Merge pull request #536 from narumiruna/indicator/atr

This commit is contained in:
Yo-An Lin 2022-04-18 00:34:43 +08:00 committed by GitHub
commit fcaef0219a
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
3 changed files with 175 additions and 0 deletions

107
pkg/indicator/atr.go Normal file
View File

@ -0,0 +1,107 @@
package indicator
import (
"math"
"time"
"github.com/c9s/bbgo/pkg/types"
)
//go:generate callbackgen -type ATR
type ATR struct {
types.IntervalWindow
Values types.Float64Slice
TrueRanges types.Float64Slice
PercentageVolatility types.Float64Slice
PriviousClose float64
EndTime time.Time
UpdateCallbacks []func(value float64)
}
func (inc *ATR) Update(kLine types.KLine) {
if inc.Window <= 0 {
panic("window must be greater than 0")
}
cloze := kLine.Close.Float64()
high := kLine.High.Float64()
low := kLine.Low.Float64()
if inc.PriviousClose == 0 {
inc.PriviousClose = kLine.Close.Float64()
return
}
// calculate true range
trueRange := types.Float64Slice{
high - low,
math.Abs(high - inc.PriviousClose),
math.Abs(low - inc.PriviousClose),
}.Max()
inc.TrueRanges.Push(trueRange)
inc.PriviousClose = cloze
// apply rolling moving average
if len(inc.TrueRanges) < inc.Window {
return
}
if len(inc.TrueRanges) == inc.Window {
atr := inc.TrueRanges.Mean()
inc.Values.Push(atr)
inc.PercentageVolatility.Push(atr / cloze)
return
}
lambda := 1 / float64(inc.Window)
atr := inc.Values.Last()*(1-lambda) + inc.TrueRanges.Last()*lambda
inc.Values.Push(atr)
inc.PercentageVolatility.Push(atr / cloze)
}
func (inc *ATR) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *ATR) Index(i int) float64 {
length := len(inc.Values)
if length == 0 || length-i-1 < 0 {
return 0
}
return inc.Values[length-i-1]
}
func (inc *ATR) Length() int {
return len(inc.Values)
}
var _ types.Series = &ATR{}
func (inc *ATR) calculateAndUpdate(kLines []types.KLine) {
for _, k := range kLines {
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
continue
}
inc.Update(k)
}
inc.EmitUpdate(inc.Last())
inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
}
func (inc *ATR) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *ATR) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}

View File

@ -0,0 +1,15 @@
// Code generated by "callbackgen -type ATR"; DO NOT EDIT.
package indicator
import ()
func (A *ATR) OnUpdate(cb func(value float64)) {
A.UpdateCallbacks = append(A.UpdateCallbacks, cb)
}
func (A *ATR) EmitUpdate(value float64) {
for _, cb := range A.UpdateCallbacks {
cb(value)
}
}

53
pkg/indicator/atr_test.go Normal file
View File

@ -0,0 +1,53 @@
package indicator
import (
"encoding/json"
"math"
"testing"
"github.com/c9s/bbgo/pkg/fixedpoint"
"github.com/c9s/bbgo/pkg/types"
)
func Test_calculateATR(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]
}`)
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: 364.048648,
},
}
for _, tt := range tests {
t.Run(tt.name, func(t *testing.T) {
atr := ATR{IntervalWindow: types.IntervalWindow{Window: tt.window}}
atr.calculateAndUpdate(tt.kLines)
got := atr.Values.Last()
diff := math.Trunc((got-tt.want)*100) / 100
if diff != 0 {
t.Errorf("calculateATR() = %v, want %v", got, tt.want)
}
})
}
}