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indicator: separate TR + RMA and ATR = TR + RMA

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This commit is contained in:
c9s 2023-05-30 13:46:51 +08:00
parent a887eaf542
commit ebf9c43cd5
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GPG Key ID: 7385E7E464CB0A54
4 changed files with 137 additions and 43 deletions
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44
pkg/indicator/atr2.go
View File

@ -1,47 +1,13 @@
package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
// This ATRStream calculates the ATR first
type ATRStream struct {
// embedded struct
Float64Series
// private states
previousClose float64
*RMAStream
}
func ATR2(source KLineSubscription) *ATRStream {
s := &ATRStream{
Float64Series: NewFloat64Series(),
}
source.AddSubscriber(func(k types.KLine) {
s.calculateAndPush(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
})
func ATR2(source KLineSubscription, window int) *ATRStream {
s := &ATRStream{}
tr := TR2(source)
s.RMAStream = RMA2(tr, window, true)
return s
}
func (s *ATRStream) calculateAndPush(high, low, cls float64) {
if s.previousClose == .0 {
s.previousClose = cls
return
}
trueRange := high - low
hc := math.Abs(high - s.previousClose)
lc := math.Abs(low - s.previousClose)
if trueRange < hc {
trueRange = hc
}
if trueRange < lc {
trueRange = lc
}
s.previousClose = cls
s.EmitUpdate(trueRange)
}

7
pkg/indicator/atr2_test.go
View File

@ -65,17 +65,16 @@ func Test_ATR2(t *testing.T) {
stream := &types.StandardStream{}
kLines := KLines(stream)
atr := ATR2(kLines)
rma := RMA2(atr, tt.window, true)
atr := ATR2(kLines, tt.window)
for _, k := range tt.kLines {
stream.EmitKLineClosed(k)
}
got := rma.Last()
got := atr.Last()
diff := math.Trunc((got-tt.want)*100) / 100
if diff != 0 {
t.Errorf("calculateATR2() = %v, want %v", got, tt.want)
t.Errorf("ATR2() = %v, want %v", got, tt.want)
}
})
}

47
pkg/indicator/tr2.go Normal file
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@ -0,0 +1,47 @@
package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
// This TRStream calculates the ATR first
type TRStream struct {
// embedded struct
Float64Series
// private states
previousClose float64
}
func TR2(source KLineSubscription) *TRStream {
s := &TRStream{
Float64Series: NewFloat64Series(),
}
source.AddSubscriber(func(k types.KLine) {
s.calculateAndPush(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
})
return s
}
func (s *TRStream) calculateAndPush(high, low, cls float64) {
if s.previousClose == .0 {
s.previousClose = cls
return
}
trueRange := high - low
hc := math.Abs(high - s.previousClose)
lc := math.Abs(low - s.previousClose)
if trueRange < hc {
trueRange = hc
}
if trueRange < lc {
trueRange = lc
}
s.previousClose = cls
s.EmitUpdate(trueRange)
}

82
pkg/indicator/tr2_test.go Normal file
View File

@ -0,0 +1,82 @@
package indicator
import (
"encoding/json"
"math"
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
/*
python
import pandas as pd
import pandas_ta as ta
data = {
"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 = pd.Series(data['high'])
low = pd.Series(data['low'])
close = pd.Series(data['close'])
result = ta.atr(high, low, close, length=14)
print(result)
*/
func Test_TR_and_RMA(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]
}`)
var buildKLines = func(bytes []byte) (kLines []types.KLine) {
var prices map[string][]fixedpoint.Value
_ = json.Unmarshal(bytes, &prices)
for i, h := range prices["high"] {
kLine := types.KLine{High: h, Low: prices["low"][i], Close: prices["close"][i]}
kLines = append(kLines, kLine)
}
return kLines
}
tests := []struct {
name string
kLines []types.KLine
window int
want float64
}{
{
name: "test_binance_btcusdt_1h",
kLines: buildKLines(bytes),
window: 14,
want: 367.913903,
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
stream := &types.StandardStream{}
kLines := KLines(stream)
atr := TR2(kLines)
rma := RMA2(atr, tt.window, true)
for _, k := range tt.kLines {
stream.EmitKLineClosed(k)
}
got := rma.Last()
diff := math.Trunc((got-tt.want)*100) / 100
if diff != 0 {
t.Errorf("RMA(TR()) = %v, want %v", got, tt.want)
}
})
}
}