/
till.go
134 lines (113 loc) · 3.69 KB
/
till.go
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package indicator
import (
"github.com/c9s/bbgo/pkg/types"
)
const defaultVolumeFactor = 0.7
// Refer: Tillson T3 Moving Average
// Refer URL: https://tradingpedia.com/forex-trading-indicator/t3-moving-average-indicator/
//
// The Tillson T3 Moving Average (T3) is a technical analysis indicator that is used to smooth price data and reduce the lag associated
// with traditional moving averages. It was developed by Tim Tillson and is based on the exponential moving average, with the weighting
// factors determined using a modified version of the cubic polynomial. The T3 is calculated by taking the weighted moving average of the
// input data using weighting factors that are based on the standard deviation of the data and the specified length of the moving average.
// This resulting average is then plotted on the price chart as a line, which can be used to make predictions about future price movements.
// The T3 is typically more responsive to changes in the underlying data than a simple moving average, but may be less reliable in trending
// markets.
//go:generate callbackgen -type TILL
type TILL struct {
types.SeriesBase
types.IntervalWindow
VolumeFactor float64
e1 *EWMA
e2 *EWMA
e3 *EWMA
e4 *EWMA
e5 *EWMA
e6 *EWMA
c1 float64
c2 float64
c3 float64
c4 float64
updateCallbacks []func(value float64)
}
func (inc *TILL) Update(value float64) {
if inc.e1 == nil || inc.e1.Length() == 0 {
if inc.VolumeFactor == 0 {
inc.VolumeFactor = defaultVolumeFactor
}
inc.SeriesBase.Series = inc
inc.e1 = &EWMA{IntervalWindow: inc.IntervalWindow}
inc.e2 = &EWMA{IntervalWindow: inc.IntervalWindow}
inc.e3 = &EWMA{IntervalWindow: inc.IntervalWindow}
inc.e4 = &EWMA{IntervalWindow: inc.IntervalWindow}
inc.e5 = &EWMA{IntervalWindow: inc.IntervalWindow}
inc.e6 = &EWMA{IntervalWindow: inc.IntervalWindow}
square := inc.VolumeFactor * inc.VolumeFactor
cube := inc.VolumeFactor * square
inc.c1 = -cube
inc.c2 = 3.*square + 3.*cube
inc.c3 = -6.*square - 3*inc.VolumeFactor - 3*cube
inc.c4 = 1. + 3.*inc.VolumeFactor + cube + 3.*square
}
inc.e1.Update(value)
inc.e2.Update(inc.e1.Last(0))
inc.e3.Update(inc.e2.Last(0))
inc.e4.Update(inc.e3.Last(0))
inc.e5.Update(inc.e4.Last(0))
inc.e6.Update(inc.e5.Last(0))
}
func (inc *TILL) Last(i int) float64 {
if inc.e1 == nil || inc.e1.Length() <= i {
return 0
}
e3 := inc.e3.Index(i)
e4 := inc.e4.Index(i)
e5 := inc.e5.Index(i)
e6 := inc.e6.Index(i)
return inc.c1*e6 + inc.c2*e5 + inc.c3*e4 + inc.c4*e3
}
func (inc *TILL) Index(i int) float64 {
return inc.Last(i)
}
func (inc *TILL) Length() int {
if inc.e1 == nil {
return 0
}
return inc.e1.Length()
}
var _ types.Series = &TILL{}
func (inc *TILL) PushK(k types.KLine) {
if inc.e1 != nil && inc.e1.EndTime != zeroTime && k.EndTime.Before(inc.e1.EndTime) {
return
}
inc.Update(k.Close.Float64())
inc.EmitUpdate(inc.Last(0))
}
func (inc *TILL) LoadK(allKLines []types.KLine) {
for _, k := range allKLines {
inc.PushK(k)
}
}
func (inc *TILL) BindK(target KLineClosedEmitter, symbol string, interval types.Interval) {
target.OnKLineClosed(types.KLineWith(symbol, interval, inc.PushK))
}
func (inc *TILL) CalculateAndUpdate(allKLines []types.KLine) {
if inc.e1 == nil {
for _, k := range allKLines {
inc.PushK(k)
}
} else {
end := len(allKLines)
last := allKLines[end-1]
inc.PushK(last)
}
}
func (inc *TILL) handleKLineWindowUpdate(interval types.Interval, window types.KLineWindow) {
if inc.Interval != interval {
return
}
inc.CalculateAndUpdate(window)
}
func (inc *TILL) Bind(updater KLineWindowUpdater) {
updater.OnKLineWindowUpdate(inc.handleKLineWindowUpdate)
}