atrp: multiple 100 for percentage

pkg/indicator/atrp.go

@@ -0,0 +1,112 @@
+package indicator
+
+import (
+	"math"
+	"time"
+
+	"github.com/c9s/bbgo/pkg/types"
+)
+
+// ATRP is the average true range percentage
+// See also https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/atrp
+//
+// Calculation:
+//
+//     ATRP = (Average True Range / Close) * 100
+//
+//go:generate callbackgen -type ATRP
+type ATRP struct {
+	types.SeriesBase
+	types.IntervalWindow
+	PercentageVolatility types.Float64Slice
+
+	PreviousClose float64
+	RMA           *RMA
+
+	EndTime         time.Time
+	UpdateCallbacks []func(value float64)
+}
+
+func (inc *ATRP) Update(high, low, cloze float64) {
+	if inc.Window <= 0 {
+		panic("window must be greater than 0")
+	}
+
+	if inc.RMA == nil {
+		inc.SeriesBase.Series = inc
+		inc.RMA = &RMA{
+			IntervalWindow: types.IntervalWindow{Window: inc.Window},
+			Adjust:         true,
+		}
+		inc.PreviousClose = cloze
+		return
+	}
+
+	// calculate true range
+	trueRange := high - low
+	hc := math.Abs(high - inc.PreviousClose)
+	lc := math.Abs(low - inc.PreviousClose)
+	if trueRange < hc {
+		trueRange = hc
+	}
+	if trueRange < lc {
+		trueRange = lc
+	}
+
+	// Note: this is the difference from ATR
+	trueRange = trueRange / inc.PreviousClose * 100.0
+
+	inc.PreviousClose = cloze
+
+	// apply rolling moving average
+	inc.RMA.Update(trueRange)
+	atr := inc.RMA.Last()
+	inc.PercentageVolatility.Push(atr / cloze)
+}
+
+func (inc *ATRP) Last() float64 {
+	if inc.RMA == nil {
+		return 0
+	}
+	return inc.RMA.Last()
+}
+
+func (inc *ATRP) Index(i int) float64 {
+	if inc.RMA == nil {
+		return 0
+	}
+	return inc.RMA.Index(i)
+}
+
+func (inc *ATRP) Length() int {
+	if inc.RMA == nil {
+		return 0
+	}
+	return inc.RMA.Length()
+}
+
+var _ types.SeriesExtend = &ATRP{}
+
+func (inc *ATRP) CalculateAndUpdate(kLines []types.KLine) {
+	for _, k := range kLines {
+		if inc.EndTime != zeroTime && !k.EndTime.After(inc.EndTime) {
+			continue
+		}
+		inc.Update(k.High.Float64(), k.Low.Float64(), k.Close.Float64())
+	}
+
+	inc.EmitUpdate(inc.Last())
+	inc.EndTime = kLines[len(kLines)-1].EndTime.Time()
+}
+
+func (inc *ATRP) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
+	if inc.Interval != interval {
+		return
+	}
+
+	inc.CalculateAndUpdate(window)
+}
+
+func (inc *ATRP) Bind(updater KLineWindowUpdater) {
+	updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
+}