package factorzoo import ( "fmt" "time" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" ) // gap jump momentum // if the gap between current open price and previous close price gets larger // meaning an opening price jump was happened, the larger momentum we get is our alpha, MOM //go:generate callbackgen -type MOM type MOM struct { types.SeriesBase types.IntervalWindow // Values Values floats.Slice LastValue float64 opens *types.Queue closes *types.Queue EndTime time.Time UpdateCallbacks []func(val float64) } func (inc *MOM) Index(i int) float64 { return inc.Last(i) } func (inc *MOM) Last(i int) float64 { return inc.Values.Last(i) } func (inc *MOM) Length() int { return inc.Values.Length() } // var _ types.SeriesExtend = &MOM{} func (inc *MOM) Update(open, close float64) { if inc.SeriesBase.Series == nil { inc.SeriesBase.Series = inc inc.opens = types.NewQueue(inc.Window) inc.closes = types.NewQueue(inc.Window + 1) } inc.opens.Update(open) inc.closes.Update(close) if inc.opens.Length() >= inc.Window && inc.closes.Length() >= inc.Window { gap := inc.opens.Last(0)/inc.closes.Index(1) - 1 inc.Values.Push(gap) } } func (inc *MOM) CalculateAndUpdate(allKLines []types.KLine) { if len(inc.Values) == 0 { for _, k := range allKLines { inc.PushK(k) } inc.EmitUpdate(inc.Last(0)) } else { k := allKLines[len(allKLines)-1] inc.PushK(k) inc.EmitUpdate(inc.Last(0)) } } func (inc *MOM) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.CalculateAndUpdate(window) } func (inc *MOM) Bind(updater indicator.KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } func (inc *MOM) PushK(k types.KLine) { if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) { return } inc.Update(k.Open.Float64(), k.Close.Float64()) inc.EndTime = k.EndTime.Time() inc.EmitUpdate(inc.Last(0)) } func calculateMomentum(klines []types.KLine, window int, valA KLineValueMapper, valB KLineValueMapper) (float64, error) { length := len(klines) if length == 0 || length < window { return 0.0, fmt.Errorf("insufficient elements for calculating VOL with window = %d", window) } momentum := (1 - valA(klines[length-1])/valB(klines[length-1])) * -1 return momentum, nil }