bbgo_origin/pkg/indicator/klingeroscillator.go

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package indicator
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import (
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Klinger Oscillator
// Refer URL: https://www.investopedia.com/terms/k/klingeroscillator.asp
// Explanation:
// The Klinger Oscillator is a technical indicator that was developed by Stephen Klinger.
// It is based on the assumption that there is a relationship between money flow and price movement in the stock market.
// The Klinger Oscillator is calculated by taking the difference between a 34-period and 55-period moving average.
// Usually the indicator is using together with a 9-period or 13-period of moving average as the signal line.
// This indicator is often used to identify potential turning points in the market, as well as to confirm the strength of a trend.
//
//go:generate callbackgen -type KlingerOscillator
type KlingerOscillator struct {
types.SeriesBase
types.IntervalWindow
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Fast types.UpdatableSeries
Slow types.UpdatableSeries
VF VolumeForce
updateCallbacks []func(value float64)
}
func (inc *KlingerOscillator) Length() int {
if inc.Fast == nil || inc.Slow == nil {
return 0
}
return inc.Fast.Length()
}
func (inc *KlingerOscillator) Last(i int) float64 {
if inc.Fast == nil || inc.Slow == nil {
return 0
}
return inc.Fast.Last(i) - inc.Slow.Last(i)
}
func (inc *KlingerOscillator) Update(high, low, cloze, volume float64) {
if inc.Fast == nil {
inc.SeriesBase.Series = inc
inc.Fast = &EWMA{IntervalWindow: types.IntervalWindow{Window: 34, Interval: inc.Interval}}
inc.Slow = &EWMA{IntervalWindow: types.IntervalWindow{Window: 55, Interval: inc.Interval}}
}
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if inc.VF.lastSum > 0 {
inc.VF.Update(high, low, cloze, volume)
inc.Fast.Update(inc.VF.Value)
inc.Slow.Update(inc.VF.Value)
} else {
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inc.VF.Update(high, low, cloze, volume)
}
}
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var _ types.SeriesExtend = &KlingerOscillator{}
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func (inc *KlingerOscillator) PushK(k types.KLine) {
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.Volume.Float64())
}
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func (inc *KlingerOscillator) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
// Utility to hold the state of calculation
type VolumeForce struct {
dm float64
cm float64
trend float64
lastSum float64
Value float64
}
func (inc *VolumeForce) Update(high, low, cloze, volume float64) {
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if inc.lastSum == 0 {
inc.dm = high - low
inc.cm = inc.dm
inc.trend = 1.
inc.lastSum = high + low + cloze
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inc.Value = volume // first volume is not calculated
return
}
trend := 1.
if high+low+cloze <= inc.lastSum {
trend = -1.
}
dm := high - low
if inc.trend == trend {
inc.cm = inc.cm + dm
} else {
inc.cm = inc.dm + dm
}
inc.trend = trend
inc.lastSum = high + low + cloze
inc.dm = dm
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inc.Value = volume * (2.*(inc.dm/inc.cm) - 1.) * trend
}