1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950515253545556575859606162636465666768697071727374757677787980818283848586878889909192939495969798991001011021031041051061071081091101111121131141151161171181191201211221231241251261271281291301311321331341351361371381391401411421431441451461471481491501511521531541551561571581591601611621631641651661671681691701711721731741751761771781791801811821831841851861871881891901911921931941951961971981992002012022032042052062072082092102112122132142152162172182192202212222232242252262272282292302312322332342352362372382392402412422432442452462472482492502512522532542552562572582592602612622632642652662672682692702712722732742752762772782792802812822832842852862872882892902912922932942952962972982993003013023033043053063073083093103113123133143153163173183193203213223233243253263273283293303313323333343353363373383393403413423433443453463473483493503513523533543553563573583593603613623633643653663673683693703713723733743753763773783793803813823833843853863873883893903913923933943953963973983994004014024034044054064074084094104114124134144154164174184194204214224234244254264274284294304314324334344354364374384394404414424434444454464474484494504514524534544554564574584594604614624634644654664674684694704714724734744754764774784794804814824834844854864874884894904914924934944954964974984995005015025035045055065075085095105115125135145155165175185195205215225235245255265275285295305315325335345355365375385395405415425435445455465475485495505515525535545555565575585595605615625635645655665675685695705715725735745755765775785795805815825835845855865875885895905915925935945955965975985996006016026036046056066076086096106116126136146156166176186196206216226236246256266276286296306316326336346356366376386396406416426436446456466476486496506516526536546556566576586596606616626636646656666676686696706716726736746756766776786796806816826836846856866876886896906916926936946956966976986997007017027037047057067077087097107117127137147157167177187197207217227237247257267277287297307317327337347357367377387397407417427437447457467477487497507517527537547557567577587597607617627637647657667677687697707717727737747757767777787797807817827837847857867877887897907917927937947957967977987998008018028038048058068078088098108118128138148158168178188198208218228238248258268278288298308318328338348358368378388398408418428438448458468478488498508518528538548558568578588598608618628638648658668678688698708718728738748758768778788798808818828838848858868878888898908918928938948958968978988999009019029039049059069079089099109119129139149159169179189199209219229239249259269279289299309319329339349359369379389399409419429439449459469479489499509519529539549559569579589599609619629639649659669679689699709719729739749759769779789799809819829839849859869879889899909919929939949959969979989991000100110021003100410051006100710081009101010111012101310141015101610171018101910201021102210231024102510261027102810291030103110321033103410351036103710381039104010411042104310441045104610471048104910501051105210531054105510561057105810591060106110621063106410651066106710681069107010711072107310741075107610771078107910801081108210831084108510861087108810891090109110921093109410951096109710981099110011011102110311041105110611071108110911101111111211131114111511161117111811191120112111221123112411251126112711281129113011311132113311341135113611371138113911401141114211431144114511461147114811491150115111521153115411551156115711581159116011611162116311641165116611671168116911701171117211731174117511761177117811791180118111821183118411851186118711881189119011911192119311941195119611971198119912001201120212031204120512061207120812091210121112121213121412151216121712181219122012211222122312241225122612271228122912301231123212331234123512361237123812391240124112421243124412451246124712481249125012511252125312541255125612571258125912601261126212631264126512661267126812691270127112721273127412751276127712781279128012811282128312841285128612871288128912901291129212931294129512961297129812991300130113021303130413051306130713081309131013111312131313141315131613171318131913201321132213231324132513261327132813291330133113321333133413351336133713381339134013411342134313441345134613471348134913501351135213531354