ADx, Keltner Chan, CRSI

.codecov.yml

@@ -0,0 +1,4 @@
+ignore:
+  - testutils.go
+  - example/**/*
+  - scripts/**/*

Makefile

@@ -1,8 +1,9 @@
 files := $(shell find . -name "*.go" | grep -v vendor)
 
 bootstrap:
-	go get golang.org/x/lint/golint
-	go get honnef.co/go/tools/...
+	go install -v golang.org/x/lint/golint@latest
+	go install -v golang.org/x/tools/...@latest
+	go install -v honnef.co/go/tools/cmd/staticcheck@latest
 
 clean:
 	goimports -w $(files)

cached_indicator.go

@@ -0,0 +1,46 @@
+package techan
+
+import "github.com/sdcoffey/big"
+
+type resultCache []*big.Decimal
+
+type cachedIndicator interface {
+	Indicator
+	cache() resultCache
+	setCache(cache resultCache)
+	windowSize() int
+}
+
+func cacheResult(indicator cachedIndicator, index int, val big.Decimal) {
+	if index < len(indicator.cache()) {
+		indicator.cache()[index] = &val
+	} else if index == len(indicator.cache()) {
+		indicator.setCache(append(indicator.cache(), &val))
+	} else {
+		expandResultCache(indicator, index+1)
+		cacheResult(indicator, index, val)
+	}
+}
+
+func expandResultCache(indicator cachedIndicator, newSize int) {
+	sizeDiff := newSize - len(indicator.cache())
+
+	expansion := make([]*big.Decimal, sizeDiff)
+	indicator.setCache(append(indicator.cache(), expansion...))
+}
+
+func returnIfCached(indicator cachedIndicator, index int, firstValueFallback func(int) big.Decimal) *big.Decimal {
+	if index >= len(indicator.cache()) {
+		expandResultCache(indicator, index+1)
+	} else if index < indicator.windowSize()-1 {
+		return &big.ZERO
+	} else if val := indicator.cache()[index]; val != nil {
+		return val
+	} else if index == indicator.windowSize()-1 {
+		value := firstValueFallback(index)
+		cacheResult(indicator, index, value)
+		return &value
+	}
+
+	return nil
+}

go.mod

@@ -3,10 +3,6 @@ module github.com/sdcoffey/techan
 go 1.12
 
 require (
-	github.com/davecgh/go-spew v1.1.0
-	github.com/pmezard/go-difflib v1.0.0
-	github.com/sdcoffey/big v0.4.1
-	github.com/stretchr/testify v1.2.1
-	golang.org/x/lint v0.0.0-20200302205851-738671d3881b // indirect
-	honnef.co/go/tools v0.0.1-2020.1.6 // indirect
+	github.com/sdcoffey/big v0.7.0
+	github.com/stretchr/testify v1.7.0
 )

