macd works with test.
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4f8680a2b1
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98c46b62d2
4 changed files with 157 additions and 88 deletions
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@ -11,8 +11,6 @@ type EMASeries struct {
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Style Style
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YAxis YAxisType
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// Sigma is the 'smoothing factor' parameter.
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Sigma float64
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Period int
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InnerSeries ValueProvider
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}
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@ -49,14 +47,8 @@ func (ema EMASeries) Len() int {
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}
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// GetSigma returns the smoothing factor for the serise.
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func (ema EMASeries) GetSigma(defaults ...float64) float64 {
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if ema.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 ema.Sigma
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func (ema EMASeries) GetSigma() float64 {
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return 2.0 / (float64(ema.Period) + 1)
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}
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// GetValue gets a value at a given index.
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@ -84,11 +76,11 @@ func (ema EMASeries) GetLastValue() (x float64, y float64) {
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func (ema EMASeries) compute(period, index int) float64 {
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_, v := ema.InnerSeries.GetValue(index)
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if period == 1 || index == 0 {
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if index == 0 {
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return v
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}
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sig := ema.GetSigma()
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return sig*v + ((1.0 - sig) * ema.compute(period-1, index-1))
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previousEMA := ema.compute(period-1, index-1)
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return ((v - previousEMA) * ema.GetSigma()) + previousEMA
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}
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// Render renders the series.
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@ -1,35 +1,105 @@
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package chart
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import (
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"math"
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"testing"
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"github.com/blendlabs/go-assert"
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)
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var (
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emaXValues = Seq(1.0, 50.0)
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emaYValues = []float64{
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1, 2, 3, 4, 5, 4, 3, 2,
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1, 2, 3, 4, 5, 4, 3, 2,
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1, 2, 3, 4, 5, 4, 3, 2,
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1, 2, 3, 4, 5, 4, 3, 2,
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1, 2, 3, 4, 5, 4, 3, 2,
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1, 2, 3, 4, 5, 4, 3, 2,
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1, 2,
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}
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emaExpected = []float64{
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1,
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1.074074074,
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1.216735254,
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1.422903013,
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1.68787316,
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1.859141815,
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1.943649828,
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1.947823915,
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1.877614736,
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1.886680311,
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1.969148437,
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2.119581886,
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2.33294619,
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2.456431658,
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2.496695979,
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2.459903685,
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2.351762671,
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2.325706177,
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2.375653867,
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2.495975803,
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2.681459077,
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2.779128775,
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2.795489607,
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2.73656445,
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2.607930047,
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2.562898191,
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2.595276103,
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2.699329725,
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2.869749746,
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2.953471987,
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2.956918506,
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2.886035654,
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2.746329309,
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2.691045657,
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2.713931163,
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2.809195522,
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2.971477335,
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3.047664199,
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3.044133518,
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2.966790294,
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2.821102124,
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2.760279745,
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2.778036801,
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2.868552593,
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3.026437586,
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3.098553321,
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3.091253075,
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3.010419514,
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2.86149955,
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2.797684768,
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}
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emaDelta = 0.0001
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)
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func TestEMASeries(t *testing.T) {
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assert := assert.New(t)
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mockSeries := mockValueProvider{
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Seq(1.0, 10.0),
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Seq(10, 1.0),
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emaXValues,
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emaYValues,
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}
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assert.Equal(10, mockSeries.Len())
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assert.Equal(50, mockSeries.Len())
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mas := &EMASeries{
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ema := &EMASeries{
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InnerSeries: mockSeries,
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Period: 26,
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}
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sig := ema.GetSigma()
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assert.Equal(2.0/(26.0+1), sig)
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var yvalues []float64
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for x := 0; x < mas.Len(); x++ {
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_, y := mas.GetValue(x)
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for x := 0; x < ema.Len(); x++ {
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_, y := ema.GetValue(x)
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yvalues = append(yvalues, y)
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}
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assert.Equal(10.0, yvalues[0])
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assert.True(math.Abs(yvalues[9]-3.77) < 0.01)
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for index, yv := range yvalues {
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assert.InDelta(yv, emaExpected[index], emaDelta)
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}
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lvx, lvy := mas.GetLastValue()
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assert.Equal(10.0, lvx)
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assert.True(math.Abs(lvy-3.77) < 0.01)
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lvx, lvy := ema.GetLastValue()
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assert.Equal(50.0, lvx)
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assert.InDelta(lvy, emaExpected[49], emaDelta)
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}
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@ -20,8 +20,6 @@ type MACDSeries struct {
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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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@ -44,17 +42,6 @@ func (macd MACDSeries) GetPeriods() (w1, w2, sig int) {
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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 (macd MACDSeries) GetSigma(defaults ...float64) float64 {
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if macd.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 macd.Sigma
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}
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// GetName returns the name of the time series.
