mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 01:01:56 +00:00
all: replace all Index(i) callers
This commit is contained in:
c9s
parent
5515f588e3
commit
c9c13b2013
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@ -40,19 +40,11 @@ func (inc *AD) Update(high, low, cloze, volume float64) {
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}
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func (inc *AD) Last(i int) float64 {
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length := len(inc.Values)
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.Values[length-i-1]
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return inc.Values.Last(i)
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}
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func (inc *AD) Index(i int) float64 {
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length := len(inc.Values)
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.Values[length-i-1]
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return inc.Last(i)
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}
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func (inc *AD) Length() int {
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@ -66,17 +66,11 @@ func (inc *ALMA) Update(value float64) {
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}
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func (inc *ALMA) Last(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-i-1]
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return inc.Values.Last(i)
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}
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func (inc *ALMA) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-i-1]
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return inc.Last(i)
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}
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func (inc *ALMA) Length() int {
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@ -89,10 +89,7 @@ func (inc *ATR) Last(i int) float64 {
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}
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func (inc *ATR) Index(i int) float64 {
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if inc.RMA == nil {
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return 0
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}
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return inc.RMA.Index(i)
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return inc.Last(i)
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}
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func (inc *ATR) Length() int {
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@ -81,10 +81,7 @@ func (inc *ATRP) Last(i int) float64 {
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}
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func (inc *ATRP) Index(i int) float64 {
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if inc.RMA == nil {
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return 0
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}
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return inc.RMA.Index(i)
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return inc.Last(i)
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}
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func (inc *ATRP) Length() int {
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@ -48,13 +48,6 @@ func (inc *EMV) Update(high, low, vol float64) {
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inc.Values.Update(result)
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}
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func (inc *EMV) Index(i int) float64 {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Index(i)
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}
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func (inc *EMV) Last(i int) float64 {
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if inc.Values == nil {
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return 0
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@ -63,6 +56,10 @@ func (inc *EMV) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *EMV) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *EMV) Length() int {
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if inc.Values == nil {
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return 0
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@ -55,10 +55,6 @@ func (inc *EWMA) Update(value float64) {
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}
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func (inc *EWMA) Last(i int) float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values.Last(i)
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}
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@ -45,24 +45,18 @@ func (inc *GHFilter) update(value, uncertainty float64) {
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inc.lastMeasurement = value
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}
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func (inc *GHFilter) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *GHFilter) Length() int {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Length()
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}
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func (inc *GHFilter) Last(i int) float64 {
