package indicator import ( "time" "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/types" ) // macd implements moving average convergence divergence indicator // // Moving Average Convergence Divergence (MACD) // - https://www.investopedia.com/terms/m/macd.asp // - https://school.stockcharts.com/doku.php?id=technical_indicators:macd-histogram // The Moving Average Convergence Divergence (MACD) is a technical analysis indicator that is used to measure the relationship between // two moving averages of a security's price. It is calculated by subtracting the longer-term moving average from the shorter-term moving // average, and then plotting the resulting value on the price chart as a line. This line is known as the MACD line, and is typically // used to identify potential buy or sell signals. The MACD is typically used in conjunction with a signal line, which is a moving average // of the MACD line, to generate more accurate buy and sell signals. type MACDConfig struct { types.IntervalWindow // 9 // ShortPeriod is the short term period EMA, usually 12 ShortPeriod int `json:"short"` // LongPeriod is the long term period EMA, usually 26 LongPeriod int `json:"long"` } //go:generate callbackgen -type MACDLegacy type MACDLegacy struct { MACDConfig Values floats.Slice `json:"-"` fastEWMA, slowEWMA, signalLine *EWMA Histogram floats.Slice `json:"-"` updateCallbacks []func(macd, signal, histogram float64) EndTime time.Time } func (inc *MACDLegacy) Update(x float64) { if len(inc.Values) == 0 { // apply default values inc.fastEWMA = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.ShortPeriod}} inc.slowEWMA = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.LongPeriod}} inc.signalLine = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}} if inc.ShortPeriod == 0 { inc.ShortPeriod = 12 } if inc.LongPeriod == 0 { inc.LongPeriod = 26 } } // update fast and slow ema inc.fastEWMA.Update(x) inc.slowEWMA.Update(x) // update MACD value, it's also the signal line fast := inc.fastEWMA.Last() slow := inc.slowEWMA.Last() macd := fast - slow inc.Values.Push(macd) // update signal line inc.signalLine.Update(macd) signal := inc.signalLine.Last() // update histogram histogram := macd - signal inc.Histogram.Push(histogram) inc.EmitUpdate(macd, signal, histogram) } func (inc *MACDLegacy) Last() float64 { if len(inc.Values) == 0 { return 0.0 } return inc.Values[len(inc.Values)-1] } func (inc *MACDLegacy) Length() int { return len(inc.Values) } func (inc *MACDLegacy) PushK(k types.KLine) { inc.Update(k.Close.Float64()) } func (inc *MACDLegacy) MACD() types.SeriesExtend { out := &MACDValues{MACDLegacy: inc} out.SeriesBase.Series = out return out } func (inc *MACDLegacy) Singals() types.SeriesExtend { return inc.signalLine } type MACDValues struct { types.SeriesBase *MACDLegacy } func (inc *MACDValues) Last() float64 { if len(inc.Values) == 0 { return 0.0 } return inc.Values[len(inc.Values)-1] } func (inc *MACDValues) Index(i int) float64 { length := len(inc.Values) if length == 0 || length-1-i < 0 { return 0.0 } return inc.Values[length-1+i] } func (inc *MACDValues) Length() int { return len(inc.Values) }