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Merge pull request #728 from zenixls2/feature/dmi

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feature: add dmi indicator
This commit is contained in:
Yo-An Lin 2022-06-17 01:13:53 +08:00 committed by GitHub
commit 7225a597f2
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7 changed files with 263 additions and 16 deletions
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5
pkg/indicator/atr.go
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@ -25,7 +25,10 @@ func (inc *ATR) Update(high, low, cloze float64) {
}
if inc.RMA == nil {
inc.RMA = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
inc.RMA = &RMA{
IntervalWindow: types.IntervalWindow{Window: inc.Window},
Adjust: true,
}
inc.PreviousClose = cloze
return
}

21
pkg/indicator/atr_test.go
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@ -9,6 +9,25 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
/*
python
import pandas as pd
import pandas_ta as ta
data = {
"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],
"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],
"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]
}
high = pd.Series(data['high'])
low = pd.Series(data['low'])
close = pd.Series(data['close'])
result = ta.atr(high, low, close, length=14)
print(result)
*/
func Test_calculateATR(t *testing.T) {
var bytes = []byte(`{
"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],
@ -35,7 +54,7 @@ func Test_calculateATR(t *testing.T) {
name: "test_binance_btcusdt_1h",
kLines: buildKLines(bytes),
window: 14,
want: 364.048648,
want: 367.913903,
},
}

113
pkg/indicator/dmi.go Normal file
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@ -0,0 +1,113 @@
package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
// Refer: https://www.investopedia.com/terms/d/dmi.asp
// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/trend/adx.py
//
// Directional Movement Index
// an indicator developed by J. Welles Wilder in 1978 that identifies in which
// direction the price of an asset is moving.
//go:generate callbackgen -type DMI
type DMI struct {
types.IntervalWindow
ADXSmoothing int
atr *ATR
DMP types.UpdatableSeries
DMN types.UpdatableSeries
DIPlus *types.Queue
DIMinus *types.Queue
ADX types.UpdatableSeries
PrevHigh, PrevLow float64
UpdateCallbacks []func(diplus, diminus, adx float64)
}
func (inc *DMI) Update(high, low, cloze float64) {
if inc.DMP == nil || inc.DMN == nil {
inc.DMP = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
inc.DMN = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
inc.ADX = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.ADXSmoothing}, Adjust: true}
}
if inc.atr == nil {
inc.atr = &ATR{IntervalWindow: inc.IntervalWindow}
inc.atr.Update(high, low, cloze)
inc.PrevHigh = high
inc.PrevLow = low
inc.DIPlus = types.NewQueue(500)
inc.DIMinus = types.NewQueue(500)
return
}
inc.atr.Update(high, low, cloze)
up := high - inc.PrevHigh
dn := inc.PrevLow - low
inc.PrevHigh = high
inc.PrevLow = low
pos := 0.0
if up > dn && up > 0. {
pos = up
}
neg := 0.0
if dn > up && dn > 0. {
neg = dn
}
inc.DMP.Update(pos)
inc.DMN.Update(neg)
if inc.atr.Length() < inc.Window {
return
}
k := 100. / inc.atr.Last()
dmp := inc.DMP.Last()
dmn := inc.DMN.Last()
inc.DIPlus.Update(k * dmp)
inc.DIMinus.Update(k * dmn)
dx := 100. * math.Abs(dmp-dmn) / (dmp + dmn)
inc.ADX.Update(dx)
}
func (inc *DMI) GetDIPlus() types.Series {
return inc.DIPlus
}
func (inc *DMI) GetDIMinus() types.Series {
return inc.DIMinus
}
func (inc *DMI) GetADX() types.Series {
return inc.ADX
}
func (inc *DMI) Length() int {
return inc.ADX.Length()
}
func (inc *DMI) calculateAndUpdate(allKLines []types.KLine) {
if inc.ADX == nil {
for _, k := range allKLines {
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
}
} else {
k := allKLines[len(allKLines)-1]
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
inc.EmitUpdate(inc.DIPlus.Last(), inc.DIMinus.Last(), inc.ADX.Last())
}
}
func (inc *DMI) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *DMI) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