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func (macd MACDSeries) GetName() string {
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return macd.Name
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@ -76,12 +63,7 @@ func (macd MACDSeries) Len() int {
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return 0
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}
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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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}
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return 0
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return macd.InnerSeries.Len()
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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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@ -91,19 +73,15 @@ func (macd MACDSeries) GetValue(index int) (x float64, y float64) {
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}
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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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x, _ = macd.InnerSeries.GetValue(index)
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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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@ -111,11 +89,10 @@ func (macd MACDSeries) GetValue(index int) (x float64, y float64) {
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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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_, sv := signal.GetValue(index)
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y = lv - sv
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return
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@ -131,8 +108,6 @@ type MACDSignalSeries struct {
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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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@ -155,17 +130,6 @@ func (macds MACDSignalSeries) GetPeriods() (w1, w2, sig int) {
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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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@ -187,12 +151,7 @@ func (macds MACDSignalSeries) Len() int {
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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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return macds.InnerSeries.Len()
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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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@ -202,19 +161,15 @@ func (macds MACDSignalSeries) GetValue(index int) (x float64, y float64) {
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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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x, _ = macds.InnerSeries.GetValue(index)
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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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@ -277,12 +232,7 @@ func (macdl MACDLineSeries) Len() int {
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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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return macdl.InnerSeries.Len()
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}
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// GetSigma returns the smoothing factor for the serise.
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@ -304,19 +254,16 @@ func (macdl MACDLineSeries) GetValue(index int) (x float64, y float64) {
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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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x, _ = macdl.InnerSeries.GetValue(index)
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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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@ -1,19 +1,75 @@
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package chart
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import (
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"fmt"
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"testing"
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"github.com/blendlabs/go-assert"
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)
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var (
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macdExpected = []float64{
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0,
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-0.06381766382,
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-0.1641441222,
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-0.2817201894,
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-0.4033023481,
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-0.3924673744,
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-0.2983093823,
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-0.1561821464,
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0.008916708129,
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0.05210332292,
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0.01649503993,
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-0.06667130899,
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-0.1751344574,
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-0.1657328378,
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-0.08257097469,
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0.04265109369,
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0.1875741257,
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0.2091853882,
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0.1518975486,
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0.04781419838,
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-0.08025242841,
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-0.08881960494,
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-0.02183529775,
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0.08904155476,
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0.2214141128,
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0.2321805992,
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0.1656331722,
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0.05373789678,
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-0.08083727586,
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-0.09475354363,
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-0.03209767112,
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0.07534076818,
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0.2050442354,
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0.2138010557,
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0.1458045181,
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0.03293263556,
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-0.1022243734,
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-0.1163957964,
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-0.05372761902,
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0.05393941791,
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0.1840438454,
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0.1933365048,
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0.1259788988,
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0.01382225715,
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-0.1205656194,
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-0.1339326478,
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-0.07044017167,
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0.03805851969,
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0.1689918111,
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0.1791024416,
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}
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)
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func TestMACDSeries(t *testing.T) {
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assert := assert.New(t)
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mockSeries := mockValueProvider{
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Seq(1.0, 100.0),
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SeqRand(100.0, 256),
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emaXValues,
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emaYValues,
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}
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assert.Equal(100, mockSeries.Len())
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assert.Equal(50, mockSeries.Len())
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mas := &MACDSeries{
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InnerSeries: mockSeries,
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@ -26,4 +82,8 @@ func TestMACDSeries(t *testing.T) {
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}
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assert.NotEmpty(yvalues)
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for index, vy := range yvalues {
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fmt.Printf("delta @ %d actual: %0.9f expected: %0.9f\n", index, vy, macdExpected[index])
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assert.InDelta(vy, macdExpected[index], emaDelta, fmt.Sprintf("delta @ %d actual: %0.9f expected: %0.9f", index, vy, macdExpected[index]))
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}
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}
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