Merge pull request #723 from zenixls2/feature/ssf

feature: add Ehler's Super smoother filter

pkg/indicator/ssf.go

@@ -0,0 +1,114 @@
+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)
+}

pkg/indicator/ssf_callbacks.go

@@ -0,0 +1,15 @@
+// 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)
+	}
+}

pkg/indicator/ssf_test.go

@@ -0,0 +1,71 @@
+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())
+		})
+	}
+}