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if inc.Values == nil {
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return 0.0
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}
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return inc.Values.Last(i)
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}
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func (inc *GHFilter) Index(i int) float64 {
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return inc.Last(i)
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}
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// interfaces implementation check
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var _ Simple = &GHFilter{}
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var _ types.SeriesExtend = &GHFilter{}
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@ -44,14 +44,11 @@ func (inc *HULL) Last(i int) float64 {
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if inc.result == nil {
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return 0
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}
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return inc.result.Index(i)
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return inc.result.Last(i)
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}
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func (inc *HULL) Index(i int) float64 {
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if inc.result == nil {
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return 0
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}
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return inc.result.Index(i)
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return inc.Last(i)
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}
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func (inc *HULL) Length() int {
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@ -24,12 +24,8 @@ func (inc *PivotHigh) Length() int {
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return inc.Values.Length()
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}
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func (inc *PivotHigh) Last(int) float64 {
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if len(inc.Values) == 0 {
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return 0.0
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}
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return inc.Values.Last(0)
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func (inc *PivotHigh) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *PivotHigh) Update(value float64) {
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@ -24,12 +24,8 @@ func (inc *PivotLow) Length() int {
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return inc.Values.Length()
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}
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func (inc *PivotLow) Last(int) float64 {
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if len(inc.Values) == 0 {
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return 0.0
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}
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return inc.Values.Last(0)
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func (inc *PivotLow) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *PivotLow) Update(value float64) {
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@ -34,11 +34,8 @@ type PSAR struct {
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UpdateCallbacks []func(value float64)
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}
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func (inc *PSAR) Last(int) float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values.Last(0)
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func (inc *PSAR) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *PSAR) Length() int {
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@ -24,8 +24,8 @@ func (s *DriftMA) Update(value, weight float64) {
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s.ma2.Update(s.drift.Last(0))
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}
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func (s *DriftMA) Last(int) float64 {
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return s.ma2.Last(0)
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func (s *DriftMA) Last(i int) float64 {
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return s.ma2.Last(i)
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}
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func (s *DriftMA) Index(i int) float64 {
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@ -8,11 +8,11 @@ type ElliottWave struct {
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}
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func (s *ElliottWave) Index(i int) float64 {
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return s.maQuick.Index(i)/s.maSlow.Index(i) - 1.0
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return s.Last(i)
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}
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func (s *ElliottWave) Last(int) float64 {
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return s.maQuick.Last(0)/s.maSlow.Last(0) - 1.0
