indicator/linreg: LinReg indicator

This commit is contained in:
Andy Cheng 2022-10-21 16:14:47 +08:00
parent 7dd951e39c
commit 7de9975336
2 changed files with 113 additions and 0 deletions

98
pkg/indicator/linreg.go Normal file
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package indicator
import (
"github.com/sirupsen/logrus"
"time"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/types"
)
var log = logrus.WithField("indicator", "supertrend")
// LinReg is Linear Regression baseline
//go:generate callbackgen -type LinReg
type LinReg struct {
types.SeriesBase
types.IntervalWindow
// Values are the slopes of linear regression baseline
Values floats.Slice
klines types.KLineWindow
EndTime time.Time
UpdateCallbacks []func(value float64)
}
// Last slope of linear regression baseline
func (lr *LinReg) Last() float64 {
if lr.Values.Length() == 0 {
return 0.0
}
return lr.Values.Last()
}
// Index returns the slope of specified index
func (lr *LinReg) Index(i int) float64 {
if i >= lr.Values.Length() {
return 0.0
}
return lr.Values.Index(i)
}
// Length of the slope values
func (lr *LinReg) Length() int {
return lr.Values.Length()
}
var _ types.SeriesExtend = &LinReg{}
// Update Linear Regression baseline slope
func (lr *LinReg) Update(kline types.KLine) {
lr.klines.Add(kline)
lr.klines.Truncate(lr.Window)
if len(lr.klines) < lr.Window {
lr.Values.Push(0)
return
}
var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0
end := len(lr.klines) - 1 // The last kline
for i := end; i >= end-lr.Window+1; i-- {
val := lr.klines[i].GetClose().Float64()
per := float64(end - i + 1)
sumX += per
sumY += val
sumXSqr += per * per
sumXY += val * per
}
length := float64(lr.Window)
slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX)
average := sumY / length
endPrice := average - slope*sumX/length + slope
startPrice := endPrice + slope*(length-1)
lr.Values.Push((endPrice - startPrice) / (length - 1))
log.Debugf("linear regression baseline slope: %f", lr.Last())
}
func (lr *LinReg) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, lr.PushK))
}
func (lr *LinReg) PushK(k types.KLine) {
var zeroTime = time.Time{}
if lr.EndTime != zeroTime && k.EndTime.Before(lr.EndTime) {
return
}
lr.Update(k)
lr.EndTime = k.EndTime.Time()
}
func (lr *LinReg) LoadK(allKLines []types.KLine) {
for _, k := range allKLines {
lr.PushK(k)
}
}

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// Code generated by "callbackgen -type LinReg"; DO NOT EDIT.
package indicator
import ()
func (lr *LinReg) OnUpdate(cb func(value float64)) {
lr.UpdateCallbacks = append(lr.UpdateCallbacks, cb)
}
func (lr *LinReg) EmitUpdate(value float64) {
for _, cb := range lr.UpdateCallbacks {
cb(value)
}
}