135513561357135813591360136113621363136413651366136713681369137013711372137313741375137613771378137913801381138213831384138513861387138813891390139113921393139413951396139713981399140014011402140314041405140614071408140914101411141214131414141514161417141814191420142114221423142414251426142714281429143014311432143314341435143614371438143914401441144214431444144514461447144814491450145114521453145414551456145714581459146014611462146314641465146614671468146914701471147214731474147514761477147814791480148114821483148414851486148714881489149014911492149314941495149614971498149915001501150215031504150515061507150815091510151115121513151415151516151715181519152015211522152315241525152615271528152915301531153215331534153515361537153815391540154115421543154415451546154715481549155015511552155315541555155615571558155915601561156215631564156515661567156815691570157115721573157415751576157715781579158015811582158315841585158615871588158915901591159215931594159515961597159815991600160116021603160416051606160716081609161016111612161316141615161616171618161916201621162216231624162516261627162816291630163116321633163416351636163716381639164016411642164316441645164616471648164916501651165216531654165516561657165816591660166116621663166416651666166716681669167016711672167316741675167616771678167916801681168216831684168516861687168816891690169116921693169416951696169716981699170017011702170317041705170617071708170917101711171217131714171517161717171817191720172117221723172417251726172717281729173017311732173317341735173617371738173917401741174217431744174517461747174817491750175117521753175417551756175717581759176017611762176317641765176617671768176917701771177217731774177517761777177817791780178117821783178417851786178717881789179017911792179317941795179617971798179918001801180218031804180518061807180818091810181118121813181418151816181718181819182018211822182318241825182618271828182918301831183218331834183518361837183818391840184118421843184418451846184718481849185018511852185318541855185618571858185918601861186218631864186518661867186818691870187118721873187418751876187718781879188018811882188318841885188618871888188918901891189218931894189518961897189818991900190119021903190419051906190719081909191019111912191319141915191619171918191919201921192219231924192519261927192819291930193119321933193419351936193719381939194019411942194319441945194619471948194919501951195219531954195519561957195819591960196119621963196419651966196719681969197019711972197319741975197619771978197919801981198219831984198519861987198819891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420252026202720282029203020312032203320342035203620372038203920402041204220432044204520462047204820492050205120522053205420552056205720582059206020612062206320642065206620672068206920702071207220732074207520762077207820792080208120822083208420852086208720882089209020912092209320942095209620972098209921002101210221032104210521062107210821092110211121122113211421152116211721182119212021212122212321242125212621272128212921302131213221332134213521362137213821392140214121422143214421452146214721482149215021512152215321542155215621572158215921602161216221632164216521662167216821692170217121722173217421752176217721782179218021812182218321842185218621872188218921902191219221932194219521962197219821992200220122022203220422052206220722082209221022112212221322142215221622172218221922202221222222232224222522262227222822292230223122322233223422352236223722382239224022412242224322442245224622472248224922502251225222532254225522562257225822592260226122622263226422652266226722682269227022712272227322742275227622772278227922802281228222832284228522862287228822892290229122922293229422952296229722982299230023012302230323042305230623072308230923102311231223132314231523162317231823192320232123222323232423252326232723282329233023312332233323342335233623372338233923402341234223432344234523462347234823492350235123522353235423552356235723582359236023612362236323642365236623672368236923702371237223732374237523762377237823792380238123822383238423852386238723882389239023912392239323942395239623972398239924002401240224032404240524062407240824092410241124122413241424152416241724182419242024212422242324242425242624272428242924302431243224332434243524362437243824392440244124422443