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func (s *ElliottWave) Last(i int) float64 {
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return s.maQuick.Index(i)/s.maSlow.Index(i) - 1.0
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}
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func (s *ElliottWave) Length() int {
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@ -180,11 +180,11 @@ type VWEMA struct {
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V types.UpdatableSeries
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}
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func (inc *VWEMA) Last(int) float64 {
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return inc.PV.Last(0) / inc.V.Last(0)
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func (inc *VWEMA) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *VWEMA) Index(i int) float64 {
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func (inc *VWEMA) Last(i int) float64 {
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if i >= inc.PV.Length() {
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return 0
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}
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@ -31,23 +31,14 @@ type MOM struct {
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}
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func (inc *MOM) Index(i int) float64 {
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if inc.Values == nil {
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return 0
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return inc.Last(i)
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}
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func (inc *MOM) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *MOM) Last(int) float64 {
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if inc.Values.Length() == 0 {
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return 0
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}
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return inc.Values.Last(0)
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}
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func (inc *MOM) Length() int {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Length()
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}
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@ -40,20 +40,12 @@ func (inc *PMR) Update(price float64) {
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}
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}
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func (inc *PMR) Last(int) float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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func (inc *PMR) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *PMR) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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return inc.Last(i)
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}
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func (inc *PMR) Length() int {
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@ -47,20 +47,12 @@ func (inc *PVD) Update(price float64, volume float64) {
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}
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}
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func (inc *PVD) Last(int) float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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func (inc *PVD) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *PVD) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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return inc.Last(i)
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}
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func (inc *PVD) Length() int {
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@ -35,20 +35,12 @@ func (inc *RR) Update(price float64) {
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}
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func (inc *RR) Last(int) float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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func (inc *RR) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *RR) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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return inc.Last(i)
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}
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func (inc *RR) Length() int {
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@ -30,23 +30,14 @@ type VMOM struct {
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}
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func (inc *VMOM) Index(i int) float64 {
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if inc.Values == nil {
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return 0
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return inc.Last(i)
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}
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func (inc *VMOM) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *VMOM) Last(int) float64 {
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if inc.Values.Length() == 0 {
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return 0
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}
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return inc.Values.Last(0)
