mirror of
https://github.com/c9s/bbgo.git
synced 2024-11-22 14:55:16 +00:00
68 lines
2.2 KiB
Go
68 lines
2.2 KiB
Go
package supertrend
|
|
|
|
import (
|
|
"github.com/c9s/bbgo/pkg/bbgo"
|
|
"github.com/c9s/bbgo/pkg/indicator"
|
|
"github.com/c9s/bbgo/pkg/types"
|
|
)
|
|
|
|
type DoubleDema struct {
|
|
Interval types.Interval `json:"interval"`
|
|
|
|
// FastDEMAWindow DEMA window for checking breakout
|
|
FastDEMAWindow int `json:"fastDEMAWindow"`
|
|
// SlowDEMAWindow DEMA window for checking breakout
|
|
SlowDEMAWindow int `json:"slowDEMAWindow"`
|
|
fastDEMA *indicator.DEMA
|
|
slowDEMA *indicator.DEMA
|
|
}
|
|
|
|
// getDemaSignal get current DEMA signal
|
|
func (dd *DoubleDema) getDemaSignal(openPrice float64, closePrice float64) types.Direction {
|
|
var demaSignal types.Direction = types.DirectionNone
|
|
|
|
if closePrice > dd.fastDEMA.Last(0) && closePrice > dd.slowDEMA.Last(0) && !(openPrice > dd.fastDEMA.Last(0) && openPrice > dd.slowDEMA.Last(0)) {
|
|
demaSignal = types.DirectionUp
|
|
} else if closePrice < dd.fastDEMA.Last(0) && closePrice < dd.slowDEMA.Last(0) && !(openPrice < dd.fastDEMA.Last(0) && openPrice < dd.slowDEMA.Last(0)) {
|
|
demaSignal = types.DirectionDown
|
|
}
|
|
|
|
return demaSignal
|
|
}
|
|
|
|
// preloadDema preloads DEMA indicators
|
|
func (dd *DoubleDema) preloadDema(kLineStore *bbgo.MarketDataStore) {
|
|
if klines, ok := kLineStore.KLinesOfInterval(dd.fastDEMA.Interval); ok {
|
|
for i := 0; i < len(*klines); i++ {
|
|
dd.fastDEMA.Update((*klines)[i].GetClose().Float64())
|
|
}
|
|
}
|
|
if klines, ok := kLineStore.KLinesOfInterval(dd.slowDEMA.Interval); ok {
|
|
for i := 0; i < len(*klines); i++ {
|
|
dd.slowDEMA.Update((*klines)[i].GetClose().Float64())
|
|
}
|
|
}
|
|
}
|
|
|
|
// newDoubleDema initializes double DEMA indicators
|
|
func newDoubleDema(kLineStore *bbgo.MarketDataStore, interval types.Interval, fastDEMAWindow int, slowDEMAWindow int) *DoubleDema {
|
|
dd := DoubleDema{Interval: interval, FastDEMAWindow: fastDEMAWindow, SlowDEMAWindow: slowDEMAWindow}
|
|
|
|
// DEMA
|
|
if dd.FastDEMAWindow == 0 {
|
|
dd.FastDEMAWindow = 144
|
|
}
|
|
dd.fastDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.FastDEMAWindow}}
|
|
dd.fastDEMA.Bind(kLineStore)
|
|
|
|
if dd.SlowDEMAWindow == 0 {
|
|
dd.SlowDEMAWindow = 169
|
|
}
|
|
dd.slowDEMA = &indicator.DEMA{IntervalWindow: types.IntervalWindow{Interval: dd.Interval, Window: dd.SlowDEMAWindow}}
|
|
dd.slowDEMA.Bind(kLineStore)
|
|
|
|
dd.preloadDema(kLineStore)
|
|
|
|
return &dd
|
|
}
|