bbgo_origin/pkg/indicator/hull.go

65 lines
1.4 KiB
Go
Raw Normal View History

2022-04-19 10:22:22 +00:00
package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Hull Moving Average
// Refer URL: https://fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/hull-moving-average
//go:generate callbackgen -type HULL
type HULL struct {
types.SeriesBase
2022-04-19 10:22:22 +00:00
types.IntervalWindow
ma1 *EWMA
ma2 *EWMA
2022-04-19 10:22:22 +00:00
result *EWMA
2022-07-13 17:16:39 +00:00
updateCallbacks []func(value float64)
2022-04-19 10:22:22 +00:00
}
2022-07-26 10:26:52 +00:00
var _ types.SeriesExtend = &HULL{}
2022-04-19 10:22:22 +00:00
func (inc *HULL) Update(value float64) {
if inc.result == nil {
inc.SeriesBase.Series = inc
inc.ma1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window / 2}}
2022-04-19 10:22:22 +00:00
inc.ma2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
inc.result = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, int(math.Sqrt(float64(inc.Window)))}}
}
inc.ma1.Update(value)
inc.ma2.Update(value)
inc.result.Update(2*inc.ma1.Last() - inc.ma2.Last())
2022-04-19 10:22:22 +00:00
}
func (inc *HULL) Last() float64 {
if inc.result == nil {
return 0
}
2022-04-19 10:22:22 +00:00
return inc.result.Last()
}
func (inc *HULL) Index(i int) float64 {
if inc.result == nil {
return 0
}
2022-04-19 10:22:22 +00:00
return inc.result.Index(i)
}
func (inc *HULL) Length() int {
if inc.result == nil {
return 0
}
2022-04-19 10:22:22 +00:00
return inc.result.Length()
}
2022-07-26 10:26:52 +00:00
func (inc *HULL) PushK(k types.KLine) {
if inc.ma1 != nil && inc.ma1.Length() > 0 && k.EndTime.Before(inc.ma1.EndTime) {
return
}
2022-04-19 10:22:22 +00:00
2022-07-26 10:26:52 +00:00
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
2022-04-19 10:22:22 +00:00
}