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}
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func (inc *VMOM) Length() int {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Length()
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}
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@ -51,20 +51,12 @@ func (inc *SHARK) Update(high, low, price float64) {
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}
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func (inc *SHARK) Last(int) float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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func (inc *SHARK) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *SHARK) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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return inc.Last(i)
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}
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func (inc *SHARK) Length() int {
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@ -53,20 +53,12 @@ func (inc *NRR) Update(openPrice, closePrice float64) {
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inc.ReturnValues.Push(irr)
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}
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func (inc *NRR) Last(int) float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values[len(inc.Values)-1]
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func (inc *NRR) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *NRR) Index(i int) float64 {
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if i >= len(inc.Values) {
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return 0
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}
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return inc.Values[len(inc.Values)-1-i]
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return inc.Last(i)
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}
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func (inc *NRR) Length() int {
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@ -19,20 +19,13 @@ type LinReg struct {
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}
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// Last slope of linear regression baseline
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func (lr *LinReg) Last(int) float64 {
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if lr.Values.Length() == 0 {
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return 0.0
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}
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return lr.Values.Last(0)
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func (lr *LinReg) Last(i int) float64 {
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return lr.Values.Last(i)
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}
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// Index returns the slope of specified index
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func (lr *LinReg) Index(i int) float64 {
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if i >= lr.Values.Length() {
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return 0.0
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}
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return lr.Values.Index(i)
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return lr.Last(i)
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}
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// Length of the slope values
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@ -12,7 +12,7 @@ func (f *FilterResult) Last(j int) float64 {
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return 0
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}
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if len(f.c) > j {
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return f.a.Index(f.c[j])
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return f.a.Last(f.c[j])
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}
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l := f.a.Length()
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k := len(f.c)
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@ -21,7 +21,7 @@ func (f *FilterResult) Last(j int) float64 {
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i = f.c[k-1] + 1
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}
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for ; i < l; i++ {
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tmp := f.a.Index(i)
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tmp := f.a.Last(i)
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if f.b(i, tmp) {
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f.c = append(f.c, i)
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if j == k {
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@ -26,7 +26,7 @@ func (a *AbsResult) Last(i int) float64 {
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}
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func (a *AbsResult) Index(i int) float64 {
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return math.Abs(a.a.Index(i))
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return a.Last(i)
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}
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func (a *AbsResult) Length() int {
