package indicator import ( "github.com/c9s/bbgo/pkg/datatype/floats" "github.com/c9s/bbgo/pkg/types" ) // Refer: Double Exponential Moving Average // Refer URL: https://investopedia.com/terms/d/double-exponential-moving-average.asp //go:generate callbackgen -type DEMA type DEMA struct { types.IntervalWindow types.SeriesBase Values floats.Slice a1 *EWMA a2 *EWMA UpdateCallbacks []func(value float64) } func (inc *DEMA) Clone() *DEMA { out := &DEMA{ IntervalWindow: inc.IntervalWindow, Values: inc.Values[:], a1: inc.a1.Clone(), a2: inc.a2.Clone(), } out.SeriesBase.Series = out return out } func (inc *DEMA) TestUpdate(value float64) *DEMA { out := inc.Clone() out.Update(value) return out } func (inc *DEMA) Update(value float64) { if len(inc.Values) == 0 { inc.SeriesBase.Series = inc inc.a1 = &EWMA{IntervalWindow: inc.IntervalWindow} inc.a2 = &EWMA{IntervalWindow: inc.IntervalWindow} } inc.a1.Update(value) inc.a2.Update(inc.a1.Last()) inc.Values.Push(2*inc.a1.Last() - inc.a2.Last()) if len(inc.Values) > MaxNumOfEWMA { inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:] } } func (inc *DEMA) Last() float64 { return inc.Values.Last() } func (inc *DEMA) Index(i int) float64 { if len(inc.Values)-i-1 >= 0 { return inc.Values[len(inc.Values)-1-i] } return 0 } func (inc *DEMA) Length() int { return len(inc.Values) } var _ types.SeriesExtend = &DEMA{} func (inc *DEMA) PushK(k types.KLine) { inc.Update(k.Close.Float64()) } func (inc *DEMA) CalculateAndUpdate(allKLines []types.KLine) { if inc.a1 == nil { for _, k := range allKLines { inc.PushK(k) inc.EmitUpdate(inc.Last()) } } else { // last k k := allKLines[len(allKLines)-1] inc.PushK(k) inc.EmitUpdate(inc.Last()) } } func (inc *DEMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.CalculateAndUpdate(window) } func (inc *DEMA) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) }