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feature: add tsi and klinger oscillator, fix wdrift div 0 issue
This commit is contained in:
zenix
parent
2b20ff4da9
commit
38461167ba
118
pkg/indicator/klingeroscillator.go
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118
pkg/indicator/klingeroscillator.go
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@ -0,0 +1,118 @@
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package indicator
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import "github.com/c9s/bbgo/pkg/types"
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// Refer: Klinger Oscillator
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// Refer URL: https://www.investopedia.com/terms/k/klingeroscillator.asp
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// Explanation:
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// The Klinger Oscillator is a technical indicator that was developed by Stephen Klinger.
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// It is based on the assumption that there is a relationship between money flow and price movement in the stock market.
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// The Klinger Oscillator is calculated by taking the difference between a 34-period and 55-period moving average.
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// Usually the indicator is using together with a 9-period or 13-period of moving average as the signal line.
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// This indicator is often used to identify potential turning points in the market, as well as to confirm the strength of a trend.
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//go:generate callbackgen -type KlingerOscillator
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type KlingerOscillator struct {
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types.SeriesBase
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types.IntervalWindow
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Fast *EWMA
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Slow *EWMA
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VF VolumeForce
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updateCallbacks []func(value float64)
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}
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func (inc *KlingerOscillator) Length() int {
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if inc.Fast == nil || inc.Slow == nil {
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return 0
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}
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return inc.Fast.Length()
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}
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func (inc *KlingerOscillator) Last() float64 {
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if inc.Fast == nil || inc.Slow == nil {
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return 0
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}
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return inc.Fast.Last() - inc.Slow.Last()
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}
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func (inc *KlingerOscillator) Index(i int) float64 {
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if inc.Fast == nil || inc.Slow == nil {
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return 0
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}
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return inc.Fast.Index(i) - inc.Slow.Index(i)
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}
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func (inc *KlingerOscillator) Update(high, low, cloze, volume float64) {
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if inc.Fast == nil {
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inc.SeriesBase.Series = inc
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inc.Fast = &EWMA{IntervalWindow: types.IntervalWindow{Window: 34, Interval: inc.Interval}}
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inc.Slow = &EWMA{IntervalWindow: types.IntervalWindow{Window: 55, Interval: inc.Interval}}
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}
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inc.VF.Update(high, low, cloze, volume)
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inc.Fast.Update(inc.VF.Value)
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inc.Slow.Update(inc.VF.Value)
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}
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var _ types.SeriesExtend = &KlingerOscillator{}
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func (inc *KlingerOscillator) PushK(k types.KLine) {
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inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.Volume.Float64())
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}
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func (inc *KlingerOscillator) CalculateAndUpdate(allKLines []types.KLine) {
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if inc.Fast == nil {
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for _, k := range allKLines {
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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}
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func (inc *KlingerOscillator) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.CalculateAndUpdate(window)
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}
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func (inc *KlingerOscillator) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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// Utility to hold the state of calculation
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type VolumeForce struct {
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dm float64
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cm float64
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trend float64
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lastSum float64
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Value float64
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}
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func (inc *VolumeForce) Update(high, low, cloze, volume float64) {
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if inc.Value == 0 {
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inc.dm = high - low
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inc.cm = inc.dm
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inc.trend = 1.
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inc.lastSum = high + low + cloze
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inc.Value = volume * 100.
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return
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}
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trend := 1.
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if high+low+cloze <= inc.lastSum {
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trend = -1.
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}
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dm := high - low
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if inc.trend == trend {
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inc.cm = inc.cm + dm
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} else {
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inc.cm = inc.dm + dm
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}
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inc.trend = trend
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inc.lastSum = high + low + cloze
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inc.dm = dm
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inc.Value = volume * (2.*(inc.dm/inc.cm) - 1.) * trend * 100.
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}
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15
pkg/indicator/klingeroscillator_callbacks.go
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15
pkg/indicator/klingeroscillator_callbacks.go
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@ -0,0 +1,15 @@
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// Code generated by "callbackgen -type KlingerOscillator"; DO NOT EDIT.
