94 lines
2.4 KiB
Go
94 lines
2.4 KiB
Go
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package indicator
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import (
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"git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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)
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// Refer: Zero Lag Exponential Moving Average
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// Refer URL: https://en.wikipedia.org/wiki/Zero_lag_exponential_moving_average
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//
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// The Zero Lag Exponential Moving Average (ZLEMA) is a technical analysis indicator that is used to smooth price data and reduce the
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// lag associated with traditional moving averages. It is calculated by taking the exponentially weighted moving average of the input
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// data, and then applying a digital filter to the resulting average to eliminate any remaining lag. This filtered average is then
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// plotted on the price chart as a line, which can be used to make predictions about future price movements. The ZLEMA is typically more
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// responsive to changes in the underlying data than a simple moving average, but may be less reliable in trending markets.
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//go:generate callbackgen -type ZLEMA
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type ZLEMA struct {
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types.SeriesBase
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types.IntervalWindow
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data floats.Slice
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zlema *EWMA
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lag int
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updateCallbacks []func(value float64)
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}
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func (inc *ZLEMA) Index(i int) float64 {
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return inc.Last(i)
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}
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func (inc *ZLEMA) Last(i int) float64 {
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if inc.zlema == nil {
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return 0
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}
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return inc.zlema.Last(i)
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}
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func (inc *ZLEMA) Length() int {
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if inc.zlema == nil {
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return 0
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}
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return inc.zlema.Length()
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}
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func (inc *ZLEMA) Update(value float64) {
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if inc.lag == 0 || inc.zlema == nil {
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inc.SeriesBase.Series = inc
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inc.zlema = &EWMA{IntervalWindow: inc.IntervalWindow}
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inc.lag = int((float64(inc.Window)-1.)/2. + 0.5)
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}
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inc.data.Push(value)
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if len(inc.data) > MaxNumOfEWMA {
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inc.data = inc.data[MaxNumOfEWMATruncateSize-1:]
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}
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if inc.lag >= inc.data.Length() {
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return
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}
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emaData := 2.*value - inc.data[len(inc.data)-1-inc.lag]
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inc.zlema.Update(emaData)
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}
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var _ types.SeriesExtend = &ZLEMA{}
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func (inc *ZLEMA) PushK(k types.KLine) {
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inc.Update(k.Close.Float64())
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}
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func (inc *ZLEMA) CalculateAndUpdate(allKLines []types.KLine) {
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if inc.zlema == nil {
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for _, k := range allKLines {
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inc.PushK(k)
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inc.EmitUpdate(inc.Last(0))
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}
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} else {
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k := allKLines[len(allKLines)-1]
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inc.PushK(k)
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inc.EmitUpdate(inc.Last(0))
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}
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}
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func (inc *ZLEMA) 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 *ZLEMA) Bind(updater KLineWindowUpdater) {
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updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
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}
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