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Fix klingerOscillator, add test for it

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This commit is contained in:
zenix 2023-01-12 19:37:36 +09:00
parent 1ca79db4e5
commit 746279d0a7
2 changed files with 71 additions and 32 deletions
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50
pkg/indicator/klingeroscillator.go
View File

@ -1,6 +1,8 @@
package indicator
import "github.com/c9s/bbgo/pkg/types"
import (
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Klinger Oscillator
// Refer URL: https://www.investopedia.com/terms/k/klingeroscillator.asp
@ -14,8 +16,8 @@ import "github.com/c9s/bbgo/pkg/types"
type KlingerOscillator struct {
types.SeriesBase
types.IntervalWindow
Fast *EWMA
Slow *EWMA
Fast types.UpdatableSeries
Slow types.UpdatableSeries
VF VolumeForce
updateCallbacks []func(value float64)
@ -47,9 +49,14 @@ func (inc *KlingerOscillator) Update(high, low, cloze, volume float64) {
inc.Fast = &EWMA{IntervalWindow: types.IntervalWindow{Window: 34, Interval: inc.Interval}}
inc.Slow = &EWMA{IntervalWindow: types.IntervalWindow{Window: 55, Interval: inc.Interval}}
}
inc.VF.Update(high, low, cloze, volume)
inc.Fast.Update(inc.VF.Value)
inc.Slow.Update(inc.VF.Value)
if inc.VF.lastSum > 0 {
inc.VF.Update(high, low, cloze, volume)
inc.Fast.Update(inc.VF.Value)
inc.Slow.Update(inc.VF.Value)
} else {
inc.VF.Update(high, low, cloze, volume)
}
}
var _ types.SeriesExtend = &KlingerOscillator{}
@ -58,29 +65,8 @@ func (inc *KlingerOscillator) PushK(k types.KLine) {
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.Volume.Float64())
}
func (inc *KlingerOscillator) CalculateAndUpdate(allKLines []types.KLine) {
if inc.Fast == nil {
for _, k := range allKLines {
inc.PushK(k)
inc.EmitUpdate(inc.Last())
}
} else {
k := allKLines[len(allKLines)-1]
inc.PushK(k)
inc.EmitUpdate(inc.Last())
}
}
func (inc *KlingerOscillator) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.CalculateAndUpdate(window)
}
func (inc *KlingerOscillator) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
func (inc *KlingerOscillator) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
// Utility to hold the state of calculation
@ -93,12 +79,12 @@ type VolumeForce struct {
}
func (inc *VolumeForce) Update(high, low, cloze, volume float64) {
if inc.Value == 0 {
if inc.lastSum == 0 {
inc.dm = high - low
inc.cm = inc.dm
inc.trend = 1.
inc.lastSum = high + low + cloze
inc.Value = volume * 100.
inc.Value = volume // first volume is not calculated
return
}
trend := 1.
@ -114,5 +100,5 @@ func (inc *VolumeForce) Update(high, low, cloze, volume float64) {
inc.trend = trend
inc.lastSum = high + low + cloze
inc.dm = dm
inc.Value = volume * (2.*(inc.dm/inc.cm) - 1.) * trend * 100.
inc.Value = volume * (2.*(inc.dm/inc.cm) - 1.) * trend
}

53
pkg/indicator/klingeroscillator_test.go Normal file
View File

@ -0,0 +1,53 @@
package indicator
import (
"encoding/json"
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
"github.com/stretchr/testify/assert"
)
/*
import pandas as pd
import pandas_ta as ta
high = pd.Series([1.1, 1.3, 1.5, 1.7, 1.9, 2.2, 2.4, 2.1, 1.8, 1.7])
low = pd.Series([0.9, 1.1, 1.2, 1.5, 1.7, 2.0, 2.2, 1.9, 1.6, 1.5])
close = pd.Series([1.0, 1.2, 1.4, 1.6, 1.8, 2.1, 2.3, 2.0, 1.7, 1.6])
vol = pd.Series([300., 200., 200., 150., 150., 200., 200., 150., 300., 350.])
# kvo = ta.kvo(high, low, close, vol, fast=3, slow=5, signal=1)
# print(kvo)
# # The implementation of kvo in pandas_ta is different from the one defined in investopedia
# # VF is not simply multipying trend
# # Also the value is not multiplied by 100 in pandas_ta
*/
func Test_KlingerOscillator(t *testing.T) {
var high, low, cloze, vResult, vol []fixedpoint.Value
if err := json.Unmarshal([]byte(`[1.1, 1.3, 1.5, 1.7, 1.9, 2.2, 2.4, 2.1, 1.8, 1.7]`), &high); err != nil {
panic(err)
}
if err := json.Unmarshal([]byte(`[0.9, 1.1, 1.2, 1.5, 1.7, 2.0, 2.2, 1.9, 1.6, 1.5]`), &low); err != nil {
panic(err)
}
if err := json.Unmarshal([]byte(`[1.0, 1.2, 1.4, 1.6, 1.8, 2.1, 2.3, 2.0, 1.7, 1.6]`), &cloze); err != nil {
panic(err)
}
if err := json.Unmarshal([]byte(`[300.0, 200.0, 200.0, 150.0, 150.0, 200.0, 200.0, 150.0, 300.0, 350.0]`), &vol); err != nil {
panic(err)
}
if err := json.Unmarshal([]byte(`[300.0, 0.0, -28.5, -83, -95, -138, -146.7, 0, 100, 175]`), &vResult); err != nil {
panic(err)
}
k := KlingerOscillator{
Fast: &EWMA{IntervalWindow: types.IntervalWindow{Window: 3}},
Slow: &EWMA{IntervalWindow: types.IntervalWindow{Window: 5}},
}
var Delta = 0.5
for i := 0; i < len(high); i++ {
k.Update(high[i].Float64(), low[i].Float64(), cloze[i].Float64(), vol[i].Float64())
assert.InDelta(t, k.VF.Value, vResult[i].Float64(), Delta)
}
}