indicator: supertrend

pkg/indicator/supertrend.go

@@ -0,0 +1,134 @@
+package indicator
+
+import (
+	"math"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+//go:generate callbackgen -type Supertrend
+type Supertrend struct {
+	types.IntervalWindow
+	ATRMultiplier float64 `json:"atrMultiplier"`
+
+	AverageTrueRange *ATR
+
+	trendPrices types.Float64Slice
+
+	closePrice             float64
+	previousClosePrice     float64
+	uptrendPrice           float64
+	previousUptrendPrice   float64
+	downtrendPrice         float64
+	previousDowntrendPrice float64
+
+	trend         types.Direction
+	previousTrend types.Direction
+	tradeSignal   types.Direction
+
+	EndTime         time.Time
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *Supertrend) Last() float64 {
+	return inc.trendPrices.Last()
+}
+
+func (inc *Supertrend) Index(i int) float64 {
+	length := inc.Length()
+	if length == 0 || length-i-1 < 0 {
+		return 0
+	}
+	return inc.trendPrices[length-i-1]
+}
+
+func (inc *Supertrend) Length() int {
+	return len(inc.trendPrices)
+}
+func (inc *Supertrend) Update(highPrice, lowPrice, closePrice float64) {
+	if inc.Window <= 0 {
+		panic("window must be greater than 0")
+	}
+
+	// Start with DirectionUp
+	if inc.trend != types.DirectionUp && inc.trend != types.DirectionDown {
+		inc.trend = types.DirectionUp
+	}
+
+	// Update ATR
+	inc.AverageTrueRange.Update(highPrice, lowPrice, closePrice)
+
+	// Update last prices
+	inc.previousUptrendPrice = inc.uptrendPrice
+	inc.previousDowntrendPrice = inc.downtrendPrice
+	inc.previousClosePrice = inc.closePrice
+	inc.previousTrend = inc.trend
+
+	inc.closePrice = closePrice
+
+	src := (highPrice + lowPrice) / 2
+
+	// Update uptrend
+	inc.uptrendPrice = src - inc.AverageTrueRange.Last()*inc.ATRMultiplier
+	if inc.previousClosePrice > inc.previousUptrendPrice {
+		inc.uptrendPrice = math.Max(inc.uptrendPrice, inc.previousUptrendPrice)
+	}
+
+	// Update downtrend
+	inc.downtrendPrice = src + inc.AverageTrueRange.Last()*inc.ATRMultiplier
+	if inc.previousClosePrice < inc.previousDowntrendPrice {
+		inc.downtrendPrice = math.Min(inc.downtrendPrice, inc.previousDowntrendPrice)
+	}
+
+	// Update trend
+	if inc.previousTrend == types.DirectionUp && inc.closePrice < inc.previousUptrendPrice {
+		inc.trend = types.DirectionDown
+	} else if inc.previousTrend == types.DirectionDown && inc.closePrice > inc.previousDowntrendPrice {
+		inc.trend = types.DirectionUp
+	} else {
+		inc.trend = inc.previousTrend
+	}
+
+	// Update signal
+	if inc.trend == types.DirectionUp && inc.previousTrend == types.DirectionDown {
+		inc.tradeSignal = types.DirectionUp
+	} else if inc.trend == types.DirectionDown && inc.previousTrend == types.DirectionUp {
+		inc.tradeSignal = types.DirectionDown
+	} else {
+		inc.tradeSignal = types.DirectionNone
+	}
+
+	// Update trend price
+	if inc.trend == types.DirectionDown {
+		inc.trendPrices.Push(inc.downtrendPrice)
+	} else {
+		inc.trendPrices.Push(inc.uptrendPrice)
+	}
+}
+
+var _ types.Series = &Supertrend{}
+
+func (inc *Supertrend) calculateAndUpdate(kLines []types.KLine) {
+	for _, k := range kLines {
+		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
+			continue
+		}
+		inc.Update(k.GetHigh().Float64(), k.GetLow().Float64(), k.GetClose().Float64())
+	}
+
+	inc.EmitUpdate(inc.Last())
+	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
+}
+
+func (inc *Supertrend) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.calculateAndUpdate(window)
+}
+
+func (inc *Supertrend) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}