trading-indicators

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trading-indicators

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Trading indicators

trading-indicators 최신버젼 다운로드

최종 버전 다운로드 (.zip)

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# Trading indicators

The set of trading indicators

## Installation

```bash
$ go get github.com/evsamsonov/trading-indicators/indicator  
```

## Usage

All indicators requires trading data in [**timeseries**](https://github.com/evsamsonov/trading-timeseries) structure

```go
dataset := []struct {
    Time   time.Time
    High   float64
    Low    float64
    Open   float64
    Close  float64
    Volume int64
}{
    {Time: time.Unix(1121979600, 0), High: 23, Low: 21.27, Open: 21.3125, Close: 22.1044, Volume: 4604900},
    {Time: time.Unix(1122238800, 0), High: 23.31999, Low: 22.15, Open: 22.15, Close: 23.21608, Volume: 4132600},
}

series := timeseries.New()
for _, item := range dataset {
    candle := timeseries.NewCandle(item.Time)
    candle.Open = item.Open
    candle.Close = item.Close
    candle.High = item.High
    candle.Low = item.Low
    candle.Volume = item.Volume

err := series.AddCandle(candle)
    if err != nil {
        log.Printf("Failed to add candle: %v\n", err)
    }
}
```

### Average True Range

Indicator calculates [Average True Range](https://en.wikipedia.org/wiki/Average_true_range ) (ATR)

```go
period := 2
atrIndicator := indicator.NewAverageTrueRange(series, period)
fmt.Println(atrIndicator.Calculate(1))   // 1.4727950000000014
```

### SMA Average True Range

Indicator calculates Average True Range using a simple moving average of the true range values.

```go
period := 3
smaAtr := indicator.NewSmaAverageTrueRange(series, period)
fmt.Println(smaAtr.Calculate(3))  
```

#### Filter Option

You can filter candles using `WithSmaAverageTrueRangeFilter` option. Filtered candles are skipped and the indicator looks back further to collect the required number of candles.

```go
filter := func(i int, candle *timeseries.Candle) bool {
    return candle.Volume > 0
}
period := 3
smaAtr := indicator.NewSmaAverageTrueRange(
    series,
    period,
    indicator.WithSmaAverageTrueRangeFilter(filter),
)
fmt.Println(smaAtr.Calculate(3))
```

### Average Volume

Indicator calculates Average Volume

```go
period := 2
atrIndicator := indicator.NewAverageVolume(series, period)
fmt.Println(atrIndicator.Calculate(1))  // 4368750
```

#### Filter Option

You can filter candles using `WithAverageVolumeFilter` option. Filtered candles are skipped during calculation, and the indicator looks back further to collect the required number of candles.

```go
// Skip candles with zero volume
filter := func(i int, candle *timeseries.Candle) bool {
    return candle.Volume > 0
}
period := 2
avgVolume := indicator.NewAverageVolume(series, period, indicator.WithAverageVolumeFilter(filter))
fmt.Println(avgVolume.Calculate(1))
```

### Exponential Moving Average

Indicator calculates Exponential Moving Average

```go
smoothInterval := 2
atrIndicator := indicator.NewExponentialMovingAverage(series, smoothInterval)
fmt.Println(atrIndicator.Calculate(1))  // 22.84552
```

#### Filter Option

You can filter candles using `WithExponentialMovingAverageFilter` option. When a candle is filtered out, the indicator uses the previous EMA value instead of recalculating.

```go
// Skip candles with low volume
filter := func(i int, candle *timeseries.Candle) bool {
    return candle.Volume > 1000000
}
smoothInterval := 2
ema := indicator.NewExponentialMovingAverage(series, smoothInterval, indicator.WithExponentialMovingAverageFilter(filter))
fmt.Println(ema.Calculate(1))
```

### Trend

The indicator returns a trend direction. It bases on fast (with shorter period) and slow EMA. The third parameter (flatMaxDiff) of NewTrend allows setting max difference between fast and slow EMA when Calculate returns the flat. Option TrendWithFlatMaxDiffInPercent allows to pass flatMaxDiff in percent

```go
fastEMAIndicator, err := indicator.NewExponentialMovingAverage(series, 14)
if err != nil {
    log.Fatalln(err)
}
slowEMAIndicator, err := indicator.NewExponentialMovingAverage(series, 50)
if err != nil {
    log.Fatalln(err)
}

trendIndicator := indicator.NewTrend(fastEMAIndicator, slowEMAIndicator, 0.6, TrendWithFlatMaxDiffInPercent(false))
trend := trendIndicator.Calculate(1)
switch trend {
case indicator.UpTrend:
    fmt.Println("Up trend")
case indicator.DownTrend:
    fmt.Println("Down trend")
case indicator.FlatTrend:
    fmt.Println("Flat trend")
}
```

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