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99 lines
2.1 KiB
Go
99 lines
2.1 KiB
Go
package indicator
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import (
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"github.com/c9s/bbgo/pkg/types"
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)
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// Refer: Double Exponential Moving Average
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// Refer URL: https://investopedia.com/terms/d/double-exponential-moving-average.asp
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//go:generate callbackgen -type DEMA
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type DEMA struct {
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types.IntervalWindow
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types.SeriesBase
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Values types.Float64Slice
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a1 *EWMA
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a2 *EWMA
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UpdateCallbacks []func(value float64)
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}
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func (inc *DEMA) Clone() *DEMA {
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out := &DEMA{
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IntervalWindow: inc.IntervalWindow,
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Values: inc.Values[:],
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a1: inc.a1.Clone(),
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a2: inc.a2.Clone(),
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}
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out.SeriesBase.Series = out
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return out
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}
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func (inc *DEMA) TestUpdate(value float64) *DEMA {
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out := inc.Clone()
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out.Update(value)
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return out
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}
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func (inc *DEMA) Update(value float64) {
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if len(inc.Values) == 0 {
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inc.SeriesBase.Series = inc
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inc.a1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
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inc.a2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
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}
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inc.a1.Update(value)
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inc.a2.Update(inc.a1.Last())
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inc.Values.Push(2*inc.a1.Last() - inc.a2.Last())
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if len(inc.Values) > MaxNumOfEWMA {
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inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
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}
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}
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func (inc *DEMA) Last() float64 {
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return inc.Values.Last()
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}
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func (inc *DEMA) Index(i int) float64 {
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if len(inc.Values)-i-1 >= 0 {
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return inc.Values[len(inc.Values)-1-i]
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}
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return 0
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}
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func (inc *DEMA) Length() int {
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return len(inc.Values)
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}
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var _ types.SeriesExtend = &DEMA{}
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func (inc *DEMA) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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func (inc *DEMA) CalculateAndUpdate(allKLines []types.KLine) {
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if inc.a1 == nil {
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for _, k := range allKLines {
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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} else {
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// last k
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last())
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}
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}
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func (inc *DEMA) 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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inc.CalculateAndUpdate(window)
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}
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func (inc *DEMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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