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Merge pull request #633 from zenixls2/fix/ewo_entry
Fix/ewo entry, backtest
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,86 @@ | ||
| package ewoDgtrd | ||
|
|
||
| import ( | ||
| "fmt" | ||
| "math" | ||
|
|
||
| "github.com/c9s/bbgo/pkg/types" | ||
| ) | ||
|
|
||
| type Queue struct { | ||
| arr []float64 | ||
| size int | ||
| } | ||
|
|
||
| func NewQueue(size int) *Queue { | ||
| return &Queue{ | ||
| arr: make([]float64, 0, size), | ||
| size: size, | ||
| } | ||
| } | ||
|
|
||
| func (inc *Queue) Last() float64 { | ||
| if len(inc.arr) == 0 { | ||
| return 0 | ||
| } | ||
| return inc.arr[len(inc.arr)-1] | ||
| } | ||
|
|
||
| func (inc *Queue) Index(i int) float64 { | ||
| if len(inc.arr)-i-1 < 0 { | ||
| return 0 | ||
| } | ||
| return inc.arr[len(inc.arr)-i-1] | ||
| } | ||
|
|
||
| func (inc *Queue) Length() int { | ||
| return len(inc.arr) | ||
| } | ||
|
|
||
| func (inc *Queue) Update(v float64) { | ||
| inc.arr = append(inc.arr, v) | ||
| if len(inc.arr) > inc.size { | ||
| inc.arr = inc.arr[len(inc.arr)-inc.size:] | ||
| } | ||
| } | ||
|
|
||
| type HeikinAshi struct { | ||
| Close *Queue | ||
| Open *Queue | ||
| High *Queue | ||
| Low *Queue | ||
| Volume *Queue | ||
| } | ||
|
|
||
| func NewHeikinAshi(size int) *HeikinAshi { | ||
| return &HeikinAshi{ | ||
| Close: NewQueue(size), | ||
| Open: NewQueue(size), | ||
| High: NewQueue(size), | ||
| Low: NewQueue(size), | ||
| Volume: NewQueue(size), | ||
| } | ||
| } | ||
|
|
||
| func (s *HeikinAshi) Print() string { | ||
| return fmt.Sprintf("Heikin c: %.3f, o: %.3f, h: %.3f, l: %.3f, v: %.3f", | ||
| s.Close.Last(), | ||
| s.Open.Last(), | ||
| s.High.Last(), | ||
| s.Low.Last(), | ||
| s.Volume.Last()) | ||
| } | ||
|
|
||
| func (inc *HeikinAshi) Update(kline types.KLine) { | ||
| open := kline.Open.Float64() | ||
| cloze := kline.Close.Float64() | ||
| high := kline.High.Float64() | ||
| low := kline.Low.Float64() | ||
| newClose := (open + high + low + cloze) / 4. | ||
| newOpen := (inc.Open.Last() + inc.Close.Last()) / 2. | ||
| inc.Close.Update(newClose) | ||
| inc.Open.Update(newOpen) | ||
| inc.High.Update(math.Max(math.Max(high, newOpen), newClose)) | ||
| inc.Low.Update(math.Min(math.Min(low, newOpen), newClose)) | ||
| inc.Volume.Update(kline.Volume.Float64()) | ||
| } |
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