qbtrade/pkg/indicator/fisher.go
2024-06-27 22:42:38 +08:00

81 lines
2.3 KiB
Go

package indicator
import (
"math"
"git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats"
"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
)
// Fisher Transform
//
// The Fisher Transform is a technical analysis indicator that is used to identify potential turning points in the price of a security.
// It is based on the idea that prices tend to be normally distributed, with most price movements being small and relatively insignificant.
// The Fisher Transform converts this normal distribution into a symmetrical, Gaussian distribution, with a peak at zero and a range of -1 to +1.
// This transformation allows for more accurate identification of price extremes, which can be used to make predictions about potential trend reversals.
// The Fisher Transform is calculated by taking the natural logarithm of the ratio of the security's current price to its moving average,
// and then double-smoothing the result. This resulting line is called the Fisher Transform line, and can be plotted on the price chart
// along with the security's price.
//
//go:generate callbackgen -type FisherTransform
type FisherTransform struct {
types.SeriesBase
types.IntervalWindow
prices *types.Queue
Values floats.Slice
UpdateCallbacks []func(value float64)
}
func (inc *FisherTransform) Clone() types.UpdatableSeriesExtend {
out := FisherTransform{
IntervalWindow: inc.IntervalWindow,
prices: inc.prices.Clone(),
Values: inc.Values[:],
}
out.SeriesBase.Series = &out
return &out
}
func (inc *FisherTransform) Update(value float64) {
if inc.prices == nil {
inc.prices = types.NewQueue(inc.Window)
inc.SeriesBase.Series = inc
}
inc.prices.Update(value)
highest := inc.prices.Highest(inc.Window)
lowest := inc.prices.Lowest(inc.Window)
if highest == lowest {
inc.Values.Update(0)
return
}
x := 2*((value-lowest)/(highest-lowest)) - 1
if x == 1 {
x = 0.9999
} else if x == -1 {
x = -0.9999
}
inc.Values.Update(0.5 * math.Log((1+x)/(1-x)))
if len(inc.Values) > MaxNumOfEWMA {
inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
}
}
func (inc *FisherTransform) Last(i int) float64 {
if inc.Values == nil {
return 0.0
}
return inc.Values.Last(i)
}
func (inc *FisherTransform) Index(i int) float64 {
return inc.Last(i)
}
func (inc *FisherTransform) Length() int {
if inc.Values == nil {
return 0
}
return inc.Values.Length()
}