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139 lines
3.5 KiB
Go
139 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/types"
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)
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//go:generate callbackgen -type Supertrend
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type Supertrend struct {
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types.IntervalWindow
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ATRMultiplier float64 `json:"atrMultiplier"`
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AverageTrueRange *ATR
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trendPrices types.Float64Slice
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closePrice float64
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previousClosePrice float64
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uptrendPrice float64
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previousUptrendPrice float64
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downtrendPrice float64
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previousDowntrendPrice float64
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trend types.Direction
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previousTrend types.Direction
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tradeSignal types.Direction
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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 *Supertrend) Last() float64 {
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return inc.trendPrices.Last()
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}
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func (inc *Supertrend) Index(i int) float64 {
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length := inc.Length()
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if length == 0 || length-i-1 < 0 {
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return 0
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}
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return inc.trendPrices[length-i-1]
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}
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func (inc *Supertrend) Length() int {
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return len(inc.trendPrices)
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}
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func (inc *Supertrend) Update(highPrice, lowPrice, closePrice float64) {
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if inc.Window <= 0 {
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panic("window must be greater than 0")
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}
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// Start with DirectionUp
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if inc.trend != types.DirectionUp && inc.trend != types.DirectionDown {
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inc.trend = types.DirectionUp
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}
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// Update ATR
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inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice)
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// Update last prices
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inc.previousUptrendPrice = inc.uptrendPrice
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inc.previousDowntrendPrice = inc.downtrendPrice
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inc.previousClosePrice = inc.closePrice
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inc.previousTrend = inc.trend
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inc.closePrice = closePrice
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src := (highPrice + lowPrice) / 2
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// Update uptrend
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inc.uptrendPrice = src - inc.AverageTrueRange.Last()*inc.ATRMultiplier
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if inc.previousClosePrice > inc.previousUptrendPrice {
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inc.uptrendPrice = math.Max(inc.uptrendPrice, inc.previousUptrendPrice)
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}
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// Update downtrend
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inc.downtrendPrice = src + inc.AverageTrueRange.Last()*inc.ATRMultiplier
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if inc.previousClosePrice < inc.previousDowntrendPrice {
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inc.downtrendPrice = math.Min(inc.downtrendPrice, inc.previousDowntrendPrice)
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}
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// Update trend
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if inc.previousTrend == types.DirectionUp && inc.closePrice < inc.previousUptrendPrice {
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inc.trend = types.DirectionDown
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} else if inc.previousTrend == types.DirectionDown && inc.closePrice > inc.previousDowntrendPrice {
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inc.trend = types.DirectionUp
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} else {
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inc.trend = inc.previousTrend
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}
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// Update signal
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if inc.trend == types.DirectionUp && inc.previousTrend == types.DirectionDown {
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inc.tradeSignal = types.DirectionUp
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} else if inc.trend == types.DirectionDown && inc.previousTrend == types.DirectionUp {
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inc.tradeSignal = types.DirectionDown
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} else {
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inc.tradeSignal = types.DirectionNone
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}
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// Update trend price
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if inc.trend == types.DirectionDown {
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inc.trendPrices.Push(inc.downtrendPrice)
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} else {
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inc.trendPrices.Push(inc.uptrendPrice)
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}
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}
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func (inc *Supertrend) GetSignal() types.Direction {
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return inc.tradeSignal
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}
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var _ types.Series = &Supertrend{}
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func (inc *Supertrend) 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.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().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 *Supertrend) 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 *Supertrend) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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