bbgo/pkg/indicator/dmi.go

118 lines
3.4 KiB
Go

package indicator
import (
"math"
"git.qtrade.icu/lychiyu/bbgo/pkg/types"
)
// Refer: https://www.investopedia.com/terms/d/dmi.asp
// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/trend/adx.py
//
// Directional Movement Index
//
// The Directional Movement Index (DMI) is a technical analysis indicator that is used to identify the direction and strength of a trend
// in a security's price. It was developed by J. Welles Wilder and is based on the concept of the +DI and -DI lines, which measure the strength
// of upward and downward price movements, respectively. The DMI is calculated by taking the difference between the +DI and -DI lines, and then
// smoothing the result using a moving average. This resulting line is called the Average Directional Index (ADX), and is used to identify whether
// a security is trending or not. If the ADX is above a certain threshold, typically 20, it indicates that the security is in a strong trend,
// and if it is below that threshold it indicates that the security is in a sideways or choppy market. The DMI can be used by traders to confirm
// the direction and strength of a trend, or to identify potential entry and exit points for trades.
//go:generate callbackgen -type DMI
type DMI struct {
types.IntervalWindow
ADXSmoothing int
atr *ATR
DMP types.UpdatableSeriesExtend
DMN types.UpdatableSeriesExtend
DIPlus *types.Queue
DIMinus *types.Queue
ADX types.UpdatableSeriesExtend
PrevHigh, PrevLow float64
updateCallbacks []func(diplus, diminus, adx float64)
}
func (inc *DMI) Update(high, low, cloze float64) {
if inc.DMP == nil || inc.DMN == nil {
inc.DMP = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
inc.DMN = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
inc.ADX = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.ADXSmoothing}, Adjust: true}
}
if inc.atr == nil {
inc.atr = &ATR{IntervalWindow: inc.IntervalWindow}
inc.atr.Update(high, low, cloze)
inc.PrevHigh = high
inc.PrevLow = low
inc.DIPlus = types.NewQueue(500)
inc.DIMinus = types.NewQueue(500)
return
}
inc.atr.Update(high, low, cloze)
up := high - inc.PrevHigh
dn := inc.PrevLow - low
inc.PrevHigh = high
inc.PrevLow = low
pos := 0.0
if up > dn && up > 0. {
pos = up
}
neg := 0.0
if dn > up && dn > 0. {
neg = dn
}
inc.DMP.Update(pos)
inc.DMN.Update(neg)
if inc.atr.Length() < inc.Window {
return
}
k := 100. / inc.atr.Last(0)
dmp := inc.DMP.Last(0)
dmn := inc.DMN.Last(0)
inc.DIPlus.Update(k * dmp)
inc.DIMinus.Update(k * dmn)
dx := 100. * math.Abs(dmp-dmn) / (dmp + dmn)
inc.ADX.Update(dx)
}
func (inc *DMI) GetDIPlus() types.SeriesExtend {
return inc.DIPlus
}
func (inc *DMI) GetDIMinus() types.SeriesExtend {
return inc.DIMinus
}
func (inc *DMI) GetADX() types.SeriesExtend {
return inc.ADX
}
func (inc *DMI) Length() int {
return inc.ADX.Length()
}
func (inc *DMI) PushK(k types.KLine) {
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
}
func (inc *DMI) CalculateAndUpdate(allKLines []types.KLine) {
last := allKLines[len(allKLines)-1]
if inc.ADX == nil {
for _, k := range allKLines {
inc.PushK(k)
inc.EmitUpdate(inc.DIPlus.Last(0), inc.DIMinus.Last(0), inc.ADX.Last(0))
}
} else {
inc.PushK(last)
inc.EmitUpdate(inc.DIPlus.Last(0), inc.DIMinus.Last(0), inc.ADX.Last(0))
}
}