indicator: add v2 MACD

This commit is contained in:
c9s 2023-06-01 08:28:49 +08:00
parent ee8bbe3418
commit 01ef6c2628
No known key found for this signature in database
GPG Key ID: 7385E7E464CB0A54
3 changed files with 89 additions and 7 deletions

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@ -75,12 +75,8 @@ func (inc *MACDLegacy) Update(x float64) {
inc.EmitUpdate(macd, signal, histogram) inc.EmitUpdate(macd, signal, histogram)
} }
func (inc *MACDLegacy) Last(int) float64 { func (inc *MACDLegacy) Last(i int) float64 {
if len(inc.Values) == 0 { return inc.Values.Last(i)
return 0.0
}
return inc.Values[len(inc.Values)-1]
} }
func (inc *MACDLegacy) Length() int { func (inc *MACDLegacy) Length() int {
@ -111,7 +107,7 @@ func (inc *MACDValues) Last(i int) float64 {
} }
func (inc *MACDValues) Index(i int) float64 { func (inc *MACDValues) Index(i int) float64 {
return inc.Values.Last(i) return inc.Last(i)
} }
func (inc *MACDValues) Length() int { func (inc *MACDValues) Length() int {

29
pkg/indicator/v2_macd.go Normal file
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@ -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,
}
}

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@ -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)
}
})
}
}