package indicator import ( "math" "time" "git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats" "git.qtrade.icu/lychiyu/qbtrade/pkg/types" ) const MaxNumOfATR = 1000 const MaxNumOfATRTruncateSize = 500 //go:generate callbackgen -type ATR type ATR struct { types.SeriesBase types.IntervalWindow PercentageVolatility floats.Slice PreviousClose float64 RMA *RMA EndTime time.Time UpdateCallbacks []func(value float64) } var _ types.SeriesExtend = &ATR{} func (inc *ATR) Clone() *ATR { out := &ATR{ IntervalWindow: inc.IntervalWindow, PercentageVolatility: inc.PercentageVolatility[:], PreviousClose: inc.PreviousClose, RMA: inc.RMA.Clone().(*RMA), EndTime: inc.EndTime, } out.SeriesBase.Series = out return out } func (inc *ATR) TestUpdate(high, low, cloze float64) *ATR { c := inc.Clone() c.Update(high, low, cloze) return c } func (inc *ATR) Update(high, low, cloze float64) { if inc.Window <= 0 { panic("window must be greater than 0") } if inc.RMA == nil { inc.SeriesBase.Series = inc inc.RMA = &RMA{ IntervalWindow: types.IntervalWindow{Window: inc.Window}, Adjust: true, } inc.PreviousClose = cloze return } // calculate true range trueRange := high - low hc := math.Abs(high - inc.PreviousClose) lc := math.Abs(low - inc.PreviousClose) if trueRange < hc { trueRange = hc } if trueRange < lc { trueRange = lc } inc.PreviousClose = cloze // apply rolling moving average inc.RMA.Update(trueRange) atr := inc.RMA.Last(0) inc.PercentageVolatility.Push(atr / cloze) if len(inc.PercentageVolatility) > MaxNumOfATR { inc.PercentageVolatility = inc.PercentageVolatility[MaxNumOfATRTruncateSize-1:] } } func (inc *ATR) Last(i int) float64 { if inc.RMA == nil { return 0 } return inc.RMA.Last(i) } func (inc *ATR) Index(i int) float64 { return inc.Last(i) } func (inc *ATR) Length() int { if inc.RMA == nil { return 0 } return inc.RMA.Length() } func (inc *ATR) PushK(k types.KLine) { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { return } inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64()) inc.EndTime = k.EndTime.Time() inc.EmitUpdate(inc.Last(0)) }