mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-24 15:55:14 +00:00
122 lines
3.1 KiB
Go
122 lines
3.1 KiB
Go
package indicator
|
|
|
|
import (
|
|
"math"
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// Parabolic SAR(Stop and Reverse) / SAR
|
|
// Refer: https://www.investopedia.com/terms/p/parabolicindicator.asp
|
|
// The parabolic SAR indicator, developed by J. Wells Wilder, is used by traders to determine
|
|
// trend direction and potential reversals in price. The indicator uses a trailing stop and
|
|
// reverse method called "SAR," or stop and reverse, to identify suitable exit and entry points.
|
|
// Traders also refer to the indicator as to the parabolic stop and reverse, parabolic SAR, or PSAR.
|
|
//
|
|
// The parabolic SAR indicator appears on a chart as a series of dots, either above or below an asset's
|
|
// price, depending on the direction the price is moving. A dot is placed below the price when it is
|
|
// trending upward, and above the price when it is trending downward.
|
|
|
|
//go:generate callbackgen -type PSAR
|
|
type PSAR struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
High *types.Queue
|
|
Low *types.Queue
|
|
Values floats.Slice // Stop and Reverse
|
|
AF float64 // Acceleration Factor
|
|
EP float64
|
|
Falling bool
|
|
|
|
EndTime time.Time
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *PSAR) Last(i int) float64 {
|
|
return inc.Values.Last(i)
|
|
}
|
|
|
|
func (inc *PSAR) Length() int {
|
|
return len(inc.Values)
|
|
}
|
|
|
|
func (inc *PSAR) falling() bool {
|
|
up := inc.High.Last(0) - inc.High.Index(1)
|
|
dn := inc.Low.Index(1) - inc.Low.Last(0)
|
|
return (dn > up) && (dn > 0)
|
|
}
|
|
|
|
func (inc *PSAR) Update(high, low float64) {
|
|
if inc.High == nil {
|
|
inc.SeriesBase.Series = inc
|
|
inc.High = types.NewQueue(inc.Window)
|
|
inc.Low = types.NewQueue(inc.Window)
|
|
inc.Values = floats.Slice{}
|
|
inc.AF = 0.02
|
|
inc.High.Update(high)
|
|
inc.Low.Update(low)
|
|
return
|
|
}
|
|
isFirst := inc.High.Length() < inc.Window
|
|
inc.High.Update(high)
|
|
inc.Low.Update(low)
|
|
if !isFirst {
|
|
ppsar := inc.Values.Last(0)
|
|
if inc.Falling { // falling formula
|
|
psar := ppsar - inc.AF*(ppsar-inc.EP)
|
|
h := inc.High.Shift(1).Highest(2)
|
|
inc.Values.Push(math.Max(psar, h))
|
|
if low < inc.EP {
|
|
inc.EP = low
|
|
if inc.AF <= 0.18 {
|
|
inc.AF += 0.02
|
|
}
|
|
}
|
|
if high > psar { // reverse
|
|
inc.AF = 0.02
|
|
inc.Values[len(inc.Values)-1] = inc.EP
|
|
inc.EP = high
|
|
inc.Falling = false
|
|
}
|
|
} else { // rising formula
|
|
psar := ppsar + inc.AF*(inc.EP-ppsar)
|
|
l := inc.Low.Shift(1).Lowest(2)
|
|
inc.Values.Push(math.Min(psar, l))
|
|
if high > inc.EP {
|
|
inc.EP = high
|
|
if inc.AF <= 0.18 {
|
|
inc.AF += 0.02
|
|
}
|
|
}
|
|
if low < psar { // reverse
|
|
inc.AF = 0.02
|
|
inc.Values[len(inc.Values)-1] = inc.EP
|
|
inc.EP = low
|
|
inc.Falling = true
|
|
}
|
|
|
|
}
|
|
} else {
|
|
inc.Falling = inc.falling()
|
|
if inc.Falling {
|
|
inc.Values.Push(inc.High.Index(1))
|
|
inc.EP = inc.Low.Index(1)
|
|
} else {
|
|
inc.Values.Push(inc.Low.Index(1))
|
|
inc.EP = inc.High.Index(1)
|
|
}
|
|
}
|
|
}
|
|
|
|
var _ types.SeriesExtend = &PSAR{}
|
|
|
|
func (inc *PSAR) PushK(k types.KLine) {
|
|
inc.Update(k.High.Float64(), k.Low.Float64())
|
|
}
|
|
|
|
func (inc *PSAR) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
|
|
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
|
|
}
|