mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
feature: add psar
This commit is contained in:
parent
2b62616513
commit
c0f82977b0
109
pkg/indicator/psar.go
Normal file
109
pkg/indicator/psar.go
Normal file
|
@ -0,0 +1,109 @@
|
|||
package indicator
|
||||
|
||||
import (
|
||||
"time"
|
||||
|
||||
"github.com/c9s/bbgo/pkg/types"
|
||||
)
|
||||
|
||||
// Parabolic SAR(Stop and Reverse)
|
||||
// Refer: https://www.investopedia.com/terms/p/parabolicindicator.asp
|
||||
// The parabolic SAR indicator, developed by J. Wells Wilder, is used by traders to determine
|
||||
// trend direction and potential reversals in price. The indicator uses a trailing stop and
|
||||
// reverse method called "SAR," or stop and reverse, to identify suitable exit and entry points.
|
||||
// Traders also refer to the indicator as to the parabolic stop and reverse, parabolic SAR, or PSAR.
|
||||
//
|
||||
// The parabolic SAR indicator appears on a chart as a series of dots, either above or below an asset's
|
||||
// price, depending on the direction the price is moving. A dot is placed below the price when it is
|
||||
// trending upward, and above the price when it is trending downward.
|
||||
|
||||
//go:generate callbackgen -type PSAR
|
||||
type PSAR struct {
|
||||
types.SeriesBase
|
||||
types.IntervalWindow
|
||||
Input *types.Queue
|
||||
Value *types.Queue // Stop and Reverse
|
||||
AF float64 // Acceleration Factor
|
||||
|
||||
EndTime time.Time
|
||||
UpdateCallbacks []func(value float64)
|
||||
}
|
||||
|
||||
func (inc *PSAR) Last() float64 {
|
||||
if inc.Value == nil {
|
||||
return 0
|
||||
}
|
||||
return inc.Value.Last()
|
||||
}
|
||||
|
||||
func (inc *PSAR) Length() int {
|
||||
if inc.Value == nil {
|
||||
return 0
|
||||
}
|
||||
return inc.Value.Length()
|
||||
}
|
||||
|
||||
func (inc *PSAR) Update(value float64) {
|
||||
if inc.Input == nil {
|
||||
inc.SeriesBase.Series = inc
|
||||
inc.Input = types.NewQueue(inc.Window)
|
||||
inc.Value = types.NewQueue(inc.Window)
|
||||
inc.AF = 0.02
|
||||
}
|
||||
inc.Input.Update(value)
|
||||
if inc.Input.Length() == inc.Window {
|
||||
pprev := inc.Value.Index(1)
|
||||
ppsar := inc.Value.Last()
|
||||
if value > ppsar { // rising formula
|
||||
high := inc.Input.Highest(inc.Window)
|
||||
inc.Value.Update(ppsar + inc.AF*(high-ppsar))
|
||||
if high == value {
|
||||
inc.AF += 0.02
|
||||
if inc.AF > 0.2 {
|
||||
inc.AF = 0.2
|
||||
}
|
||||
}
|
||||
if pprev > ppsar { // reverse
|
||||
inc.AF = 0.02
|
||||
}
|
||||
} else { // falling formula
|
||||
low := inc.Input.Lowest(inc.Window)
|
||||
inc.Value.Update(ppsar - inc.AF*(ppsar-low))
|
||||
if low == value {
|
||||
inc.AF += 0.02
|
||||
if inc.AF > 0.2 {
|
||||
inc.AF = 0.2
|
||||
}
|
||||
}
|
||||
if pprev < ppsar { // reverse
|
||||
inc.AF = 0.02
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
var _ types.SeriesExtend = &PSAR{}
|
||||
|
||||
func (inc *PSAR) CalculateAndUpdate(kLines []types.KLine) {
|
||||
for _, k := range kLines {
|
||||
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
|
||||
continue
|
||||
}
|
||||
inc.Update(k.Close.Float64())
|
||||
}
|
||||
|
||||
inc.EmitUpdate(inc.Last())
|
||||
inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
|
||||
}
|
||||
|
||||
func (inc *PSAR) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
||||
if inc.Interval != interval {
|
||||
return
|
||||
}
|
||||
|
||||
inc.CalculateAndUpdate(window)
|
||||
}
|
||||
|
||||
func (inc *PSAR) Bind(updater KLineWindowUpdater) {
|
||||
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
||||
}
|
15
pkg/indicator/psar_callbacks.go
Normal file
15
pkg/indicator/psar_callbacks.go
Normal file
|
@ -0,0 +1,15 @@
|
|||
// Code generated by "callbackgen -type PSAR"; DO NOT EDIT.
|
||||
|
||||
package indicator
|
||||
|
||||
import ()
|
||||
|
||||
func (inc *PSAR) OnUpdate(cb func(value float64)) {
|
||||
inc.UpdateCallbacks = append(inc.UpdateCallbacks, cb)
|
||||
}
|
||||
|
||||
func (inc *PSAR) EmitUpdate(value float64) {
|
||||
for _, cb := range inc.UpdateCallbacks {
|
||||
cb(value)
|
||||
}
|
||||
}
|
Loading…
Reference in New Issue
Block a user