ewma.go

package indicator

import (
	"time"

	"github.com/c9s/bbgo/pkg/datatype/floats"
	"github.com/c9s/bbgo/pkg/types"
)

// These numbers should be aligned with bbgo MaxNumOfKLines and MaxNumOfKLinesTruncate
const MaxNumOfEWMA = 1_000
const MaxNumOfEWMATruncateSize = 500

//go:generate callbackgen -type EWMA
type EWMA struct {
	types.IntervalWindow
	types.SeriesBase

	Values  floats.Slice
	EndTime time.Time

	updateCallbacks []func(value float64)
}

var _ types.SeriesExtend = &EWMA{}

func (inc *EWMA) Clone() *EWMA {
	out := &EWMA{
		IntervalWindow: inc.IntervalWindow,
		Values:         inc.Values[:],
	}
	out.SeriesBase.Series = out
	return out
}

func (inc *EWMA) TestUpdate(value float64) *EWMA {
	out := inc.Clone()
	out.Update(value)
	return out
}

func (inc *EWMA) Update(value float64) {
	var multiplier = 2.0 / float64(1+inc.Window)

	if len(inc.Values) == 0 {
		inc.SeriesBase.Series = inc
		inc.Values.Push(value)
		return
	} else if len(inc.Values) > MaxNumOfEWMA {
		inc.Values = inc.Values[MaxNumOfEWMATruncateSize-1:]
	}

	ema := (1-multiplier)*inc.Last(0) + multiplier*value
	inc.Values.Push(ema)
}

func (inc *EWMA) Last(i int) float64 {
	return inc.Values.Last(i)
}

func (inc *EWMA) Index(i int) float64 {
	return inc.Last(i)
}

func (inc *EWMA) Length() int {
	return len(inc.Values)
}

func (inc *EWMA) PushK(k types.KLine) {
	if inc.EndTime != zeroTime && k.EndTime.Before(inc.EndTime) {
		return
	}

	inc.Update(k.Close.Float64())
	inc.EndTime = k.EndTime.Time()
	inc.EmitUpdate(inc.Last(0))
}

func CalculateKLinesEMA(allKLines []types.KLine, priceF types.KLineValueMapper, window int) float64 {
	var multiplier = 2.0 / (float64(window) + 1)
	return ewma(types.MapKLinePrice(allKLines, priceF), multiplier)
}

// see https://www.investopedia.com/ask/answers/122314/what-exponential-moving-average-ema-formula-and-how-ema-calculated.asp
func ewma(prices []float64, multiplier float64) float64 {
	var end = len(prices) - 1
	if end == 0 {
		return prices[0]
	}

	return prices[end]*multiplier + (1-multiplier)*ewma(prices[:end], multiplier)
}