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@ -49,7 +49,7 @@ func LinearRegression(a Series, lookback int) (alpha float64, beta float64) {
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var weights []float64
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for i := 0; i < lookback; i++ {
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x[i] = float64(i)
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y[i] = a.Index(i)
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y[i] = a.Last(i)
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}
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alpha, beta = stat.LinearRegression(x, y, weights, false)
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return
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@ -83,8 +83,8 @@ func NextCross(a Series, b Series, lookback int) (int, float64, bool) {
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var weights []float64
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for i := 0; i < lookback; i++ {
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x[i] = float64(i)
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y1[i] = a.Index(i)
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y2[i] = b.Index(i)
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y1[i] = a.Last(i)
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y2[i] = b.Last(i)
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}
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alpha1, beta1 := stat.LinearRegression(x, y1, weights, false)
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alpha2, beta2 := stat.LinearRegression(x, y2, weights, false)
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@ -113,9 +113,9 @@ func (c *CrossResult) Last() bool {
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return false
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}
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if c.isOver {
|
||||
return c.a.Last(0)-c.b.Last(0) > 0 && c.a.Index(1)-c.b.Index(1) < 0
|
||||
return c.a.Last(0)-c.b.Last(0) > 0 && c.a.Last(1)-c.b.Last(1) < 0
|
||||
} else {
|
||||
return c.a.Last(0)-c.b.Last(0) < 0 && c.a.Index(1)-c.b.Index(1) > 0
|
||||
return c.a.Last(0)-c.b.Last(0) < 0 && c.a.Last(1)-c.b.Last(1) > 0
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -124,9 +124,9 @@ func (c *CrossResult) Index(i int) bool {
|
|||
return false
|
||||
}
|
||||
if c.isOver {
|
||||
return c.a.Index(i)-c.b.Index(i) > 0 && c.a.Index(i+1)-c.b.Index(i+1) < 0
|
||||
return c.a.Last(i)-c.b.Last(i) > 0 && c.a.Last(i+1)-c.b.Last(i+1) < 0
|
||||
} else {
|
||||
return c.a.Index(i)-c.b.Index(i) < 0 && c.a.Index(i+1)-c.b.Index(i+1) > 0
|
||||
return c.a.Last(i)-c.b.Last(i) < 0 && c.a.Last(i+1)-c.b.Last(i+1) > 0
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -161,7 +161,7 @@ func Highest(a Series, lookback int) float64 {
|
|||
}
|
||||
highest := a.Last(0)
|
||||
for i := 1; i < lookback; i++ {
|
||||
current := a.Index(i)
|
||||
current := a.Last(i)
|
||||
if highest < current {
|
||||
highest = current
|
||||
}
|
||||
|
|
@ -175,7 +175,7 @@ func Lowest(a Series, lookback int) float64 {
|
|||
}
|
||||
lowest := a.Last(0)
|
||||
for i := 1; i < lookback; i++ {
|
||||
current := a.Index(i)
|
||||
current := a.Last(i)
|
||||
if lowest > current {
|
||||
lowest = current
|
||||
}
|
||||
|
|
@ -247,7 +247,7 @@ func Sub(a interface{}, b interface{}) SeriesExtend {
|
|||
}
|
||||
|
||||
func (a *MinusSeriesResult) Last(i int) float64 {
|
||||
return a.a.Index(i) - a.b.Index(i)
|
||||
return a.a.Last(i) - a.b.Last(i)
|
||||
}
|
||||
|
||||
func (a *MinusSeriesResult) Index(i int) float64 {
|
||||
|
|
@ -303,7 +303,7 @@ type DivSeriesResult struct {
|
|||
}
|
||||
|
||||
func (a *DivSeriesResult) Last(i int) float64 {
|
||||
return a.a.Index(i) / a.b.Index(i)
|
||||
return a.a.Last(i) / a.b.Last(i)
|
||||
}
|
||||
|
||||
func (a *DivSeriesResult) Index(i int) float64 {
|
||||
|
|
@ -334,7 +334,7 @@ type MulSeriesResult struct {
|
|||
}
|
||||
|
||||
func (a *MulSeriesResult) Last(i int) float64 {
|
||||
return a.a.Index(i) * a.b.Index(i)
|
||||
return a.a.Last(i) * a.b.Last(i)
|
||||
}
|
||||
|
||||
func (a *MulSeriesResult) Index(i int) float64 {
|
||||
|
|
@ -427,19 +427,19 @@ func Dot(a interface{}, b interface{}, limit ...int) float64 {
|
|||
} else if isaf && !isbf {
|
||||
sum := 0.
|
||||
for i := 0; i < l; i++ {
|
||||
sum += aaf * bbs.Index(i)
|
||||
sum += aaf * bbs.Last(i)
|
||||
}
|
||||
return sum
|
||||
} else if !isaf && isbf {
|
||||
sum := 0.
|
||||
for i := 0; i < l; i++ {
|
||||
sum += aas.Index(i) * bbf
|
||||
sum += aas.Last(i) * bbf
|
||||
}
|
||||
return sum
|
||||
} else {
|
||||
sum := 0.
|
||||
for i := 0; i < l; i++ {
|
||||
sum += aas.Index(i) * bbs.Index(i)
|
||||
sum += aas.Last(i) * bbs.Index(i)
|
||||
}
|
||||
return sum
|
||||
}
|
||||
|
|
@ -458,7 +458,7 @@ func Array(a Series, limit ...int) (result []float64) {
|
|||
}
|
||||
result = make([]float64, l)
|
||||
for i := 0; i < l; i++ {
|
||||
result[i] = a.Index(i)
|
||||
result[i] = a.Last(i)
|
||||
}
|
||||
return
|
||||
}
|
||||
|
|
@ -475,7 +475,7 @@ func Reverse(a Series, limit ...int) (result floats.Slice) {
|
|||
}
|
||||
result = make([]float64, l)
|
||||
for i := 0; i < l; i++ {
|
||||
result[l-i-1] = a.Index(i)
|
||||
result[l-i-1] = a.Last(i)
|
||||
}
|
||||
return
|
||||
}
|
||||
|
|