go.sum

@@ -1,72 +1,19 @@
-github.com/BurntSushi/toml v0.3.1 h1:WXkYYl6Yr3qBf1K79EBnL4mak0OimBfB0XUf9Vl28OQ=
-github.com/BurntSushi/toml v0.3.1/go.mod h1:xHWCNGjB5oqiDr8zfno3MHue2Ht5sIBksp03qcyfWMU=
 github.com/davecgh/go-spew v1.1.0 h1:ZDRjVQ15GmhC3fiQ8ni8+OwkZQO4DARzQgrnXU1Liz8=
 github.com/davecgh/go-spew v1.1.0/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
-github.com/google/renameio v0.1.0 h1:GOZbcHa3HfsPKPlmyPyN2KEohoMXOhdMbHrvbpl2QaA=
-github.com/google/renameio v0.1.0/go.mod h1:KWCgfxg9yswjAJkECMjeO8J8rahYeXnNhOm40UhjYkI=
-github.com/kisielk/gotool v1.0.0 h1:AV2c/EiW3KqPNT9ZKl07ehoAGi4C5/01Cfbblndcapg=
-github.com/kisielk/gotool v1.0.0/go.mod h1:XhKaO+MFFWcvkIS/tQcRk01m1F5IRFswLeQ+oQHNcck=
-github.com/kr/pretty v0.1.0/go.mod h1:dAy3ld7l9f0ibDNOQOHHMYYIIbhfbHSm3C4ZsoJORNo=
-github.com/kr/pty v1.1.1/go.mod h1:pFQYn66WHrOpPYNljwOMqo10TkYh1fy3cYio2l3bCsQ=
-github.com/kr/text v0.1.0/go.mod h1:4Jbv+DJW3UT/LiOwJeYQe1efqtUx/iVham/4vfdArNI=
+github.com/davecgh/go-spew v1.1.1 h1:vj9j/u1bqnvCEfJOwUhtlOARqs3+rkHYY13jYWTU97c=
+github.com/davecgh/go-spew v1.1.1/go.mod h1:J7Y8YcW2NihsgmVo/mv3lAwl/skON4iLHjSsI+c5H38=
 github.com/pmezard/go-difflib v1.0.0 h1:4DBwDE0NGyQoBHbLQYPwSUPoCMWR5BEzIk/f1lZbAQM=
 github.com/pmezard/go-difflib v1.0.0/go.mod h1:iKH77koFhYxTK1pcRnkKkqfTogsbg7gZNVY4sRDYZ/4=
-github.com/rogpeppe/go-internal v1.3.0 h1:RR9dF3JtopPvtkroDZuVD7qquD0bnHlKSqaQhgwt8yk=
-github.com/rogpeppe/go-internal v1.3.0/go.mod h1:M8bDsm7K2OlrFYOpmOWEs/qY81heoFRclV5y23lUDJ4=
-github.com/sdcoffey/big v0.0.0-20180413224939-438f3d83db4c h1:avDKoFuBXMQAcu0sxdpbS88WAiPt2e9YtSuEWfOPj7E=
-github.com/sdcoffey/big v0.0.0-20180413224939-438f3d83db4c/go.mod h1:WzOYJJhNOp7m1u1MrNQaYSHmgqHGkZThC+VgDqdFl0I=
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 github.com/stretchr/testify v1.1.4/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
 github.com/stretchr/testify v1.2.1 h1:52QO5WkIUcHGIR7EnGagH88x1bUzqGXTC5/1bDTUQ7U=
 github.com/stretchr/testify v1.2.1/go.mod h1:a8OnRcib4nhh0OaRAV+Yts87kKdq0PP7pXfy6kDkUVs=
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-golang.org/x/crypto v0.0.0-20190308221718-c2843e01d9a2/go.mod h1:djNgcEr1/C05ACkg1iLfiJU5Ep61QUkGW8qpdssI0+w=
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-golang.org/x/mod v0.0.0-20190513183733-4bf6d317e70e h1:JgcxKXxCjrA2tyDP/aNU9K0Ck5Czfk6C7e2tMw7+bSI=
-golang.org/x/mod v0.0.0-20190513183733-4bf6d317e70e/go.mod h1:mXi4GBBbnImb6dmsKGUJ2LatrhH/nqhxcFungHvyanc=
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-golang.org/x/mod v0.1.1-0.20191105210325-c90efee705ee/go.mod h1:QqPTAvyqsEbceGzBzNggFXnrqF1CaUcvgkdR5Ot7KZg=
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-golang.org/x/tools v0.0.0-20200410194907-79a7a3126eef/go.mod h1:EkVYQZoAsY45+roYkvgYkIh4xh/qjgUK9TdY2XT94GE=
-golang.org/x/xerrors v0.0.0-20190717185122-a985d3407aa7/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=
-golang.org/x/xerrors v0.0.0-20191011141410-1b5146add898 h1:/atklqdjdhuosWIl6AIbOeHJjicWYPqR9bpxqxYG2pA=
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-gopkg.in/check.v1 v1.0.0-20180628173108-788fd7840127/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
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-honnef.co/go/tools v0.0.0-20190412205916-e87e8279b4cd h1:hnvxEW8n8IJasi4s1HJpanZ1ebTAdsjxzbZPO8Viw+s=
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+gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
+gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c h1:dUUwHk2QECo/6vqA44rthZ8ie2QXMNeKRTHCNY2nXvo=
+gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=

indicator_average_true_range.go

@@ -0,0 +1,32 @@
+package techan
+
+import "github.com/sdcoffey/big"
+
+type averageTrueRangeIndicator struct {
+	series *TimeSeries
+	window int
+}
+
+// NewAverageTrueRangeIndicator returns a base indicator that calculates the average true range of the
+// underlying over a window
+// https://www.investopedia.com/terms/a/atr.asp
+func NewAverageTrueRangeIndicator(series *TimeSeries, window int) Indicator {
+	return averageTrueRangeIndicator{
+		series: series,
+		window: window,
+	}
+}
+
+func (atr averageTrueRangeIndicator) Calculate(index int) big.Decimal {
+	if index < atr.window {
+		return big.ZERO
+	}
+
+	sum := big.ZERO
+
+	for i := index; i > index-atr.window; i-- {
+		sum = sum.Add(NewTrueRangeIndicator(atr.series).Calculate(i))
+	}
+
+	return sum.Div(big.NewFromInt(atr.window))
+}

indicator_average_true_range_test.go

@@ -0,0 +1,24 @@
+package techan
+
+import "testing"
+
+func TestAverageTrueRangeIndicator(t *testing.T) {
+	atrIndicator := NewAverageTrueRangeIndicator(mockedTimeSeries, 3)
+
+	expectedValues := []float64{
+		0,
+		0,
+		0,
+		2,
+		2,
+		2,
+		2,
+		2,
+		2,
+		2,
+		2.3467,
+		2.3467,
+	}
+
+	indicatorEquals(t, expectedValues, atrIndicator)
+}

