bbgo_origin/pkg/indicator/macd.go

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package indicator
import (
"time"
"github.com/c9s/bbgo/pkg/types"
)
/*
macd implements moving average convergence divergence indicator
Moving Average Convergence Divergence (MACD)
- https://www.investopedia.com/terms/m/macd.asp
- https://school.stockcharts.com/doku.php?id=technical_indicators:macd-histogram
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*/
//go:generate callbackgen -type MACD
type MACD struct {
types.IntervalWindow // 9
ShortPeriod int // 12
LongPeriod int // 26
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Values types.Float64Slice
FastEWMA *EWMA
SlowEWMA *EWMA
SignalLine *EWMA
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Histogram types.Float64Slice
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EndTime time.Time
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updateCallbacks []func(value float64)
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}
func (inc *MACD) Update(x float64) {
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if len(inc.Values) == 0 {
inc.FastEWMA = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.ShortPeriod}}
inc.SlowEWMA = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.LongPeriod}}
inc.SignalLine = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
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}
// update fast and slow ema
inc.FastEWMA.Update(x)
inc.SlowEWMA.Update(x)
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// update macd
macd := inc.FastEWMA.Last() - inc.SlowEWMA.Last()
inc.Values.Push(macd)
// update signal line
inc.SignalLine.Update(macd)
// update histogram
inc.Histogram.Push(macd - inc.SignalLine.Last())
}
func (inc *MACD) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
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func (inc *MACD) Length() int {
return len(inc.Values)
}
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func (inc *MACD) PushK(k types.KLine) {
inc.Update(k.Close.Float64())
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}
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func (inc *MACD) MACD() types.SeriesExtend {
out := &MACDValues{MACD: inc}
out.SeriesBase.Series = out
return out
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}
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func (inc *MACD) Singals() types.SeriesExtend {
return inc.SignalLine
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}
type MACDValues struct {
types.SeriesBase
*MACD
}
func (inc *MACDValues) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *MACDValues) Index(i int) float64 {
length := len(inc.Values)
if length == 0 || length-1-i < 0 {
return 0.0
}
return inc.Values[length-1+i]
}
func (inc *MACDValues) Length() int {
return len(inc.Values)
}