package indicator import ( "time" "git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats" "git.qtrade.icu/lychiyu/qbtrade/pkg/types" ) // These numbers should be aligned with qbtrade MaxNumOfKLines and MaxNumOfKLinesTruncate const MaxNumOfEWMA = 1_000 const MaxNumOfEWMATruncateSize = 500 //go:generate callbackgen -type EWMA type EWMA struct { types.IntervalWindow types.SeriesBase Values floats.Slice EndTime time.Time updateCallbacks []func(value float64) } var _ types.SeriesExtend = &EWMA{} func (inc *EWMA) Clone() *EWMA { out := &EWMA{ IntervalWindow: inc.IntervalWindow, Values: inc.Values[:], } out.SeriesBase.Series = out return out } func (inc *EWMA) TestUpdate(value float64) *EWMA { out := inc.Clone() out.Update(value) return out } func (inc *EWMA) Update(value float64) { var multiplier = 2.0 / float64(1+inc.Window) if len(inc.Values) == 0 { inc.SeriesBase.Series = inc inc.Values.Push(value) return } else if len(inc.Values) > MaxNumOfEWMA { inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:] } ema := (1-multiplier)*inc.Last(0) + multiplier*value inc.Values.Push(ema) } func (inc *EWMA) Last(i int) float64 { return inc.Values.Last(i) } func (inc *EWMA) Index(i int) float64 { return inc.Last(i) } func (inc *EWMA) Length() int { return len(inc.Values) } func (inc *EWMA) PushK(k types.KLine) { if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) { return } inc.Update(k.Close.Float64()) inc.EndTime = k.EndTime.Time() inc.EmitUpdate(inc.Last(0)) } func CalculateKLinesEMA(allKLines []types.KLine, priceF types.KLineValueMapper, window int) float64 { var multiplier = 2.0 / (float64(window) + 1) return ewma(types.MapKLinePrice(allKLines, priceF), multiplier) } // see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp func ewma(prices []float64, multiplier float64) float64 { var end = len(prices) - 1 if end == 0 { return prices[0] } return prices[end]*multiplier + (1-multiplier)*ewma(prices[:end], multiplier) }