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141 lines
3.5 KiB
Go
141 lines
3.5 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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// Parabolic SAR(Stop and Reverse) / SAR
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// Refer: https://www.investopedia.com/terms/p/parabolicindicator.asp
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// The parabolic SAR indicator, developed by J. Wells Wilder, is used by traders to determine
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// trend direction and potential reversals in price. The indicator uses a trailing stop and
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// reverse method called "SAR," or stop and reverse, to identify suitable exit and entry points.
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// Traders also refer to the indicator as to the parabolic stop and reverse, parabolic SAR, or PSAR.
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//
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// The parabolic SAR indicator appears on a chart as a series of dots, either above or below an asset's
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// price, depending on the direction the price is moving. A dot is placed below the price when it is
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// trending upward, and above the price when it is trending downward.
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//go:generate callbackgen -type PSAR
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type PSAR struct {
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types.SeriesBase
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types.IntervalWindow
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High *types.Queue
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Low *types.Queue
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Values floats.Slice // Stop and Reverse
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AF float64 // Acceleration Factor
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EP float64
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Falling bool
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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 *PSAR) Last() float64 {
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if len(inc.Values) == 0 {
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return 0
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}
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return inc.Values.Last()
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}
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func (inc *PSAR) Length() int {
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return len(inc.Values)
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}
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func (inc *PSAR) falling() bool {
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up := inc.High.Last() - inc.High.Index(1)
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dn := inc.Low.Index(1) - inc.Low.Last()
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return (dn > up) && (dn > 0)
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}
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func (inc *PSAR) Update(high, low float64) {
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if inc.High == nil {
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inc.SeriesBase.Series = inc
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inc.High = types.NewQueue(inc.Window)
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inc.Low = types.NewQueue(inc.Window)
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inc.Values = floats.Slice{}
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inc.AF = 0.02
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inc.High.Update(high)
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inc.Low.Update(low)
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return
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}
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isFirst := inc.High.Length() < inc.Window
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inc.High.Update(high)
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inc.Low.Update(low)
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if !isFirst {
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ppsar := inc.Values.Last()
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if inc.Falling { // falling formula
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psar := ppsar - inc.AF*(ppsar-inc.EP)
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h := inc.High.Shift(1).Highest(2)
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inc.Values.Push(math.Max(psar, h))
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if low < inc.EP {
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inc.EP = low
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if inc.AF <= 0.18 {
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inc.AF += 0.02
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}
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}
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if high > psar { // reverse
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inc.AF = 0.02
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inc.Values[len(inc.Values)-1] = inc.EP
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inc.EP = high
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inc.Falling = false
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}
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} else { // rising formula
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psar := ppsar + inc.AF*(inc.EP-ppsar)
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l := inc.Low.Shift(1).Lowest(2)
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inc.Values.Push(math.Min(psar, l))
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if high > inc.EP {
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inc.EP = high
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if inc.AF <= 0.18 {
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inc.AF += 0.02
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}
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}
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if low < psar { // reverse
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inc.AF = 0.02
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inc.Values[len(inc.Values)-1] = inc.EP
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inc.EP = low
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inc.Falling = true
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}
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}
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} else {
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inc.Falling = inc.falling()
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if inc.Falling {
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inc.Values.Push(inc.High.Index(1))
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inc.EP = inc.Low.Index(1)
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} else {
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inc.Values.Push(inc.Low.Index(1))
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inc.EP = inc.High.Index(1)
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}
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}
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}
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var _ types.SeriesExtend = &PSAR{}
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func (inc *PSAR) CalculateAndUpdate(kLines []types.KLine) {
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for _, k := range kLines {
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if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
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continue
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}
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inc.Update(k.High.Float64(), k.Low.Float64())
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}
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inc.EmitUpdate(inc.Last())
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inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
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}
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func (inc *PSAR) 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 *PSAR) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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