package indicator import ( "github.com/sirupsen/logrus" "math" "time" "github.com/c9s/bbgo/pkg/types" ) var logst = logrus.WithField("indicator", "supertrend") //go:generate callbackgen -type Supertrend type Supertrend struct { types.SeriesBase types.IntervalWindow ATRMultiplier float64 `json:"atrMultiplier"` AverageTrueRange *ATR trendPrices types.Float64Slice closePrice float64 previousClosePrice float64 uptrendPrice float64 previousUptrendPrice float64 downtrendPrice float64 previousDowntrendPrice float64 trend types.Direction previousTrend types.Direction tradeSignal types.Direction EndTime time.Time UpdateCallbacks []func(value float64) } func (inc *Supertrend) Last() float64 { return inc.trendPrices.Last() } func (inc *Supertrend) Index(i int) float64 { length := inc.Length() if length == 0 || length-i-1 < 0 { return 0 } return inc.trendPrices[length-i-1] } func (inc *Supertrend) Length() int { return len(inc.trendPrices) } func (inc *Supertrend) Update(highPrice, lowPrice, closePrice float64) { if inc.Window <= 0 { panic("window must be greater than 0") } if inc.AverageTrueRange == nil { inc.SeriesBase.Series = inc } // Start with DirectionUp if inc.trend != types.DirectionUp && inc.trend != types.DirectionDown { inc.trend = types.DirectionUp } // Update ATR inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice) // Update last prices inc.previousUptrendPrice = inc.uptrendPrice inc.previousDowntrendPrice = inc.downtrendPrice inc.previousClosePrice = inc.closePrice inc.previousTrend = inc.trend inc.closePrice = closePrice src := (highPrice + lowPrice) / 2 // Update uptrend inc.uptrendPrice = src - inc.AverageTrueRange.Last()*inc.ATRMultiplier if inc.previousClosePrice > inc.previousUptrendPrice { inc.uptrendPrice = math.Max(inc.uptrendPrice, inc.previousUptrendPrice) } // Update downtrend inc.downtrendPrice = src + inc.AverageTrueRange.Last()*inc.ATRMultiplier if inc.previousClosePrice < inc.previousDowntrendPrice { inc.downtrendPrice = math.Min(inc.downtrendPrice, inc.previousDowntrendPrice) } // Update trend if inc.previousTrend == types.DirectionUp && inc.closePrice < inc.previousUptrendPrice { inc.trend = types.DirectionDown } else if inc.previousTrend == types.DirectionDown && inc.closePrice > inc.previousDowntrendPrice { inc.trend = types.DirectionUp } else { inc.trend = inc.previousTrend } // Update signal if inc.AverageTrueRange.Last() <= 0 { inc.tradeSignal = types.DirectionNone } else if inc.trend == types.DirectionUp && inc.previousTrend == types.DirectionDown { inc.tradeSignal = types.DirectionUp } else if inc.trend == types.DirectionDown && inc.previousTrend == types.DirectionUp { inc.tradeSignal = types.DirectionDown } else { inc.tradeSignal = types.DirectionNone } // Update trend price if inc.trend == types.DirectionDown { inc.trendPrices.Push(inc.downtrendPrice) } else { inc.trendPrices.Push(inc.uptrendPrice) } logst.Debugf("Update supertrend result: closePrice: %v, uptrendPrice: %v, downtrendPrice: %v, trend: %v,"+ " tradeSignal: %v, AverageTrueRange.Last(): %v", inc.closePrice, inc.uptrendPrice, inc.downtrendPrice, inc.trend, inc.tradeSignal, inc.AverageTrueRange.Last()) } func (inc *Supertrend) GetSignal() types.Direction { return inc.tradeSignal } var _ types.SeriesExtend = &Supertrend{} func (inc *Supertrend) calculateAndUpdate(kLines []types.KLine) { for _, k := range kLines { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { continue } inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64()) } inc.EmitUpdate(inc.Last()) inc.EndTime = kLines[len(kLines)-1].EndTime.Time() } func (inc *Supertrend) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.calculateAndUpdate(window) } func (inc *Supertrend) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) }