package supertrend import ( "time" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/indicator" "github.com/c9s/bbgo/pkg/types" ) // LinReg is Linear Regression baseline type LinReg struct { types.SeriesBase types.IntervalWindow // Values are the slopes of linear regression baseline Values floats.Slice klines types.KLineWindow EndTime time.Time } // Last slope of linear regression baseline func (lr *LinReg) Last() float64 { if lr.Values.Length() == 0 { return 0.0 } return lr.Values.Last() } // Index returns the slope of specified index func (lr *LinReg) Index(i int) float64 { if i >= lr.Values.Length() { return 0.0 } return lr.Values.Index(i) } // Length of the slope values func (lr *LinReg) Length() int { return lr.Values.Length() } var _ types.SeriesExtend = &LinReg{} // Update Linear Regression baseline slope func (lr *LinReg) Update(kline types.KLine) { lr.klines.Add(kline) lr.klines.Truncate(lr.Window) if len(lr.klines) < lr.Window { lr.Values.Push(0) return } var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0 end := len(lr.klines) - 1 // The last kline for i := end; i >= end-lr.Window+1; i-- { val := lr.klines[i].GetClose().Float64() per := float64(end - i + 1) sumX += per sumY += val sumXSqr += per * per sumXY += val * per } length := float64(lr.Window) slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX) average := sumY / length endPrice := average - slope*sumX/length + slope startPrice := endPrice + slope*(length-1) lr.Values.Push((length - 1) / (endPrice - startPrice)) log.Debugf("linear regression baseline slope: %f", lr.Last()) } func (lr *LinReg) BindK(target indicator.KLineClosedEmitter, symbol string, interval types.Interval) { target.OnKLineClosed(types.KLineWith(symbol, interval, lr.PushK)) } func (lr *LinReg) PushK(k types.KLine) { var zeroTime = time.Time{} if lr.EndTime != zeroTime && k.EndTime.Before(lr.EndTime) { return } lr.Update(k) lr.EndTime = k.EndTime.Time() } func (lr *LinReg) LoadK(allKLines []types.KLine) { for _, k := range allKLines { lr.PushK(k) } } // GetSignal get linear regression signal func (lr *LinReg) GetSignal() types.Direction { var lrSignal types.Direction = types.DirectionNone switch { case lr.Last() > 0: lrSignal = types.DirectionUp case lr.Last() < 0: lrSignal = types.DirectionDown } return lrSignal }