feature: add MACD indicator (c9s#219)

pkg/indicator/ewma.go

@@ -18,6 +18,18 @@ type EWMA struct {
 	UpdateCallbacks []func(value float64)
 }
 
+func (inc *EWMA) Update(value float64) {
+	var multiplier = 2.0 / float64(1+inc.Window)
+
+	if len(inc.Values) == 0 {
+		inc.Values.Push(value)
+		return
+	}
+
+	ema := (1-multiplier)*inc.Last() + multiplier*value
+	inc.Values.Push(ema)
+}
+
 func (inc *EWMA) Last() float64 {
 	if len(inc.Values) == 0 {
 		return 0

pkg/indicator/macd.go

@@ -0,0 +1,94 @@
+package indicator
+
+import (
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+/*
+macd implements moving average convergence divergence indicator
+
+Moving Average Convergence Divergence (MACD)
+- https://www.investopedia.com/terms/m/macd.asp
+*/
+
+//go:generate callbackgen -type MACD
+type MACD struct {
+	types.IntervalWindow     // 9
+	ShortPeriod          int // 12
+	LongPeriod           int // 26
+	Values               Float64Slice
+	FastEWMA             EWMA
+	SlowEWMA             EWMA
+	SignalLine           EWMA
+	Histogram            Float64Slice
+
+	EndTime time.Time
+
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *MACD) calculateMACD(kLines []types.KLine, priceF KLinePriceMapper) float64 {
+	for _, kline := range kLines {
+		inc.update(kline, priceF)
+	}
+	return inc.Values[len(inc.Values)-1]
+}
+
+func (inc *MACD) update(kLine types.KLine, priceF KLinePriceMapper) {
+	if len(inc.Values) == 0 {
+		inc.FastEWMA = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.ShortPeriod}}
+		inc.SlowEWMA = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.LongPeriod}}
+		inc.SignalLine = EWMA{IntervalWindow: types.IntervalWindow{Window: inc.Window}}
+	}
+
+	price := priceF(kLine)
+
+	// update fast and slow ema
+	inc.FastEWMA.Update(price)
+	inc.SlowEWMA.Update(price)
+
+	// update macd
+	macd := inc.FastEWMA.Last() - inc.SlowEWMA.Last()
+	inc.Values.Push(macd)
+
+	// update signal line
+	inc.SignalLine.Update(macd)
+
+	// update histogram
+	inc.Histogram.Push(macd - inc.SignalLine.Last())
+}
+
+func (inc *MACD) calculateAndUpdate(kLines []types.KLine) {
+	if len(kLines) == 0 {
+		return
+	}
+
+	var priceF = KLineClosePriceMapper
+
+	var index = len(kLines) - 1
+	var kline = kLines[index]
+	if inc.EndTime != zeroTime && kline.EndTime.Before(inc.EndTime) {
+		return
+	}
+
+	for i, kLine := range kLines {
+		inc.update(kLine, priceF)
+		inc.EmitUpdate(inc.Values[len(inc.Values)-1])
+		inc.EndTime = kLines[i].EndTime
+	}
+
+}
+
+func (inc *MACD) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *MACD) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}

pkg/indicator/macd_test.go

@@ -0,0 +1,44 @@
+package indicator
+
+import (
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+/*
+python:
+
+import pandas as pd
+s = pd.Series([0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9,0,1,2,3,4,5,6,7,8,9])
+slow = s.ewm(span=26, adjust=False).mean()
+fast = s.ewm(span=12, adjust=False).mean()
+print(fast - slow)
+*/
+
+func Test_calculateMACD(t *testing.T) {
+	var randomPrices = []float64{0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9, 0, 1, 2, 3, 4, 5, 6, 7, 8, 9}
+	tests := []struct {
+		name   string
+		kLines []types.KLine
+		want   float64
+	}{
+		{
+			name:   "random_case",
+			kLines: buildKLines(randomPrices),
+			want:   0.7967670223776384,
+		},
+	}
+
+	for _, tt := range tests {
+		t.Run(tt.name, func(t *testing.T) {
+			iw := types.IntervalWindow{Window: 9}
+			macd := MACD{IntervalWindow: iw, ShortPeriod: 12, LongPeriod: 26}
+			priceF := KLineClosePriceMapper
+			got := macd.calculateMACD(tt.kLines, priceF)
+			if got != tt.want {
+				t.Errorf("calculateMACD() = %v, want %v", got, tt.want)
+			}
+		})
+	}
+}

pkg/indicator/vwap.go

@@ -9,8 +9,10 @@ import (
 /*
 vwap implements the volume weighted average price (VWAP) indicator:
 
-The basics of VWAP
+Volume Weighted Average Price (VWAP) Definition
 - https://www.investopedia.com/terms/v/vwap.asp
+
+Volume-Weighted Average Price (VWAP) Explained
 - https://academy.binance.com/en/articles/volume-weighted-average-price-vwap-explained
 */
 //go:generate callbackgen -type VWAP