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121 lines
2.9 KiB
Go
121 lines
2.9 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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const defaultVolumeFactor = 0.7
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// Refer: Tillson T3 Moving Average
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// Refer URL: https://tradingpedia.com/forex-trading-indicator/t3-moving-average-indicator/
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//go:generate callbackgen -type TILL
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type TILL struct {
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types.SeriesBase
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types.IntervalWindow
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VolumeFactor float64
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e1 *EWMA
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e2 *EWMA
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e3 *EWMA
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e4 *EWMA
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e5 *EWMA
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e6 *EWMA
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c1 float64
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c2 float64
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c3 float64
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c4 float64
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updateCallbacks []func(value float64)
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}
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func (inc *TILL) Update(value float64) {
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if inc.e1 == nil || inc.e1.Length() == 0 {
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if inc.VolumeFactor == 0 {
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inc.VolumeFactor = defaultVolumeFactor
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}
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inc.SeriesBase.Series = inc
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inc.e1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
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inc.e2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
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inc.e3 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
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inc.e4 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
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inc.e5 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
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inc.e6 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
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square := inc.VolumeFactor * inc.VolumeFactor
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cube := inc.VolumeFactor * square
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inc.c1 = -cube
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inc.c2 = 3.*square + 3.*cube
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inc.c3 = -6.*square - 3*inc.VolumeFactor - 3*cube
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inc.c4 = 1. + 3.*inc.VolumeFactor + cube + 3.*square
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}
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inc.e1.Update(value)
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inc.e2.Update(inc.e1.Last())
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inc.e3.Update(inc.e2.Last())
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inc.e4.Update(inc.e3.Last())
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inc.e5.Update(inc.e4.Last())
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inc.e6.Update(inc.e5.Last())
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}
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func (inc *TILL) Last() float64 {
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if inc.e1 == nil || inc.e1.Length() == 0 {
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return 0
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}
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e3 := inc.e3.Last()
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e4 := inc.e4.Last()
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e5 := inc.e5.Last()
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e6 := inc.e6.Last()
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return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3
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}
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func (inc *TILL) Index(i int) float64 {
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if inc.e1 == nil || inc.e1.Length() <= i {
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return 0
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}
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e3 := inc.e3.Index(i)
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e4 := inc.e4.Index(i)
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e5 := inc.e5.Index(i)
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e6 := inc.e6.Index(i)
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return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3
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}
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func (inc *TILL) Length() int {
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if inc.e1 == nil {
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return 0
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}
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return inc.e1.Length()
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}
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var _ types.Series = &TILL{}
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func (inc *TILL) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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func (inc *TILL) CalculateAndUpdate(allKLines []types.KLine) {
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doable := false
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if inc.e1 == nil {
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doable = true
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}
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for _, k := range allKLines {
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if !doable && k.StartTime.After(inc.e1.LastOpenTime) {
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doable = true
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}
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if doable {
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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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}
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func (inc *TILL) 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 *TILL) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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