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// otherwise will operate on all elements
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func Mean(a Series, limit ...int) (mean float64) {
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l := a.Length()
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if l == 0 {
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return 0
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}
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if len(limit) > 0 && limit[0] < l {
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l = limit[0]
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}
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return Sum(a, l) / float64(l)
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}
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