mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-10 17:13:51 +00:00
126 lines
2.6 KiB
Go
126 lines
2.6 KiB
Go
package indicator
|
|
|
|
import (
|
|
"time"
|
|
|
|
"github.com/c9s/bbgo/pkg/datatype/floats"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
/*
|
|
macd implements moving average convergence divergence indicator
|
|
|
|
Moving Average Convergence Divergence (MACD)
|
|
- https://www.investopedia.com/terms/m/macd.asp
|
|
- https://school.stockcharts.com/doku.php?id=technical_indicators:macd-histogram
|
|
*/
|
|
type MACDConfig struct {
|
|
types.IntervalWindow // 9
|
|
|
|
// ShortPeriod is the short term period EMA, usually 12
|
|
ShortPeriod int `json:"short"`
|
|
// LongPeriod is the long term period EMA, usually 26
|
|
LongPeriod int `json:"long"`
|
|
}
|
|
|
|
//go:generate callbackgen -type MACD
|
|
type MACD struct {
|
|
MACDConfig
|
|
|
|
Values floats.Slice `json:"-"`
|
|
fastEWMA, slowEWMA, signalLine *EWMA
|
|
Histogram floats.Slice `json:"-"`
|
|
|
|
EndTime time.Time
|
|
|
|
updateCallbacks []func(macd, signal, histogram float64)
|
|
}
|
|
|
|
func (inc *MACD) Update(x float64) {
|
|
if len(inc.Values) == 0 {
|
|
// apply default values
|
|
inc.fastEWMA = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.ShortPeriod}}
|
|
inc.slowEWMA = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.LongPeriod}}
|
|
inc.signalLine = &EWMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
|
|
if inc.ShortPeriod == 0 {
|
|
inc.ShortPeriod = 12
|
|
}
|
|
|
|
if inc.LongPeriod == 0 {
|
|
inc.LongPeriod = 26
|
|
}
|
|
}
|
|
|
|
// update fast and slow ema
|
|
inc.fastEWMA.Update(x)
|
|
inc.slowEWMA.Update(x)
|
|
|
|
// update MACD value, it's also the signal line
|
|
fast := inc.fastEWMA.Last()
|
|
slow := inc.slowEWMA.Last()
|
|
macd := fast - slow
|
|
inc.Values.Push(macd)
|
|
|
|
// update signal line
|
|
inc.signalLine.Update(macd)
|
|
signal := inc.signalLine.Last()
|
|
|
|
// update histogram
|
|
histogram := macd - signal
|
|
inc.Histogram.Push(histogram)
|
|
|
|
inc.EmitUpdate(macd, signal, histogram)
|
|
}
|
|
|
|
func (inc *MACD) Last() float64 {
|
|
if len(inc.Values) == 0 {
|
|
return 0.0
|
|
}
|
|
|
|
return inc.Values[len(inc.Values)-1]
|
|
}
|
|
|
|
func (inc *MACD) Length() int {
|
|
return len(inc.Values)
|
|
}
|
|
|
|
func (inc *MACD) PushK(k types.KLine) {
|
|
inc.Update(k.Close.Float64())
|
|
}
|
|
|
|
func (inc *MACD) MACD() types.SeriesExtend {
|
|
out := &MACDValues{MACD: inc}
|
|
out.SeriesBase.Series = out
|
|
return out
|
|
}
|
|
|
|
func (inc *MACD) Singals() types.SeriesExtend {
|
|
return inc.signalLine
|
|
}
|
|
|
|
type MACDValues struct {
|
|
types.SeriesBase
|
|
*MACD
|
|
}
|
|
|
|
func (inc *MACDValues) Last() float64 {
|
|
if len(inc.Values) == 0 {
|
|
return 0.0
|
|
}
|
|
|
|
return inc.Values[len(inc.Values)-1]
|
|
}
|
|
|
|
func (inc *MACDValues) Index(i int) float64 {
|
|
length := len(inc.Values)
|
|
if length == 0 || length-1-i < 0 {
|
|
return 0.0
|
|
}
|
|
|
|
return inc.Values[length-1+i]
|
|
}
|
|
|
|
func (inc *MACDValues) Length() int {
|
|
return len(inc.Values)
|
|
}
|