244424452446244724482449245024512452245324542455245624572458245924602461246224632464246524662467246824692470247124722473247424752476247724782479248024812482248324842485248624872488248924902491249224932494249524962497249824992500250125022503250425052506250725082509251025112512251325142515251625172518251925202521252225232524252525262527252825292530253125322533253425352536253725382539254025412542254325442545254625472548254925502551255225532554255525562557255825592560256125622563256425652566256725682569257025712572257325742575257625772578257925802581258225832584258525862587258825892590259125922593259425952596259725982599260026012602260326042605260626072608260926102611261226132614261526162617261826192620262126222623262426252626262726282629263026312632263326342635263626372638263926402641264226432644264526462647264826492650265126522653265426552656265726582659266026612662266326642665266626672668266926702671267226732674267526762677267826792680268126822683268426852686268726882689269026912692269326942695269626972698269927002701270227032704270527062707270827092710271127122713271427152716271727182719272027212722272327242725272627272728272927302731273227332734273527362737273827392740274127422743274427452746274727482749275027512752275327542755275627572758275927602761276227632764276527662767276827692770277127722773277427752776277727782779278027812782278327842785278627872788278927902791279227932794279527962797279827992800280128022803280428052806280728082809281028112812281328142815281628172818281928202821282228232824282528262827282828292830283128322833283428352836283728382839284028412842284328442845284628472848284928502851285228532854285528562857285828592860286128622863286428652866286728682869287028712872287328742875287628772878287928802881288228832884288528862887288828892890289128922893289428952896289728982899290029012902290329042905290629072908290929102911291229132914291529162917291829192920292129222923292429252926292729282929293029312932293329342935293629372938293929402941294229432944294529462947294829492950295129522953295429552956295729582959296029612962296329642965296629672968296929702971297229732974297529762977297829792980298129822983298429852986298729882989299029912992299329942995299629972998299930003001300230033004300530063007300830093010301130123013301430153016301730183019302030213022302330243025302630273028302930303031303230333034303530363037303830393040304130423043304430453046304730483049305030513052305330543055305630573058305930603061306230633064306530663067306830693070307130723073307430753076307730783079308030813082308330843085308630873088308930903091309230933094309530963097309830993100310131023103310431053106310731083109311031113112311331143115311631173118311931203121312231233124312531263127312831293130313131323133313431353136313731383139314031413142314331443145314631473148314931503151315231533154315531563157315831593160316131623163316431653166316731683169317031713172317331743175317631773178317931803181318231833184318531863187318831893190319131923193319431953196319731983199320032013202320332043205320632073208320932103211321232133214321532163217321832193220322132223223322432253226322732283229323032313232323332343235323632373238323932403241324232433244324532463247324832493250325132523253325432553256325732583259326032613262326332643265326632673268326932703271327232733274327532763277327832793280328132823283328432853286328732883289329032913292329332943295329632973298329933003301330233033304330533063307330833093310331133123313331433153316331733183319332033213322332333243325332633273328332933303331333233333334333533363337333833393340334133423343334433453346334733483349335033513352335333543355335633573358335933603361336233633364336533663367336833693370337133723373337433753376337733783379338033813382338333843385338633873388338933903391339233933394339533963397339833993400340134023403340434053406340734083409341034113412341334143415341634173418341934203421342234233424342534263427342834293430343134323433343434353436343734383439344034413442344334443445344634473448344934503451345234533454345534563457345834593460346134623463346434653466346734683469347034713472347334743475347634773478347934803481348234833484348534863487348834893490349134923493349434953496349734983499350035013502350335043505350635073508350935103511