bbgo_origin/pkg/indicator/dema.go

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package indicator
import (
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Double Exponential Moving Average
// Refer URL: https://investopedia.com/terms/d/double-exponential-moving-average.asp
//go:generate callbackgen -type DEMA
type DEMA struct {
types.IntervalWindow
types.SeriesBase
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Values types.Float64Slice
a1 *EWMA
a2 *EWMA
UpdateCallbacks []func(value float64)
}
func (inc *DEMA) Update(value float64) {
if len(inc.Values) == 0 {
inc.SeriesBase.Series = inc
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inc.a1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
inc.a2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
}
inc.a1.Update(value)
inc.a2.Update(inc.a1.Last())
inc.Values.Push(2*inc.a1.Last() - inc.a2.Last())
if len(inc.Values) > MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
}
func (inc *DEMA) Last() float64 {
return inc.Values.Last()
}
func (inc *DEMA) Index(i int) float64 {
if len(inc.Values)-i-1 >= 0 {
return inc.Values[len(inc.Values)-1-i]
}
return 0
}
func (inc *DEMA) Length() int {
return len(inc.Values)
}
var _ types.SeriesExtend = &DEMA{}
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func (inc *DEMA) calculateAndUpdate(allKLines []types.KLine) {
if inc.a1 == nil {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
} else {
inc.Update(allKLines[len(allKLines)-1].Close.Float64())
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inc.EmitUpdate(inc.Last())
}
}
func (inc *DEMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *DEMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}