148 lines
3.6 KiB
Go
148 lines
3.6 KiB
Go
package indicator
|
|
|
|
import (
|
|
"math"
|
|
|
|
"git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats"
|
|
"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
|
|
)
|
|
|
|
// Refer: https://tradingview.com/script/aDymGrFx-Drift-Study-Inspired-by-Monte-Carlo-Simulations-with-BM-KL/
|
|
// Brownian Motion's drift factor
|
|
// could be used in Monte Carlo Simulations
|
|
//
|
|
//go:generate callbackgen -type WeightedDrift
|
|
type WeightedDrift struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
chng *types.Queue
|
|
Values floats.Slice
|
|
MA types.UpdatableSeriesExtend
|
|
Weight *types.Queue
|
|
LastValue float64
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *WeightedDrift) Update(value float64, weight float64) {
|
|
if weight == 0 {
|
|
inc.LastValue = value
|
|
return
|
|
}
|
|
if inc.chng == nil {
|
|
inc.SeriesBase.Series = inc
|
|
if inc.MA == nil {
|
|
inc.MA = &SMA{IntervalWindow: types.IntervalWindow{Interval: inc.Interval, Window: inc.Window}}
|
|
}
|
|
inc.Weight = types.NewQueue(inc.Window)
|
|
inc.chng = types.NewQueue(inc.Window)
|
|
inc.LastValue = value
|
|
inc.Weight.Update(weight)
|
|
return
|
|
}
|
|
inc.Weight.Update(weight)
|
|
base := inc.Weight.Lowest(inc.Window)
|
|
multiplier := int(weight / base)
|
|
var chng float64
|
|
if value == 0 {
|
|
chng = 0
|
|
} else {
|
|
chng = math.Log(value/inc.LastValue) / weight * base
|
|
inc.LastValue = value
|
|
}
|
|
for i := 0; i < multiplier; i++ {
|
|
inc.MA.Update(chng)
|
|
inc.chng.Update(chng)
|
|
}
|
|
if inc.chng.Length() >= inc.Window {
|
|
stdev := types.Stdev(inc.chng, inc.Window)
|
|
drift := inc.MA.Last(0) - stdev*stdev*0.5
|
|
inc.Values.Push(drift)
|
|
}
|
|
}
|
|
|
|
// Assume that MA is SMA
|
|
func (inc *WeightedDrift) ZeroPoint() float64 {
|
|
window := float64(inc.Window)
|
|
stdev := types.Stdev(inc.chng, inc.Window)
|
|
chng := inc.chng.Index(inc.Window - 1)
|
|
/*b := -2 * inc.MA.Last() - 2
|
|
c := window * stdev * stdev - chng * chng + 2 * chng * (inc.MA.Last() + 1) - 2 * inc.MA.Last() * window
|
|
|
|
root := math.Sqrt(b*b - 4*c)
|
|
K1 := (-b + root)/2
|
|
K2 := (-b - root)/2
|
|
N1 := math.Exp(K1) * inc.LastValue
|
|
N2 := math.Exp(K2) * inc.LastValue
|
|
if math.Abs(inc.LastValue-N1) < math.Abs(inc.LastValue-N2) {
|
|
return N1
|
|
} else {
|
|
return N2
|
|
}*/
|
|
return inc.LastValue * math.Exp(window*(0.5*stdev*stdev)+chng-inc.MA.Last(0)*window)
|
|
}
|
|
|
|
func (inc *WeightedDrift) Clone() (out *WeightedDrift) {
|
|
out = &WeightedDrift{
|
|
IntervalWindow: inc.IntervalWindow,
|
|
chng: inc.chng.Clone(),
|
|
Values: inc.Values[:],
|
|
MA: types.Clone(inc.MA),
|
|
Weight: inc.Weight.Clone(),
|
|
LastValue: inc.LastValue,
|
|
}
|
|
out.SeriesBase.Series = out
|
|
return out
|
|
}
|
|
|
|
func (inc *WeightedDrift) TestUpdate(value float64, weight float64) *WeightedDrift {
|
|
out := inc.Clone()
|
|
out.Update(value, weight)
|
|
return out
|
|
}
|
|
|
|
func (inc *WeightedDrift) Index(i int) float64 {
|
|
return inc.Last(i)
|
|
}
|
|
|
|
func (inc *WeightedDrift) Last(i int) float64 {
|
|
return inc.Values.Last(i)
|
|
}
|
|
|
|
func (inc *WeightedDrift) Length() int {
|
|
if inc.Values == nil {
|
|
return 0
|
|
}
|
|
return inc.Values.Length()
|
|
}
|
|
|
|
var _ types.SeriesExtend = &Drift{}
|
|
|
|
func (inc *WeightedDrift) PushK(k types.KLine) {
|
|
inc.Update(k.Close.Float64(), k.Volume.Abs().Float64())
|
|
}
|
|
|
|
func (inc *WeightedDrift) CalculateAndUpdate(allKLines []types.KLine) {
|
|
if inc.chng == nil {
|
|
for _, k := range allKLines {
|
|
inc.PushK(k)
|
|
inc.EmitUpdate(inc.Last(0))
|
|
}
|
|
} else {
|
|
k := allKLines[len(allKLines)-1]
|
|
inc.PushK(k)
|
|
inc.EmitUpdate(inc.Last(0))
|
|
}
|
|
}
|
|
|
|
func (inc *WeightedDrift) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *WeightedDrift) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|