macd works with test.

ema_series.go

@@ -11,8 +11,6 @@ type EMASeries struct {
 	Style Style
 	YAxis YAxisType
 
-	// Sigma is the 'smoothing factor' parameter.
-	Sigma       float64
 	Period      int
 	InnerSeries ValueProvider
 }
@@ -49,14 +47,8 @@ func (ema EMASeries) Len() int {
 }
 
 // GetSigma returns the smoothing factor for the serise.
-func (ema EMASeries) GetSigma(defaults ...float64) float64 {
+func (ema EMASeries) GetSigma() float64 {
-	if ema.Sigma == 0 {
+	return 2.0 / (float64(ema.Period) + 1)
-		if len(defaults) > 0 {
-			return defaults[0]
-		}
-		return DefaultEMASigma
-	}
-	return ema.Sigma
 }
 
 // GetValue gets a value at a given index.
@@ -84,11 +76,11 @@ func (ema EMASeries) GetLastValue() (x float64, y float64) {
 
 func (ema EMASeries) compute(period, index int) float64 {
 	_, v := ema.InnerSeries.GetValue(index)
-	if period == 1 || index == 0 {
+	if index == 0 {
 		return v
 	}
-	sig := ema.GetSigma()
+	previousEMA := ema.compute(period-1, index-1)
-	return sig*v + ((1.0 - sig) * ema.compute(period-1, index-1))
+	return ((v - previousEMA) * ema.GetSigma()) + previousEMA
 }
 
 // Render renders the series.

ema_series_test.go

@@ -1,35 +1,105 @@
 package chart
 
 import (
-	"math"
 	"testing"
 
 	"github.com/blendlabs/go-assert"
 )
 
+var (
+	emaXValues = Seq(1.0, 50.0)
+	emaYValues = []float64{
+		1, 2, 3, 4, 5, 4, 3, 2,
+		1, 2, 3, 4, 5, 4, 3, 2,
+		1, 2, 3, 4, 5, 4, 3, 2,
+		1, 2, 3, 4, 5, 4, 3, 2,
+		1, 2, 3, 4, 5, 4, 3, 2,
+		1, 2, 3, 4, 5, 4, 3, 2,
+		1, 2,
+	}
+	emaExpected = []float64{
+		1,
+		1.074074074,
+		1.216735254,
+		1.422903013,
+		1.68787316,
+		1.859141815,
+		1.943649828,
+		1.947823915,
+		1.877614736,
+		1.886680311,
+		1.969148437,
+		2.119581886,
+		2.33294619,
+		2.456431658,
+		2.496695979,
+		2.459903685,
+		2.351762671,
+		2.325706177,
+		2.375653867,
+		2.495975803,
+		2.681459077,
+		2.779128775,
+		2.795489607,
+		2.73656445,
+		2.607930047,
+		2.562898191,
+		2.595276103,
+		2.699329725,
+		2.869749746,
+		2.953471987,
+		2.956918506,
+		2.886035654,
+		2.746329309,
+		2.691045657,
+		2.713931163,
+		2.809195522,
+		2.971477335,
+		3.047664199,
+		3.044133518,
+		2.966790294,
+		2.821102124,
+		2.760279745,
+		2.778036801,
+		2.868552593,
+		3.026437586,
+		3.098553321,
+		3.091253075,
+		3.010419514,
+		2.86149955,
+		2.797684768,
+	}
+	emaDelta = 0.0001
+)
+
 func TestEMASeries(t *testing.T) {
 	assert := assert.New(t)
 
 	mockSeries := mockValueProvider{
-		Seq(1.0, 10.0),
+		emaXValues,
-		Seq(10, 1.0),
+		emaYValues,
 	}
-	assert.Equal(10, mockSeries.Len())
+	assert.Equal(50, mockSeries.Len())
 
-	mas := &EMASeries{
+	ema := &EMASeries{
 		InnerSeries: mockSeries,
+		Period:      26,
 	}
 
+	sig := ema.GetSigma()
+	assert.Equal(2.0/(26.0+1), sig)
+
 	var yvalues []float64
-	for x := 0; x < mas.Len(); x++ {
+	for x := 0; x < ema.Len(); x++ {
-		_, y := mas.GetValue(x)
+		_, y := ema.GetValue(x)
 		yvalues = append(yvalues, y)
 	}
 
