mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-23 15:25:14 +00:00
83 lines
2.3 KiB
Go
83 lines
2.3 KiB
Go
package indicator
|
|
|
|
import (
|
|
"math"
|
|
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// Fisher Transform
|
|
//
|
|
// The Fisher Transform is a technical analysis indicator that is used to identify potential turning points in the price of a security.
|
|
// It is based on the idea that prices tend to be normally distributed, with most price movements being small and relatively insignificant.
|
|
// The Fisher Transform converts this normal distribution into a symmetrical, Gaussian distribution, with a peak at zero and a range of -1 to +1.
|
|
// This transformation allows for more accurate identification of price extremes, which can be used to make predictions about potential trend reversals.
|
|
// The Fisher Transform is calculated by taking the natural logarithm of the ratio of the security's current price to its moving average,
|
|
// and then double-smoothing the result. This resulting line is called the Fisher Transform line, and can be plotted on the price chart
|
|
// along with the security's price.
|
|
//go:generate callbackgen -type FisherTransform
|
|
type FisherTransform struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
prices *types.Queue
|
|
Values floats.Slice
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *FisherTransform) Clone() types.UpdatableSeriesExtend {
|
|
out := FisherTransform{
|
|
IntervalWindow: inc.IntervalWindow,
|
|
prices: inc.prices.Clone(),
|
|
Values: inc.Values[:],
|
|
}
|
|
out.SeriesBase.Series = &out
|
|
return &out
|
|
}
|
|
|
|
func (inc *FisherTransform) Update(value float64) {
|
|
if inc.prices == nil {
|
|
inc.prices = types.NewQueue(inc.Window)
|
|
inc.SeriesBase.Series = inc
|
|
}
|
|
inc.prices.Update(value)
|
|
highest := inc.prices.Highest(inc.Window)
|
|
lowest := inc.prices.Lowest(inc.Window)
|
|
if highest == lowest {
|
|
inc.Values.Update(0)
|
|
return
|
|
}
|
|
x := 2*((value-lowest)/(highest-lowest)) - 1
|
|
if x == 1 {
|
|
x = 0.9999
|
|
} else if x == -1 {
|
|
x = -0.9999
|
|
}
|
|
inc.Values.Update(0.5 * math.Log((1+x)/(1-x)))
|
|
if len(inc.Values) > MaxNumOfEWMA {
|
|
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
|
|
}
|
|
}
|
|
|
|
func (inc *FisherTransform) Last() float64 {
|
|
if inc.Values == nil {
|
|
return 0.0
|
|
}
|
|
return inc.Values.Last()
|
|
}
|
|
|
|
func (inc *FisherTransform) Index(i int) float64 {
|
|
if inc.Values == nil {
|
|
return 0.0
|
|
}
|
|
return inc.Values.Index(i)
|
|
}
|
|
|
|
func (inc *FisherTransform) Length() int {
|
|
if inc.Values == nil {
|
|
return 0
|
|
}
|
|
return inc.Values.Length()
|
|
}
|