@ -489,7 +489,7 @@ func (c *ChangeResult) Last(i int) float64 {
|
|||
if i+c.offset >= c.a.Length() {
|
||||
return 0
|
||||
}
|
||||
return c.a.Index(i) - c.a.Index(i+c.offset)
|
||||
return c.a.Last(i) - c.a.Last(i+c.offset)
|
||||
}
|
||||
|
||||
func (c *ChangeResult) Index(i int) float64 {
|
||||
|
|
@ -524,7 +524,7 @@ func (c *PercentageChangeResult) Last(i int) float64 {
|
|||
if i+c.offset >= c.a.Length() {
|
||||
return 0
|
||||
}
|
||||
return c.a.Index(i)/c.a.Index(i+c.offset) - 1
|
||||
return c.a.Last(i)/c.a.Last(i+c.offset) - 1
|
||||
}
|
||||
|
||||
func (c *PercentageChangeResult) Index(i int) float64 {
|
||||
|
|
@ -565,7 +565,7 @@ func Stdev(a Series, params ...int) float64 {
|
|||
avg := Mean(a, length)
|
||||
s := .0
|
||||
for i := 0; i < length; i++ {
|
||||
diff := a.Index(i) - avg
|
||||
diff := a.Last(i) - avg
|
||||
s += diff * diff
|
||||
}
|
||||
if length-ddof == 0 {
|
||||
|
|
@ -588,7 +588,7 @@ func Kendall(a, b Series, length int) float64 {
|
|||
concordant, discordant := 0, 0
|
||||
for i := 0; i < length; i++ {
|
||||
for j := i + 1; j < length; j++ {
|
||||
value := (aRanks.Index(i) - aRanks.Index(j)) * (bRanks.Index(i) - bRanks.Index(j))
|
||||
value := (aRanks.Last(i) - aRanks.Last(j)) * (bRanks.Last(i) - bRanks.Last(j))
|
||||
if value > 0 {
|
||||
concordant++
|
||||
} else {
|
||||
|
|
@ -606,10 +606,10 @@ func Rank(a Series, length int) SeriesExtend {
|
|||
rank := make([]float64, length)
|
||||
mapper := make([]float64, length+1)
|
||||
for i := length - 1; i >= 0; i-- {
|
||||
ii := a.Index(i)
|
||||
ii := a.Last(i)
|
||||
counter := 0.
|
||||
for j := 0; j < length; j++ {
|
||||
if a.Index(j) <= ii {
|
||||
if a.Last(j) <= ii {
|
||||
counter += 1.
|
||||
}
|
||||
}
|
||||
|
|
@ -633,8 +633,8 @@ func Pearson(a, b Series, length int) float64 {
|
|||
x := make([]float64, length)
|
||||
y := make([]float64, length)
|
||||
for i := 0; i < length; i++ {
|
||||
x[i] = a.Index(i)
|
||||
y[i] = b.Index(i)
|
||||
x[i] = a.Last(i)
|
||||
y[i] = b.Last(i)
|
||||
}
|
||||
return stat.Correlation(x, y, nil)
|
||||
}
|
||||
|
|
@ -690,7 +690,7 @@ func Covariance(a Series, b Series, length int) float64 {
|
|||
meanb := Mean(b, length)
|
||||
sum := 0.0
|
||||
for i := 0; i < length; i++ {
|
||||
sum += (a.Index(i) - meana) * (b.Index(i) - meanb)
|
||||
sum += (a.Last(i) - meana) * (b.Last(i) - meanb)
|
||||
}
|
||||
sum /= float64(length)
|
||||
return sum
|
||||
|
|
@ -711,7 +711,7 @@ func Skew(a Series, length int) float64 {
|
|||
sum2 := 0.0
|
||||
sum3 := 0.0
|
||||
for i := 0; i < length; i++ {
|
||||
diff := a.Index(i) - mean
|
||||
diff := a.Last(i) - mean
|
||||
sum2 += diff * diff
|
||||
sum3 += diff * diff * diff
|
||||
}
|
||||
|
|
@ -735,7 +735,7 @@ func (inc *ShiftResult) Last(i int) float64 {
|
|||
return 0
|
||||
}
|
||||
|
||||
return inc.a.Index(inc.offset + i)
|
||||
return inc.a.Last(inc.offset + i)
|
||||
}
|
||||
|
||||
func (inc *ShiftResult) Index(i int) float64 {
|
||||
|
|
@ -811,11 +811,11 @@ func Softmax(a Series, window int) SeriesExtend {
|
|||
s := 0.0
|
||||
max := Highest(a, window)
|
||||
for i := 0; i < window; i++ {
|
||||
s += math.Exp(a.Index(i) - max)
|
||||
s += math.Exp(a.Last(i) - max)
|
||||
}
|
||||
out := NewQueue(window)
|
||||
for i := window - 1; i >= 0; i-- {
|
||||
out.Update(math.Exp(a.Index(i)-max) / s)
|
||||
out.Update(math.Exp(a.Last(i)-max) / s)
|
||||
}
|
||||
return out
|
||||
}
|
||||
|
|
@ -825,7 +825,7 @@ func Softmax(a Series, window int) SeriesExtend {
|
|||
// - sum(v * ln(v))
|
||||
func Entropy(a Series, window int) (e float64) {
|
||||
for i := 0; i < window; i++ {
|
||||
v := a.Index(i)
|
||||
v := a.Last(i)
|
||||
if v != 0 {
|
||||
e -= v * math.Log(v)
|
||||
}
|
||||
|
|
@ -836,9 +836,9 @@ func Entropy(a Series, window int) (e float64) {
|
|||
// CrossEntropy computes the cross-entropy between the two distributions
|
||||
func CrossEntropy(a, b Series, window int) (e float64) {
|
||||
for i := 0; i < window; i++ {
|
||||
v := a.Index(i)
|
||||
v := a.Last(i)
|
||||
if v != 0 {
|
||||
e -= v * math.Log(b.Index(i))
|
||||
e -= v * math.Log(b.Last(i))
|
||||
}
|
||||
}
|
||||
return e
|
||||
|
|
@ -893,7 +893,7 @@ func LogisticRegression(x []Series, y Series, lookback, iterations int, learning
|
|||
xx := make([][]float64, lookback)
|
||||
for i := 0; i < lookback; i++ {
|
||||
for j := 0; j < features; j++ {
|
||||
xx[i] = append(xx[i], x[j].Index(lookback-i-1))
|
||||
xx[i] = append(xx[i], x[j].Last(lookback-i-1))
|
||||
}
|
||||
}
|
||||
yy := Reverse(y, lookback)
|
||||
|
|
@ -1002,7 +1002,7 @@ func (canvas *Canvas) Plot(tag string, a Series, endTime Time, length int, inter
|
|||
if a.Length() == 0 {
|
||||
return
|
||||
}
|
||||
oldest := a.Index(a.Length() - 1)
|
||||
oldest := a.Last(a.Length() - 1)
|
||||
interval := canvas.Interval
|
||||
if len(intervals) > 0 {
|
||||
interval = intervals[0]
|
||||
|
|
@ -1026,7 +1026,7 @@ func (canvas *Canvas) PlotRaw(tag string, a Series, length int) {
|
|||
if a.Length() == 0 {
|
||||
return
|
||||
}
|
||||
oldest := a.Index(a.Length() - 1)
|
||||
oldest := a.Last(a.Length() - 1)
|
||||
canvas.Series = append(canvas.Series, chart.ContinuousSeries{
|
||||
Name: tag,
|
||||
XValues: x,
|
||||
|
|
|
|||
|
|
@ -24,7 +24,7 @@ func TestQueue(t *testing.T) {
|
|||
func TestFloat(t *testing.T) {
|
||||
var a Series = Sub(3., 2.)
|
||||
assert.Equal(t, a.Last(0), 1.)
|
||||
assert.Equal(t, a.Index(100), 1.)
|
||||
assert.Equal(t, a.Last(100), 1.)
