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68 lines
1.5 KiB
Go
68 lines
1.5 KiB
Go
package indicator
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import (
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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type EWMA struct {
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types.IntervalWindow
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Values Float64Slice
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EndTime time.Time
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}
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func (inc *EWMA) Last() float64 {
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *EWMA) calculateAndUpdate(kLines []types.KLine) {
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if len(kLines) < inc.Window {
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// we can't calculate
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return
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}
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var index = len(kLines) - 1
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var lastK = kLines[index]
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// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
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var multiplier = 2.0 / float64(inc.Window+1)
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if inc.EndTime != zeroTime && lastK.EndTime.Before(inc.EndTime) {
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return
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}
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var recentK = kLines[index-(inc.Window-1) : index+1]
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if len(inc.Values) > 0 {
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var previousEWMA = inc.Values[len(inc.Values)-1]
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var ewma = lastK.Close*multiplier + previousEWMA*(1-multiplier)
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inc.Values.Push(ewma)
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} else {
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// The first EWMA is actually SMA
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var sma = calculateSMA(recentK)
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inc.Values.Push(sma)
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}
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inc.EndTime = kLines[index].EndTime
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}
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type KLineWindowUpdater interface {
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OnKLineWindowUpdate(func(interval types.Interval, window types.KLineWindow))
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}
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func (inc *EWMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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if inc.EndTime != zeroTime && inc.EndTime.Before(inc.EndTime) {
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return
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}
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inc.calculateAndUpdate(window)
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}
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func (inc *EWMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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