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Merge pull request c9s#890 from zenixls2/feature/wdrift
weighted drift
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,72 @@ | ||
| package indicator | ||
|
|
||
| import ( | ||
| "math" | ||
|
|
||
| "github.com/c9s/bbgo/pkg/types" | ||
| ) | ||
|
|
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| // Geometric Moving Average | ||
| //go:generate callbackgen -type GMA | ||
| type GMA struct { | ||
| types.SeriesBase | ||
| types.IntervalWindow | ||
| SMA *SMA | ||
| UpdateCallbacks []func(value float64) | ||
| } | ||
|
|
||
| func (inc *GMA) Last() float64 { | ||
| if inc.SMA == nil { | ||
| return 0.0 | ||
| } | ||
| return math.Exp(inc.SMA.Last()) | ||
| } | ||
|
|
||
| func (inc *GMA) Index(i int) float64 { | ||
| if inc.SMA == nil { | ||
| return 0.0 | ||
| } | ||
| return math.Exp(inc.SMA.Index(i)) | ||
| } | ||
|
|
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| func (inc *GMA) Length() int { | ||
| return inc.SMA.Length() | ||
| } | ||
|
|
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| func (inc *GMA) Update(value float64) { | ||
| if inc.SMA == nil { | ||
| inc.SMA = &SMA{IntervalWindow: inc.IntervalWindow} | ||
| } | ||
| inc.SMA.Update(math.Log(value)) | ||
| } | ||
|
|
||
| func (inc *GMA) Clone() (out *GMA) { | ||
| out = &GMA{ | ||
| IntervalWindow: inc.IntervalWindow, | ||
| SMA: inc.SMA.Clone().(*SMA), | ||
| } | ||
| out.SeriesBase.Series = out | ||
| return out | ||
| } | ||
|
|
||
| func (inc *GMA) TestUpdate(value float64) *GMA { | ||
| out := inc.Clone() | ||
| out.Update(value) | ||
| return out | ||
| } | ||
|
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| var _ types.SeriesExtend = &GMA{} | ||
|
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| func (inc *GMA) PushK(k types.KLine) { | ||
| inc.Update(k.Close.Float64()) | ||
| } | ||
|
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| func (inc *GMA) LoadK(allKLines []types.KLine) { | ||
| for _, k := range allKLines { | ||
| inc.PushK(k) | ||
| } | ||
| } | ||
|
|
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| func (inc *GMA) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) { | ||
| target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK)) | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,61 @@ | ||
| package indicator | ||
|
|
||
| import ( | ||
| "encoding/json" | ||
| "testing" | ||
|
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| "github.com/c9s/bbgo/pkg/fixedpoint" | ||
| "github.com/c9s/bbgo/pkg/types" | ||
| "github.com/stretchr/testify/assert" | ||
| ) | ||
|
|
||
| /* | ||
| python: | ||
| import pandas as pd | ||
| from scipy.stats.mstats import gmean | ||
| data = pd.Series([1.1,1.2,1.3,1.4,1.5,1.6,1.7,1.8,1.9,1.1,1.2,1.3,1.4,1.5,1.6,1.7,1.8,1.9,1.1,1.2,1.3,1.4,1.5,1.6,1.7,1.8,1.9]) | ||
| gmean(data[-5:]) | ||
| gmean(data[-6:-1]) | ||
| gmean(pd.concat(data[-4:], pd.Series([1.3]))) | ||
| */ | ||
| func Test_GMA(t *testing.T) { | ||
| var randomPrices = []byte(`[1.1, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7, 1.8, 1.9, 1.1, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7, 1.8, 1.9, 1.1, 1.2, 1.3, 1.4, 1.5, 1.6, 1.7, 1.8, 1.9]`) | ||
| var input []fixedpoint.Value | ||
| if err := json.Unmarshal(randomPrices, &input); err != nil { | ||
| panic(err) | ||
| } | ||
| tests := []struct { | ||
| name string | ||
| kLines []types.KLine | ||
| want float64 | ||
| next float64 | ||
| update float64 | ||
| updateResult float64 | ||
| all int | ||
| }{ | ||
| { | ||
| name: "test", | ||
| kLines: buildKLines(input), | ||
| want: 1.6940930229200213, | ||
| next: 1.5937204331251167, | ||
| update: 1.3, | ||
| updateResult: 1.6462950504034335, | ||
| all: 24, | ||
| }, | ||
| } | ||
| for _, tt := range tests { | ||
| t.Run(tt.name, func(t *testing.T) { | ||
| gma := GMA{IntervalWindow: types.IntervalWindow{Window: 5}} | ||
| for _, k := range tt.kLines { | ||
| gma.PushK(k) | ||
| } | ||
| assert.InDelta(t, tt.want, gma.Last(), Delta) | ||
| assert.InDelta(t, tt.next, gma.Index(1), Delta) | ||
| gma.Update(tt.update) | ||
| assert.InDelta(t, tt.updateResult, gma.Last(), Delta) | ||
| assert.Equal(t, tt.all, gma.Length()) | ||
| }) | ||
| } | ||
| } |
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