|
||||
}
|
||||
|
||||
func TestNextCross(t *testing.T) {
|
||||
|
|
@ -67,8 +67,8 @@ func TestCorr(t *testing.T) {
|
|||
corr := Correlation(&a, &b, 4, Pearson)
|
||||
assert.InDelta(t, corr, -0.8510644, 0.001)
|
||||
out := Rank(&a, 4)
|
||||
assert.Equal(t, out.Index(0), 2.5)
|
||||
assert.Equal(t, out.Index(1), 4.0)
|
||||
assert.Equal(t, out.Last(0), 2.5)
|
||||
assert.Equal(t, out.Last(1), 4.0)
|
||||
corr = Correlation(&a, &b, 4, Spearman)
|
||||
assert.InDelta(t, corr, -0.94868, 0.001)
|
||||
}
|
||||
|
|
@ -119,7 +119,7 @@ func TestSoftmax(t *testing.T) {
|
|||
out := Softmax(&a, a.Length())
|
||||
r := floats.Slice{0.8360188027814407, 0.11314284146556013, 0.05083835575299916}
|
||||
for i := 0; i < out.Length(); i++ {
|
||||
assert.InDelta(t, r.Index(i), out.Index(i), 0.001)
|
||||
assert.InDelta(t, r.Last(i), out.Last(i), 0.001)
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -128,7 +128,7 @@ func TestSigmoid(t *testing.T) {
|
|||
out := Sigmoid(&a)
|
||||
r := floats.Slice{0.9525741268224334, 0.7310585786300049, 0.8909031788043871}
|
||||
for i := 0; i < out.Length(); i++ {
|
||||
assert.InDelta(t, r.Index(i), out.Index(i), 0.001, "i=%d", i)
|
||||
assert.InDelta(t, r.Last(i), out.Last(i), 0.001, "i=%d", i)
|
||||
}
|
||||
}
|
||||
|
||||
|
|
@ -143,7 +143,6 @@ func TestAdd(t *testing.T) {
|
|||
var b NumberSeries = 2.0
|
||||
out := Add(&a, &b)
|
||||
assert.Equal(t, out.Last(0), 5.0)
|
||||
assert.Equal(t, out.Index(0), 5.0)
|
||||
assert.Equal(t, out.Length(), math.MaxInt32)
|
||||
}
|
||||
|
||||
|
|
@ -153,7 +152,7 @@ func TestDiv(t *testing.T) {
|
|||
out := Div(&a, &b)
|
||||
assert.Equal(t, 1.0, out.Last(0))
|
||||
assert.Equal(t, 3, out.Length())
|
||||
assert.Equal(t, 0.5, out.Index(1))
|
||||
assert.Equal(t, 0.5, out.Last(1))
|
||||
}
|
||||
|
||||
func TestMul(t *testing.T) {
|
||||
|
|
@ -162,7 +161,7 @@ func TestMul(t *testing.T) {
|
|||
out := Mul(&a, &b)
|
||||
assert.Equal(t, out.Last(0), 4.0)
|
||||
assert.Equal(t, out.Length(), 3)
|
||||
assert.Equal(t, out.Index(1), 2.0)
|
||||
assert.Equal(t, out.Last(1), 2.0)
|
||||
}
|
||||
|
||||
func TestArray(t *testing.T) {
|
||||
|
|
|
|||
|
|
@ -597,26 +597,11 @@ type KLineSeries struct {
|
|||
kv KValueType
|
||||
}
|
||||
|
||||
func (k *KLineSeries) Last(int) float64 {
|
||||
length := len(*k.lines)
|
||||
switch k.kv {
|
||||
case kOpUnknown:
|
||||
panic("kline series operator unknown")
|
||||
case kOpenValue:
|
||||
return (*k.lines)[length-1].GetOpen().Float64()
|
||||
case kCloseValue:
|
||||
return (*k.lines)[length-1].GetClose().Float64()
|
||||
case kLowValue:
|
||||
return (*k.lines)[length-1].GetLow().Float64()
|
||||
case kHighValue:
|
||||
return (*k.lines)[length-1].GetHigh().Float64()
|
||||
case kVolumeValue:
|
||||
return (*k.lines)[length-1].Volume.Float64()
|
||||
}
|
||||
return 0
|
||||
func (k *KLineSeries) Index(i int) float64 {
|
||||
return k.Last(i)
|
||||
}
|
||||
|
||||
func (k *KLineSeries) Index(i int) float64 {
|
||||
