indicator: keltner channel

pkg/bbgo/indicator_set.go

@@ -93,6 +93,10 @@ func (i *IndicatorSet) BOLL(iw types.IntervalWindow, k float64) *indicatorv2.BOL
 	return indicatorv2.BOLL(i.CLOSE(iw.Interval), iw.Window, k)
 }
 
+func (i *IndicatorSet) Keltner(iw types.IntervalWindow, atrLength int) *indicatorv2.KeltnerStream {
+	return indicatorv2.Keltner(i.KLines(iw.Interval), iw.Window, atrLength)
+}
+
 func (i *IndicatorSet) MACD(interval types.Interval, shortWindow, longWindow, signalWindow int) *indicatorv2.MACDStream {
 	return indicatorv2.MACD2(i.CLOSE(interval), shortWindow, longWindow, signalWindow)
 }

pkg/indicator/v2/keltner.go

@@ -0,0 +1,61 @@
+package indicatorv2
+
+import (
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+type KeltnerStream struct {
+	types.SeriesBase
+
+	window, atrLength int
+
+	EWMA   *EWMAStream
+	StdDev *StdDevStream
+	ATR    *ATRStream
+
+	highPrices, lowPrices, closePrices *PriceStream
+
+	Mid                              *types.Float64Series
+	FirstUpperBand, FirstLowerBand   *types.Float64Series
+	SecondUpperBand, SecondLowerBand *types.Float64Series
+	ThirdUpperBand, ThirdLowerBand   *types.Float64Series
+}
+
+func Keltner(source KLineSubscription, window, atrLength int) *KeltnerStream {
+	atr := ATR2(source, atrLength)
+
+	highPrices := HighPrices(source)
+	lowPrices := LowPrices(source)
+	closePrices := ClosePrices(source)
+	ewma := EWMA2(closePrices, window)
+
+	s := &KeltnerStream{
+		window:          window,
+		atrLength:       atrLength,
+		highPrices:      highPrices,
+		lowPrices:       lowPrices,
+		closePrices:     closePrices,
+		ATR:             atr,
+		EWMA:            ewma,
+		Mid:             types.NewFloat64Series(),
+		FirstUpperBand:  types.NewFloat64Series(),
+		FirstLowerBand:  types.NewFloat64Series(),
+		SecondUpperBand: types.NewFloat64Series(),
+		SecondLowerBand: types.NewFloat64Series(),
+		ThirdUpperBand:  types.NewFloat64Series(),
+		ThirdLowerBand:  types.NewFloat64Series(),
+	}
+
+	source.AddSubscriber(func(kLine types.KLine) {
+		mid := s.EWMA.Last(0)
+		atr := s.ATR.Last(0)
+		s.Mid.PushAndEmit(mid)
+		s.FirstUpperBand.PushAndEmit(mid + atr)
+		s.FirstLowerBand.PushAndEmit(mid - atr)
+		s.SecondUpperBand.PushAndEmit(mid + 2*atr)
+		s.SecondLowerBand.PushAndEmit(mid - 2*atr)
+		s.ThirdUpperBand.PushAndEmit(mid + 3*atr)
+		s.ThirdLowerBand.PushAndEmit(mid - 3*atr)
+	})
+	return s
+}