mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 06:53:52 +00:00
25 lines
441 B
Go
25 lines
441 B
Go
package indicator
|
|
|
|
type EWMAStream struct {
|
|
Float64Series
|
|
|
|
window int
|
|
multiplier float64
|
|
}
|
|
|
|
func EWMA2(source Float64Source, window int) *EWMAStream {
|
|
s := &EWMAStream{
|
|
Float64Series: NewFloat64Series(),
|
|
window: window,
|
|
multiplier: 2.0 / float64(1+window),
|
|
}
|
|
s.Bind(source, s)
|
|
return s
|
|
}
|
|
|
|
func (s *EWMAStream) Calculate(v float64) float64 {
|
|
last := s.slice.Last(0)
|
|
m := s.multiplier
|
|
return (1.0-m)*last + m*v
|
|
}
|