bbgo_origin/pkg/indicator/macd.go

123 lines
2.6 KiB
Go

package indicator
import (
"time"
"github.com/c9s/bbgo/pkg/datatype/floats"
"github.com/c9s/bbgo/pkg/types"
)
/*
macd implements moving average convergence divergence indicator
Moving Average Convergence Divergence (MACD)
- https://www.investopedia.com/terms/m/macd.asp
- https://school.stockcharts.com/doku.php?id=technical_indicators:macd-histogram
*/
type MACDConfig struct {
types.IntervalWindow // 9
// ShortPeriod is the short term period EMA, usually 12
ShortPeriod int `json:"short"`
// LongPeriod is the long term period EMA, usually 26
LongPeriod int `json:"long"`
}
//go:generate callbackgen -type MACD
type MACD struct {
MACDConfig
Values floats.Slice `json:"-"`
fastEWMA, slowEWMA, signalLine *EWMA
Histogram floats.Slice `json:"-"`
EndTime time.Time
updateCallbacks []func(fast, slow, signal, histogram float64)
}
func (inc *MACD) Update(x float64) {
if len(inc.Values) == 0 {
// apply default values
inc.fastEWMA = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.ShortPeriod}}
inc.slowEWMA = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.LongPeriod}}
inc.signalLine = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
if inc.ShortPeriod == 0 {
inc.ShortPeriod = 12
}
if inc.LongPeriod == 0 {
inc.LongPeriod = 26
}
}
// update fast and slow ema
inc.fastEWMA.Update(x)
inc.slowEWMA.Update(x)
// update MACD value, it's also the signal line
macd := inc.fastEWMA.Last() - inc.slowEWMA.Last()
inc.Values.Push(macd)
// update signal line
inc.signalLine.Update(macd)
// update histogram
histogram := macd - inc.signalLine.Last()
inc.Histogram.Push(histogram)
inc.EmitUpdate(inc.fastEWMA.Last(), inc.slowEWMA.Last(), macd, histogram)
}
func (inc *MACD) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *MACD) Length() int {
return len(inc.Values)
}
func (inc *MACD) PushK(k types.KLine) {
inc.Update(k.Close.Float64())
}
func (inc *MACD) MACD() types.SeriesExtend {
out := &MACDValues{MACD: inc}
out.SeriesBase.Series = out
return out
}
func (inc *MACD) Singals() types.SeriesExtend {
return inc.signalLine
}
type MACDValues struct {
types.SeriesBase
*MACD
}
func (inc *MACDValues) Last() float64 {
if len(inc.Values) == 0 {
return 0.0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *MACDValues) Index(i int) float64 {
length := len(inc.Values)
if length == 0 || length-1-i < 0 {
return 0.0
}
return inc.Values[length-1+i]
}
func (inc *MACDValues) Length() int {
return len(inc.Values)
}