-	assert.Equal(10.0, yvalues[0])
+	for index, yv := range yvalues {
-	assert.True(math.Abs(yvalues[9]-3.77) < 0.01)
+		assert.InDelta(yv, emaExpected[index], emaDelta)
-
+	}
-	lvx, lvy := mas.GetLastValue()
+
-	assert.Equal(10.0, lvx)
+	lvx, lvy := ema.GetLastValue()
-	assert.True(math.Abs(lvy-3.77) < 0.01)
+	assert.Equal(50.0, lvx)
+	assert.InDelta(lvy, emaExpected[49], emaDelta)
 }

macd_series.go

@@ -20,8 +20,6 @@ type MACDSeries struct {
 	PrimaryPeriod   int
 	SecondaryPeriod int
 	SignalPeriod    int
-
-	Sigma float64
 }
 
 // GetPeriods returns the primary and secondary periods.
@@ -44,17 +42,6 @@ func (macd MACDSeries) GetPeriods() (w1, w2, sig int) {
 	return
 }
 
-// GetSigma returns the smoothing factor for the serise.
-func (macd MACDSeries) GetSigma(defaults ...float64) float64 {
-	if macd.Sigma == 0 {
-		if len(defaults) > 0 {
-			return defaults[0]
-		}
-		return DefaultEMASigma
-	}
-	return macd.Sigma
-}
-
 // GetName returns the name of the time series.
 func (macd MACDSeries) GetName() string {
 	return macd.Name
@@ -76,12 +63,7 @@ func (macd MACDSeries) Len() int {
 		return 0
 	}
 
-	w1, _, _ := macd.GetPeriods()
+	return macd.InnerSeries.Len()
-	innerLen := macd.InnerSeries.Len()
-	if innerLen > w1 {
-		return innerLen - w1
-	}
-	return 0
 }
 
 // GetValue gets a value at a given index. For MACD it is the signal value.
@@ -91,19 +73,15 @@ func (macd MACDSeries) GetValue(index int) (x float64, y float64) {
 	}
 
 	w1, w2, sig := macd.GetPeriods()
-	sigma := macd.GetSigma()
 
-	effectiveIndex := index + w1
+	x, _ = macd.InnerSeries.GetValue(index)
-	x, _ = macd.InnerSeries.GetValue(effectiveIndex)
 
 	signal := EMASeries{
 		InnerSeries: MACDLineSeries{
 			InnerSeries:     macd.InnerSeries,
 			PrimaryPeriod:   w1,
 			SecondaryPeriod: w2,
-			Sigma:           sigma,
 		},
-		Sigma:  sigma,
 		Period: sig,
 	}
 
@@ -111,11 +89,10 @@ func (macd MACDSeries) GetValue(index int) (x float64, y float64) {
 		InnerSeries:     macd.InnerSeries,
 		PrimaryPeriod:   w1,
 		SecondaryPeriod: w2,
-		Sigma:           sigma,
 	}
 
-	_, sv := signal.GetValue(index)
 	_, lv := macdl.GetValue(index)
+	_, sv := signal.GetValue(index)
 	y = lv - sv
 
 	return
@@ -131,8 +108,6 @@ type MACDSignalSeries struct {
 	PrimaryPeriod   int
 	SecondaryPeriod int
 	SignalPeriod    int
-
-	Sigma float64
 }
 
 // GetPeriods returns the primary and secondary periods.
@@ -155,17 +130,6 @@ func (macds MACDSignalSeries) GetPeriods() (w1, w2, sig int) {
 	return
 }
 
-// GetSigma returns the smoothing factor for the serise.
-func (macds MACDSignalSeries) GetSigma(defaults ...float64) float64 {
-	if macds.Sigma == 0 {
-		if len(defaults) > 0 {
-			return defaults[0]
-		}
-		return DefaultEMASigma
-	}
-	return macds.Sigma
-}
-
 // GetName returns the name of the time series.
 func (macds MACDSignalSeries) GetName() string {
 	return macds.Name
@@ -187,12 +151,7 @@ func (macds MACDSignalSeries) Len() int {
 		return 0
 	}
 
-	w1, _, _ := macds.GetPeriods()
+	return macds.InnerSeries.Len()
-	innerLen := macds.InnerSeries.Len()
-	if innerLen > w1 {
-		return innerLen - w1
-	}
-	return 0
 }
 
