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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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41
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,
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()
})

2
pkg/indicator/v2/adx_test.go
View File

@ -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,
},
}