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indicator: add adx
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parent
d58461d1cf
commit
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69
pkg/indicator/v2/adx.go
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69
pkg/indicator/v2/adx.go
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package indicatorv2
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import (
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"math"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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type ADXStream struct {
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*types.Float64Series
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Plus, Minus *types.Float64Series
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window int
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prevHigh, prevLow fixedpoint.Value
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}
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func ADX(source KLineSubscription, window int) *ADXStream {
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var (
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atr = ATR2(source, window)
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dmp = types.NewFloat64Series()
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dmm = types.NewFloat64Series()
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adx = types.NewFloat64Series()
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sdmp = RMA2(dmp, window, true)
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sdmm = RMA2(dmm, window, true)
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sadx = RMA2(adx, window, true)
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s = &ADXStream{
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window: window,
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Plus: types.NewFloat64Series(),
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Minus: types.NewFloat64Series(),
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Float64Series: types.NewFloat64Series(),
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prevHigh: fixedpoint.Zero,
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prevLow: fixedpoint.Zero,
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}
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)
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source.AddSubscriber(func(k types.KLine) {
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up, down := k.High.Sub(s.prevHigh), -k.Low.Sub(s.prevLow)
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if up.Compare(down) > 0 && up > 0 {
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dmp.PushAndEmit(up.Float64())
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} else {
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dmp.PushAndEmit(0.0)
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}
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if down.Compare(up) > 0 && down > 0 {
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dmm.PushAndEmit(down.Float64())
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} else {
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dmm.PushAndEmit(0.0)
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}
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s.Plus.PushAndEmit(sdmp.Last(0) / atr.Last(0) * 100)
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s.Minus.PushAndEmit(sdmm.Last(0) / atr.Last(0) * 100)
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sum := s.Plus.Last(0) + s.Minus.Last(0)
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if sum == 0 {
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sum = 1
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}
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adx.PushAndEmit(math.Abs(s.Plus.Last(0)-s.Minus.Last(0)) / sum)
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s.PushAndEmit(sadx.Last(0) * 100)
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s.prevHigh, s.prevLow = k.High, k.Low
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s.Truncate()
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})
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return s
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}
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func (s *ADXStream) Truncate() {
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s.Slice = s.Slice.Truncate(MaxNumOfRMA)
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}
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61
pkg/indicator/v2/adx_test.go
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61
pkg/indicator/v2/adx_test.go
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package indicatorv2
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import (
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"encoding/json"
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"math"
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"testing"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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func Test_ADX(t *testing.T) {
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var bytes = []byte(`{
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"high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
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"low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
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"close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99, 39693.79, 39827.96, 40074.94, 40059.84]
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}`)
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var buildKLines = func(bytes []byte) (kLines []types.KLine) {
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var prices map[string][]fixedpoint.Value
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_ = json.Unmarshal(bytes, &prices)
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for i, h := range prices["high"] {
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kLine := types.KLine{High: h, Low: prices["low"][i], Close: prices["close"][i]}
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kLines = append(kLines, kLine)
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}
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return kLines
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}
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tests := []struct {
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name string
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kLines []types.KLine
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window int
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want float64
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}{
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{
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name: "test_binance_btcusdt_1h",
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kLines: buildKLines(bytes),
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window: 7,
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want: 31.895091,
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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stream := &types.StandardStream{}
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kLines := KLines(stream, "", "")
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adx := ADX(kLines, tt.window)
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for _, k := range tt.kLines {
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stream.EmitKLineClosed(k)
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}
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got := adx.Last(0)
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diff := math.Trunc((got-tt.want)*100) / 100
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if diff != 0 {
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t.Errorf("ADX() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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