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101 lines
2.1 KiB
Go
101 lines
2.1 KiB
Go
package indicator
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import (
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"math"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/types"
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)
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// Refer: True Strength Index
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// Refer URL: https://www.investopedia.com/terms/t/tsi.asp
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//
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//go:generate callbackgen -type TSI
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type TSI struct {
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types.SeriesBase
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types.Interval
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FastWindow int
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SlowWindow int
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PrevValue float64
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Values floats.Slice
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Pcs *EWMA
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Pcds *EWMA
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Apcs *EWMA
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Apcds *EWMA
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updateCallbacks []func(value float64)
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}
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func (inc *TSI) Update(value float64) {
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if inc.Pcs == nil {
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if inc.FastWindow == 0 {
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inc.FastWindow = 13
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}
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if inc.SlowWindow == 0 {
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inc.SlowWindow = 25
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}
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inc.Pcs = &EWMA{
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IntervalWindow: types.IntervalWindow{
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Window: inc.SlowWindow,
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Interval: inc.Interval,
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},
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}
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inc.Pcds = &EWMA{
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IntervalWindow: types.IntervalWindow{
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Window: inc.FastWindow,
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Interval: inc.Interval,
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},
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}
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inc.Apcs = &EWMA{
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IntervalWindow: types.IntervalWindow{
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Window: inc.SlowWindow,
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Interval: inc.Interval,
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},
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}
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inc.Apcds = &EWMA{
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IntervalWindow: types.IntervalWindow{
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Window: inc.FastWindow,
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Interval: inc.Interval,
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},
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}
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inc.SeriesBase.Series = inc
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inc.PrevValue = value
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return
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}
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pc := value - inc.PrevValue
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inc.PrevValue = value
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inc.Pcs.Update(pc)
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apc := math.Abs(pc)
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inc.Apcs.Update(apc)
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inc.Pcds.Update(inc.Pcs.Last(0))
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inc.Apcds.Update(inc.Apcs.Last(0))
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tsi := (inc.Pcds.Last(0) / inc.Apcds.Last(0)) * 100.
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inc.Values.Push(tsi)
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if inc.Values.Length() > 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 *TSI) Length() int {
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return inc.Values.Length()
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}
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func (inc *TSI) Last(i int) float64 {
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return inc.Values.Last(i)
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}
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func (inc *TSI) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *TSI) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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var _ types.SeriesExtend = &TSI{}
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func (inc *TSI) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
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}
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