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Merge pull request #536 from narumiruna/indicator/atr
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commit
fcaef0219a
107
pkg/indicator/atr.go
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107
pkg/indicator/atr.go
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package indicator
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import (
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"math"
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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//go:generate callbackgen -type ATR
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type ATR struct {
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types.IntervalWindow
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Values types.Float64Slice
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TrueRanges types.Float64Slice
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PercentageVolatility types.Float64Slice
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PriviousClose float64
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *ATR) Update(kLine types.KLine) {
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if inc.Window <= 0 {
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panic("window must be greater than 0")
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}
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cloze := kLine.Close.Float64()
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high := kLine.High.Float64()
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low := kLine.Low.Float64()
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if inc.PriviousClose == 0 {
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inc.PriviousClose = kLine.Close.Float64()
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return
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}
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// calculate true range
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trueRange := types.Float64Slice{
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high - low,
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math.Abs(high - inc.PriviousClose),
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math.Abs(low - inc.PriviousClose),
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}.Max()
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inc.TrueRanges.Push(trueRange)
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inc.PriviousClose = cloze
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// apply rolling moving average
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if len(inc.TrueRanges) < inc.Window {
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return
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}
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if len(inc.TrueRanges) == inc.Window {
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atr := inc.TrueRanges.Mean()
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inc.Values.Push(atr)
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inc.PercentageVolatility.Push(atr / cloze)
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return
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}
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lambda := 1 / float64(inc.Window)
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atr := inc.Values.Last()*(1-lambda) + inc.TrueRanges.Last()*lambda
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inc.Values.Push(atr)
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inc.PercentageVolatility.Push(atr / cloze)
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}
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func (inc *ATR) Last() 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[len(inc.Values)-1]
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}
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func (inc *ATR) 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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}
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func (inc *ATR) Length() int {
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return len(inc.Values)
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}
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var _ types.Series = &ATR{}
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func (inc *ATR) calculateAndUpdate(kLines []types.KLine) {
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for _, k := range kLines {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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continue
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}
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inc.Update(k)
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}
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inc.EmitUpdate(inc.Last())
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inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
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}
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func (inc *ATR) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.calculateAndUpdate(window)
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}
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func (inc *ATR) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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15
pkg/indicator/atr_callbacks.go
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15
pkg/indicator/atr_callbacks.go
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// Code generated by "callbackgen -type ATR"; DO NOT EDIT.
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package indicator
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import ()
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func (A *ATR) OnUpdate(cb func(value float64)) {
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A.UpdateCallbacks = append(A.UpdateCallbacks, cb)
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}
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func (A *ATR) EmitUpdate(value float64) {
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for _, cb := range A.UpdateCallbacks {
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cb(value)
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}
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}
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53
pkg/indicator/atr_test.go
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53
pkg/indicator/atr_test.go
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package indicator
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import (
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"encoding/json"
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"math"
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"testing"
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"github.com/c9s/bbgo/pkg/fixedpoint"
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"github.com/c9s/bbgo/pkg/types"
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)
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func Test_calculateATR(t *testing.T) {
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var bytes = []byte(`{
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"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],
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"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],
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"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]
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}`)
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buildKLines := func(bytes []byte) (kLines []types.KLine) {
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var prices map[string][]fixedpoint.Value
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_ = json.Unmarshal(bytes, &prices)
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for i, h := range prices["high"] {
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kLine := types.KLine{High: h, Low: prices["low"][i], Close: prices["close"][i]}
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kLines = append(kLines, kLine)
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}
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return kLines
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}
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tests := []struct {
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name string
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kLines []types.KLine
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window int
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want float64
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}{
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{
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name: "test_binance_btcusdt_1h",
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kLines: buildKLines(bytes),
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window: 14,
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want: 364.048648,
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},
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}
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for _, tt := range tests {
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t.Run(tt.name, func(t *testing.T) {
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atr := ATR{IntervalWindow: types.IntervalWindow{Window: tt.window}}
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atr.calculateAndUpdate(tt.kLines)
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got := atr.Values.Last()
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diff := math.Trunc((got-tt.want)*100) / 100
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if diff != 0 {
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t.Errorf("calculateATR() = %v, want %v", got, tt.want)
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}
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})
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}
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}
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