package indicator import ( "math" "time" "github.com/sirupsen/logrus" "git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats" "git.qtrade.icu/lychiyu/qbtrade/pkg/types" ) var logst = logrus.WithField("indicator", "supertrend") // The Super Trend is a technical analysis indicator that is used to identify potential buy and sell signals in a security's price. It is // calculated by combining the exponential moving average (EMA) and the average true range (ATR) of the security's price, and then plotting // the resulting value on the price chart as a line. The Super Trend line is typically used to identify potential entry and exit points // for trades, and can be used to confirm other technical analysis signals. It is typically more responsive to changes in the underlying // data than other trend-following indicators, but may be less reliable in trending markets. It is important to note that the Super Trend is a // lagging indicator, which means that it may not always provide accurate or timely signals. // // To use Super Trend, identify potential entry and exit points for trades by looking for crossovers or divergences between the Super Trend line // and the security's price. For example, a buy signal may be generated when the Super Trend line crosses above the security's price, while a sell // signal may be generated when the Super Trend line crosses below the security's price. //go:generate callbackgen -type Supertrend type Supertrend struct { types.SeriesBase types.IntervalWindow ATRMultiplier float64 `json:"atrMultiplier"` AverageTrueRange *ATR trendPrices floats.Slice // Value of the trend line (buy or sell) supportLine floats.Slice // The support line in an uptrend (green) resistanceLine floats.Slice // The resistance line in a downtrend (red) closePrice float64 previousClosePrice float64 uptrendPrice float64 previousUptrendPrice float64 downtrendPrice float64 previousDowntrendPrice float64 trend types.Direction previousTrend types.Direction tradeSignal types.Direction EndTime time.Time UpdateCallbacks []func(value float64) } func (inc *Supertrend) Last(i int) float64 { return inc.trendPrices.Last(i) } func (inc *Supertrend) Index(i int) float64 { return inc.Last(i) } func (inc *Supertrend) Length() int { return len(inc.trendPrices) } func (inc *Supertrend) Update(highPrice, lowPrice, closePrice float64) { if inc.Window <= 0 { panic("window must be greater than 0") } if inc.AverageTrueRange == nil { inc.SeriesBase.Series = inc } // Start with DirectionUp if inc.trend != types.DirectionUp && inc.trend != types.DirectionDown { inc.trend = types.DirectionUp } // Update ATR inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice) // Update last prices inc.previousUptrendPrice = inc.uptrendPrice inc.previousDowntrendPrice = inc.downtrendPrice inc.previousClosePrice = inc.closePrice inc.previousTrend = inc.trend inc.closePrice = closePrice src := (highPrice + lowPrice) / 2 // Update uptrend inc.uptrendPrice = src - inc.AverageTrueRange.Last(0)*inc.ATRMultiplier if inc.previousClosePrice > inc.previousUptrendPrice { inc.uptrendPrice = math.Max(inc.uptrendPrice, inc.previousUptrendPrice) } // Update downtrend inc.downtrendPrice = src + inc.AverageTrueRange.Last(0)*inc.ATRMultiplier if inc.previousClosePrice < inc.previousDowntrendPrice { inc.downtrendPrice = math.Min(inc.downtrendPrice, inc.previousDowntrendPrice) } // Update trend if inc.previousTrend == types.DirectionUp && inc.closePrice < inc.previousUptrendPrice { inc.trend = types.DirectionDown } else if inc.previousTrend == types.DirectionDown && inc.closePrice > inc.previousDowntrendPrice { inc.trend = types.DirectionUp } else { inc.trend = inc.previousTrend } // Update signal if inc.AverageTrueRange.Last(0) <= 0 { inc.tradeSignal = types.DirectionNone } else if inc.trend == types.DirectionUp && inc.previousTrend == types.DirectionDown { inc.tradeSignal = types.DirectionUp } else if inc.trend == types.DirectionDown && inc.previousTrend == types.DirectionUp { inc.tradeSignal = types.DirectionDown } else { inc.tradeSignal = types.DirectionNone } // Update trend price if inc.trend == types.DirectionDown { inc.trendPrices.Push(inc.downtrendPrice) } else { inc.trendPrices.Push(inc.uptrendPrice) } // Save the trend lines inc.supportLine.Push(inc.uptrendPrice) inc.resistanceLine.Push(inc.downtrendPrice) logst.Debugf("Update supertrend result: closePrice: %v, uptrendPrice: %v, downtrendPrice: %v, trend: %v,"+ " tradeSignal: %v, AverageTrueRange.Last(): %v", inc.closePrice, inc.uptrendPrice, inc.downtrendPrice, inc.trend, inc.tradeSignal, inc.AverageTrueRange.Last(0)) } func (inc *Supertrend) GetSignal() types.Direction { return inc.tradeSignal } // GetDirection return the current trend func (inc *Supertrend) Direction() types.Direction { return inc.trend } // LastSupertrendSupport return the current supertrend support func (inc *Supertrend) LastSupertrendSupport() float64 { return inc.supportLine.Last(0) } // LastSupertrendResistance return the current supertrend resistance func (inc *Supertrend) LastSupertrendResistance() float64 { return inc.resistanceLine.Last(0) } var _ types.SeriesExtend = &Supertrend{} func (inc *Supertrend) PushK(k types.KLine) { if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) { return } inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64()) inc.EndTime = k.EndTime.Time() inc.EmitUpdate(inc.Last(0)) } func (inc *Supertrend) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) { target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK)) } func (inc *Supertrend) LoadK(allKLines []types.KLine) { for _, k := range allKLines { inc.PushK(k) } } func (inc *Supertrend) CalculateAndUpdate(kLines []types.KLine) { for _, k := range kLines { if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) { continue } inc.PushK(k) } inc.EmitUpdate(inc.Last(0)) inc.EndTime = kLines[len(kLines)-1].EndTime.Time() } func (inc *Supertrend) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) { if inc.Interval != interval { return } inc.CalculateAndUpdate(window) } func (inc *Supertrend) Bind(updater KLineWindowUpdater) { updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate) }