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fix: tsi, add test

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This commit is contained in:
zenix 2022-12-19 19:27:07 +09:00
parent 75caa6565e
commit 2811dbb580
2 changed files with 54 additions and 9 deletions
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30
pkg/indicator/tsi.go
View File

@ -12,7 +12,9 @@ import (
//go:generate callbackgen -type TSI
type TSI struct {
types.SeriesBase
types.IntervalWindow
types.Interval
FastWindow int
SlowWindow int
PrevValue float64
Values floats.Slice
Pcs *EWMA
@ -24,48 +26,58 @@ type TSI struct {
func (inc *TSI) Update(value float64) {
if inc.Pcs == nil {
if inc.FastWindow == 0 {
inc.FastWindow = 13
}
if inc.SlowWindow == 0 {
inc.SlowWindow = 25
}
inc.Pcs = &EWMA{
IntervalWindow: types.IntervalWindow{
Window: 25,
Window: inc.SlowWindow,
Interval: inc.Interval,
},
}
inc.Pcds = &EWMA{
IntervalWindow: types.IntervalWindow{
Window: 13,
Window: inc.FastWindow,
Interval: inc.Interval,
},
}
inc.Apcs = &EWMA{
IntervalWindow: types.IntervalWindow{
Window: 25,
Window: inc.SlowWindow,
Interval: inc.Interval,
},
}
inc.Apcds = &EWMA{
IntervalWindow: types.IntervalWindow{
Window: 13,
Window: inc.FastWindow,
Interval: inc.Interval,
},
}
inc.SeriesBase.Series = inc
}
if inc.PrevValue == 0 {
inc.PrevValue = value
return
}
pc := value - inc.PrevValue
inc.PrevValue = value
inc.Pcs.Update(pc)
inc.Pcds.Update(inc.Pcs.Last())
apc := math.Abs(pc)
inc.Apcs.Update(apc)
inc.Pcds.Update(inc.Pcs.Last())
inc.Apcds.Update(inc.Apcs.Last())
tsi := (inc.Pcds.Last() / inc.Apcds.Last()) * 100.
inc.Values.Push(tsi)
if inc.Values.Length() > MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
inc.PrevValue = value
}
func (inc *TSI) Length() int {
return inc.Values.Length()
}
func (inc *TSI) Last() float64 {

33
pkg/indicator/tsi_test.go
View File

@ -1 +1,34 @@
package indicator
import (
"encoding/json"
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/stretchr/testify/assert"
)
/*
import pandas as pd
data = 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])
ma1 = data.diff(1).ewm(span=25, adjust=False).mean()
ma2 = ma1.ewm(span=13, adjust=False).mean()
ma3 = data.diff(1).abs().ewm(span=25, adjust=False).mean()
ma4 = ma3.ewm(span=13, adjust=False).mean()
print(ma2/ma4*100.)
*/
func Test_TSI(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]`)
var input []fixedpoint.Value
if err := json.Unmarshal(randomPrices, &input); err != nil {
panic(err)
}
tsi := TSI{}
klines := buildKLines(input)
tsi.CalculateAndUpdate(klines)
assert.Equal(t, tsi.Length(), 29)
Delta := 1.5e-2
assert.InDelta(t, tsi.Last(), 22.89, Delta)
}