mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 02:53:50 +00:00
69 lines
1.5 KiB
Go
69 lines
1.5 KiB
Go
package indicator
|
|
|
|
import (
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// Refer: Double Exponential Moving Average
|
|
// Refer URL: https://investopedia.com/terms/d/double-exponential-moving-average.asp
|
|
|
|
//go:generate callbackgen -type DEMA
|
|
type DEMA struct {
|
|
types.IntervalWindow
|
|
Values types.Float64Slice
|
|
a1 *EWMA
|
|
a2 *EWMA
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *DEMA) Update(value float64) {
|
|
if len(inc.Values) == 0 {
|
|
inc.a1 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
|
|
inc.a2 = &EWMA{IntervalWindow: types.IntervalWindow{inc.Interval, inc.Window}}
|
|
}
|
|
|
|
inc.a1.Update(value)
|
|
inc.a2.Update(inc.a1.Last())
|
|
inc.Values.Push(2*inc.a1.Last() - inc.a2.Last())
|
|
if len(inc.Values) > MaxNumOfEWMA {
|
|
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
|
|
}
|
|
}
|
|
|
|
func (inc *DEMA) Last() float64 {
|
|
return inc.Values.Last()
|
|
}
|
|
|
|
func (inc *DEMA) Index(i int) float64 {
|
|
if len(inc.Values)-i-1 >= 0 {
|
|
return inc.Values[len(inc.Values)-1-i]
|
|
}
|
|
return 0
|
|
}
|
|
|
|
func (inc *DEMA) Length() int {
|
|
return len(inc.Values)
|
|
}
|
|
|
|
var _ types.Series = &DEMA{}
|
|
|
|
func (inc *DEMA) calculateAndUpdate(allKLines []types.KLine) {
|
|
for _, k := range allKLines {
|
|
inc.Update(k.Close.Float64())
|
|
inc.EmitUpdate(inc.Last())
|
|
}
|
|
}
|
|
|
|
func (inc *DEMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.calculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *DEMA) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|