Merge pull request #707 from zenixls2/feature/alma

feature: add basic implementation of alma indicator

pkg/indicator/alma.go

@@ -0,0 +1,95 @@
+package indicator
+
+import (
+	"math"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// Refer: Arnaud Legoux Moving Average
+// Refer: https://capital.com/arnaud-legoux-moving-average
+// Also check https://github.com/DaveSkender/Stock.Indicators/blob/main/src/a-d/Alma/Alma.cs
+// @param offset: Gaussian applied to the combo line. 1->ema, 0->sma
+// @param sigma: the standard deviation applied to the combo line. This makes the combo line sharper
+//go:generate callbackgen -type ALMA
+type ALMA struct {
+	types.IntervalWindow         // required
+	Offset               float64 // required: recommend to be 5
+	Sigma                int     // required: recommend to be 0.5
+	Weight               []float64
+	Sum                  float64
+	input                []float64
+	Values               types.Float64Slice
+	UpdateCallbacks      []func(value float64)
+}
+
+const MaxNumOfALMA = 5_000
+const MaxNumOfALMATruncateSize = 100
+
+func (inc *ALMA) Update(value float64) {
+	if inc.Weight == nil {
+		inc.Weight = make([]float64, inc.Window)
+		m := inc.Offset * (float64(inc.Window) - 1.)
+		s := float64(inc.Window) / float64(inc.Sigma)
+		inc.Sum = 0.
+		for i := 0; i < inc.Window; i++ {
+			diff := float64(i) - m
+			wt := math.Exp(-diff * diff / 2. / s / s)
+			inc.Sum += wt
+			inc.Weight[i] = wt
+		}
+	}
+	inc.input = append(inc.input, value)
+	if len(inc.input) >= inc.Window {
+		weightedSum := 0.0
+		inc.input = inc.input[len(inc.input)-inc.Window:]
+		for i := 0; i < inc.Window; i++ {
+			weightedSum += inc.Weight[inc.Window-i-1] * inc.input[i]
+		}
+		inc.Values.Push(weightedSum / inc.Sum)
+		if len(inc.Values) > MaxNumOfALMA {
+			inc.Values = inc.Values[MaxNumOfALMATruncateSize-1:]
+		}
+	}
+}
+
+func (inc *ALMA) Last() float64 {
+	if len(inc.Values) == 0 {
+		return 0
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
+func (inc *ALMA) Index(i int) float64 {
+	if i >= len(inc.Values) {
+		return 0
+	}
+	return inc.Values[len(inc.Values)-i-1]
+}
+
+func (inc *ALMA) Length() int {
+	return len(inc.Values)
+}
+
+func (inc *ALMA) calculateAndUpdate(allKLines []types.KLine) {
+	if inc.input == nil {
+		for _, k := range allKLines {
+			inc.Update(k.Close.Float64())
+			inc.EmitUpdate(inc.Last())
+		}
+		return
+	}
+	inc.Update(allKLines[len(allKLines)-1].Close.Float64())
+	inc.EmitUpdate(inc.Last())
+}
+
+func (inc *ALMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *ALMA) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/alma_callbacks.go

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

pkg/indicator/alma_test.go

@@ -0,0 +1,61 @@
+package indicator
+
+import (
+	"encoding/json"
+	"testing"
+
+	"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])
+sigma = 6
+offset = 0.9
+size = 5
+
+result = ta.alma(data, size, sigma, offset)
+print(result)
+*/
+func Test_ALMA(t *testing.T) {
+	var Delta = 0.01
+	var randomPrices = []byte(`[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]`)
+	var input []fixedpoint.Value
+	if err := json.Unmarshal(randomPrices, &input); err != nil {
+		panic(err)
+	}
+	tests := []struct {
+		name   string
+		kLines []types.KLine
+		want   float64
+		next   float64
+		all    int
+	}{
+		{
+			name:   "random_case",
+			kLines: buildKLines(input),
+			want:   5.60785,
+			next:   4.60785,
+			all:    26,
+		},
+	}
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			alma := ALMA{
+				IntervalWindow: types.IntervalWindow{Window: 5},
+				Offset:         0.9,
+				Sigma:          6,
+			}
+			alma.calculateAndUpdate(tt.kLines)
+			assert.InDelta(t, tt.want, alma.Last(), Delta)
+			assert.InDelta(t, tt.next, alma.Index(1), Delta)
+			assert.Equal(t, tt.all, alma.Length())
+		})
+	}
+}