bbgo_origin/pkg/indicator/alma.go

100 lines
2.6 KiB
Go

package indicator
import (
"math"
"github.com/c9s/bbgo/pkg/types"
)
// Refer: Arnaud Legoux Moving Average
// Refer: https://capital.com/arnaud-legoux-moving-average
// Also check https://github.com/DaveSkender/Stock.Indicators/blob/main/src/a-d/Alma/Alma.cs
// @param offset: Gaussian applied to the combo line. 1->ema, 0->sma
// @param sigma: the standard deviation applied to the combo line. This makes the combo line sharper
//go:generate callbackgen -type ALMA
type ALMA struct {
types.SeriesBase
types.IntervalWindow // required
Offset float64 // required: recommend to be 5
Sigma int // required: recommend to be 0.5
weight []float64
sum float64
input []float64
Values types.Float64Slice
UpdateCallbacks []func(value float64)
}
const MaxNumOfALMA = 5_000
const MaxNumOfALMATruncateSize = 100
func (inc *ALMA) Update(value float64) {
if inc.weight == nil {
inc.SeriesBase.Series = inc
inc.weight = make([]float64, inc.Window)
m := inc.Offset * (float64(inc.Window) - 1.)
s := float64(inc.Window) / float64(inc.Sigma)
inc.sum = 0.
for i := 0; i < inc.Window; i++ {
diff := float64(i) - m
wt := math.Exp(-diff * diff / 2. / s / s)
inc.sum += wt
inc.weight[i] = wt
}
}
inc.input = append(inc.input, value)
if len(inc.input) >= inc.Window {
weightedSum := 0.0
inc.input = inc.input[len(inc.input)-inc.Window:]
for i := 0; i < inc.Window; i++ {
weightedSum += inc.weight[inc.Window-i-1] * inc.input[i]
}
inc.Values.Push(weightedSum / inc.sum)
if len(inc.Values) > MaxNumOfALMA {
inc.Values = inc.Values[MaxNumOfALMATruncateSize-1:]
}
}
}
func (inc *ALMA) Last() float64 {
if len(inc.Values) == 0 {
return 0
}
return inc.Values[len(inc.Values)-1]
}
func (inc *ALMA) Index(i int) float64 {
if i >= len(inc.Values) {
return 0
}
return inc.Values[len(inc.Values)-i-1]
}
func (inc *ALMA) Length() int {
return len(inc.Values)
}
var _ types.SeriesExtend = &ALMA{}
func (inc *ALMA) calculateAndUpdate(allKLines []types.KLine) {
if inc.input == nil {
for _, k := range allKLines {
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last())
}
return
}
inc.Update(allKLines[len(allKLines)-1].Close.Float64())
inc.EmitUpdate(inc.Last())
}
func (inc *ALMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.calculateAndUpdate(window)
}
func (inc *ALMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}