From 01ef6c2628306bcbce15aff6c5ff2f7e534a0945 Mon Sep 17 00:00:00 2001
From: c9s <yoanlin93@gmail.com>
Date: Thu, 1 Jun 2023 08:28:49 +0800
Subject: [PATCH] indicator: add v2 MACD

---
 pkg/indicator/macd.go         | 10 ++----
 pkg/indicator/v2_macd.go      | 29 ++++++++++++++++++
 pkg/indicator/v2_macd_test.go | 57 +++++++++++++++++++++++++++++++++++
 3 files changed, 89 insertions(+), 7 deletions(-)
 create mode 100644 pkg/indicator/v2_macd.go
 create mode 100644 pkg/indicator/v2_macd_test.go

diff --git a/pkg/indicator/macd.go b/pkg/indicator/macd.go
index 2535e9681..6947eb731 100644
--- a/pkg/indicator/macd.go
+++ b/pkg/indicator/macd.go
@@ -75,12 +75,8 @@ func (inc *MACDLegacy) Update(x float64) {
 	inc.EmitUpdate(macd, signal, histogram)
 }
 
-func (inc *MACDLegacy) Last(int) float64 {
-	if len(inc.Values) == 0 {
-		return 0.0
-	}
-
-	return inc.Values[len(inc.Values)-1]
+func (inc *MACDLegacy) Last(i int) float64 {
+	return inc.Values.Last(i)
 }
 
 func (inc *MACDLegacy) Length() int {
@@ -111,7 +107,7 @@ func (inc *MACDValues) Last(i int) float64 {
 }
 
 func (inc *MACDValues) Index(i int) float64 {
-	return inc.Values.Last(i)
+	return inc.Last(i)
 }
 
 func (inc *MACDValues) Length() int {
diff --git a/pkg/indicator/v2_macd.go b/pkg/indicator/v2_macd.go
new file mode 100644
index 000000000..2e52534ac
--- /dev/null
+++ b/pkg/indicator/v2_macd.go
@@ -0,0 +1,29 @@
+package indicator
+
+type MACDStream struct {
+	*SubtractStream
+
+	shortWindow, longWindow, signalWindow int
+
+	fastEWMA, slowEWMA, signal *EWMAStream
+	histogram                  *SubtractStream
+}
+
+func MACD2(source Float64Source, shortWindow, longWindow, signalWindow int) *MACDStream {
+	// bind and calculate these first
+	fastEWMA := EWMA2(source, shortWindow)
+	slowEWMA := EWMA2(source, longWindow)
+	macd := Subtract(fastEWMA, slowEWMA)
+	signal := EWMA2(macd, signalWindow)
+	histogram := Subtract(macd, signal)
+	return &MACDStream{
+		SubtractStream: macd,
+		shortWindow:    shortWindow,
+		longWindow:     longWindow,
+		signalWindow:   signalWindow,
+		fastEWMA:       fastEWMA,
+		slowEWMA:       slowEWMA,
+		signal:         signal,
+		histogram:      histogram,
+	}
+}
diff --git a/pkg/indicator/v2_macd_test.go b/pkg/indicator/v2_macd_test.go
new file mode 100644
index 000000000..74617089a
--- /dev/null
+++ b/pkg/indicator/v2_macd_test.go
@@ -0,0 +1,57 @@
+package indicator
+
+import (
+	"encoding/json"
+	"math"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+/*
+python:
+
+import pandas as pd
+s = pd.Series([0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9])
+slow = s.ewm(span=26, adjust=False).mean()
+fast = s.ewm(span=12, adjust=False).mean()
+print(fast - slow)
+*/
+
+func Test_MACD2(t *testing.T) {
+	var randomPrices = []byte(`[0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9]`)
+	var input []fixedpoint.Value
+	err := json.Unmarshal(randomPrices, &input)
+	assert.NoError(t, err)
+
+	tests := []struct {
+		name   string
+		kLines []types.KLine
+		want   float64
+	}{
+		{
+			name:   "random_case",
+			kLines: buildKLines(input),
+			want:   0.7967670223776384,
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			prices := &PriceStream{}
+			macd := MACD2(prices, 12, 26, 9)
+			for _, k := range tt.kLines {
+				prices.EmitUpdate(k.Close.Float64())
+			}
+
+			got := macd.Last(0)
+			diff := math.Trunc((got-tt.want)*100) / 100
+			if diff != 0 {
+				t.Errorf("MACD2() = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}