more iterating on macd, need to get a better handle on how to test.
This commit is contained in:
Will Charczuk
parent
7858457772
commit
32dd907bf8
9 changed files with 464 additions and 246 deletions
287
macd_series.go
287
macd_series.go
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@ -1,37 +1,45 @@
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package chart
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const (
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// DefaultMACDWindowPrimary is the long window.
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DefaultMACDWindowPrimary = 26
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// DefaultMACDWindowSecondary is the short window.
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DefaultMACDWindowSecondary = 12
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// DefaultMACDPeriodPrimary is the long window.
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DefaultMACDPeriodPrimary = 26
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// DefaultMACDPeriodSecondary is the short window.
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DefaultMACDPeriodSecondary = 12
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// DefaultMACDSignalPeriod is the signal period to compute for the MACD.
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DefaultMACDSignalPeriod = 9
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)
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// MACDSeries (or Moving Average Convergence Divergence) is a special type of series that
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// computes the difference between two different EMA values for a given index, as denoted by WindowPrimary(26) and WindowSecondary(12).
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// MACDSeries computes the difference between the MACD line and the MACD Signal line.
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// It is used in technical analysis and gives a lagging indicator of momentum.
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type MACDSeries struct {
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Name string
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Style Style
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YAxis YAxisType
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InnerSeries ValueProvider
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WindowPrimary int
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WindowSecondary int
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PrimaryPeriod int
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SecondaryPeriod int
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SignalPeriod int
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Sigma float64
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}
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// GetWindows returns the primary and secondary window sizes.
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func (macd MACDSeries) GetWindows() (w1, w2 int) {
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if macd.WindowPrimary == 0 {
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w1 = DefaultMACDWindowPrimary
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// GetPeriods returns the primary and secondary periods.
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func (macd MACDSeries) GetPeriods() (w1, w2, sig int) {
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if macd.PrimaryPeriod == 0 {
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w1 = DefaultMACDPeriodPrimary
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} else {
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w1 = macd.WindowPrimary
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w1 = macd.PrimaryPeriod
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}
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if macd.WindowSecondary == 0 {
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w2 = DefaultMACDWindowSecondary
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if macd.SecondaryPeriod == 0 {
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w2 = DefaultMACDPeriodSecondary
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} else {
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w2 = macd.WindowSecondary
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w2 = macd.SecondaryPeriod
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}
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if macd.SignalPeriod == 0 {
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sig = DefaultMACDSignalPeriod
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} else {
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sig = macd.SignalPeriod
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}
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return
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}
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@ -42,7 +50,7 @@ func (macd MACDSeries) GetSigma(defaults ...float64) float64 {
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if len(defaults) > 0 {
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return defaults[0]
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}
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return DefaultExponentialMovingAverageSigma
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return DefaultEMASigma
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}
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return macd.Sigma
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}
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@ -68,7 +76,7 @@ func (macd MACDSeries) Len() int {
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return 0
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}
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w1, _ := macd.GetWindows()
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w1, _, _ := macd.GetPeriods()
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innerLen := macd.InnerSeries.Len()
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if innerLen > w1 {
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return innerLen - w1
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@ -76,35 +84,250 @@ func (macd MACDSeries) Len() int {
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return 0
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}
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// GetValue gets a value at a given index.
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// GetValue gets a value at a given index. For MACD it is the signal value.
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func (macd MACDSeries) GetValue(index int) (x float64, y float64) {
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if macd.InnerSeries == nil {
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return
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}
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w1, w2 := macd.GetWindows()
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w1, w2, sig := macd.GetPeriods()
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sigma := macd.GetSigma()
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effectiveIndex := index + w1
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x, _ = macd.InnerSeries.GetValue(effectiveIndex)
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ema1 := macd.computeEMA(w1, effectiveIndex)
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ema2 := macd.computeEMA(w2, effectiveIndex)
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signal := EMASeries{
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InnerSeries: MACDLineSeries{
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InnerSeries: macd.InnerSeries,
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PrimaryPeriod: w1,
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SecondaryPeriod: w2,
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Sigma: sigma,
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},
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Sigma: sigma,
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Period: sig,
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}
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macdl := MACDLineSeries{
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InnerSeries: macd.InnerSeries,
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PrimaryPeriod: w1,
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SecondaryPeriod: w2,
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Sigma: sigma,
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}
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_, sv := signal.GetValue(index)
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_, lv := macdl.GetValue(index)
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y = lv - sv
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y = ema1 - ema2
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return
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}
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func (macd MACDSeries) computeEMA(windowSize int, index int) float64 {
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_, v := macd.InnerSeries.GetValue(index)
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if windowSize == 1 {
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return v
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// MACDSignalSeries computes the EMA of the MACDLineSeries.
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type MACDSignalSeries struct {
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Name string
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Style Style
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YAxis YAxisType
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InnerSeries ValueProvider
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PrimaryPeriod int
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SecondaryPeriod int
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SignalPeriod int
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Sigma float64
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}
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// GetPeriods returns the primary and secondary periods.
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func (macds MACDSignalSeries) GetPeriods() (w1, w2, sig int) {
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if macds.PrimaryPeriod == 0 {
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w1 = DefaultMACDPeriodPrimary
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} else {
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w1 = macds.PrimaryPeriod
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}
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sig := macd.GetSigma()
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return sig*v + ((1.0 - sig) * macd.computeEMA(windowSize-1, index-1))
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if macds.SecondaryPeriod == 0 {
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w2 = DefaultMACDPeriodSecondary
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} else {
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w2 = macds.SecondaryPeriod
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}
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if macds.SignalPeriod == 0 {
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sig = DefaultMACDSignalPeriod
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} else {
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sig = macds.SignalPeriod
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}
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return
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}
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// GetSigma returns the smoothing factor for the serise.