indicator_exponential_moving_average.go

@@ -0,0 +1,45 @@
+package techan
+
+import "github.com/sdcoffey/big"
+
+type emaIndicator struct {
+	indicator   Indicator
+	window      int
+	alpha       big.Decimal
+	resultCache resultCache
+}
+
+// NewEMAIndicator returns a derivative indicator which returns the average of the current and preceding values in
+// the given windowSize, with values closer to current index given more weight. A more in-depth explanation can be found here:
+// http://www.investopedia.com/terms/e/ema.asp
+func NewEMAIndicator(indicator Indicator, window int) Indicator {
+	return &emaIndicator{
+		indicator:   indicator,
+		window:      window,
+		alpha:       big.ONE.Frac(2).Div(big.NewFromInt(window + 1)),
+		resultCache: make([]*big.Decimal, 1000),
+	}
+}
+
+func (ema *emaIndicator) Calculate(index int) big.Decimal {
+	if cachedValue := returnIfCached(ema, index, func(i int) big.Decimal {
+		return NewSimpleMovingAverage(ema.indicator, ema.window).Calculate(i)
+	}); cachedValue != nil {
+		return *cachedValue
+	}
+
+	todayVal := ema.indicator.Calculate(index).Mul(ema.alpha)
+	result := todayVal.Add(ema.Calculate(index - 1).Mul(ema.alpha))
+
+	cacheResult(ema, index, result)
+
+	return result
+}
+
+func (ema emaIndicator) cache() resultCache { return ema.resultCache }
+
+func (ema *emaIndicator) setCache(newCache resultCache) {
+	ema.resultCache = newCache
+}
+
+func (ema emaIndicator) windowSize() int { return ema.window }

indicator_exponential_moving_average_test.go

@@ -0,0 +1,62 @@
+package techan
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+)
+
+func TestExponentialMovingAverage(t *testing.T) {
+	t.Run("Default Case", func(t *testing.T) {
+		expectedValues := []float64{
+			0,
+			0,
+			64.09,
+			63.91,
+			63.73,
+			63.46,
+			63.685,
+			63.7675,
+			63.3588,
+			63.3644,
+			62.3472,
+			61.9286,
+		}
+
+		closePriceIndicator := NewClosePriceIndicator(mockedTimeSeries)
+		indicatorEquals(t, expectedValues, NewEMAIndicator(closePriceIndicator, 3))
+	})
+
+	t.Run("Expands Result Cache", func(t *testing.T) {
+		closeIndicator := NewClosePriceIndicator(randomTimeSeries(1001))
+		ema := NewEMAIndicator(closeIndicator, 20)
+
+		ema.Calculate(1000)
+
+		emaStruct, ok := ema.(cachedIndicator)
+		assert.True(t, ok)
+		assert.EqualValues(t, 1001, len(emaStruct.cache()))
+	})
+}
+
+func BenchmarkExponetialMovingAverage(b *testing.B) {
+	size := 10000
+	ts := randomTimeSeries(size)
+
+	b.ResetTimer()
+	for i := 0; i < b.N; i++ {
+		ema := NewEMAIndicator(NewClosePriceIndicator(ts), 10)
+		ema.Calculate(size - 1)
+	}
+}
+
+func BenchmarkExponentialMovingAverage_Cached(b *testing.B) {
+	size := 10000
+	ts := randomTimeSeries(size)
+	ema := NewEMAIndicator(NewClosePriceIndicator(ts), 10)
+
+	b.ResetTimer()
+	for i := 0; i < b.N; i++ {
+		ema.Calculate(size - 1)
+	}
+}

indicator_keltner_channel.go

@@ -0,0 +1,40 @@
+package techan
+
+import (
+	"github.com/sdcoffey/big"
+)
+
+type keltnerChannelIndicator struct {
+	ema    Indicator
+	atr    Indicator
+	mul    big.Decimal
+	window int
+}
+
+func NewKeltnerChannelUpperIndicator(series *TimeSeries, window int) Indicator {
+	return keltnerChannelIndicator{
+		atr:    NewAverageTrueRangeIndicator(series, window),
+		ema:    NewEMAIndicator(NewClosePriceIndicator(series), window),
+		mul:    big.ONE,
+		window: window,
+	}
+}
+
+func NewKeltnerChannelLowerIndicator(series *TimeSeries, window int) Indicator {
+	return keltnerChannelIndicator{
+		atr:    NewAverageTrueRangeIndicator(series, window),
+		ema:    NewEMAIndicator(NewClosePriceIndicator(series), window),
+		mul:    big.ONE.Neg(),
+		window: window,
+	}
+}
+
+func (kci keltnerChannelIndicator) Calculate(index int) big.Decimal {
+	if index <= kci.window-1 {
+		return big.ZERO
+	}
+
+	coefficient := big.NewFromInt(2).Mul(kci.mul)
+
+	return kci.ema.Calculate(index).Add(kci.atr.Calculate(index).Mul(coefficient))
+}