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99 lines
2.0 KiB
Go
99 lines
2.0 KiB
Go
package indicator
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import (
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"math"
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"github.com/c9s/bbgo/pkg/types"
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)
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// Refer: https://tradingview.com/script/aDymGrFx-Drift-Study-Inspired-by-Monte-Carlo-Simulations-with-BM-KL/
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// Brownian Motion's drift factor
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// could be used in Monte Carlo Simulations
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//go:generate callbackgen -type Drift
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type Drift struct {
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types.SeriesBase
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types.IntervalWindow
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chng *types.Queue
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Values types.Float64Slice
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SMA *SMA
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LastValue float64
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UpdateCallbacks []func(value float64)
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}
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func (inc *Drift) Update(value float64) {
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if inc.chng == nil {
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inc.SeriesBase.Series = inc
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inc.SMA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
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inc.chng = types.NewQueue(inc.Window)
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inc.LastValue = value
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return
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}
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var chng float64
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if value == 0 {
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chng = 0
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} else {
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chng = math.Log(value / inc.LastValue)
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inc.LastValue = value
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}
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inc.SMA.Update(chng)
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inc.chng.Update(chng)
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if inc.chng.Length() >= inc.Window {
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stdev := types.Stdev(inc.chng, inc.Window)
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drift := inc.SMA.Last() - stdev*stdev*0.5
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inc.Values.Push(drift)
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}
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}
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func (inc *Drift) Index(i int) float64 {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Index(i)
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}
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func (inc *Drift) Last() float64 {
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if inc.Values.Length() == 0 {
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return 0
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}
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return inc.Values.Last()
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}
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func (inc *Drift) Length() int {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Length()
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}
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var _ types.SeriesExtend = &Drift{}
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func (inc *Drift) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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func (inc *Drift) CalculateAndUpdate(allKLines []types.KLine) {
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if inc.chng == 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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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 *Drift) 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 *Drift) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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