Merge pull request #723 from zenixls2/feature/ssf

feature: add Ehler's Super smoother filter
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Zenix 2022-06-16 13:09:18 +09:00 committed by GitHub
commit b691572c0b
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3 changed files with 200 additions and 0 deletions

114
pkg/indicator/ssf.go Normal file
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package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
// Refer: https://easylanguagemastery.com/indicators/predictive-indicators/
// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/ssf.py
// Ehler's Super Smoother Filter
//
// John F. Ehlers's solution to reduce lag and remove aliasing noise with his
// research in aerospace analog filter design. This indicator comes with two
// versions determined by the keyword poles. By default, it uses two poles but
// there is an option for three poles. Since SSF is a (Resursive) Digital Filter,
// the number of poles determine how many prior recursive SSF bars to include in
// the design of the filter. So two poles uses two prior SSF bars and three poles
// uses three prior SSF bars for their filter calculations.
//
//go:generate callbackgen -type SSF
type SSF struct {
types.IntervalWindow
Poles int
c1 float64
c2 float64
c3 float64
c4 float64
Values types.Float64Slice
UpdateCallbacks []func(value float64)
}
func (inc *SSF) Update(value float64) {
if inc.Poles == 3 {
if inc.Values == nil {
x := math.Pi / float64(inc.Window)
a0 := math.Exp(-x)
b0 := 2. * a0 * math.Cos(math.Sqrt(3.)*x)
c0 := a0 * a0
inc.c4 = c0 * c0
inc.c3 = -c0 * (1. + b0)
inc.c2 = c0 + b0
inc.c1 = 1. - inc.c2 - inc.c3 - inc.c4
inc.Values = types.Float64Slice{}
}
result := inc.c1*value +
inc.c2*inc.Values.Index(0) +
inc.c3*inc.Values.Index(1) +
inc.c4*inc.Values.Index(2)
inc.Values.Push(result)
} else { // poles == 2
if inc.Values == nil {
x := math.Pi * math.Sqrt(2.) / float64(inc.Window)
a0 := math.Exp(-x)
inc.c3 = -a0 * a0
inc.c2 = 2. * a0 * math.Cos(x)
inc.c1 = 1. - inc.c2 - inc.c3
inc.Values = types.Float64Slice{}
}
result := inc.c1*value +
inc.c2*inc.Values.Index(0) +
inc.c3*inc.Values.Index(1)
inc.Values.Push(result)
}
}
func (inc *SSF) Index(i int) float64 {
if inc.Values == nil {
return 0.0
}
return inc.Values.Index(i)
}
func (inc *SSF) Length() int {
if inc.Values == nil {
return 0
}
return inc.Values.Length()
}
func (inc *SSF) Last() float64 {
if inc.Values == nil {
return 0.0
}
return inc.Values.Last()
}
var _ types.Series = &SSF{}
func (inc *SSF) calculateAndUpdate(allKLines []types.KLine) {
if inc.Values != nil {
inc.Update(allKLines[len(allKLines)-1].Close.Float64())
inc.EmitUpdate(inc.Last())
return
}
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
}
func (inc *SSF) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *SSF) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

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

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pkg/indicator/ssf_test.go Normal file
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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])
size = 5
result = ta.ssf(data, size, 2)
print(result)
result = ta.ssf(data, size, 3)
print(result)
*/
func Test_SSF(t *testing.T) {
var Delta = 0.00001
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
poles int
want float64
next float64
all int
}{
{
name: "pole2",
kLines: buildKLines(input),
poles: 2,
want: 8.721776,
next: 7.723223,
all: 30,
},
{
name: "pole3",
kLines: buildKLines(input),
poles: 3,
want: 8.687588,
next: 7.668013,
all: 30,
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
ssf := SSF{
IntervalWindow: types.IntervalWindow{Window: 5},
Poles: tt.poles,
}
ssf.calculateAndUpdate(tt.kLines)
assert.InDelta(t, tt.want, ssf.Last(), Delta)
assert.InDelta(t, tt.next, ssf.Index(1), Delta)
assert.Equal(t, tt.all, ssf.Length())
})
}
}