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Buy and hold, trend, MACD, RSI, Bollinger Bands, Awesome Oscillator, …
…and Williams R strategies are added.
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| Original file line number | Diff line number | Diff line change |
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| @@ -1,3 +1,3 @@ | ||
| module github.com/cinar/indicator | ||
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| go 1.16 | ||
| go 1.14 |
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,220 @@ | ||
| package indicator | ||
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| import ( | ||
| "log" | ||
| "time" | ||
| ) | ||
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| // Strategy action. | ||
| type Action int | ||
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| const ( | ||
| HOLD Action = iota | ||
| BUY | ||
| SELL | ||
| ) | ||
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| // Asset values. | ||
| type Asset struct { | ||
| Date []time.Time | ||
| Open []float64 | ||
| Close []float64 | ||
| High []float64 | ||
| Low []float64 | ||
| Volume []int64 | ||
| } | ||
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| // Strategy function. It takes an Asset and returns | ||
| // actions for each row. | ||
| type StrategyFunction func(Asset) []Action | ||
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| // Buy and hold strategy. Buys at the beginning and holds. | ||
| func BuyAndHoldStrategy(asset Asset) []Action { | ||
| actions := make([]Action, len(asset.Date)) | ||
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| for i := 0; i < len(actions); i++ { | ||
| actions[i] = BUY | ||
| } | ||
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| return actions | ||
| } | ||
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| // Trend strategy. Buy when trending up for count times, | ||
| // sell when trending down for count times. | ||
| func TrendStrategy(asset Asset, count int) []Action { | ||
| if count < 1 { | ||
| log.Fatal("count cannot be less than 1") | ||
| } | ||
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| actions := make([]Action, len(asset.Date)) | ||
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| if len(actions) == 0 { | ||
| return actions | ||
| } | ||
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| var lastClose float64 = asset.Close[0] | ||
| var trendCount int | ||
| var trendUp bool | ||
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| actions[0] = HOLD | ||
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| for i := 1; i < len(actions); i++ { | ||
| close := asset.Close[i] | ||
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| if trendUp && (lastClose <= close) { | ||
| trendCount++ | ||
| } else if !trendUp && (lastClose >= close) { | ||
| trendCount++ | ||
| } else { | ||
| trendUp = !trendUp | ||
| trendCount = 1 | ||
| } | ||
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| lastClose = close | ||
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| if trendCount == count { | ||
| if trendUp { | ||
| actions[i] = BUY | ||
| } else { | ||
| actions[i] = SELL | ||
| } | ||
| } else { | ||
| actions[i] = HOLD | ||
| } | ||
| } | ||
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| return actions | ||
| } | ||
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| // Make trend strategy function. | ||
| func MakeTrendStrategy(count int) StrategyFunction { | ||
| return func(asset Asset) []Action { | ||
| return TrendStrategy(asset, count) | ||
| } | ||
| } | ||
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| // MACD strategy. | ||
| func MacdStrategy(asset Asset) []Action { | ||
| actions := make([]Action, len(asset.Date)) | ||
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| macd, signal := Macd(asset.Close) | ||
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| for i := 0; i < len(actions); i++ { | ||
| if macd[i] > signal[i] { | ||
| actions[i] = BUY | ||
| } else if macd[i] < signal[i] { | ||
| actions[i] = SELL | ||
| } else { | ||
| actions[i] = HOLD | ||
| } | ||
| } | ||
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| return actions | ||
| } | ||
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| // RSI strategy. Sells above sell at, buys below buy at. | ||
| func RsiStrategy(asset Asset, sellAt, buyAt float64) []Action { | ||
| actions := make([]Action, len(asset.Date)) | ||
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| _, rsi := Rsi(asset.Close) | ||
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| for i := 0; i < len(actions); i++ { | ||
| if rsi[i] <= buyAt { | ||
| actions[i] = BUY | ||
| } else if rsi[i] >= sellAt { | ||
| actions[i] = SELL | ||
| } else { | ||
| actions[i] = HOLD | ||
| } | ||
| } | ||
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| return actions | ||
| } | ||
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| // Default RSI strategy function. It buys | ||
| // below 30 and sells above 70. | ||
| func DefaultRsiStrategy(asset Asset) []Action { | ||
| return RsiStrategy(asset, 70, 30) | ||
| } | ||
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| // Make RSI strategy function. | ||
| func MakeRsiStrategy(sellAt, buyAt float64) StrategyFunction { | ||
| return func(asset Asset) []Action { | ||
| return RsiStrategy(asset, sellAt, buyAt) | ||
| } | ||
| } | ||
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| // MACD and RSI strategy. | ||
| func MacdAndRsiStrategy(asset Asset) []Action { | ||
| actions := make([]Action, len(asset.Date)) | ||
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| macdActions := MacdStrategy(asset) | ||
| rsiActions := DefaultRsiStrategy(asset) | ||
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| for i := 0; i < len(actions); i++ { | ||
| if macdActions[i] == rsiActions[i] { | ||
| actions[i] = macdActions[i] | ||
| } else { | ||
| actions[i] = HOLD | ||
| } | ||
| } | ||
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| return actions | ||
| } | ||
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| // Bollinger bands strategy function. | ||
| func BollingerBandsStrategy(asset Asset) []Action { | ||
| actions := make([]Action, len(asset.Date)) | ||
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| _, upperBand, lowerBand := BollingerBands(asset.Close) | ||
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| for i := 0; i < len(actions); i++ { | ||
| if asset.Close[i] > upperBand[i] { | ||
| actions[i] = SELL | ||
| } else if asset.Close[i] < lowerBand[i] { | ||
| actions[i] = BUY | ||
| } else { | ||
| actions[i] = HOLD | ||
| } | ||
| } | ||
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| return actions | ||
| } | ||
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| // Awesome oscillator strategy function. | ||
| func AwesomeOscillatorStrategy(asset Asset) []Action { | ||
| actions := make([]Action, len(asset.Date)) | ||
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| ao := AwesomeOscillator(asset.Low, asset.High) | ||
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| for i := 0; i < len(actions); i++ { | ||
| if ao[i] > 0 { | ||
| actions[i] = BUY | ||
| } else if ao[i] < 0 { | ||
| actions[i] = SELL | ||
| } else { | ||
| actions[i] = HOLD | ||
| } | ||
| } | ||
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| return actions | ||
| } | ||
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| // Williams R strategy function. | ||
| func WilliamsRStrategy(asset Asset) []Action { | ||
| actions := make([]Action, len(asset.Date)) | ||
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| wr := WilliamsR(asset.Low, asset.High, asset.Close) | ||
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| for i := 0; i < len(actions); i++ { | ||
| if wr[i] < -20 { | ||
| actions[i] = SELL | ||
| } else if wr[i] > -80 { | ||
| actions[i] = BUY | ||
| } else { | ||
| actions[i] = HOLD | ||
| } | ||
| } | ||
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| return actions | ||
| } |