bollinger bounds
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21b4dfddc9
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4 changed files with 189 additions and 27 deletions
153
bollinger_band_series.go
Normal file
153
bollinger_band_series.go
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package chart
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import "math"
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// BollingerBandsSeries draws bollinger bands for an inner series.
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// Bollinger bands are defined by two lines, one at SMA+k*stddev, one at SMA-k*stdev.
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type BollingerBandsSeries struct {
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Name string
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Style Style
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YAxis YAxisType
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WindowSize int
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K float64
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InnerSeries ValueProvider
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valueBuffer *RingBuffer
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}
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// GetName returns the name of the time series.
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func (bbs BollingerBandsSeries) GetName() string {
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return bbs.Name
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}
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// GetStyle returns the line style.
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func (bbs BollingerBandsSeries) GetStyle() Style {
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return bbs.Style
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}
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// GetYAxis returns which YAxis the series draws on.
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func (bbs BollingerBandsSeries) GetYAxis() YAxisType {
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return bbs.YAxis
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}
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// GetWindowSize returns the window size.
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func (bbs BollingerBandsSeries) GetWindowSize(defaults ...int) int {
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if bbs.WindowSize == 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 DefaultMovingAverageWindowSize
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}
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return bbs.WindowSize
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}
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// Len returns the number of elements in the series.
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func (bbs *BollingerBandsSeries) Len() int {
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return bbs.InnerSeries.Len()
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}
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// GetBoundedValue gets the bounded value for the series.
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func (bbs *BollingerBandsSeries) GetBoundedValue(index int) (x, y1, y2 float64) {
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if bbs.InnerSeries == nil {
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return
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}
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if bbs.valueBuffer == nil || index == 0 {
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bbs.valueBuffer = NewRingBufferWithCapacity(bbs.GetWindowSize())
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}
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if bbs.valueBuffer.Len() >= bbs.GetWindowSize() {
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bbs.valueBuffer.Dequeue()
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}
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px, py := bbs.InnerSeries.GetValue(index)
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bbs.valueBuffer.Enqueue(py)
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x = px
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ay := bbs.getAverage(bbs.valueBuffer)
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std := bbs.getStdDev(bbs.valueBuffer)
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y1 = ay + (bbs.K * std)
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y2 = ay - (bbs.K * std)
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return
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}
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// Render renders the series.
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func (bbs BollingerBandsSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
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s := bbs.Style.WithDefaultsFrom(defaults)
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r.SetStrokeColor(s.GetStrokeColor())
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r.SetStrokeDashArray(s.GetStrokeDashArray())
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r.SetStrokeWidth(s.GetStrokeWidth())
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r.SetFillColor(s.GetFillColor())
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cb := canvasBox.Bottom
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cl := canvasBox.Left
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v0x, v0y1, v0y2 := bbs.GetBoundedValue(0)
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x0 := cl + xrange.Translate(v0x)
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y0 := cb - yrange.Translate(v0y1)
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var vx, vy1, vy2 float64
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var x, y int
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xvalues := make([]float64, bbs.Len())
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xvalues[0] = v0x
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y2values := make([]float64, bbs.Len())
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y2values[0] = v0y2
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r.MoveTo(x0, y0)
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for i := 1; i < bbs.Len(); i++ {
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vx, vy1, vy2 = bbs.GetBoundedValue(i)
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xvalues[i] = vx
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y2values[i] = vy2
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x = cl + xrange.Translate(vx)
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y = cb - yrange.Translate(vy1)
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if i > bbs.GetWindowSize() {
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r.LineTo(x, y)
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} else {
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r.MoveTo(x, y)
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}
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}
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y = cb - yrange.Translate(vy2)
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r.LineTo(x, y)
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for i := bbs.Len() - 1; i >= bbs.GetWindowSize(); i-- {
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vx, vy2 = xvalues[i], y2values[i]
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x = cl + xrange.Translate(vx)
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y = cb - yrange.Translate(vy2)
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r.LineTo(x, y)
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}
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r.Close()
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r.FillStroke()
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}
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func (bbs BollingerBandsSeries) getAverage(valueBuffer *RingBuffer) float64 {
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var accum float64
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valueBuffer.Each(func(v interface{}) {
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if typed, isTyped := v.(float64); isTyped {
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accum += typed
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}
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})
