Add smma indicator and test

This commit is contained in:
giou-k 2024-03-01 11:36:48 +02:00
parent 6123a4a14e
commit 0013ec30db
2 changed files with 74 additions and 0 deletions

47
pkg/indicator/v2/smma.go Normal file
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package indicatorv2
import (
"github.com/c9s/bbgo/pkg/types"
)
type SMMAStream struct {
*types.Float64Series
window int
rawValues *types.Queue
source types.Float64Source
}
func SMMA2(source types.Float64Source, window int) *SMMAStream {
s := &SMMAStream{
Float64Series: types.NewFloat64Series(),
window: window,
rawValues: types.NewQueue(window),
source: source,
}
s.Bind(source, s)
return s
}
func (s *SMMAStream) Calculate(v float64) float64 {
var out float64
sourceLen := s.source.Length()
if sourceLen < s.window {
// Until we reach the end of the period, sum the prices.
// First, calculate the sum, and it will be automatically saved too.
s.rawValues.Sum(s.window)
// Then save the input value to use it later on.
s.rawValues.Update(v)
} else if sourceLen == s.window {
// We need the SMA for the first time.
s.rawValues.Update(v)
out = s.rawValues.Mean(s.window)
} else {
// For all the rest values, just use the formula.
last := s.Slice.Last(0)
out = (last*float64((s.window-1.0)) + v) / float64(s.window)
}
return out
}

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package indicatorv2
import (
"testing"
"github.com/stretchr/testify/assert"
"github.com/c9s/bbgo/pkg/types"
)
func TestSMMA(t *testing.T) {
source := types.NewFloat64Series()
smma := SMMA2(source, 3)
data := []float64{10, 20, 30, 40, 50, 60, 70, 80, 90}
for _, d := range data {
source.PushAndEmit(d)
}
// Assert the first 3 and last 3 value outputs.
assert.InDelta(t, 0, smma.Last(len(data)-1), 0.001)
assert.InDelta(t, 0, smma.Last(len(data)-2), 0.001)
assert.InDelta(t, 20, smma.Last(len(data)-3), 0.001)
assert.InDelta(t, 51.97530864197531, smma.Last(2), 0.001)
assert.InDelta(t, 61.31687242798355, smma.Last(1), 0.001)
assert.InDelta(t, 70.87791495198904, smma.Last(0), 0.001)
}