package indicator import ( "math" "time" log "github.com/sirupsen/logrus" "github.com/c9s/bbgo/pkg/types" ) // These numbers should be aligned with bbgo MaxNumOfKLines and MaxNumOfKLinesTruncate const MaxNumOfEWMA = 5_000 const MaxNumOfEWMATruncateSize = 100 //go:generate callbackgen -type EWMA type EWMA struct { types.IntervalWindow Values types.Float64Slice LastOpenTime time.Time UpdateCallbacks []func(value float64) } func (inc *EWMA) Update(value float64) { var multiplier = 2.0 / float64(1+inc.Window) if len(inc.Values) == 0 { inc.Values.Push(value) return } else if len(inc.Values) > MaxNumOfEWMA { inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:] } ema := (1-multiplier)*inc.Last() + multiplier*value inc.Values.Push(ema) } func (inc *EWMA) Last() float64 { if len(inc.Values) == 0 { return 0 } return inc.Values[len(inc.Values)-1] } func (inc *EWMA) Index(i int) float64 { if i >= len(inc.Values) { return 0 } return inc.Values[len(inc.Values)-1-i] } func (inc *EWMA) Length() int { return len(inc.Values) } func (inc *EWMA) calculateAndUpdate(allKLines []types.KLine) { if len(allKLines) < inc.Window { // we can't calculate return } var priceF = KLineClosePriceMapper var dataLen = len(allKLines) var multiplier = 2.0 / (float64(inc.Window) + 1) // init the values fromNthK the kline data var fromNthK = 1 if len(inc.Values) == 0 { // for the first value, we should use the close price inc.Values = []float64{priceF(allKLines[0])} } else { if len(inc.Values) >= MaxNumOfEWMA { inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:] } fromNthK = len(inc.Values) // update ewma with the existing values for i := dataLen - 1; i > 0; i-- { var k = allKLines[i] if k.StartTime.After(inc.LastOpenTime) { fromNthK = i } else { break } } } for i := fromNthK; i < dataLen; i++ { var k = allKLines[i] var ewma = priceF(k)*multiplier + (1-multiplier)*inc.Values[i-1] inc.Values.Push(ewma) inc.LastOpenTime = k.StartTime.Time() inc.EmitUpdate(ewma) } if len(inc.Values) != dataLen { // check error log.Warnf("%s EMA (%d) value length (%d) != kline window length (%d)", inc.Interval, inc.Window, len(inc.Values), dataLen) } v1 := math.Floor(inc.Values[len(inc.Values)-1]*100.0) / 100.0 v2 := math.Floor(CalculateKLinesEMA(allKLines, priceF, inc.Window)*100.0) / 100.0 if v1 != v2 { log.Warnf("ACCUMULATED %s EMA (%d) %f != EMA %f", inc.Interval, inc.Window, v1, v2) } } func CalculateKLinesEMA(allKLines []types.KLine, priceF KLinePriceMapper, window int) float64 { var multiplier = 2.0 / (float64(window) + 1) return ewma(MapKLinePrice(allKLines, priceF), multiplier) } // see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp func ewma(prices []float64, multiplier float64) float64 { var end = len(prices) - 1 if end == 0 { return prices[0] } return prices[end]*multiplier + (1-multiplier)*ewma(prices[:end], multiplier) } func (inc *EWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.calculateAndUpdate(window) } func (inc *EWMA) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) } var _ types.Series = &EWMA{}