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121 lines
2.7 KiB
Go
121 lines
2.7 KiB
Go
package indicator
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import (
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"time"
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"github.com/sirupsen/logrus"
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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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var logLinReg = logrus.WithField("indicator", "LinReg")
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// LinReg is Linear Regression baseline
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//
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//go:generate callbackgen -type LinReg
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type LinReg struct {
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types.SeriesBase
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types.IntervalWindow
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// Values are the slopes of linear regression baseline
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Values floats.Slice
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// ValueRatios are the ratio of slope to the price
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ValueRatios floats.Slice
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klines types.KLineWindow
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EndTime time.Time
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UpdateCallbacks []func(value float64)
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}
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// Last slope of linear regression baseline
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func (lr *LinReg) Last(i int) float64 {
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return lr.Values.Last(i)
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}
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// LastRatio of slope to price
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func (lr *LinReg) LastRatio() float64 {
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if lr.ValueRatios.Length() == 0 {
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return 0.0
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}
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return lr.ValueRatios.Last(0)
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}
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// Index returns the slope of specified index
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func (lr *LinReg) Index(i int) float64 {
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return lr.Values.Last(i)
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}
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// IndexRatio returns the slope ratio
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func (lr *LinReg) IndexRatio(i int) float64 {
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if i >= lr.ValueRatios.Length() {
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return 0.0
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}
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return lr.ValueRatios.Last(i)
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}
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// Length of the slope values
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func (lr *LinReg) Length() int {
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return lr.Values.Length()
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}
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// LengthRatio of the slope ratio values
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func (lr *LinReg) LengthRatio() int {
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return lr.ValueRatios.Length()
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}
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var _ types.SeriesExtend = &LinReg{}
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// Update Linear Regression baseline slope
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func (lr *LinReg) Update(kline types.KLine) {
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lr.klines.Add(kline)
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lr.klines.Truncate(lr.Window)
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if len(lr.klines) < lr.Window {
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lr.Values.Push(0)
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lr.ValueRatios.Push(0)
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return
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}
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var sumX, sumY, sumXSqr, sumXY float64 = 0, 0, 0, 0
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end := len(lr.klines) - 1 // The last kline
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for i := end; i >= end-lr.Window+1; i-- {
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val := lr.klines[i].GetClose().Float64()
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per := float64(end - i + 1)
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sumX += per
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sumY += val
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sumXSqr += per * per
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sumXY += val * per
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}
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length := float64(lr.Window)
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slope := (length*sumXY - sumX*sumY) / (length*sumXSqr - sumX*sumX)
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average := sumY / length
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endPrice := average - slope*sumX/length + slope
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startPrice := endPrice + slope*(length-1)
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lr.Values.Push((endPrice - startPrice) / (length - 1))
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lr.ValueRatios.Push(lr.Values.Last(0) / kline.GetClose().Float64())
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logLinReg.Debugf("linear regression baseline slope: %f", lr.Last(0))
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}
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func (lr *LinReg) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
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target.OnKLineClosed(types.KLineWith(symbol, interval, lr.PushK))
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}
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func (lr *LinReg) PushK(k types.KLine) {
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var zeroTime = time.Time{}
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if lr.EndTime != zeroTime && k.EndTime.Before(lr.EndTime) {
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return
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}
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lr.Update(k)
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lr.EndTime = k.EndTime.Time()
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}
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func (lr *LinReg) LoadK(allKLines []types.KLine) {
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for _, k := range allKLines {
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lr.PushK(k)
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}
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}
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