Merge pull request #687 from zenixls2/fix/drift

fix: check for div zero in drift indicator

pkg/indicator/drift.go

@@ -22,16 +22,25 @@ type Drift struct {
 
 func (inc *Drift) Update(value float64) {
 	if inc.chng == nil {
-		inc.SMA = &SMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
+		inc.SMA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
 		inc.chng = types.NewQueue(inc.Window)
-	}
-	chng := math.Log(value / inc.LastValue)
 		inc.LastValue = value
+		return
+	}
+	var chng float64
+	if value == 0 {
+		chng = 0
+	} else {
+		chng = math.Log(value / inc.LastValue)
+		inc.LastValue = value
+	}
 	inc.SMA.Update(chng)
 	inc.chng.Update(chng)
+	if inc.chng.Length() >= inc.Window {
 		stdev := types.Stdev(inc.chng, inc.Window)
-	drift := inc.SMA.Last() - stdev * stdev * 0.5
+		drift := inc.SMA.Last() - stdev*stdev*0.5
 		inc.Values.Push(drift)
+	}
 }
 
 func (inc *Drift) Index(i int) float64 {

pkg/indicator/drift_test.go

@@ -0,0 +1,40 @@
+package indicator
+
+import (
+	"encoding/json"
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+func Test_Drift(t *testing.T) {
+	var randomPrices = []byte(`[1, 1, 2, 3, 4, 5, 6, 7, 8, 9, 4, 1, 2, 3, 4, 5, 6, 7, 8, 9, 4, 1, 2, 3, 4, 5, 6, 7, 8, 9, 1, 1, 2, 3, 4, 5, 6, 7, 8, 9, 4, 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
+		all    int
+	}{
+		{
+			name:   "random_case",
+			kLines: buildKLines(input),
+			all:    47,
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			drift := Drift{IntervalWindow: types.IntervalWindow{Window: 3}}
+			drift.calculateAndUpdate(tt.kLines)
+			assert.Equal(t, drift.Length(), tt.all)
+			for _, v := range drift.Values {
+				assert.LessOrEqual(t, v, 1.0)
+			}
+		})
+	}
+}