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func (macds MACDSignalSeries) GetSigma(defaults ...float64) float64 {
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if macds.Sigma == 0 {
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if len(defaults) > 0 {
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return defaults[0]
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}
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return DefaultEMASigma
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}
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return macds.Sigma
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}
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// GetName returns the name of the time series.
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func (macds MACDSignalSeries) GetName() string {
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return macds.Name
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}
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// GetStyle returns the line style.
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func (macds MACDSignalSeries) GetStyle() Style {
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return macds.Style
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}
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// GetYAxis returns which YAxis the series draws on.
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func (macds MACDSignalSeries) GetYAxis() YAxisType {
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return macds.YAxis
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}
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// Len returns the number of elements in the series.
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func (macds MACDSignalSeries) Len() int {
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if macds.InnerSeries == nil {
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return 0
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}
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w1, _, _ := macds.GetPeriods()
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innerLen := macds.InnerSeries.Len()
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if innerLen > w1 {
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return innerLen - w1
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}
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return 0
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}
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// GetValue gets a value at a given index. For MACD it is the signal value.
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func (macds MACDSignalSeries) GetValue(index int) (x float64, y float64) {
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if macds.InnerSeries == nil {
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return
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}
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w1, w2, sig := macds.GetPeriods()
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sigma := macds.GetSigma()
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effectiveIndex := index + w1
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x, _ = macds.InnerSeries.GetValue(effectiveIndex)
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signal := EMASeries{
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InnerSeries: MACDLineSeries{
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InnerSeries: macds.InnerSeries,
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PrimaryPeriod: w1,
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SecondaryPeriod: w2,
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Sigma: sigma,
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},
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Sigma: sigma,
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Period: sig,
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}
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_, y = signal.GetValue(index)
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return
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}
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// Render renders the series.
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func (macd MACDSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
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style := macd.Style.WithDefaultsFrom(defaults)
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DrawLineSeries(r, canvasBox, xrange, yrange, style, macd)
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func (macds MACDSignalSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
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style := macds.Style.WithDefaultsFrom(defaults)
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DrawLineSeries(r, canvasBox, xrange, yrange, style, macds)
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}
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// MACDLineSeries is a series that computes the inner ema1-ema2 value as a series.
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type MACDLineSeries struct {
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Name string
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Style Style
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YAxis YAxisType
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InnerSeries ValueProvider
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PrimaryPeriod int
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SecondaryPeriod int
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Sigma float64
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}
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// GetName returns the name of the time series.
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func (macdl MACDLineSeries) GetName() string {
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return macdl.Name
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}
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// GetStyle returns the line style.
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func (macdl MACDLineSeries) GetStyle() Style {
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return macdl.Style
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}
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// GetYAxis returns which YAxis the series draws on.
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func (macdl MACDLineSeries) GetYAxis() YAxisType {
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return macdl.YAxis
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}
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// GetPeriods returns the primary and secondary periods.
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func (macdl MACDLineSeries) GetPeriods() (w1, w2 int) {
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if macdl.PrimaryPeriod == 0 {
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w1 = DefaultMACDPeriodPrimary
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} else {
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w1 = macdl.PrimaryPeriod
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}
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if macdl.SecondaryPeriod == 0 {
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w2 = DefaultMACDPeriodSecondary
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} else {
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w2 = macdl.SecondaryPeriod
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}
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return
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}
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// Len returns the number of elements in the series.
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func (macdl MACDLineSeries) Len() int {
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if macdl.InnerSeries == nil {
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return 0
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}
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w1, _ := macdl.GetPeriods()
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innerLen := macdl.InnerSeries.Len()
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if innerLen > w1 {
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return innerLen - w1
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}
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return 0
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}
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// GetSigma returns the smoothing factor for the serise.
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func (macdl MACDLineSeries) GetSigma(defaults ...float64) float64 {
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if macdl.Sigma == 0 {
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if len(defaults) > 0 {
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return defaults[0]
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}
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return DefaultEMASigma
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}
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return macdl.Sigma
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}
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// GetValue gets a value at a given index. For MACD it is the signal value.
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func (macdl MACDLineSeries) GetValue(index int) (x float64, y float64) {
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if macdl.InnerSeries == nil {
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return
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}
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w1, w2 := macdl.GetPeriods()
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effectiveIndex := index + w1
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x, _ = macdl.InnerSeries.GetValue(effectiveIndex)
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ema1 := EMASeries{
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InnerSeries: macdl.InnerSeries,
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Period: w1,
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Sigma: macdl.GetSigma(),
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}
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ema2 := EMASeries{
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InnerSeries: macdl.InnerSeries,
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Period: w2,
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Sigma: macdl.GetSigma(),
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}
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_, emav1 := ema1.GetValue(index)
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_, emav2 := ema2.GetValue(index)
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y = emav1 - emav2
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return
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}
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// Render renders the series.
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func (macdl MACDLineSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
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style := macdl.Style.WithDefaultsFrom(defaults)
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DrawLineSeries(r, canvasBox, xrange, yrange, style, macdl)
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}
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