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fix: fix change, feature: implement vidya and till

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This commit is contained in:
zenix 2022-04-21 19:28:11 +09:00
parent 22d8c2efff
commit 5dc69a6175
8 changed files with 237 additions and 15 deletions
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4
pkg/indicator/hull.go
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@ -20,13 +20,13 @@ type HULL struct {
func (inc *HULL) Update(value float64) {
if inc.result.Length() == 0 {
inc.ma1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window/2}}
inc.ma1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window / 2}}
inc.ma2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
inc.result = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, int(math.Sqrt(float64(inc.Window)))}}
}
inc.ma1.Update(value)
inc.ma2.Update(value)
inc.result.Update(2 * inc.ma1.Last() - inc.ma2.Last())
inc.result.Update(2*inc.ma1.Last() - inc.ma2.Last())
}
func (inc *HULL) Last() float64 {

108
pkg/indicator/till.go
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@ -1 +1,109 @@
package indicator
import (
"github.com/c9s/bbgo/pkg/types"
)
const defaultVolumeFactor = 0.7
// Refer: Tillson T3 Moving Average
// Refer URL: https://tradingpedia.com/forex-trading-indicator/t3-moving-average-indicator/
//go:generate callbackgen -type TILL
type TILL struct {
types.IntervalWindow
VolumeFactor float64
e1 *EWMA
e2 *EWMA
e3 *EWMA
e4 *EWMA
e5 *EWMA
e6 *EWMA
c1 float64
c2 float64
c3 float64
c4 float64
UpdateCallbacks []func(value float64)
}
func (inc *TILL) Update(value float64) {
if inc.e1 == nil || inc.e1.Length() == 0 {
if inc.VolumeFactor == 0 {
inc.VolumeFactor = defaultVolumeFactor
}
inc.e1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
inc.e2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
inc.e3 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
inc.e4 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
inc.e5 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
inc.e6 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
square := inc.VolumeFactor * inc.VolumeFactor
cube := inc.VolumeFactor * square
inc.c1 = -cube
inc.c2 = 3.*square + 3.*cube
inc.c3 = -6.*square - 3*inc.VolumeFactor - 3*cube
inc.c4 = 1 + 3*inc.VolumeFactor + cube + 3*square
}
inc.e1.Update(value)
inc.e2.Update(inc.e1.Last())
inc.e3.Update(inc.e2.Last())
inc.e4.Update(inc.e3.Last())
inc.e5.Update(inc.e4.Last())
inc.e6.Update(inc.e5.Last())
}
func (inc *TILL) Last() float64 {
if inc.e1.Length() == 0 {
return 0
}
e3 := inc.e3.Last()
e4 := inc.e4.Last()
e5 := inc.e5.Last()
e6 := inc.e6.Last()
return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3
}
func (inc *TILL) Index(i int) float64 {
if inc.e1.Length() <= i {
return 0
}
e3 := inc.e3.Index(i)
e4 := inc.e4.Index(i)
e5 := inc.e5.Index(i)
e6 := inc.e6.Index(i)
return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3
}
func (inc *TILL) Length() int {
return inc.e1.Length()
}
var _ types.Series = &TILL{}
func (inc *TILL) calculateAndUpdate(allKLines []types.KLine) {
doable := false
if inc.e1.Length() == 0 {
doable = true
}
for _, k := range allKLines {
if !doable && k.StartTime.After(inc.e1.LastOpenTime) {
doable = true
}
if doable {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
}
func (inc *TILL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *TILL) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

15
pkg/indicator/till_callbacks.go Normal file
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@ -0,0 +1,15 @@
// Code generated by "callbackgen -type TILL"; DO NOT EDIT.
package indicator
import ()
func (inc *TILL) OnUpdate(cb func(value float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *TILL) EmitUpdate(value float64) {
for _, cb := range inc.UpdateCallbacks {
cb(value)
}
}

1
pkg/indicator/tsf.go
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@ -1 +0,0 @@
package indicator

85
pkg/indicator/vidya.go
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@ -1 +1,86 @@
package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Variable Index Dynamic Average
// Refer URL: https://metatrader5.com/en/terminal/help/indicators/trend_indicators/vida
//go:generate callbackgen -type VIDYA
type VIDYA struct {
types.IntervalWindow
Values types.Float64Slice
input types.Float64Slice
UpdateCallbacks []func(value float64)
}
func (inc *VIDYA) Update(value float64) {
if inc.Values.Length() == 0 {
inc.Values.Push(value)
inc.input.Push(value)
return
}
inc.input.Push(value)
if len(inc.input) > MaxNumOfEWMA {
inc.input = inc.input[MaxNumOfEWMATruncateSize-1:]
}
upsum := 0.
downsum := 0.
for i := 0; i < inc.Window; i++ {
if len(inc.input) <= i+1 {
break
}
diff := inc.input.Index(i) - inc.input.Index(i+1)
if diff > 0 {
upsum += diff
} else {
downsum += -diff
}
}
if upsum == 0 && downsum == 0 {
return
}
CMO := math.Abs((upsum - downsum) / (upsum + downsum))
alpha := 2. / float64(inc.Window+1)
inc.Values.Push(value*alpha*CMO + inc.Values.Last()*(1.-alpha*CMO))
if inc.Values.Length() > MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
}
func (inc *VIDYA) Last() float64 {
return inc.Values.Last()
}
func (inc *VIDYA) Index(i int) float64 {
return inc.Values.Index(i)
}
func (inc *VIDYA) Length() int {
return inc.Values.Length()
}
var _ types.Series = &VIDYA{}
func (inc *VIDYA) calculateAndUpdate(allKLines []types.KLine) {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
func (inc *VIDYA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *VIDYA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

15
pkg/indicator/vidya_callbacks.go Normal file
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@ -0,0 +1,15 @@
// Code generated by "callbackgen -type VIDYA"; DO NOT EDIT.
package indicator
import ()
func (inc *VIDYA) OnUpdate(cb func(value float64)) {
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
}
func (inc *VIDYA) EmitUpdate(value float64) {
for _, cb := range inc.UpdateCallbacks {
cb(value)
}
}

2
pkg/indicator/wwma.go
View File

@ -1,8 +1,8 @@
package indicator
import (
"time"
"github.com/c9s/bbgo/pkg/types"
"time"
)
// Refer: Welles Wilder's Moving Average

2
pkg/types/indicator.go
View File

@ -502,7 +502,7 @@ func (c *ChangeResult) Length() int {
// offset: if not given, offset is 1.
func Change(a Series, offset ...int) Series {
o := 1
if len(offset) == 0 {
if len(offset) > 0 {
o = offset[0]
}