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update adx indicator and test case

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This commit is contained in:
anywhy 2024-03-23 16:16:05 +08:00
parent 474a8ab864
commit e632fa087e
2 changed files with 31 additions and 28 deletions
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51
pkg/indicator/v2/adx.go
View File

@ -8,7 +8,8 @@ import (
)
type ADXStream struct {
*types.Float64Series
*RMAStream
Plus, Minus *types.Float64Series
window int
@ -19,45 +20,47 @@ func ADX(source KLineSubscription, window int) *ADXStream {
var (
atr = ATR2(source, window)
dmp = types.NewFloat64Series()
dmm = types.NewFloat64Series()
dmn = types.NewFloat64Series()
adx = types.NewFloat64Series()
sdmp = RMA2(dmp, window, true)
sdmm = RMA2(dmm, window, true)
sadx = RMA2(adx, window, true)
sdmn = RMA2(dmn, window, true)
s = &ADXStream{
window: window,
Plus: types.NewFloat64Series(),
Minus: types.NewFloat64Series(),
Float64Series: types.NewFloat64Series(),
prevHigh: fixedpoint.Zero,
prevLow: fixedpoint.Zero,
window: window,
Plus: types.NewFloat64Series(),
Minus: types.NewFloat64Series(),
prevHigh: fixedpoint.Zero,
prevLow: fixedpoint.Zero,
RMAStream: RMA2(adx, window, true),
}
)
source.AddSubscriber(func(k types.KLine) {
up, down := k.High.Sub(s.prevHigh), -k.Low.Sub(s.prevLow)
if up.Compare(down) > 0 && up > 0 {
if s.prevHigh.IsZero() || s.prevLow.IsZero() {
s.prevHigh, s.prevLow = k.High, k.Low
return
}
up, dn := k.High.Sub(s.prevHigh), s.prevLow.Sub(k.Low)
if up.Compare(dn) > 0 && up > 0 {
dmp.PushAndEmit(up.Float64())
} else {
dmp.PushAndEmit(0.0)
}
if down.Compare(up) > 0 && down > 0 {
dmm.PushAndEmit(down.Float64())
if dn.Compare(up) > 0 && dn > 0 {
dmn.PushAndEmit(dn.Float64())
} else {
dmm.PushAndEmit(0.0)
dmn.PushAndEmit(0.0)
}
s.Plus.PushAndEmit(sdmp.Last(0) / atr.Last(0) * 100)
s.Minus.PushAndEmit(sdmm.Last(0) / atr.Last(0) * 100)
sum := s.Plus.Last(0) + s.Minus.Last(0)
if sum == 0 {
sum = 1
s.Plus.PushAndEmit(sdmp.Last(0) * 100 / atr.Last(0))
s.Minus.PushAndEmit(sdmn.Last(0) * 100 / atr.Last(0))
dx := math.Abs(s.Plus.Last(0)-s.Minus.Last(0)) / (s.Plus.Last(0) + s.Minus.Last(0))
if !math.IsNaN(dx) {
adx.PushAndEmit(dx * 100.0)
} else {
adx.PushAndEmit(0.0)
}
adx.PushAndEmit(math.Abs(s.Plus.Last(0)-s.Minus.Last(0)) / sum)
s.PushAndEmit(sadx.Last(0) * 100)
s.prevHigh, s.prevLow = k.High, k.Low
s.Truncate()
})

8
pkg/indicator/v2/adx_test.go
View File

@ -11,9 +11,9 @@ import (
func Test_ADX(t *testing.T) {
var bytes = []byte(`{
"high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
"low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
"close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99, 39693.79, 39827.96, 40074.94, 40059.84]
"high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
"low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
"close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99,39693.79, 39827.96, 40074.94, 40059.84]
}`)
var buildKLines = func(bytes []byte) (kLines []types.KLine) {
@ -36,7 +36,7 @@ func Test_ADX(t *testing.T) {
name: "test_binance_btcusdt_1h",
kLines: buildKLines(bytes),
window: 7,
want: 31.895091,
want: 34.83952,
},
}