bbgo_origin/pkg/indicator/ewma.go

96 lines
2.1 KiB
Go

package indicator
import (
"time"
"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
types.SeriesBase
Values types.Float64Slice
EndTime time.Time
updateCallbacks []func(value float64)
}
var _ types.SeriesExtend = &EWMA{}
func (inc *EWMA) Update(value float64) {
var multiplier = 2.0 / float64(1+inc.Window)
if len(inc.Values) == 0 {
inc.SeriesBase.Series = inc
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) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *EWMA) PushK(k types.KLine) {
if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
return
}
inc.Update(k.Close.Float64())
inc.EndTime = k.EndTime.Time()
inc.EmitUpdate(inc.Last())
}
func (inc *EWMA) LoadK(allKLines []types.KLine) {
for _, k := range allKLines {
inc.PushK(k)
}
inc.EmitUpdate(inc.Last())
}
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)
}