118 lines
3.4 KiB
Go
118 lines
3.4 KiB
Go
package indicator
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import (
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"math"
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"git.qtrade.icu/lychiyu/qbtrade/pkg/types"
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)
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// Refer: https://www.investopedia.com/terms/d/dmi.asp
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// Refer: https://github.com/twopirllc/pandas-ta/blob/main/pandas_ta/trend/adx.py
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//
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// Directional Movement Index
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//
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// The Directional Movement Index (DMI) is a technical analysis indicator that is used to identify the direction and strength of a trend
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// in a security's price. It was developed by J. Welles Wilder and is based on the concept of the +DI and -DI lines, which measure the strength
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// of upward and downward price movements, respectively. The DMI is calculated by taking the difference between the +DI and -DI lines, and then
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// smoothing the result using a moving average. This resulting line is called the Average Directional Index (ADX), and is used to identify whether
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// a security is trending or not. If the ADX is above a certain threshold, typically 20, it indicates that the security is in a strong trend,
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// and if it is below that threshold it indicates that the security is in a sideways or choppy market. The DMI can be used by traders to confirm
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// the direction and strength of a trend, or to identify potential entry and exit points for trades.
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//go:generate callbackgen -type DMI
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type DMI struct {
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types.IntervalWindow
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ADXSmoothing int
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atr *ATR
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DMP types.UpdatableSeriesExtend
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DMN types.UpdatableSeriesExtend
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DIPlus *types.Queue
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DIMinus *types.Queue
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ADX types.UpdatableSeriesExtend
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PrevHigh, PrevLow float64
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updateCallbacks []func(diplus, diminus, adx float64)
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}
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func (inc *DMI) Update(high, low, cloze float64) {
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if inc.DMP == nil || inc.DMN == nil {
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inc.DMP = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
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inc.DMN = &RMA{IntervalWindow: inc.IntervalWindow, Adjust: true}
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inc.ADX = &RMA{IntervalWindow: types.IntervalWindow{Window: inc.ADXSmoothing}, Adjust: true}
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}
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if inc.atr == nil {
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inc.atr = &ATR{IntervalWindow: inc.IntervalWindow}
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inc.atr.Update(high, low, cloze)
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inc.PrevHigh = high
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inc.PrevLow = low
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inc.DIPlus = types.NewQueue(500)
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inc.DIMinus = types.NewQueue(500)
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return
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}
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inc.atr.Update(high, low, cloze)
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up := high - inc.PrevHigh
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dn := inc.PrevLow - low
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inc.PrevHigh = high
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inc.PrevLow = low
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pos := 0.0
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if up > dn && up > 0. {
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pos = up
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}
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neg := 0.0
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if dn > up && dn > 0. {
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neg = dn
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}
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inc.DMP.Update(pos)
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inc.DMN.Update(neg)
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if inc.atr.Length() < inc.Window {
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return
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}
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k := 100. / inc.atr.Last(0)
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dmp := inc.DMP.Last(0)
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dmn := inc.DMN.Last(0)
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inc.DIPlus.Update(k * dmp)
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inc.DIMinus.Update(k * dmn)
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dx := 100. * math.Abs(dmp-dmn) / (dmp + dmn)
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inc.ADX.Update(dx)
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}
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func (inc *DMI) GetDIPlus() types.SeriesExtend {
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return inc.DIPlus
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}
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func (inc *DMI) GetDIMinus() types.SeriesExtend {
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return inc.DIMinus
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}
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func (inc *DMI) GetADX() types.SeriesExtend {
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return inc.ADX
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}
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func (inc *DMI) Length() int {
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return inc.ADX.Length()
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}
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func (inc *DMI) PushK(k types.KLine) {
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inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
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}
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func (inc *DMI) CalculateAndUpdate(allKLines []types.KLine) {
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last := allKLines[len(allKLines)-1]
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if inc.ADX == nil {
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for _, k := range allKLines {
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inc.PushK(k)
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inc.EmitUpdate(inc.DIPlus.Last(0), inc.DIMinus.Last(0), inc.ADX.Last(0))
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}
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} else {
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inc.PushK(last)
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inc.EmitUpdate(inc.DIPlus.Last(0), inc.DIMinus.Last(0), inc.ADX.Last(0))
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}
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}
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