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

124 lines
3.1 KiB
Go

package indicator
import (
"time"
"git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats"
"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
)
const MaxNumOfRMA = 1000
const MaxNumOfRMATruncateSize = 500
// Running Moving Average
// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/rma.py#L5
// Refer: https://pandas.pydata.org/docs/reference/api/pandas.DataFrame.ewm.html#pandas-dataframe-ewm
//
// The Running Moving Average (RMA) is a technical analysis indicator that is used to smooth price data and reduce the lag associated
// with traditional moving averages. It is calculated by taking the weighted moving average of the input data, with the weighting factors
// determined by the length of the moving average. The resulting average is then plotted on the price chart as a line, which can be used to
// make predictions about future price movements. The RMA is typically more responsive to changes in the underlying data than a simple
// moving average, but may be less reliable in trending markets. It is often used in conjunction with other technical analysis indicators
// to confirm signals or provide additional information about the security's price.
//go:generate callbackgen -type RMA
type RMA struct {
types.SeriesBase
types.IntervalWindow
Values floats.Slice
EndTime time.Time
counter int
Adjust bool
tmp float64
sum float64
updateCallbacks []func(value float64)
}
func (inc *RMA) Clone() types.UpdatableSeriesExtend {
out := &RMA{
IntervalWindow: inc.IntervalWindow,
Values: inc.Values[:],
counter: inc.counter,
Adjust: inc.Adjust,
tmp: inc.tmp,
sum: inc.sum,
EndTime: inc.EndTime,
}
out.SeriesBase.Series = out
return out
}
func (inc *RMA) Update(x float64) {
lambda := 1 / float64(inc.Window)
if inc.counter == 0 {
inc.SeriesBase.Series = inc
inc.sum = 1
inc.tmp = x
} else {
if inc.Adjust {
inc.sum = inc.sum*(1-lambda) + 1
inc.tmp = inc.tmp + (x-inc.tmp)/inc.sum
} else {
inc.tmp = inc.tmp*(1-lambda) + x*lambda
}
}
inc.counter++
inc.Values.Push(inc.tmp)
if len(inc.Values) > MaxNumOfRMA {
inc.Values = inc.Values[MaxNumOfRMATruncateSize-1:]
}
}
func (inc *RMA) Last(i int) float64 {
return inc.Values.Last(i)
}
func (inc *RMA) Index(i int) float64 {
return inc.Last(i)
}
func (inc *RMA) Length() int {
return len(inc.Values)
}
var _ types.SeriesExtend = &RMA{}
func (inc *RMA) PushK(k types.KLine) {
inc.Update(k.Close.Float64())
inc.EndTime = k.EndTime.Time()
}
func (inc *RMA) CalculateAndUpdate(kLines []types.KLine) {
last := kLines[len(kLines)-1]
if len(inc.Values) == 0 {
for _, k := range kLines {
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
continue
}
inc.PushK(k)
}
} else {
inc.PushK(last)
}
inc.EmitUpdate(inc.Last(0))
}
func (inc *RMA) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.CalculateAndUpdate(window)
}
func (inc *RMA) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}