351235133514351535163517351835193520352135223523352435253526352735283529353035313532353335343535353635373538353935403541354235433544354535463547354835493550355135523553355435553556355735583559356035613562356335643565356635673568356935703571357235733574357535763577357835793580358135823583358435853586358735883589359035913592359335943595359635973598359936003601360236033604360536063607360836093610361136123613361436153616361736183619362036213622362336243625362636273628362936303631363236333634363536363637363836393640364136423643364436453646364736483649365036513652365336543655365636573658365936603661366236633664366536663667366836693670367136723673367436753676367736783679368036813682368336843685368636873688368936903691369236933694369536963697369836993700370137023703370437053706370737083709371037113712371337143715371637173718371937203721372237233724372537263727372837293730373137323733373437353736373737383739374037413742374337443745374637473748374937503751375237533754375537563757375837593760376137623763376437653766376737683769377037713772377337743775377637773778377937803781378237833784378537863787378837893790379137923793379437953796379737983799380038013802380338043805380638073808380938103811381238133814381538163817381838193820382138223823382438253826382738283829383038313832383338343835383638373838383938403841384238433844384538463847384838493850385138523853385438553856385738583859386038613862386338643865386638673868386938703871387238733874387538763877387838793880388138823883388438853886388738883889389038913892389338943895389638973898389939003901390239033904390539063907390839093910391139123913391439153916391739183919392039213922392339243925392639273928392939303931393239333934393539363937393839393940394139423943394439453946394739483949395039513952395339543955395639573958395939603961396239633964396539663967396839693970397139723973397439753976397739783979398039813982398339843985398639873988398939903991399239933994399539963997399839994000400140024003400440054006400740084009401040114012401340144015401640174018401940204021402240234024402540264027402840294030403140324033403440354036403740384039404040414042404340444045404640474048404940504051405240534054405540564057405840594060406140624063406440654066406740684069407040714072407340744075407640774078407940804081408240834084408540864087408840894090409140924093409440954096409740984099410041014102410341044105410641074108410941104111411241134114411541164117411841194120412141224123412441254126412741284129413041314132413341344135413641374138413941404141414241434144414541464147414841494150415141524153415441554156415741584159416041614162416341644165416641674168416941704171417241734174417541764177417841794180418141824183418441854186418741884189419041914192419341944195419641974198419942004201420242034204420542064207420842094210421142124213421442154216421742184219422042214222422342244225422642274228422942304231423242334234423542364237423842394240424142424243424442454246424742484249425042514252425342544255425642574258425942604261426242634264426542664267426842694270427142724273427442754276427742784279428042814282428342844285428642874288428942904291429242934294429542964297429842994300430143024303430443054306430743084309431043114312431343144315431643174318431943204321432243234324432543264327432843294330433143324333433443354336433743384339434043414342434343444345434643474348434943504351435243534354435543564357435843594360436143624363436443654366436743684369437043714372437343744375437643774378437943804381438243834384438543864387438843894390439143924393439443954396439743984399440044014402440344044405440644074408440944104411441244134414441544164417441844194420442144224423442444254426442744284429443044314432443344344435443644374438443944404441444244434444444544464447444844494450445144524453445444554456445744584459446044614462446344644465446644674468446944704471447244734474447544764477447844794480448144824483448444854486448744884489449044914492449344944495449644974498449945004501450245034504450545064507450845094510451145124513451445154516451745184519452045214522452345244525452645274528452945304531453245334534453545364537453845394540454145424543454445454546454745484549455045514552455345544555455645574558455945604561456245634564456545664567456845694570457145724573457445754576457745784579