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Envelope trend indicator and Envelope strategy are added. (#233)
# Describe Request Envelope trend indicator and Envelope strategy are added. Fixed #228 # Change Type New feature. <!-- This is an auto-generated comment: release notes by coderabbit.ai --> ## Summary by CodeRabbit - **New Features** - Introduced a new `Envelope` indicator and multiple new strategies, enhancing the library's capabilities. - Added dedicated test data in CSV format for better validation of indicators and strategies. - **Documentation** - Added detailed documentation for the new `Envelope` type and its methods. <!-- end of auto-generated comment: release notes by coderabbit.ai -->
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| // Copyright (c) 2021-2024 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
|
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| package trend | ||
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| import ( | ||
| "fmt" | ||
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| "github.com/cinar/indicator/v2/asset" | ||
| "github.com/cinar/indicator/v2/helper" | ||
| "github.com/cinar/indicator/v2/strategy" | ||
| "github.com/cinar/indicator/v2/trend" | ||
| ) | ||
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| // EnvelopeStrategy represents the configuration parameters for calculating the Envelope strategy. When the closing | ||
| // is above the upper band suggests a Sell recommendation, and when the closing is below the lower band suggests a | ||
| // buy recommendation. | ||
| type EnvelopeStrategy struct { | ||
| // Envelope is the envelope indicator instance. | ||
| Envelope *trend.Envelope[float64] | ||
| } | ||
|
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| // NewEnvelopeStrategy function initializes a new Envelope strategy with the default parameters. | ||
| func NewEnvelopeStrategy() *EnvelopeStrategy { | ||
| return NewEnvelopeStrategyWith( | ||
| trend.NewEnvelopeWithSma[float64](), | ||
| ) | ||
| } | ||
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| // NewEnvelopeStrategyWith function initializes a new Envelope strategy with the given Envelope instance. | ||
| func NewEnvelopeStrategyWith(envelope *trend.Envelope[float64]) *EnvelopeStrategy { | ||
| return &EnvelopeStrategy{ | ||
| Envelope: envelope, | ||
| } | ||
| } | ||
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| // Name returns the name of the strategy. | ||
| func (e *EnvelopeStrategy) Name() string { | ||
| return fmt.Sprintf("Envelope Strategy (%s)", e.Envelope.String()) | ||
| } | ||
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| // Compute processes the provided asset snapshots and generates a stream of actionable recommendations. | ||
| func (e *EnvelopeStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action { | ||
| closingsSplice := helper.Duplicate( | ||
| asset.SnapshotsAsClosings(snapshots), | ||
| 2, | ||
| ) | ||
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| closingsSplice[1] = helper.Skip(closingsSplice[1], e.Envelope.IdlePeriod()) | ||
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| uppers, middles, lowers := e.Envelope.Compute(closingsSplice[0]) | ||
| go helper.Drain(middles) | ||
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| actions := helper.Operate3(uppers, lowers, closingsSplice[1], func(upper, lower, closing float64) strategy.Action { | ||
| // When the closing is below the lower band suggests a buy recommendation. | ||
| if closing < lower { | ||
| return strategy.Buy | ||
| } | ||
|
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| // When the closing is above the upper band suggests a Sell recommendation. | ||
| if closing > upper { | ||
| return strategy.Sell | ||
| } | ||
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| return strategy.Hold | ||
| }) | ||
|
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| // Envelope start only after a full period. | ||
| actions = helper.Shift(actions, e.Envelope.IdlePeriod(), strategy.Hold) | ||
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| return actions | ||
| } | ||
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| // Report processes the provided asset snapshots and generates a report annotated with the recommended actions. | ||
| func (e *EnvelopeStrategy) Report(c <-chan *asset.Snapshot) *helper.Report { | ||
| // | ||
| // snapshots[0] -> dates | ||
| // snapshots[1] -> closings[0] -> closings | ||
| // closings[1] -> envelope -> upper | ||
| // -> middle | ||
| // -> lower | ||
| // snapshots[2] -> actions -> annotations | ||
| // -> outcomes | ||
| // | ||
| snapshotsSplice := helper.Duplicate(c, 3) | ||
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| dates := helper.Skip( | ||
| asset.SnapshotsAsDates(snapshotsSplice[0]), | ||
| e.Envelope.IdlePeriod(), | ||
| ) | ||
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| closingsSplice := helper.Duplicate(asset.SnapshotsAsClosings(snapshotsSplice[1]), 2) | ||
| closingsSplice[0] = helper.Skip(closingsSplice[0], e.Envelope.IdlePeriod()) | ||
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| uppers, middles, lowers := e.Envelope.Compute(closingsSplice[1]) | ||
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| actions, outcomes := strategy.ComputeWithOutcome(e, snapshotsSplice[2]) | ||
| actions = helper.Skip(actions, e.Envelope.IdlePeriod()) | ||
| outcomes = helper.Skip(outcomes, e.Envelope.IdlePeriod()) | ||
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| annotations := strategy.ActionsToAnnotations(actions) | ||
| outcomes = helper.MultiplyBy(outcomes, 100) | ||
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| report := helper.NewReport(e.Name(), dates) | ||
| report.AddChart() | ||
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| report.AddColumn(helper.NewNumericReportColumn("Close", closingsSplice[0])) | ||
| report.AddColumn(helper.NewNumericReportColumn("Upper", uppers)) | ||
| report.AddColumn(helper.NewNumericReportColumn("Middle", middles)) | ||
| report.AddColumn(helper.NewNumericReportColumn("Lower", lowers)) | ||
| report.AddColumn(helper.NewAnnotationReportColumn(annotations)) | ||
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| report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 1) | ||
|
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| return report | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,55 @@ | ||
| // Copyright (c) 2021-2024 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
|
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| package trend_test | ||
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| import ( | ||
| "os" | ||
| "testing" | ||
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| "github.com/cinar/indicator/v2/asset" | ||
| "github.com/cinar/indicator/v2/helper" | ||
| "github.com/cinar/indicator/v2/strategy" | ||
| "github.com/cinar/indicator/v2/strategy/trend" | ||
| ) | ||
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| func TestEnvelopeStrategy(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
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| results, err := helper.ReadFromCsvFile[strategy.Result]("testdata/envelope_strategy.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
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| expected := helper.Map(results, func(r *strategy.Result) strategy.Action { return r.Action }) | ||
|
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| envelope := trend.NewEnvelopeStrategy() | ||
| actual := envelope.Compute(snapshots) | ||
|
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| err = helper.CheckEquals(actual, expected) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } | ||
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| func TestEnvelopeStrategyReport(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
|
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| envelope := trend.NewEnvelopeStrategy() | ||
| report := envelope.Report(snapshots) | ||
|
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| fileName := "envelope_strategy.html" | ||
| defer os.Remove(fileName) | ||
|
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| err = report.WriteToFile(fileName) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } |
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