package indicator import ( "math" "github.com/c9s/bbgo/pkg/types" ) // Refer: https://www.investopedia.com/terms/d/dmi.asp // Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/trend/adx.py // // Directional Movement Index // // The Directional Movement Index (DMI) is a technical analysis indicator that is used to identify the direction and strength of a trend // in a security's price. It was developed by J. Welles Wilder and is based on the concept of the +DI and -DI lines, which measure the strength // of upward and downward price movements, respectively. The DMI is calculated by taking the difference between the +DI and -DI lines, and then // smoothing the result using a moving average. This resulting line is called the Average Directional Index (ADX), and is used to identify whether // a security is trending or not. If the ADX is above a certain threshold, typically 20, it indicates that the security is in a strong trend, // and if it is below that threshold it indicates that the security is in a sideways or choppy market. The DMI can be used by traders to confirm // the direction and strength of a trend, or to identify potential entry and exit points for trades. //go:generate callbackgen -type DMI type DMI struct { types.IntervalWindow ADXSmoothing int atr *ATR DMP types.UpdatableSeriesExtend DMN types.UpdatableSeriesExtend DIPlus *types.Queue DIMinus *types.Queue ADX types.UpdatableSeriesExtend PrevHigh, PrevLow float64 updateCallbacks []func(diplus, diminus, adx float64) } func (inc *DMI) Update(high, low, cloze float64) { if inc.DMP == nil || inc.DMN == nil { inc.DMP = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true} inc.DMN = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true} inc.ADX = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.ADXSmoothing}, Adjust: true} } if inc.atr == nil { inc.atr = &ATR{IntervalWindow: inc.IntervalWindow} inc.atr.Update(high, low, cloze) inc.PrevHigh = high inc.PrevLow = low inc.DIPlus = types.NewQueue(500) inc.DIMinus = types.NewQueue(500) return } inc.atr.Update(high, low, cloze) up := high - inc.PrevHigh dn := inc.PrevLow - low inc.PrevHigh = high inc.PrevLow = low pos := 0.0 if up > dn && up > 0. { pos = up } neg := 0.0 if dn > up && dn > 0. { neg = dn } inc.DMP.Update(pos) inc.DMN.Update(neg) if inc.atr.Length() < inc.Window { return } k := 100. / inc.atr.Last(0) dmp := inc.DMP.Last(0) dmn := inc.DMN.Last(0) inc.DIPlus.Update(k * dmp) inc.DIMinus.Update(k * dmn) dx := 100. * math.Abs(dmp-dmn) / (dmp + dmn) inc.ADX.Update(dx) } func (inc *DMI) GetDIPlus() types.SeriesExtend { return inc.DIPlus } func (inc *DMI) GetDIMinus() types.SeriesExtend { return inc.DIMinus } func (inc *DMI) GetADX() types.SeriesExtend { return inc.ADX } func (inc *DMI) Length() int { return inc.ADX.Length() } func (inc *DMI) PushK(k types.KLine) { inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64()) } func (inc *DMI) CalculateAndUpdate(allKLines []types.KLine) { last := allKLines[len(allKLines)-1] if inc.ADX == nil { for _, k := range allKLines { inc.PushK(k) inc.EmitUpdate(inc.DIPlus.Last(0), inc.DIMinus.Last(0), inc.ADX.Last(0)) } } else { inc.PushK(last) inc.EmitUpdate(inc.DIPlus.Last(0), inc.DIMinus.Last(0), inc.ADX.Last(0)) } }