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package indicator
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import ()
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func (inc *KlingerOscillator) OnUpdate(cb func(value float64)) {
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inc.updateCallbacks = append(inc.updateCallbacks, cb)
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}
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func (inc *KlingerOscillator) EmitUpdate(value float64) {
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for _, cb := range inc.updateCallbacks {
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cb(value)
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}
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}
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107
pkg/indicator/tsi.go
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107
pkg/indicator/tsi.go
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@ -0,0 +1,107 @@
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package indicator
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import (
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"math"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/types"
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)
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// Refer: True Strength Index
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// Refer URL: https://www.investopedia.com/terms/t/tsi.asp
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//go:generate callbackgen -type TSI
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type TSI struct {
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types.SeriesBase
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types.IntervalWindow
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PrevValue float64
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Values floats.Slice
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Pcs *EWMA
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Pcds *EWMA
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Apcs *EWMA
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Apcds *EWMA
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updateCallbacks []func(value float64)
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}
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func (inc *TSI) Update(value float64) {
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if inc.Pcs == nil {
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inc.Pcs = &EWMA{
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IntervalWindow: types.IntervalWindow{
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Window: 25,
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Interval: inc.Interval,
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},
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}
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inc.Pcds = &EWMA{
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IntervalWindow: types.IntervalWindow{
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Window: 13,
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Interval: inc.Interval,
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},
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}
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inc.Apcs = &EWMA{
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IntervalWindow: types.IntervalWindow{
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Window: 25,
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Interval: inc.Interval,
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},
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}
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inc.Apcds = &EWMA{
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IntervalWindow: types.IntervalWindow{
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Window: 13,
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Interval: inc.Interval,
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},
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}
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inc.SeriesBase.Series = inc
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}
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if inc.PrevValue == 0 {
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inc.PrevValue = value
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return
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}
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pc := value - inc.PrevValue
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inc.Pcs.Update(pc)
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inc.Pcds.Update(inc.Pcs.Last())
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apc := math.Abs(pc)
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inc.Apcs.Update(apc)
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inc.Apcds.Update(inc.Apcs.Last())
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tsi := (inc.Pcds.Last() / inc.Apcds.Last()) * 100.
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inc.Values.Push(tsi)
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if inc.Values.Length() > MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
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}
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inc.PrevValue = value
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}
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func (inc *TSI) Last() float64 {
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return inc.Values.Last()
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}
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func (inc *TSI) Index(i int) float64 {
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return inc.Values.Index(i)
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}
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func (inc *TSI) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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var _ types.SeriesExtend = &TSI{}
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func (inc *TSI) CalculateAndUpdate(allKLines []types.KLine) {
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if inc.PrevValue == 0 {
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for _, k := range allKLines {
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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}
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func (inc *TSI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.CalculateAndUpdate(window)
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}
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func (inc *TSI) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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15
pkg/indicator/tsi_callbacks.go
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15
pkg/indicator/tsi_callbacks.go
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@ -0,0 +1,15 @@
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// Code generated by "callbackgen -type TSI"; DO NOT EDIT.
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package indicator
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import ()
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func (inc *TSI) OnUpdate(cb func(value float64)) {
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inc.updateCallbacks = append(inc.updateCallbacks, cb)
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}
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func (inc *TSI) EmitUpdate(value float64) {
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for _, cb := range inc.updateCallbacks {
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cb(value)
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}
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}
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1
pkg/indicator/tsi_test.go
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1
pkg/indicator/tsi_test.go
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@ -0,0 +1 @@
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package indicator
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@ -23,23 +23,23 @@ type WeightedDrift struct {
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}
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func (inc *WeightedDrift) Update(value float64, weight float64) {
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win := 10
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if inc.Window > win {
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win = inc.Window
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if weight == 0 {
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inc.LastValue = value
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return
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}
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if inc.chng == nil {
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inc.SeriesBase.Series = inc
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if inc.MA == nil {
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inc.MA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
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}
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inc.Weight = types.NewQueue(win)
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inc.Weight = types.NewQueue(inc.Window)
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inc.chng = types.NewQueue(inc.Window)
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inc.LastValue = value
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inc.Weight.Update(weight)
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return
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}
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inc.Weight.Update(weight)
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base := inc.Weight.Lowest(win)
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base := inc.Weight.Lowest(inc.Window)
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multiplier := int(weight / base)
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var chng float64
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if value == 0 {
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