bbgo_origin/pkg/indicator/ewma.go

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package indicator
import (
"time"
"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/types"
)
// These numbers should be aligned with bbgo MaxNumOfKLines and MaxNumOfKLinesTruncate
const MaxNumOfEWMA = 1_000
const MaxNumOfEWMATruncateSize = 500
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//go:generate callbackgen -type EWMA
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type EWMA struct {
types.IntervalWindow
types.SeriesBase
Values floats.Slice
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EndTime time.Time
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updateCallbacks []func(value float64)
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}
var _ types.SeriesExtend = &EWMA{}
func (inc *EWMA) Clone() *EWMA {
out := &EWMA{
IntervalWindow: inc.IntervalWindow,
Values: inc.Values[:],
}
out.SeriesBase.Series = out
return out
}
func (inc *EWMA) TestUpdate(value float64) *EWMA {
out := inc.Clone()
out.Update(value)
return out
}
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func (inc *EWMA) Update(value float64) {
var multiplier = 2.0 / float64(1+inc.Window)
if len(inc.Values) == 0 {
inc.SeriesBase.Series = inc
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inc.Values.Push(value)
return
} else if len(inc.Values) > MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
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}
ema := (1-multiplier)*inc.Last() + multiplier*value
inc.Values.Push(ema)
}
func (inc *EWMA) Last() float64 {
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if len(inc.Values) == 0 {
return 0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *EWMA) Index(i int) float64 {
if i >= len(inc.Values) {
return 0
}
return inc.Values[len(inc.Values)-1-i]
}
func (inc *EWMA) Length() int {
return len(inc.Values)
}
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func (inc *EWMA) PushK(k types.KLine) {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
return
}
inc.Update(k.Close.Float64())
inc.EndTime = k.EndTime.Time()
inc.EmitUpdate(inc.Last())
}
func CalculateKLinesEMA(allKLines []types.KLine, priceF KLineValueMapper, window int) float64 {
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var multiplier = 2.0 / (float64(window) + 1)
return ewma(MapKLinePrice(allKLines, priceF), multiplier)
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}
// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
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func ewma(prices []float64, multiplier float64) float64 {
var end = len(prices) - 1
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if end == 0 {
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return prices[0]
}
return prices[end]*multiplier + (1-multiplier)*ewma(prices[:end], multiplier)
}