indicator: fix pivot low window calculation

pkg/indicator/pivot_low.go

@@ -1,11 +1,8 @@
 package indicator
 
 import (
-	"fmt"
 	"time"
 
-	log "github.com/sirupsen/logrus"
-
 	"github.com/c9s/bbgo/pkg/types"
 )
 
@@ -15,6 +12,8 @@ type PivotLow struct {
 
 	types.IntervalWindow
 
+	RightWindow int `json:"rightWindow"`
+
 	Lows    types.Float64Slice
 	Values  types.Float64Slice
 	EndTime time.Time
@@ -45,9 +44,8 @@ func (inc *PivotLow) Update(value float64) {
 		return
 	}
 
-	low, err := calculatePivotLow(inc.Lows, inc.Window)
-	if err != nil {
-		log.WithError(err).Errorf("can not calculate pivot low")
+	low, ok := calculatePivotLow(inc.Lows, inc.Window, inc.RightWindow)
+	if !ok {
 		return
 	}
 
@@ -66,17 +64,31 @@ func (inc *PivotLow) PushK(k types.KLine) {
 	inc.EmitUpdate(inc.Last())
 }
 
-func calculatePivotLow(lows types.Float64Slice, window int) (float64, error) {
+func calculatePivotLow(lows types.Float64Slice, left, right int) (float64, bool) {
 	length := len(lows)
-	if length == 0 || length < window {
-		return 0., fmt.Errorf("insufficient elements for calculating with window = %d", window)
+
+	if right == 0 {
+		right = left
+	}
+
+	if length == 0 || length < left+right+1 {
+		return 0.0, false
 	}
 
 	end := length - 1
-	min := lows[end-(window-1):].Min()
-	if min == lows.Index(int(window/2.)-1) {
-		return min, nil
+	index := end - right
+	val := lows[index]
+
+	for i := index - left; i <= index+right; i++ {
+		if i == index {
+			continue
 		}
 
-	return 0., nil
+		// return if we found lower value
+		if lows[i] < val {
+			return 0.0, false
+		}
+	}
+
+	return val, true
 }

pkg/indicator/pivot_low_test.go

@@ -0,0 +1,51 @@
+package indicator
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+)
+
+func Test_calculatePivotLow(t *testing.T) {
+	t.Run("normal", func(t *testing.T) {
+		low, ok := calculatePivotLow([]float64{15.0, 13.0, 12.0, 10.0, 14.0, 15.0}, 2, 2)
+		//                                          ^left ----- ^pivot ---- ^right
+		assert.True(t, ok)
+		assert.Equal(t, 10.0, low)
+
+		low, ok = calculatePivotLow([]float64{15.0, 13.0, 12.0, 10.0, 14.0, 9.0}, 2, 2)
+		//                                          ^left ----- ^pivot ---- ^right
+		assert.False(t, ok)
+
+		low, ok = calculatePivotLow([]float64{15.0, 9.0, 12.0, 10.0, 14.0, 15.0}, 2, 2)
+		//                                          ^left ----- ^pivot ---- ^right
+		assert.False(t, ok)
+	})
+
+	t.Run("different left and right", func(t *testing.T) {
+		low, ok := calculatePivotLow([]float64{11.0, 12.0, 16.0, 15.0, 13.0, 12.0, 10.0, 14.0, 15.0}, 5, 2)
+		//                                         ^left ---------------------- ^pivot ---- ^right
+
+		assert.True(t, ok)
+		assert.Equal(t, 10.0, low)
+
+		low, ok = calculatePivotLow([]float64{9.0, 8.0, 16.0, 15.0, 13.0, 12.0, 10.0, 14.0, 15.0}, 5, 2)
+		//                                         ^left ---------------------- ^pivot ---- ^right
+		// 8.0 < 10.0
+		assert.False(t, ok)
+		assert.Equal(t, 0.0, low)
+	})
+
+	t.Run("right window 0", func(t *testing.T) {
+		low, ok := calculatePivotLow([]float64{15.0, 13.0, 12.0, 10.0, 14.0, 15.0}, 2, 0)
+		assert.True(t, ok)
+		assert.Equal(t, 10.0, low)
+	})
+
+	t.Run("insufficient length", func(t *testing.T) {
+		low, ok := calculatePivotLow([]float64{15.0, 13.0, 12.0, 10.0, 14.0, 15.0}, 3, 3)
+		assert.False(t, ok)
+		assert.Equal(t, 0.0, low)
+	})
+
+}