mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
Merge pull request #536 from narumiruna/indicator/atr
This commit is contained in:
commit
fcaef0219a
107
pkg/indicator/atr.go
Normal file
107
pkg/indicator/atr.go
Normal 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)
|
||||
}
|
15
pkg/indicator/atr_callbacks.go
Normal file
15
pkg/indicator/atr_callbacks.go
Normal 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
53
pkg/indicator/atr_test.go
Normal 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)
|
||||
}
|
||||
})
|
||||
}
|
||||
}
|
Loading…
Reference in New Issue
Block a user