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115 lines
2.2 KiB
Go
115 lines
2.2 KiB
Go
package indicator
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import (
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"math"
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"time"
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"github.com/c9s/bbgo/pkg/datatype/floats"
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"github.com/c9s/bbgo/pkg/types"
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)
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const MaxNumOfATR = 1000
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const MaxNumOfATRTruncateSize = 500
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//go:generate callbackgen -type ATR
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type ATR struct {
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types.SeriesBase
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types.IntervalWindow
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PercentageVolatility floats.Slice
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PreviousClose float64
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RMA *RMA
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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var _ types.SeriesExtend = &ATR{}
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func (inc *ATR) Clone() *ATR {
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out := &ATR{
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IntervalWindow: inc.IntervalWindow,
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PercentageVolatility: inc.PercentageVolatility[:],
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PreviousClose: inc.PreviousClose,
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RMA: inc.RMA.Clone().(*RMA),
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EndTime: inc.EndTime,
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}
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out.SeriesBase.Series = out
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return out
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}
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func (inc *ATR) TestUpdate(high, low, cloze float64) *ATR {
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c := inc.Clone()
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c.Update(high, low, cloze)
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return c
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}
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func (inc *ATR) Update(high, low, cloze float64) {
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if inc.Window <= 0 {
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panic("window must be greater than 0")
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}
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if inc.RMA == nil {
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inc.SeriesBase.Series = inc
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inc.RMA = &RMA{
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IntervalWindow: types.IntervalWindow{Window: inc.Window},
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Adjust: true,
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}
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inc.PreviousClose = cloze
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return
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}
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// calculate true range
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trueRange := high - low
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hc := math.Abs(high - inc.PreviousClose)
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lc := math.Abs(low - inc.PreviousClose)
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if trueRange < hc {
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trueRange = hc
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}
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if trueRange < lc {
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trueRange = lc
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}
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inc.PreviousClose = cloze
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// apply rolling moving average
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inc.RMA.Update(trueRange)
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atr := inc.RMA.Last(0)
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inc.PercentageVolatility.Push(atr / cloze)
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if len(inc.PercentageVolatility) > MaxNumOfATR {
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inc.PercentageVolatility = inc.PercentageVolatility[MaxNumOfATRTruncateSize-1:]
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}
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}
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func (inc *ATR) Last(i int) float64 {
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if inc.RMA == nil {
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return 0
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}
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return inc.RMA.Last(i)
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}
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func (inc *ATR) Index(i int) float64 {
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if inc.RMA == nil {
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return 0
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}
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return inc.RMA.Index(i)
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}
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func (inc *ATR) Length() int {
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if inc.RMA == nil {
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return 0
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}
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return inc.RMA.Length()
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}
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func (inc *ATR) PushK(k types.KLine) {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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return
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}
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inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
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inc.EndTime = k.EndTime.Time()
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inc.EmitUpdate(inc.Last(0))
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}
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