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115 lines
2.8 KiB
Go
115 lines
2.8 KiB
Go
package indicator
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import (
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"math"
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"github.com/c9s/bbgo/pkg/types"
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)
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// Refer: https://easylanguagemastery.com/indicators/predictive-indicators/
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// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/ssf.py
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// Ehler's Super Smoother Filter
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//
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// John F. Ehlers's solution to reduce lag and remove aliasing noise with his
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// research in aerospace analog filter design. This indicator comes with two
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// versions determined by the keyword poles. By default, it uses two poles but
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// there is an option for three poles. Since SSF is a (Resursive) Digital Filter,
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// the number of poles determine how many prior recursive SSF bars to include in
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// the design of the filter. So two poles uses two prior SSF bars and three poles
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// uses three prior SSF bars for their filter calculations.
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//
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//go:generate callbackgen -type SSF
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type SSF struct {
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types.IntervalWindow
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Poles int
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c1 float64
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c2 float64
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c3 float64
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c4 float64
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Values types.Float64Slice
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UpdateCallbacks []func(value float64)
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}
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func (inc *SSF) Update(value float64) {
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if inc.Poles == 3 {
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if inc.Values == nil {
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x := math.Pi / float64(inc.Window)
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a0 := math.Exp(-x)
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b0 := 2. * a0 * math.Cos(math.Sqrt(3.)*x)
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c0 := a0 * a0
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inc.c4 = c0 * c0
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inc.c3 = -c0 * (1. + b0)
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inc.c2 = c0 + b0
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inc.c1 = 1. - inc.c2 - inc.c3 - inc.c4
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inc.Values = types.Float64Slice{}
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}
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result := inc.c1*value +
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inc.c2*inc.Values.Index(0) +
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inc.c3*inc.Values.Index(1) +
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inc.c4*inc.Values.Index(2)
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inc.Values.Push(result)
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} else { // poles == 2
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if inc.Values == nil {
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x := math.Pi * math.Sqrt(2.) / float64(inc.Window)
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a0 := math.Exp(-x)
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inc.c3 = -a0 * a0
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inc.c2 = 2. * a0 * math.Cos(x)
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inc.c1 = 1. - inc.c2 - inc.c3
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inc.Values = types.Float64Slice{}
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}
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result := inc.c1*value +
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inc.c2*inc.Values.Index(0) +
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inc.c3*inc.Values.Index(1)
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inc.Values.Push(result)
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}
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}
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func (inc *SSF) Index(i int) float64 {
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if inc.Values == nil {
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return 0.0
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}
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return inc.Values.Index(i)
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}
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func (inc *SSF) Length() int {
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if inc.Values == nil {
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return 0
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}
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return inc.Values.Length()
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}
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func (inc *SSF) Last() float64 {
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if inc.Values == nil {
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return 0.0
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}
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return inc.Values.Last()
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}
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var _ types.Series = &SSF{}
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func (inc *SSF) calculateAndUpdate(allKLines []types.KLine) {
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if inc.Values != nil {
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inc.Update(allKLines[len(allKLines)-1].Close.Float64())
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inc.EmitUpdate(inc.Last())
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return
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}
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for _, k := range allKLines {
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inc.Update(k.Close.Float64())
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inc.EmitUpdate(inc.Last())
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}
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}
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func (inc *SSF) 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 *SSF) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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