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

83
pkg/indicator/dmi_test.go Normal file
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@ -0,0 +1,83 @@
package indicator
import (
"encoding/json"
"testing"
"fmt"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/stretchr/testify/assert"
)
/*
python:
import pandas as pd
import pandas_ta as ta
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])
high = pd.Series([100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109])
low = pd.Series([80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89])
close = pd.Series([90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99])
result = ta.adx(high, low, close, 5, 14)
print(result['ADX_14'])
print(result['DMP_5'])
print(result['DMN_5'])
*/
func Test_DMI(t *testing.T) {
var Delta = 0.001
var highb = []byte(`[100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109, 100, 101, 102, 103, 104, 105, 106, 107, 108, 109]`)
var lowb = []byte(`[80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89,80,81,82,83,84,85,86,87,88,89]`)
var clozeb = []byte(`[90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99,90,91,92,93,94,95,96,97,98,99]`)
buildKLines := func(h, l, c []byte) (klines []types.KLine) {
var hv, cv, lv []fixedpoint.Value
_ = json.Unmarshal(h, &hv)
_ = json.Unmarshal(l, &lv)
_ = json.Unmarshal(c, &cv)
if len(hv) != len(lv) || len(lv) != len(cv) {
panic(fmt.Sprintf("length not equal %v %v %v", len(hv), len(lv), len(cv)))
}
for i, hh := range hv {
kline := types.KLine{High: hh, Low: lv[i], Close: cv[i]}
klines = append(klines, kline)
}
return klines
}
type output struct{dip float64; dim float64; adx float64}
tests := []struct {
name string
klines []types.KLine
want output
next output
total int
}{
{
name: "test_dmi",
klines: buildKLines(highb, lowb, clozeb),
want: output{dip: 4.85114, dim: 1.339736, adx: 37.857156},
next: output{dip: 4.813853, dim: 1.67532, adx: 36.111434},
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
dmi := &DMI{
IntervalWindow: types.IntervalWindow{Window: 5},
ADXSmoothing: 14,
}
dmi.calculateAndUpdate(tt.klines)
assert.InDelta(t, dmi.GetDIPlus().Last(), tt.want.dip, Delta)
assert.InDelta(t, dmi.GetDIMinus().Last(), tt.want.dim, Delta)
assert.InDelta(t, dmi.GetADX().Last(), tt.want.adx, Delta)
})
}
}

37
pkg/indicator/rma.go
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@ -6,33 +6,42 @@ import (
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Running Moving Average
// Running Moving Average
// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/rma.py#L5
// Refer: https://pandas.pydata.org/docs/reference/api/pandas.DataFrame.ewm.html#pandas-dataframe-ewm
//go:generate callbackgen -type RMA
type RMA struct {
types.IntervalWindow
Values types.Float64Slice
Sources types.Float64Slice
Values types.Float64Slice
counter int
Adjust bool
tmp float64
sum float64
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *RMA) Update(x float64) {
inc.Sources.Push(x)
lambda := 1 / float64(inc.Window)
if inc.counter == 0 {
inc.sum = 1
inc.tmp = x
} else {
if inc.Adjust {
inc.sum = inc.sum*(1-lambda) + 1
inc.tmp = inc.tmp + (x-inc.tmp)/inc.sum
} else {
inc.tmp = inc.tmp*(1-lambda) + x*lambda
}
}
inc.counter++
if len(inc.Sources) < inc.Window {
if inc.counter < inc.Window {
inc.Values.Push(0)
return
}
if len(inc.Sources) == inc.Window {
inc.Values.Push(inc.Sources.Mean())
return
}
lambda := 1 / float64(inc.Window)
rma := (1-lambda)*inc.Values.Last() + lambda*x
inc.Values.Push(rma)
inc.Values.Push(inc.tmp)
}
func (inc *RMA) Last() float64 {

5
pkg/types/indicator.go
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@ -63,6 +63,11 @@ type Series interface {
Length() int
}
type UpdatableSeries interface {
Series
Update(float64)
}
// The interface maps to pinescript basic type `series` for bool type
// Access the internal historical data from the latest to the oldest
// Index(0) always maps to Last()