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118 lines
2.3 KiB
Go
118 lines
2.3 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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// ATRP is the average true range percentage
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// See also https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atrp
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//
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// Calculation:
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//
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// ATRP = (Average True Range / Close) * 100
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//
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//go:generate callbackgen -type ATRP
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type ATRP struct {
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types.SeriesBase
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types.IntervalWindow
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PercentageVolatility types.Float64Slice
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PreviousClose float64
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RMA *RMA
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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 *ATRP) Update(high, low, cloze 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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if inc.RMA == nil {
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inc.SeriesBase.Series = inc
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inc.RMA = &RMA{
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IntervalWindow: types.IntervalWindow{Window: inc.Window},
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Adjust: true,
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}
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inc.PreviousClose = cloze
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return
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}
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// calculate true range
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trueRange := high - low
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hc := math.Abs(high - inc.PreviousClose)
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lc := math.Abs(low - inc.PreviousClose)
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if trueRange < hc {
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trueRange = hc
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}
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if trueRange < lc {
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trueRange = lc
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}
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// Note: this is the difference from ATR
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trueRange = trueRange / inc.PreviousClose * 100.0
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inc.PreviousClose = cloze
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// apply rolling moving average
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inc.RMA.Update(trueRange)
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atr := inc.RMA.Last()
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inc.PercentageVolatility.Push(atr / cloze)
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}
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func (inc *ATRP) Last() float64 {
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if inc.RMA == nil {
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return 0
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}
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return inc.RMA.Last()
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}
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func (inc *ATRP) Index(i int) float64 {
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if inc.RMA == nil {
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return 0
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}
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return inc.RMA.Index(i)
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}
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func (inc *ATRP) Length() int {
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if inc.RMA == nil {
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return 0
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}
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return inc.RMA.Length()
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}
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var _ types.SeriesExtend = &ATRP{}
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func (inc *ATRP) PushK(k types.KLine) {
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inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
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}
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func (inc *ATRP) 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.PushK(k)
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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 *ATRP) 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 *ATRP) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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