mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 09:11:55 +00:00
101 lines
2.9 KiB
Go
101 lines
2.9 KiB
Go
package indicator
|
|
|
|
import (
|
|
"math"
|
|
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
// Refer: Commodity Channel Index
|
|
// Refer URL: http://www.andrewshamlet.net/2017/07/08/python-tutorial-cci
|
|
// with modification of ddof=0 to let standard deviation to be divided by N instead of N-1
|
|
//
|
|
// The Commodity Channel Index (CCI) is a technical analysis indicator that is used to identify potential overbought or oversold conditions
|
|
// in a security's price. It was originally developed for use in commodity markets, but can be applied to any security that has a sufficient
|
|
// amount of price data. The CCI is calculated by taking the difference between the security's typical price (the average of its high, low, and
|
|
// closing prices) and its moving average, and then dividing the result by the mean absolute deviation of the typical price. This resulting value
|
|
// is then plotted as a line on the price chart, with values above +100 indicating overbought conditions and values below -100 indicating
|
|
// oversold conditions. The CCI can be used by traders to identify potential entry and exit points for trades, or to confirm other technical
|
|
// analysis signals.
|
|
|
|
//go:generate callbackgen -type CCI
|
|
type CCI struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
Input floats.Slice
|
|
TypicalPrice floats.Slice
|
|
MA floats.Slice
|
|
Values floats.Slice
|
|
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *CCI) Update(value float64) {
|
|
if len(inc.TypicalPrice) == 0 {
|
|
inc.SeriesBase.Series = inc
|
|
inc.TypicalPrice.Push(value)
|
|
inc.Input.Push(value)
|
|
return
|
|
} else if len(inc.TypicalPrice) > MaxNumOfEWMA {
|
|
inc.TypicalPrice = inc.TypicalPrice[MaxNumOfEWMATruncateSize-1:]
|
|
inc.Input = inc.Input[MaxNumOfEWMATruncateSize-1:]
|
|
}
|
|
|
|
inc.Input.Push(value)
|
|
tp := inc.TypicalPrice.Last(0) - inc.Input.Index(inc.Window) + value
|
|
inc.TypicalPrice.Push(tp)
|
|
if len(inc.Input) < inc.Window {
|
|
return
|
|
}
|
|
ma := tp / float64(inc.Window)
|
|
inc.MA.Push(ma)
|
|
if len(inc.MA) > MaxNumOfEWMA {
|
|
inc.MA = inc.MA[MaxNumOfEWMATruncateSize-1:]
|
|
}
|
|
md := 0.
|
|
for i := 0; i < inc.Window; i++ {
|
|
diff := inc.Input.Last(i) - ma
|
|
md += diff * diff
|
|
}
|
|
md = math.Sqrt(md / float64(inc.Window))
|
|
|
|
cci := (value - ma) / (0.015 * md)
|
|
|
|
inc.Values.Push(cci)
|
|
if len(inc.Values) > MaxNumOfEWMA {
|
|
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
|
|
}
|
|
}
|
|
|
|
func (inc *CCI) Last(i int) float64 {
|
|
return inc.Values.Last(i)
|
|
}
|
|
|
|
func (inc *CCI) Index(i int) float64 {
|
|
return inc.Last(i)
|
|
}
|
|
|
|
func (inc *CCI) Length() int {
|
|
return len(inc.Values)
|
|
}
|
|
|
|
var _ types.SeriesExtend = &CCI{}
|
|
|
|
func (inc *CCI) PushK(k types.KLine) {
|
|
inc.Update(k.High.Add(k.Low).Add(k.Close).Div(three).Float64())
|
|
}
|
|
|
|
func (inc *CCI) CalculateAndUpdate(allKLines []types.KLine) {
|
|
if inc.TypicalPrice.Length() == 0 {
|
|
for _, k := range allKLines {
|
|
inc.PushK(k)
|
|
inc.EmitUpdate(inc.Last(0))
|
|
}
|
|
} else {
|
|
k := allKLines[len(allKLines)-1]
|
|
inc.PushK(k)
|
|
inc.EmitUpdate(inc.Last(0))
|
|
}
|
|
}
|