update adx indicator and test case

pkg/indicator/v2/adx.go

@@ -8,7 +8,8 @@ import (
 )
 
 type ADXStream struct {
-	*types.Float64Series
+	*RMAStream
+
 	Plus, Minus *types.Float64Series
 
 	window            int
@@ -19,45 +20,47 @@ func ADX(source KLineSubscription, window int) *ADXStream {
 	var (
 		atr  = ATR2(source, window)
 		dmp  = types.NewFloat64Series()
-		dmm  = types.NewFloat64Series()
+		dmn  = types.NewFloat64Series()
 		adx  = types.NewFloat64Series()
 		sdmp = RMA2(dmp, window, true)
-		sdmm = RMA2(dmm, window, true)
-		sadx = RMA2(adx, window, true)
+		sdmn = RMA2(dmn, window, true)
 		s    = &ADXStream{
-			window:        window,
-			Plus:          types.NewFloat64Series(),
-			Minus:         types.NewFloat64Series(),
-			Float64Series: types.NewFloat64Series(),
-			prevHigh:      fixedpoint.Zero,
-			prevLow:       fixedpoint.Zero,
+			window:    window,
+			Plus:      types.NewFloat64Series(),
+			Minus:     types.NewFloat64Series(),
+			prevHigh:  fixedpoint.Zero,
+			prevLow:   fixedpoint.Zero,
+			RMAStream: RMA2(adx, window, true),
 		}
 	)
 
 	source.AddSubscriber(func(k types.KLine) {
-		up, down := k.High.Sub(s.prevHigh), -k.Low.Sub(s.prevLow)
-		if up.Compare(down) > 0 && up > 0 {
+		if s.prevHigh.IsZero() || s.prevLow.IsZero() {
+			s.prevHigh, s.prevLow = k.High, k.Low
+			return
+		}
+
+		up, dn := k.High.Sub(s.prevHigh), s.prevLow.Sub(k.Low)
+		if up.Compare(dn) > 0 && up > 0 {
 			dmp.PushAndEmit(up.Float64())
 		} else {
 			dmp.PushAndEmit(0.0)
 		}
-
-		if down.Compare(up) > 0 && down > 0 {
-			dmm.PushAndEmit(down.Float64())
+		if dn.Compare(up) > 0 && dn > 0 {
+			dmn.PushAndEmit(dn.Float64())
 		} else {
-			dmm.PushAndEmit(0.0)
+			dmn.PushAndEmit(0.0)
 		}
 
-		s.Plus.PushAndEmit(sdmp.Last(0) / atr.Last(0) * 100)
-		s.Minus.PushAndEmit(sdmm.Last(0) / atr.Last(0) * 100)
-
-		sum := s.Plus.Last(0) + s.Minus.Last(0)
-		if sum == 0 {
-			sum = 1
+		s.Plus.PushAndEmit(sdmp.Last(0) * 100 / atr.Last(0))
+		s.Minus.PushAndEmit(sdmn.Last(0) * 100 / atr.Last(0))
+		dx := math.Abs(s.Plus.Last(0)-s.Minus.Last(0)) / (s.Plus.Last(0) + s.Minus.Last(0))
+		if !math.IsNaN(dx) {
+			adx.PushAndEmit(dx * 100.0)
+		} else {
+			adx.PushAndEmit(0.0)
 		}
-		adx.PushAndEmit(math.Abs(s.Plus.Last(0)-s.Minus.Last(0)) / sum)
 
-		s.PushAndEmit(sadx.Last(0) * 100)
 		s.prevHigh, s.prevLow = k.High, k.Low
 		s.Truncate()
 	})

pkg/indicator/v2/adx_test.go

@@ -11,9 +11,9 @@ import (
 
 func Test_ADX(t *testing.T) {
 	var bytes = []byte(`{
-		"high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0], 
-		"low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
-		"close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99, 39693.79, 39827.96, 40074.94, 40059.84]
+	    "high": [40145.0, 40186.36, 40196.39, 40344.6, 40245.48, 40273.24, 40464.0, 40699.0, 40627.48, 40436.31, 40370.0, 40376.8, 40227.03, 40056.52, 39721.7, 39597.94, 39750.15, 39927.0, 40289.02, 40189.0],
+	    "low": [39870.71, 39834.98, 39866.31, 40108.31, 40016.09, 40094.66, 40105.0, 40196.48, 40154.99, 39800.0, 39959.21, 39922.98, 39940.02, 39632.0, 39261.39, 39254.63, 39473.91, 39555.51, 39819.0, 40006.84],
+	    "close": [40105.78, 39935.23, 40183.97, 40182.03, 40212.26, 40149.99, 40378.0, 40618.37, 40401.03, 39990.39, 40179.13, 40097.23, 40014.72, 39667.85, 39303.1, 39519.99,39693.79, 39827.96, 40074.94, 40059.84]
 	}`)
 
 	var buildKLines = func(bytes []byte) (kLines []types.KLine) {
@@ -36,7 +36,7 @@ func Test_ADX(t *testing.T) {
 			name:   "test_binance_btcusdt_1h",
 			kLines: buildKLines(bytes),
 			window: 7,
-			want:   31.895091,
+			want:   34.83952,
 		},
 	}