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66 lines
2.0 KiB
Go
66 lines
2.0 KiB
Go
package indicatorv2
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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: Commodity Channel Index
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// Refer URL: http://www.andrewshamlet.net/2017/07/08/python-tutorial-cci
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// with modification of ddof=0 to let standard deviation to be divided by N instead of N-1
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//
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// CCI = (Typical Price - n-period SMA of TP) / (Constant x Mean Deviation)
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//
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// Typical Price (TP) = (High + Low + Close)/3
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//
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// Constant = .015
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//
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// The Commodity Channel Index (CCI) is a technical analysis indicator that is used to identify potential overbought or oversold conditions
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// in a security's price. It was originally developed for use in commodity markets, but can be applied to any security that has a sufficient
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// amount of price data. The CCI is calculated by taking the difference between the security's typical price (the average of its high, low, and
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// closing prices) and its moving average, and then dividing the result by the mean absolute deviation of the typical price. This resulting value
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// is then plotted as a line on the price chart, with values above +100 indicating overbought conditions and values below -100 indicating
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// oversold conditions. The CCI can be used by traders to identify potential entry and exit points for trades, or to confirm other technical
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// analysis signals.
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type CCIStream struct {
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*types.Float64Series
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TypicalPrice *types.Float64Series
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source types.Float64Source
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window int
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}
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func CCI(source types.Float64Source, window int) *CCIStream {
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s := &CCIStream{
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Float64Series: types.NewFloat64Series(),
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TypicalPrice: types.NewFloat64Series(),
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source: source,
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window: window,
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}
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s.Bind(source, s)
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return s
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}
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func (s *CCIStream) Calculate(value float64) float64 {
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var tp = value
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if s.TypicalPrice.Length() > 0 {
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tp = s.TypicalPrice.Last(0) - s.source.Last(s.window) + value
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}
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s.TypicalPrice.Push(tp)
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ma := tp / float64(s.window)
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md := 0.
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for i := 0; i < s.window; i++ {
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diff := s.source.Last(i) - ma
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md += diff * diff
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}
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md = math.Sqrt(md / float64(s.window))
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cci := (value - ma) / (0.015 * md)
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return cci
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}
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