bbgo_origin/pkg/indicator/atrp.go

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package indicator
import (
"math"
"time"
"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/types"
)
// ATRP is the average true range percentage
// See also https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atrp
//
// The Average True Range Percentage (ATRP) is a technical analysis indicator that measures the volatility of a security's price. It is
// calculated by dividing the Average True Range (ATR) of the security by its closing price, and then multiplying the result by 100 to convert
// it to a percentage. The ATR is a measure of the range of a security's price, taking into account gaps between trading periods and any limit
// moves (sharp price movements that are allowed under certain exchange rules). The ATR is typically smoothed using a moving average to make it
// more responsive to changes in the underlying price data. The ATRP is a useful indicator for traders because it provides a way to compare the
// volatility of different securities, regardless of their individual prices. It can also be used to identify potential entry and exit points
// for trades based on changes in the security's volatility.
//
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// Calculation:
//
// ATRP = (Average True Range / Close) * 100
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//
//go:generate callbackgen -type ATRP
type ATRP struct {
types.SeriesBase
types.IntervalWindow
PercentageVolatility floats.Slice
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PreviousClose float64
RMA *RMA
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *ATRP) Update(high, low, cloze float64) {
if inc.Window <= 0 {
panic("window must be greater than 0")
}
if inc.RMA == nil {
inc.SeriesBase.Series = inc
inc.RMA = &RMA{
IntervalWindow: types.IntervalWindow{Window: inc.Window},
Adjust: true,
}
inc.PreviousClose = cloze
return
}
// calculate true range
trueRange := high - low
hc := math.Abs(high - inc.PreviousClose)
lc := math.Abs(low - inc.PreviousClose)
if trueRange < hc {
trueRange = hc
}
if trueRange < lc {
trueRange = lc
}
// Note: this is the difference from ATR
trueRange = trueRange / inc.PreviousClose * 100.0
inc.PreviousClose = cloze
// apply rolling moving average
inc.RMA.Update(trueRange)
atr := inc.RMA.Last(0)
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inc.PercentageVolatility.Push(atr / cloze)
}
func (inc *ATRP) Last(i int) float64 {
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if inc.RMA == nil {
return 0
}
return inc.RMA.Last(i)
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}
func (inc *ATRP) Index(i int) float64 {
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return inc.Last(i)
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}
func (inc *ATRP) Length() int {
if inc.RMA == nil {
return 0
}
return inc.RMA.Length()
}
var _ types.SeriesExtend = &ATRP{}
func (inc *ATRP) PushK(k types.KLine) {
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
}
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func (inc *ATRP) CalculateAndUpdate(kLines []types.KLine) {
for _, k := range kLines {
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
continue
}
inc.PushK(k)
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}
inc.EmitUpdate(inc.Last(0))
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inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
}
func (inc *ATRP) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.CalculateAndUpdate(window)
}
func (inc *ATRP) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}