Fix klingerOscillator, add test for it

c9s · Jan 12, 2023 · 746279d · 746279d
1 parent 1ca79db
commit 746279d
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Showing 2 changed files with 71 additions and 32 deletions.
diff --git a/pkg/indicator/klingeroscillator.go b/pkg/indicator/klingeroscillator.go
@@ -1,6 +1,8 @@
 package indicator
 
-import "github.com/c9s/bbgo/pkg/types"
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
 
 // Refer: Klinger Oscillator
 // Refer URL: https://www.investopedia.com/terms/k/klingeroscillator.asp
@@ -14,8 +16,8 @@ import "github.com/c9s/bbgo/pkg/types"
 type KlingerOscillator struct {
 	types.SeriesBase
 	types.IntervalWindow
-	Fast *EWMA
-	Slow *EWMA
+	Fast types.UpdatableSeries
+	Slow types.UpdatableSeries
 	VF   VolumeForce
 
 	updateCallbacks []func(value float64)
@@ -47,40 +49,24 @@ func (inc *KlingerOscillator) Update(high, low, cloze, volume float64) {
 		inc.Fast = &EWMA{IntervalWindow: types.IntervalWindow{Window: 34, Interval: inc.Interval}}
 		inc.Slow = &EWMA{IntervalWindow: types.IntervalWindow{Window: 55, Interval: inc.Interval}}
 	}
-	inc.VF.Update(high, low, cloze, volume)
-	inc.Fast.Update(inc.VF.Value)
-	inc.Slow.Update(inc.VF.Value)
-}
-
-var _ types.SeriesExtend = &KlingerOscillator{}
-
-func (inc *KlingerOscillator) PushK(k types.KLine) {
-	inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.Volume.Float64())
-}
 
-func (inc *KlingerOscillator) CalculateAndUpdate(allKLines []types.KLine) {
-	if inc.Fast == nil {
-		for _, k := range allKLines {
-			inc.PushK(k)
-			inc.EmitUpdate(inc.Last())
-		}
+	if inc.VF.lastSum > 0 {
+		inc.VF.Update(high, low, cloze, volume)
+		inc.Fast.Update(inc.VF.Value)
+		inc.Slow.Update(inc.VF.Value)
 	} else {
-		k := allKLines[len(allKLines)-1]
-		inc.PushK(k)
-		inc.EmitUpdate(inc.Last())
+		inc.VF.Update(high, low, cloze, volume)
 	}
 }
 
-func (inc *KlingerOscillator) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
-	if inc.Interval != interval {
-		return
-	}
+var _ types.SeriesExtend = &KlingerOscillator{}
 
-	inc.CalculateAndUpdate(window)
+func (inc *KlingerOscillator) PushK(k types.KLine) {
+	inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64(), k.Volume.Float64())
 }
 
-func (inc *KlingerOscillator) Bind(updater KLineWindowUpdater) {
-	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+func (inc *KlingerOscillator) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
+	target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
 }
 
 // Utility to hold the state of calculation
@@ -93,12 +79,12 @@ type VolumeForce struct {
 }
 
 func (inc *VolumeForce) Update(high, low, cloze, volume float64) {
-	if inc.Value == 0 {
+	if inc.lastSum == 0 {
 		inc.dm = high - low
 		inc.cm = inc.dm
 		inc.trend = 1.
 		inc.lastSum = high + low + cloze
-		inc.Value = volume * 100.
+		inc.Value = volume // first volume is not calculated
 		return
 	}
 	trend := 1.
@@ -114,5 +100,5 @@ func (inc *VolumeForce) Update(high, low, cloze, volume float64) {
 	inc.trend = trend
 	inc.lastSum = high + low + cloze
 	inc.dm = dm
-	inc.Value = volume * (2.*(inc.dm/inc.cm) - 1.) * trend * 100.
+	inc.Value = volume * (2.*(inc.dm/inc.cm) - 1.) * trend
 }
diff --git a/pkg/indicator/klingeroscillator_test.go b/pkg/indicator/klingeroscillator_test.go
@@ -0,0 +1,53 @@
+package indicator
+
+import (
+	"encoding/json"
+	"testing"
+
+	"github.com/c9s/bbgo/pkg/fixedpoint"
+	"github.com/c9s/bbgo/pkg/types"
+	"github.com/stretchr/testify/assert"
+)
+
+/*
+import pandas as pd
+import pandas_ta as ta
+high = pd.Series([1.1, 1.3, 1.5, 1.7, 1.9, 2.2, 2.4, 2.1, 1.8, 1.7])
+low = pd.Series([0.9, 1.1, 1.2, 1.5, 1.7, 2.0, 2.2, 1.9, 1.6, 1.5])
+close = pd.Series([1.0, 1.2, 1.4, 1.6, 1.8, 2.1, 2.3, 2.0, 1.7, 1.6])
+vol = pd.Series([300., 200., 200., 150., 150., 200., 200., 150., 300., 350.])
+# kvo = ta.kvo(high, low, close, vol, fast=3, slow=5, signal=1)
+# print(kvo)
+# # The implementation of kvo in pandas_ta is different from the one defined in investopedia
+# # VF is not simply multipying trend
+# # Also the value is not multiplied by 100 in pandas_ta
+*/
+
+func Test_KlingerOscillator(t *testing.T) {
+	var high, low, cloze, vResult, vol []fixedpoint.Value
+	if err := json.Unmarshal([]byte(`[1.1, 1.3, 1.5, 1.7, 1.9, 2.2, 2.4, 2.1, 1.8, 1.7]`), &high); err != nil {
+		panic(err)
+	}
+	if err := json.Unmarshal([]byte(`[0.9, 1.1, 1.2, 1.5, 1.7, 2.0, 2.2, 1.9, 1.6, 1.5]`), &low); err != nil {
+		panic(err)
+	}
+	if err := json.Unmarshal([]byte(`[1.0, 1.2, 1.4, 1.6, 1.8, 2.1, 2.3, 2.0, 1.7, 1.6]`), &cloze); err != nil {
+		panic(err)
+	}
+	if err := json.Unmarshal([]byte(`[300.0, 200.0, 200.0, 150.0, 150.0, 200.0, 200.0, 150.0, 300.0, 350.0]`), &vol); err != nil {
+		panic(err)
+	}
+	if err := json.Unmarshal([]byte(`[300.0, 0.0, -28.5, -83, -95, -138, -146.7, 0, 100, 175]`), &vResult); err != nil {
+		panic(err)
+	}
+
+	k := KlingerOscillator{
+		Fast: &EWMA{IntervalWindow: types.IntervalWindow{Window: 3}},
+		Slow: &EWMA{IntervalWindow: types.IntervalWindow{Window: 5}},
+	}
+	var Delta = 0.5
+	for i := 0; i < len(high); i++ {
+		k.Update(high[i].Float64(), low[i].Float64(), cloze[i].Float64(), vol[i].Float64())
+		assert.InDelta(t, k.VF.Value, vResult[i].Float64(), Delta)
+	}
+}