124 lines
3.2 KiB
Go
124 lines
3.2 KiB
Go
package indicator
|
|
|
|
import (
|
|
"math"
|
|
"time"
|
|
|
|
"git.qtrade.icu/lychiyu/qbtrade/pkg/datatype/floats"
|
|
"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
|
|
)
|
|
|
|
// ATRP is the average true range percentage
|
|
// See also https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atrp
|
|
//
|
|
// The Average True Range Percentage (ATRP) is a technical analysis indicator that measures the volatility of a security's price. It is
|
|
// calculated by dividing the Average True Range (ATR) of the security by its closing price, and then multiplying the result by 100 to convert
|
|
// it to a percentage. The ATR is a measure of the range of a security's price, taking into account gaps between trading periods and any limit
|
|
// moves (sharp price movements that are allowed under certain exchange rules). The ATR is typically smoothed using a moving average to make it
|
|
// more responsive to changes in the underlying price data. The ATRP is a useful indicator for traders because it provides a way to compare the
|
|
// volatility of different securities, regardless of their individual prices. It can also be used to identify potential entry and exit points
|
|
// for trades based on changes in the security's volatility.
|
|
//
|
|
// Calculation:
|
|
//
|
|
// ATRP = (Average True Range / Close) * 100
|
|
//
|
|
//go:generate callbackgen -type ATRP
|
|
type ATRP struct {
|
|
types.SeriesBase
|
|
types.IntervalWindow
|
|
PercentageVolatility floats.Slice
|
|
|
|
PreviousClose float64
|
|
RMA *RMA
|
|
|
|
EndTime time.Time
|
|
UpdateCallbacks []func(value float64)
|
|
}
|
|
|
|
func (inc *ATRP) Update(high, low, cloze float64) {
|
|
if inc.Window <= 0 {
|
|
panic("window must be greater than 0")
|
|
}
|
|
|
|
if inc.RMA == nil {
|
|
inc.SeriesBase.Series = inc
|
|
inc.RMA = &RMA{
|
|
IntervalWindow: types.IntervalWindow{Window: inc.Window},
|
|
Adjust: true,
|
|
}
|
|
inc.PreviousClose = cloze
|
|
return
|
|
}
|
|
|
|
// calculate true range
|
|
trueRange := high - low
|
|
hc := math.Abs(high - inc.PreviousClose)
|
|
lc := math.Abs(low - inc.PreviousClose)
|
|
if trueRange < hc {
|
|
trueRange = hc
|
|
}
|
|
if trueRange < lc {
|
|
trueRange = lc
|
|
}
|
|
|
|
// Note: this is the difference from ATR
|
|
trueRange = trueRange / inc.PreviousClose * 100.0
|
|
|
|
inc.PreviousClose = cloze
|
|
|
|
// apply rolling moving average
|
|
inc.RMA.Update(trueRange)
|
|
atr := inc.RMA.Last(0)
|
|
inc.PercentageVolatility.Push(atr / cloze)
|
|
}
|
|
|
|
func (inc *ATRP) Last(i int) float64 {
|
|
if inc.RMA == nil {
|
|
return 0
|
|
}
|
|
return inc.RMA.Last(i)
|
|
}
|
|
|
|
func (inc *ATRP) Index(i int) float64 {
|
|
return inc.Last(i)
|
|
}
|
|
|
|
func (inc *ATRP) Length() int {
|
|
if inc.RMA == nil {
|
|
return 0
|
|
}
|
|
return inc.RMA.Length()
|
|
}
|
|
|
|
var _ types.SeriesExtend = &ATRP{}
|
|
|
|
func (inc *ATRP) PushK(k types.KLine) {
|
|
inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
|
|
}
|
|
|
|
func (inc *ATRP) CalculateAndUpdate(kLines []types.KLine) {
|
|
for _, k := range kLines {
|
|
if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
|
|
continue
|
|
}
|
|
|
|
inc.PushK(k)
|
|
}
|
|
|
|
inc.EmitUpdate(inc.Last(0))
|
|
inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
|
|
}
|
|
|
|
func (inc *ATRP) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
|
|
if inc.Interval != interval {
|
|
return
|
|
}
|
|
|
|
inc.CalculateAndUpdate(window)
|
|
}
|
|
|
|
func (inc *ATRP) Bind(updater KLineWindowUpdater) {
|
|
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
|
|
}
|