143 lines
3.7 KiB
Go
143 lines
3.7 KiB
Go
package indicator
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import (
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"math"
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"git.qtrade.icu/lychiyu/bbgo/pkg/datatype/floats"
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"git.qtrade.icu/lychiyu/bbgo/pkg/types"
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)
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// Refer: https://tradingview.com/script/aDymGrFx-Drift-Study-Inspired-by-Monte-Carlo-Simulations-with-BM-KL/
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// Brownian Motion's drift factor
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// could be used in Monte Carlo Simulations
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//
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// In the context of Brownian motion, drift can be measured by calculating the simple moving average (SMA) of the logarithm
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// of the price changes of a security over a specified period of time. This SMA can be used to identify the long-term trend
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// or bias in the random movement of the security's price. A security with a positive drift is said to be trending upwards,
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// while a security with a negative drift is said to be trending downwards. Drift can be used by traders to identify potential
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// entry and exit points for trades, or to confirm other technical analysis signals.
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// It is typically used in conjunction with other indicators to provide a more comprehensive view of the security's price.
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//go:generate callbackgen -type Drift
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type Drift struct {
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types.SeriesBase
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types.IntervalWindow
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chng *types.Queue
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Values floats.Slice
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MA types.UpdatableSeriesExtend
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LastValue float64
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UpdateCallbacks []func(value float64)
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}
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func (inc *Drift) Update(value float64) {
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if inc.chng == nil {
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inc.SeriesBase.Series = inc
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if inc.MA == nil {
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inc.MA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
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}
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inc.chng = types.NewQueue(inc.Window)
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inc.LastValue = value
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return
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}
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var chng float64
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if value == 0 {
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chng = 0
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} else {
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chng = math.Log(value / inc.LastValue)
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inc.LastValue = value
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}
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inc.MA.Update(chng)
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inc.chng.Update(chng)
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if inc.chng.Length() >= inc.Window {
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stdev := types.Stdev(inc.chng, inc.Window)
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drift := inc.MA.Last(0) - stdev*stdev*0.5
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inc.Values.Push(drift)
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}
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}
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// Assume that MA is SMA
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func (inc *Drift) ZeroPoint() float64 {
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window := float64(inc.Window)
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stdev := types.Stdev(inc.chng, inc.Window)
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chng := inc.chng.Index(inc.Window - 1)
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/*b := -2 * inc.MA.Last() - 2
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c := window * stdev * stdev - chng * chng + 2 * chng * (inc.MA.Last() + 1) - 2 * inc.MA.Last() * window
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root := math.Sqrt(b*b - 4*c)
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K1 := (-b + root)/2
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K2 := (-b - root)/2
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N1 := math.Exp(K1) * inc.LastValue
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N2 := math.Exp(K2) * inc.LastValue
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if math.Abs(inc.LastValue-N1) < math.Abs(inc.LastValue-N2) {
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return N1
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} else {
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return N2
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}*/
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return inc.LastValue * math.Exp(window*(0.5*stdev*stdev)+chng-inc.MA.Last(0)*window)
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}
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func (inc *Drift) Clone() (out *Drift) {
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out = &Drift{
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IntervalWindow: inc.IntervalWindow,
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chng: inc.chng.Clone(),
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Values: inc.Values[:],
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MA: types.Clone(inc.MA),
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LastValue: inc.LastValue,
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}
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out.SeriesBase.Series = out
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return out
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}
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func (inc *Drift) TestUpdate(value float64) *Drift {
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out := inc.Clone()
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out.Update(value)
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return out
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}
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func (inc *Drift) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *Drift) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *Drift) Length() int {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Length()
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}
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var _ types.SeriesExtend = &Drift{}
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func (inc *Drift) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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func (inc *Drift) CalculateAndUpdate(allKLines []types.KLine) {
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if inc.chng == nil {
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for _, k := range allKLines {
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inc.PushK(k)
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inc.EmitUpdate(inc.Last(0))
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}
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last(0))
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}
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}
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func (inc *Drift) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.CalculateAndUpdate(window)
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}
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func (inc *Drift) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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