mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 17:13:51 +00:00
102 lines
2.2 KiB
Go
102 lines
2.2 KiB
Go
package indicator
|
|
|
|
import (
|
|
"math"
|
|
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// Refer: Variable Index Dynamic Average
|
|
// Refer URL: https://metatrader5.com/en/terminal/help/indicators/trend_indicators/vida
|
|
//go:generate callbackgen -type VIDYA
|
|
type VIDYA struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
Values floats.Slice
|
|
input floats.Slice
|
|
|
|
updateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *VIDYA) Update(value float64) {
|
|
if inc.Values.Length() == 0 {
|
|
inc.SeriesBase.Series = inc
|
|
inc.Values.Push(value)
|
|
inc.input.Push(value)
|
|
return
|
|
}
|
|
inc.input.Push(value)
|
|
if len(inc.input) > MaxNumOfEWMA {
|
|
inc.input = inc.input[MaxNumOfEWMATruncateSize-1:]
|
|
}
|
|
/*upsum := 0.
|
|
downsum := 0.
|
|
for i := 0; i < inc.Window; i++ {
|
|
if len(inc.input) <= i+1 {
|
|
break
|
|
}
|
|
diff := inc.input.Index(i) - inc.input.Index(i+1)
|
|
if diff > 0 {
|
|
upsum += diff
|
|
} else {
|
|
downsum += -diff
|
|
}
|
|
|
|
}
|
|
if upsum == 0 && downsum == 0 {
|
|
return
|
|
}
|
|
CMO := math.Abs((upsum - downsum) / (upsum + downsum))*/
|
|
change := types.Change(&inc.input)
|
|
CMO := math.Abs(types.Sum(change, inc.Window) / types.Sum(types.Abs(change), inc.Window))
|
|
alpha := 2. / float64(inc.Window+1)
|
|
inc.Values.Push(value*alpha*CMO + inc.Values.Last()*(1.-alpha*CMO))
|
|
if inc.Values.Length() > MaxNumOfEWMA {
|
|
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
|
|
}
|
|
}
|
|
|
|
func (inc *VIDYA) Last() float64 {
|
|
return inc.Values.Last()
|
|
}
|
|
|
|
func (inc *VIDYA) Index(i int) float64 {
|
|
return inc.Values.Index(i)
|
|
}
|
|
|
|
func (inc *VIDYA) Length() int {
|
|
return inc.Values.Length()
|
|
}
|
|
|
|
var _ types.SeriesExtend = &VIDYA{}
|
|
|
|
func (inc *VIDYA) PushK(k types.KLine) {
|
|
inc.Update(k.Close.Float64())
|
|
}
|
|
|
|
func (inc *VIDYA) CalculateAndUpdate(allKLines []types.KLine) {
|
|
if inc.input.Length() == 0 {
|
|
for _, k := range allKLines {
|
|
inc.PushK(k)
|
|
inc.EmitUpdate(inc.Last())
|
|
}
|
|
} else {
|
|
k := allKLines[len(allKLines)-1]
|
|
inc.PushK(k)
|
|
inc.EmitUpdate(inc.Last())
|
|
}
|
|
}
|
|
|
|
func (inc *VIDYA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *VIDYA) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|