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123 lines
2.6 KiB
Go
123 lines
2.6 KiB
Go
package indicator
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import (
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"time"
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"github.com/c9s/bbgo/pkg/types"
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)
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/*
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macd implements moving average convergence divergence indicator
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Moving Average Convergence Divergence (MACD)
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- https://www.investopedia.com/terms/m/macd.asp
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*/
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//go:generate callbackgen -type MACD
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type MACD struct {
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types.IntervalWindow // 9
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ShortPeriod int // 12
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LongPeriod int // 26
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Values types.Float64Slice
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FastEWMA EWMA
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SlowEWMA EWMA
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SignalLine EWMA
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Histogram types.Float64Slice
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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func (inc *MACD) calculateMACD(kLines []types.KLine, priceF KLinePriceMapper) float64 {
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for _, kline := range kLines {
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inc.Update(kline, priceF)
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *MACD) Update(kLine types.KLine, priceF KLinePriceMapper) {
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if len(inc.Values) == 0 {
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inc.FastEWMA = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.ShortPeriod}}
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inc.SlowEWMA = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.LongPeriod}}
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inc.SignalLine = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
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}
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price := priceF(kLine)
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// update fast and slow ema
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inc.FastEWMA.Update(price)
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inc.SlowEWMA.Update(price)
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// update macd
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macd := inc.FastEWMA.Last() - inc.SlowEWMA.Last()
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inc.Values.Push(macd)
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// update signal line
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inc.SignalLine.Update(macd)
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// update histogram
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inc.Histogram.Push(macd - inc.SignalLine.Last())
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}
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func (inc *MACD) calculateAndUpdate(kLines []types.KLine) {
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if len(kLines) == 0 {
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return
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}
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var priceF = KLineClosePriceMapper
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for _, k := range kLines {
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if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
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continue
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}
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inc.Update(k, priceF)
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}
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inc.EmitUpdate(inc.Values[len(inc.Values)-1])
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inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
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}
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func (inc *MACD) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
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if inc.Interval != interval {
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return
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}
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inc.calculateAndUpdate(window)
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}
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func (inc *MACD) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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type MACDValues struct {
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*MACD
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}
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func (inc *MACDValues) Last() float64 {
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if len(inc.Values) == 0 {
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return 0.0
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}
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return inc.Values[len(inc.Values)-1]
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}
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func (inc *MACDValues) Index(i int) float64 {
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length := len(inc.Values)
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if length == 0 || length-1-i < 0 {
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return 0.0
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}
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return inc.Values[length-1+i]
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}
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func (inc *MACDValues) Length() int {
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return len(inc.Values)
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}
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func (inc *MACD) MACD() types.Series {
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return &MACDValues{inc}
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}
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func (inc *MACD) Singals() types.Series {
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return &inc.SignalLine
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}
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