458045814582458345844585458645874588458945904591459245934594459545964597459845994600460146024603460446054606460746084609461046114612461346144615461646174618461946204621462246234624462546264627462846294630463146324633463446354636463746384639464046414642464346444645464646474648464946504651465246534654465546564657465846594660466146624663466446654666466746684669467046714672467346744675467646774678467946804681468246834684468546864687468846894690469146924693469446954696469746984699470047014702470347044705470647074708470947104711471247134714471547164717471847194720472147224723472447254726472747284729473047314732473347344735473647374738473947404741474247434744474547464747474847494750475147524753475447554756475747584759476047614762476347644765476647674768476947704771477247734774477547764777477847794780478147824783478447854786478747884789479047914792479347944795479647974798479948004801480248034804480548064807480848094810481148124813481448154816481748184819482048214822482348244825482648274828482948304831483248334834483548364837483848394840484148424843484448454846484748484849485048514852485348544855485648574858485948604861486248634864486548664867486848694870487148724873487448754876487748784879488048814882488348844885488648874888488948904891489248934894489548964897489848994900490149024903490449054906490749084909491049114912491349144915491649174918491949204921492249234924492549264927492849294930493149324933493449354936493749384939494049414942494349444945494649474948494949504951495249534954495549564957495849594960496149624963496449654966496749684969497049714972497349744975497649774978497949804981498249834984498549864987498849894990499149924993499449954996499749984999500050015002500350045005500650075008500950105011501250135014501550165017501850195020502150225023502450255026502750285029503050315032503350345035503650375038503950405041504250435044504550465047504850495050505150525053505450555056505750585059506050615062506350645065506650675068506950705071507250735074507550765077507850795080508150825083508450855086508750885089509050915092509350945095509650975098509951005101510251035104510551065107510851095110511151125113511451155116511751185119512051215122512351245125512651275128512951305131513251335134513551365137513851395140514151425143514451455146514751485149515051515152515351545155515651575158515951605161516251635164516551665167516851695170517151725173517451755176517751785179518051815182518351845185518651875188518951905191519251935194519551965197519851995200520152025203520452055206520752085209521052115212521352145215521652175218521952205221522252235224522552265227522852295230523152325233523452355236523752385239524052415242524352445245524652475248524952505251525252535254525552565257525852595260526152625263526452655266526752685269527052715272527352745275527652775278527952805281528252835284528552865287528852895290529152925293529452955296529752985299530053015302530353045305530653075308530953105311531253135314531553165317531853195320532153225323532453255326532753285329533053315332533353345335533653375338533953405341534253435344534553465347534853495350535153525353535453555356535753585359536053615362536353645365536653675368536953705371537253735374537553765377537853795380538153825383538453855386538753885389539053915392539353945395539653975398539954005401540254035404540554065407540854095410541154125413541454155416541754185419542054215422542354245425542654275428542954305431543254335434543554365437543854395440544154425443544454455446544754485449545054515452545354545455545654575458545954605461546254635464546554665467546854695470547154725473547454755476547754785479548054815482548354845485548654875488548954905491549254935494549554965497549854995500550155025503550455055506550755085509551055115512551355145515551655175518551955205521552255235524552555265527552855295530553155325533553455355536553755385539554055415542554355445545554655475548554955505551555255535554555555565557555855595560556155625563556455655566556755685569557055715572557355745575557655775578557955805581558255835584558555865587558855895590559155925593559455955596559755985599560056015602560356045605560656075608560956105611561256135614561556165617561856195620562156225623562456255626562756285629563056315632563356345635563656375638563956405641564256435644564556465647564