104 lines
2.5 KiB
Go
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))
|
|
}
|
|
}
|