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

104 lines
2.5 KiB
Go

package indicator
import (
"math"
"git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats"
"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
)
// Refer: https://easylanguagemastery.com/indicators/predictive-indicators/
// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/overlap/ssf.py
// Ehler's Super Smoother Filter
//
// John F. Ehlers's solution to reduce lag and remove aliasing noise with his
// research in aerospace analog filter design. This indicator comes with two
// versions determined by the keyword poles. By default, it uses two poles but
// there is an option for three poles. Since SSF is a (Resursive) Digital Filter,
// the number of poles determine how many prior recursive SSF bars to include in
// the design of the filter. So two poles uses two prior SSF bars and three poles
// uses three prior SSF bars for their filter calculations.
//
//go:generate callbackgen -type SSF
type SSF struct {
types.SeriesBase
types.IntervalWindow
Poles int
c1 float64
c2 float64
c3 float64
c4 float64
Values floats.Slice
UpdateCallbacks []func(value float64)
}
func (inc *SSF) Update(value float64) {
if inc.Poles == 3 {
if inc.Values == nil {
inc.SeriesBase.Series = inc
x := math.Pi / float64(inc.Window)
a0 := math.Exp(-x)
b0 := 2. * a0 * math.Cos(math.Sqrt(3.)*x)
c0 := a0 * a0
inc.c4 = c0 * c0
inc.c3 = -c0 * (1. + b0)
inc.c2 = c0 + b0
inc.c1 = 1. - inc.c2 - inc.c3 - inc.c4
inc.Values = floats.Slice{}
}
result := inc.c1*value +
inc.c2*inc.Values.Last(0) +
inc.c3*inc.Values.Last(1) +
inc.c4*inc.Values.Last(2)
inc.Values.Push(result)
} else { // poles == 2
if inc.Values == nil {
inc.SeriesBase.Series = inc
x := math.Pi * math.Sqrt(2.) / float64(inc.Window)
a0 := math.Exp(-x)
inc.c3 = -a0 * a0
inc.c2 = 2. * a0 * math.Cos(x)
inc.c1 = 1. - inc.c2 - inc.c3
inc.Values = floats.Slice{}
}
result := inc.c1*value +
inc.c2*inc.Values.Last(0) +
inc.c3*inc.Values.Last(1)
inc.Values.Push(result)
}
}
func (inc *SSF) Last(i int) float64 {
return inc.Values.Last(i)
}
func (inc *SSF) Index(i int) float64 {
return inc.Last(i)
}
func (inc *SSF) Length() int {
return inc.Values.Length()
}
var _ types.SeriesExtend = &SSF{}
func (inc *SSF) PushK(k types.KLine) {
inc.Update(k.Close.Float64())
}
func (inc *SSF) CalculateAndUpdate(allKLines []types.KLine) {
if inc.Values != nil {
k := allKLines[len(allKLines)-1]
inc.PushK(k)
inc.EmitUpdate(inc.Last(0))
return
}
for _, k := range allKLines {
inc.PushK(k)
inc.EmitUpdate(inc.Last(0))
}
}