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return accum / float64(valueBuffer.Len())
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}
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func (bbs BollingerBandsSeries) getVariance(valueBuffer *RingBuffer) float64 {
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if valueBuffer.Len() == 0 {
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return 0
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}
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var variance float64
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m := bbs.getAverage(valueBuffer)
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valueBuffer.Each(func(v interface{}) {
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if n, isTyped := v.(float64); isTyped {
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variance += (float64(n) - m) * (float64(n) - m)
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}
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})
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return variance / float64(valueBuffer.Len())
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}
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func (bbs BollingerBandsSeries) getStdDev(valueBuffer *RingBuffer) float64 {
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return math.Pow(bbs.getVariance(valueBuffer), 0.5)
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}
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22
chart.go
22
chart.go
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@ -136,7 +136,27 @@ func (c Chart) getRanges() (xrange, yrange, yrangeAlt Range) {
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for _, s := range c.Series {
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if s.GetStyle().IsZero() || s.GetStyle().Show {
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seriesAxis := s.GetYAxis()
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if vp, isValueProvider := s.(ValueProvider); isValueProvider {
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if bvp, isBoundedValueProvider := s.(BoundedValueProvider); isBoundedValueProvider {
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seriesLength := bvp.Len()
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for index := 0; index < seriesLength; index++ {
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vx, vy1, vy2 := bvp.GetBoundedValue(index)
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minx = math.Min(minx, vx)
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maxx = math.Max(maxx, vx)
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if seriesAxis == YAxisPrimary {
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miny = math.Min(miny, vy1)
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miny = math.Min(miny, vy2)
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maxy = math.Max(maxy, vy1)
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maxy = math.Max(maxy, vy2)
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} else if seriesAxis == YAxisSecondary {
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minya = math.Min(minya, vy1)
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minya = math.Min(minya, vy2)
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maxya = math.Max(maxya, vy1)
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maxya = math.Max(maxya, vy2)
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}
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}
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} else if vp, isValueProvider := s.(ValueProvider); isValueProvider {
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seriesLength := vp.Len()
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for index := 0; index < seriesLength; index++ {
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vx, vy := vp.GetValue(index)
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@ -40,8 +40,8 @@ func chartHandler(rc *web.RequestContext) web.ControllerResult {
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XValues: s1x,
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YValues: s1y,
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Style: chart.Style{
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Show: true,
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FillColor: chart.GetDefaultSeriesStrokeColor(0).WithAlpha(64),
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Show: true,
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//FillColor: chart.GetDefaultSeriesStrokeColor(0).WithAlpha(64),
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},
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}
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@ -60,32 +60,16 @@ func chartHandler(rc *web.RequestContext) web.ControllerResult {
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},
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}
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s1ma := &chart.MovingAverageSeries{
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Name: "Average",
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Style: chart.Style{
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Show: true,
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StrokeColor: drawing.ColorRed,
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StrokeDashArray: []float64{5, 1, 1},
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},
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WindowSize: 10,
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InnerSeries: s1,
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}
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s1malx, s1maly := s1ma.GetLastValue()
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s1malv := chart.AnnotationSeries{
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Name: fmt.Sprintf("Last Value"),
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s1ma := &chart.BollingerBandsSeries{
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Name: "BBS",
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Style: chart.Style{
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Show: true,
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StrokeColor: drawing.ColorRed,
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},
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Annotations: []chart.Annotation{
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chart.Annotation{
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X: s1malx,
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Y: s1maly,
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Label: fmt.Sprintf("%s - %s", "test", chart.FloatValueFormatter(s1maly)),
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},
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StrokeColor: chart.DefaultAxisColor,
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FillColor: chart.DefaultAxisColor.WithAlpha(64),
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},
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K: 2.0,
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WindowSize: 10,
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InnerSeries: s1,
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}
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c := chart.Chart{
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@ -121,7 +105,6 @@ func chartHandler(rc *web.RequestContext) web.ControllerResult {
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s1,
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s1ma,
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s1lv,
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s1malv,
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},
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}
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@ -5,3 +5,9 @@ type ValueProvider interface {
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Len() int
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GetValue(index int) (float64, float64)
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}
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// BoundedValueProvider allows series to return a range.
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type BoundedValueProvider interface {
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Len() int
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GetBoundedValue(index int) (x, y1, y2 float64)
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}
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