 // GetValue gets a value at a given index. For MACD it is the signal value.
@@ -202,19 +161,15 @@ func (macds MACDSignalSeries) GetValue(index int) (x float64, y float64) {
 	}
 
 	w1, w2, sig := macds.GetPeriods()
-	sigma := macds.GetSigma()
 
-	effectiveIndex := index + w1
+	x, _ = macds.InnerSeries.GetValue(index)
-	x, _ = macds.InnerSeries.GetValue(effectiveIndex)
 
 	signal := EMASeries{
 		InnerSeries: MACDLineSeries{
 			InnerSeries:     macds.InnerSeries,
 			PrimaryPeriod:   w1,
 			SecondaryPeriod: w2,
-			Sigma:           sigma,
 		},
-		Sigma:  sigma,
 		Period: sig,
 	}
 
@@ -277,12 +232,7 @@ func (macdl MACDLineSeries) Len() int {
 		return 0
 	}
 
-	w1, _ := macdl.GetPeriods()
+	return macdl.InnerSeries.Len()
-	innerLen := macdl.InnerSeries.Len()
-	if innerLen > w1 {
-		return innerLen - w1
-	}
-	return 0
 }
 
 // GetSigma returns the smoothing factor for the serise.
@@ -304,19 +254,16 @@ func (macdl MACDLineSeries) GetValue(index int) (x float64, y float64) {
 
 	w1, w2 := macdl.GetPeriods()
 
-	effectiveIndex := index + w1
+	x, _ = macdl.InnerSeries.GetValue(index)
-	x, _ = macdl.InnerSeries.GetValue(effectiveIndex)
 
 	ema1 := EMASeries{
 		InnerSeries: macdl.InnerSeries,
 		Period:      w1,
-		Sigma:       macdl.GetSigma(),
 	}
 
 	ema2 := EMASeries{
 		InnerSeries: macdl.InnerSeries,
 		Period:      w2,
-		Sigma:       macdl.GetSigma(),
 	}
 
 	_, emav1 := ema1.GetValue(index)

macd_series_test.go

@@ -1,19 +1,75 @@
 package chart
 
 import (
+	"fmt"
 	"testing"
 
 	"github.com/blendlabs/go-assert"
 )
 
+var (
+	macdExpected = []float64{
+		0,
+		-0.06381766382,
+		-0.1641441222,
+		-0.2817201894,
+		-0.4033023481,
+		-0.3924673744,
+		-0.2983093823,
+		-0.1561821464,
+		0.008916708129,
+		0.05210332292,
+		0.01649503993,
+		-0.06667130899,
+		-0.1751344574,
+		-0.1657328378,
+		-0.08257097469,
+		0.04265109369,
+		0.1875741257,
+		0.2091853882,
+		0.1518975486,
+		0.04781419838,
+		-0.08025242841,
+		-0.08881960494,
+		-0.02183529775,
+		0.08904155476,
+		0.2214141128,
+		0.2321805992,
+		0.1656331722,
+		0.05373789678,
+		-0.08083727586,
+		-0.09475354363,
+		-0.03209767112,
+		0.07534076818,
+		0.2050442354,
+		0.2138010557,
+		0.1458045181,
+		0.03293263556,
+		-0.1022243734,
+		-0.1163957964,
+		-0.05372761902,
+		0.05393941791,
+		0.1840438454,
+		0.1933365048,
+		0.1259788988,
+		0.01382225715,
+		-0.1205656194,
+		-0.1339326478,
+		-0.07044017167,
+		0.03805851969,
+		0.1689918111,
+		0.1791024416,
+	}
+)
+
 func TestMACDSeries(t *testing.T) {
 	assert := assert.New(t)
 
 	mockSeries := mockValueProvider{
-		Seq(1.0, 100.0),
+		emaXValues,
-		SeqRand(100.0, 256),
+		emaYValues,
 	}
-	assert.Equal(100, mockSeries.Len())
+	assert.Equal(50, mockSeries.Len())
 
 	mas := &MACDSeries{
 		InnerSeries: mockSeries,
@@ -26,4 +82,8 @@ func TestMACDSeries(t *testing.T) {
 	}
 
 	assert.NotEmpty(yvalues)
+	for index, vy := range yvalues {
+		fmt.Printf("delta @ %d actual: %0.9f expected: %0.9f\n", index, vy, macdExpected[index])
+		assert.InDelta(vy, macdExpected[index], emaDelta, fmt.Sprintf("delta @ %d actual: %0.9f expected: %0.9f", index, vy, macdExpected[index]))
+	}
 }