856495650565156525653565456555656565756585659566056615662566356645665566656675668566956705671567256735674567556765677567856795680568156825683568456855686568756885689569056915692569356945695569656975698569957005701570257035704570557065707570857095710571157125713571457155716571757185719572057215722572357245725572657275728572957305731573257335734573557365737573857395740574157425743574457455746574757485749575057515752575357545755575657575758575957605761576257635764576557665767576857695770577157725773577457755776577757785779578057815782578357845785578657875788578957905791579257935794579557965797579857995800580158025803580458055806580758085809581058115812581358145815581658175818581958205821582258235824582558265827582858295830583158325833583458355836583758385839584058415842584358445845584658475848584958505851585258535854585558565857585858595860586158625863586458655866586758685869587058715872587358745875587658775878587958805881588258835884588558865887588858895890589158925893589458955896589758985899590059015902590359045905590659075908590959105911591259135914591559165917591859195920592159225923592459255926592759285929593059315932593359345935593659375938593959405941594259435944594559465947594859495950595159525953595459555956595759585959596059615962596359645965596659675968596959705971597259735974597559765977597859795980598159825983598459855986598759885989 |
- package sentio
- /*
- Copyright 2016 Mark Chenoweth
- Licensed under terms of MIT license (see LICENSE)
- */
- import (
- "errors"
- "math"
- )
- // MaType - Moving average type
- type MaType int
- type moneyFlow struct {
- positive float64
- negative float64
- }
- // Kinds of moving averages
- const (
- SMA MaType = iota
- EMA
- WMA
- DEMA
- TEMA
- TRIMA
- KAMA
- MAMA
- T3MA
- )
- /* Overlap Studies */
- // BBands - Bollinger Bands
- // upperband, middleband, lowerband = BBands(close, timeperiod=5, nbdevup=2, nbdevdn=2, matype=0)
- func BBands(inReal []float64, inTimePeriod int, inNbDevUp float64, inNbDevDn float64, inMAType MaType) ([]float64, []float64, []float64) {
- outRealUpperBand := make([]float64, len(inReal))
- outRealMiddleBand := Ma(inReal, inTimePeriod, inMAType)
- outRealLowerBand := make([]float64, len(inReal))
- tempBuffer2 := StdDev(inReal, inTimePeriod, 1.0)
- if inNbDevUp == inNbDevDn {
- if inNbDevUp == 1.0 {
- for i := 0; i < len(inReal); i++ {
- tempReal := tempBuffer2[i]
- tempReal2 := outRealMiddleBand[i]
- outRealUpperBand[i] = tempReal2 + tempReal
- outRealLowerBand[i] = tempReal2 - tempReal
- }
- } else {
- for i := 0; i < len(inReal); i++ {
- tempReal := tempBuffer2[i] * inNbDevUp
- tempReal2 := outRealMiddleBand[i]
- outRealUpperBand[i] = tempReal2 + tempReal
- outRealLowerBand[i] = tempReal2 - tempReal
- }
- }
- } else if inNbDevUp == 1.0 {
- for i := 0; i < len(inReal); i++ {
- tempReal := tempBuffer2[i]
- tempReal2 := outRealMiddleBand[i]
- outRealUpperBand[i] = tempReal2 + tempReal
- outRealLowerBand[i] = tempReal2 - (tempReal * inNbDevDn)
- }
- } else if inNbDevDn == 1.0 {
- for i := 0; i < len(inReal); i++ {
- tempReal := tempBuffer2[i]
- tempReal2 := outRealMiddleBand[i]
- outRealLowerBand[i] = tempReal2 - tempReal
- outRealUpperBand[i] = tempReal2 + (tempReal * inNbDevUp)
- }
- } else {
- for i := 0; i < len(inReal); i++ {
- tempReal := tempBuffer2[i]
- tempReal2 := outRealMiddleBand[i]
- outRealUpperBand[i] = tempReal2 + (tempReal * inNbDevUp)
- outRealLowerBand[i] = tempReal2 - (tempReal * inNbDevDn)
- }
- }
- return outRealUpperBand, outRealMiddleBand, outRealLowerBand
- }
- // Dema - Double Exponential Moving Average
- func Dema(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- firstEMA := Ema(inReal, inTimePeriod)
- secondEMA := Ema(firstEMA[inTimePeriod-1:], inTimePeriod)
- for outIdx, secondEMAIdx := (inTimePeriod*2)-2, inTimePeriod-1; outIdx < len(inReal); outIdx, secondEMAIdx = outIdx+1, secondEMAIdx+1 {
- outReal[outIdx] = (2.0 * firstEMA[outIdx]) - secondEMA[secondEMAIdx]
- }
- return outReal
- }
- // Ema - Exponential Moving Average
- func ema(inReal []float64, inTimePeriod int, k1 float64) []float64 {
- outReal := make([]float64, len(inReal))
- lookbackTotal := inTimePeriod - 1
- startIdx := lookbackTotal
- today := startIdx - lookbackTotal
- i := inTimePeriod
- tempReal := 0.0
- for i > 0 {