func (k *KLineSeries) Last(i int) float64 {
|
||||
length := len(*k.lines)
|
||||
if length == 0 || length-i-1 < 0 {
|
||||
return 0
|
||||
|
|
|
|||
|
|
@ -17,7 +17,7 @@ func Omega(returns Series, returnThresholds ...float64) float64 {
|
|||
win := 0.0
|
||||
loss := 0.0
|
||||
for i := 0; i < length; i++ {
|
||||
out := threshold - returns.Index(i)
|
||||
out := threshold - returns.Last(i)
|
||||
if out > 0 {
|
||||
win += out
|
||||
} else {
|
||||
|
|
|
|||
|
|
@ -2,6 +2,7 @@ package types
|
|||
|
||||
import (
|
||||
"fmt"
|
||||
|
||||
"gonum.org/v1/gonum/mat"
|
||||
)
|
||||
|
||||
|
|
@ -21,7 +22,7 @@ func (pca *PCA) Fit(x []SeriesExtend, lookback int) error {
|
|||
for i, xx := range x {
|
||||
mean := xx.Mean(lookback)
|
||||
for j := 0; j < lookback; j++ {
|
||||
vec[i+j*i] = xx.Index(j) - mean
|
||||
vec[i+j*i] = xx.Last(j) - mean
|
||||
}
|
||||
}
|
||||
pca.svd = &mat.SVD{}
|
||||
|
|
@ -40,7 +41,7 @@ func (pca *PCA) Transform(x []SeriesExtend, lookback int, features int) (result
|
|||
vec := make([]float64, lookback*len(x))
|
||||
for i, xx := range x {
|
||||
for j := 0; j < lookback; j++ {
|
||||
vec[i+j*i] = xx.Index(j)
|
||||
vec[i+j*i] = xx.Last(j)
|
||||
}
|
||||
}
|
||||
newX := mat.NewDense(lookback, len(x), vec)
|
||||
|
|
|
|||
|
|
@ -21,6 +21,7 @@ func (inc *Queue) Last(i int) float64 {
|
|||
if i < 0 || len(inc.arr)-i-1 < 0 {
|
||||
return 0
|
||||
}
|
||||
|
||||
return inc.arr[len(inc.arr)-1-i]
|
||||
}
|
||||
|
||||
|
|
|
|||
|
|
@ -103,7 +103,7 @@ func Sum(a Series, limit ...int) (sum float64) {
|
|||
l = limit[0]
|
||||
}
|
||||
for i := 0; i < l; i++ {
|
||||
sum += a.Index(i)
|
||||
sum += a.Last(i)
|
||||
}
|
||||
return sum
|
||||
}
|
||||
|
|
|
|||
|
|
@ -12,19 +12,16 @@ type SeriesBase struct {
|
|||
}
|
||||
|
||||
func (s *SeriesBase) Index(i int) float64 {
|
||||
return s.Last(i)
|
||||
}
|
||||
|
||||
func (s *SeriesBase) Last(i int) float64 {
|
||||
if s.Series == nil {
|
||||
return 0
|
||||
}
|
||||
return s.Series.Last(i)
|
||||
}
|
||||
|
||||
func (s *SeriesBase) Last(int) float64 {
|
||||
if s.Series == nil {
|
||||
return 0
|
||||
}
|
||||
return s.Series.Last(0)
|
||||
}
|
||||
|
||||
func (s *SeriesBase) Length() int {
|
||||
if s.Series == nil {
|
||||
return 0
|
||||
|
|
|
|||
|
|
@ -7,7 +7,9 @@ import (
|
|||
// Sortino: Calcluates the sotino ratio of access returns
|
||||
//
|
||||
// ROI_excess E[ROI] - ROI_risk_free
|
||||
//
|
||||
// sortino = ---------- = -----------------------
|
||||
//
|
||||
// risk sqrt(E[ROI_drawdown^2])
|
||||
//
|
||||
// @param returns (Series): Series of profit/loss percentage every specific interval
|
||||
|
|
@ -29,7 +31,7 @@ func Sortino(returns Series, riskFreeReturns float64, periods int, annualize boo
|
|||
}
|
||||
var sum = 0.
|
||||
for i := 0; i < num; i++ {
|
||||
exRet := returns.Index(i) - avgRiskFreeReturns
|
||||
exRet := returns.Last(i) - avgRiskFreeReturns
|
||||
if exRet < 0 {
|
||||
sum += exRet * exRet
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user