mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
Add smma indicator and test
This commit is contained in:
parent
6123a4a14e
commit
0013ec30db
47
pkg/indicator/v2/smma.go
Normal file
47
pkg/indicator/v2/smma.go
Normal file
|
@ -0,0 +1,47 @@
|
|||
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
|
||||
}
|
27
pkg/indicator/v2/smma_test.go
Normal file
27
pkg/indicator/v2/smma_test.go
Normal file
|
@ -0,0 +1,27 @@
|
|||
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)
|
||||
}
|
Loading…
Reference in New Issue
Block a user