mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-14 02:53:50 +00:00
129 lines
3.1 KiB
Go
129 lines
3.1 KiB
Go
package indicator
|
|
|
|
import (
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
const MaxNumOfRMA = 1000
|
|
const MaxNumOfRMATruncateSize = 500
|
|
|
|
// Running Moving Average
|
|
// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/rma.py#L5
|
|
// Refer: https://pandas.pydata.org/docs/reference/api/pandas.DataFrame.ewm.html#pandas-dataframe-ewm
|
|
//
|
|
// The Running Moving Average (RMA) is a technical analysis indicator that is used to smooth price data and reduce the lag associated
|
|
// with traditional moving averages. It is calculated by taking the weighted moving average of the input data, with the weighting factors
|
|
// determined by the length of the moving average. The resulting average is then plotted on the price chart as a line, which can be used to
|
|
// make predictions about future price movements. The RMA is typically more responsive to changes in the underlying data than a simple
|
|
// moving average, but may be less reliable in trending markets. It is often used in conjunction with other technical analysis indicators
|
|
// to confirm signals or provide additional information about the security's price.
|
|
|
|
//go:generate callbackgen -type RMA
|
|
type RMA struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
|
|
Values floats.Slice
|
|
EndTime time.Time
|
|
|
|
counter int
|
|
Adjust bool
|
|
tmp float64
|
|
sum float64
|
|
|
|
updateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *RMA) Clone() types.UpdatableSeriesExtend {
|
|
out := &RMA{
|
|
IntervalWindow: inc.IntervalWindow,
|
|
Values: inc.Values[:],
|
|
counter: inc.counter,
|
|
Adjust: inc.Adjust,
|
|
tmp: inc.tmp,
|
|
sum: inc.sum,
|
|
EndTime: inc.EndTime,
|
|
}
|
|
out.SeriesBase.Series = out
|
|
return out
|
|
}
|
|
|
|
func (inc *RMA) Update(x float64) {
|
|
lambda := 1 / float64(inc.Window)
|
|
if inc.counter == 0 {
|
|
inc.SeriesBase.Series = inc
|
|
inc.sum = 1
|
|
inc.tmp = x
|
|
} else {
|
|
if inc.Adjust {
|
|
inc.sum = inc.sum*(1-lambda) + 1
|
|
inc.tmp = inc.tmp + (x-inc.tmp)/inc.sum
|
|
} else {
|
|
inc.tmp = inc.tmp*(1-lambda) + x*lambda
|
|
}
|
|
}
|
|
inc.counter++
|
|
|
|
if inc.counter < inc.Window {
|
|
inc.Values.Push(0)
|
|
return
|
|
}
|
|
|
|
inc.Values.Push(inc.tmp)
|
|
if len(inc.Values) > MaxNumOfRMA {
|
|
inc.Values = inc.Values[MaxNumOfRMATruncateSize-1:]
|
|
}
|
|
}
|
|
|
|
func (inc *RMA) Last(i int) float64 {
|
|
return inc.Values.Last(i)
|
|
}
|
|
|
|
func (inc *RMA) Index(i int) float64 {
|
|
return inc.Last(i)
|
|
}
|
|
|
|
func (inc *RMA) Length() int {
|
|
return len(inc.Values)
|
|
}
|
|
|
|
var _ types.SeriesExtend = &RMA{}
|
|
|
|
func (inc *RMA) PushK(k types.KLine) {
|
|
inc.Update(k.Close.Float64())
|
|
inc.EndTime = k.EndTime.Time()
|
|
}
|
|
|
|
func (inc *RMA) CalculateAndUpdate(kLines []types.KLine) {
|
|
last := kLines[len(kLines)-1]
|
|
|
|
if len(inc.Values) == 0 {
|
|
for _, k := range kLines {
|
|
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
|
|
continue
|
|
}
|
|
|
|
inc.PushK(k)
|
|
}
|
|
} else {
|
|
inc.PushK(last)
|
|
}
|
|
|
|
inc.EmitUpdate(inc.Last(0))
|
|
}
|
|
|
|
func (inc *RMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *RMA) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|