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bbgo: add G-H & Kalman filters to the standard indicator set

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This commit is contained in:
Raphanus Lo 2022-09-05 17:13:50 +08:00
parent 425d9e0475
commit 65cd17dbbb
1 changed files with 13 additions and 0 deletions
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13
pkg/bbgo/standard_indicator_set.go
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@ -147,3 +147,16 @@ func (s *StandardIndicatorSet) BOLL(iw types.IntervalWindow, bandWidth float64)
return inc
}
// GHFilter is a helper function that returns the G-H (alpha beta) digital filter of the given interval and the window size.
func (s *StandardIndicatorSet) GHFilter(iw types.IntervalWindow) *indicator.GHFilter {
inc := s.allocateSimpleIndicator(&indicator.GHFilter{IntervalWindow: iw}, iw, "ghfilter")
return inc.(*indicator.GHFilter)
}
// KalmanFilter is a helper function that returns the Kalman digital filter of the given interval and the window size.
// Note that the additional smooth window is set to zero in standard indicator set. Users have to create their own instance and push K-lines if a smoother filter is needed.
func (s *StandardIndicatorSet) KalmanFilter(iw types.IntervalWindow) *indicator.KalmanFilter {
inc := s.allocateSimpleIndicator(&indicator.KalmanFilter{IntervalWindow: iw, AdditionalSmoothWindow: 0}, iw, "kalmanfilter")
return inc.(*indicator.KalmanFilter)
}