- tempReal += inReal[today]
- today++
- i--
- }
- prevMA := tempReal / float64(inTimePeriod)
- for today <= startIdx {
- prevMA = ((inReal[today] - prevMA) * k1) + prevMA
- today++
- }
- outReal[startIdx] = prevMA
- outIdx := startIdx + 1
- for today < len(inReal) {
- prevMA = ((inReal[today] - prevMA) * k1) + prevMA
- outReal[outIdx] = prevMA
- today++
- outIdx++
- }
- return outReal
- }
- // Ema - Exponential Moving Average
- func Ema(inReal []float64, inTimePeriod int) []float64 {
- k := 2.0 / float64(inTimePeriod+1)
- outReal := ema(inReal, inTimePeriod, k)
- return outReal
- }
- // HtTrendline - Hilbert Transform - Instantaneous Trendline (lookback=63)
- func HtTrendline(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- a := 0.0962
- b := 0.5769
- detrenderOdd := make([]float64, 3)
- detrenderEven := make([]float64, 3)
- q1Odd := make([]float64, 3)
- q1Even := make([]float64, 3)
- jIOdd := make([]float64, 3)
- jIEven := make([]float64, 3)
- jQOdd := make([]float64, 3)
- jQEven := make([]float64, 3)
- smoothPriceIdx := 0
- maxIdxSmoothPrice := (50 - 1)
- smoothPrice := make([]float64, maxIdxSmoothPrice+1)
- iTrend1 := 0.0
- iTrend2 := 0.0
- iTrend3 := 0.0
- tempReal := math.Atan(1)
- rad2Deg := 45.0 / tempReal
- lookbackTotal := 63
- startIdx := lookbackTotal
- trailingWMAIdx := startIdx - lookbackTotal
- today := trailingWMAIdx
- tempReal = inReal[today]
- today++
- periodWMASub := tempReal
- periodWMASum := tempReal
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 2.0
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 3.0
- trailingWMAValue := 0.0
- i := 34
- for ok := true; ok; {
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASub -= trailingWMAValue
- periodWMASum += tempReal * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- //smoothedValue := periodWMASum * 0.1
- periodWMASum -= periodWMASub
- i--
- ok = i != 0
- }
- hilbertIdx := 0
- detrender := 0.0
- prevDetrenderOdd := 0.0
- prevDetrenderEven := 0.0
- prevDetrenderInputOdd := 0.0
- prevDetrenderInputEven := 0.0
- q1 := 0.0
- prevq1Odd := 0.0
- prevq1Even := 0.0
- prevq1InputOdd := 0.0
- prevq1InputEven := 0.0
- jI := 0.0
- prevJIOdd := 0.0
- prevJIEven := 0.0
- prevJIInputOdd := 0.0
- prevJIInputEven := 0.0
- jQ := 0.0
- prevJQOdd := 0.0
- prevJQEven := 0.0
- prevJQInputOdd := 0.0
- prevJQInputEven := 0.0
- period := 0.0
- outIdx := 63
- previ2 := 0.0
- prevq2 := 0.0
- Re := 0.0
- Im := 0.0
- i1ForOddPrev3 := 0.0
- i1ForEvenPrev3 := 0.0
- i1ForOddPrev2 := 0.0
- i1ForEvenPrev2 := 0.0
- smoothPeriod := 0.0
- q2 := 0.0
- i2 := 0.0
- for today < len(inReal) {
- adjustedPrevPeriod := (0.075 * period) + 0.54
- todayValue := inReal[today]
- periodWMASub += todayValue
- periodWMASub -= trailingWMAValue
- periodWMASum += todayValue * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue := periodWMASum * 0.1
- periodWMASum -= periodWMASub
- smoothPrice[smoothPriceIdx] = smoothedValue
- if (today % 2) == 0 {
- hilbertTempReal := a * smoothedValue
- detrender = -detrenderEven[hilbertIdx]
- detrenderEven[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderEven
- prevDetrenderEven = b * prevDetrenderInputEven
- detrender += prevDetrenderEven
- prevDetrenderInputEven = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Even[hilbertIdx]
- q1Even[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Even
- prevq1Even = b * prevq1InputEven
- q1 += prevq1Even
- prevq1InputEven = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForEvenPrev3
- jI = -jIEven[hilbertIdx]
- jIEven[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIEven
- prevJIEven = b * prevJIInputEven
- jI += prevJIEven
- prevJIInputEven = i1ForEvenPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQEven[hilbertIdx]
- jQEven[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQEven
- prevJQEven = b * prevJQInputEven
- jQ += prevJQEven
- prevJQInputEven = q1
- jQ *= adjustedPrevPeriod
- hilbertIdx++
- if hilbertIdx == 3 {
- hilbertIdx = 0
- }
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForEvenPrev3 - jQ)) + (0.8 * previ2)
- i1ForOddPrev3 = i1ForOddPrev2
- i1ForOddPrev2 = detrender
- } else {
- hilbertTempReal := a * smoothedValue
- detrender = -detrenderOdd[hilbertIdx]
- detrenderOdd[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderOdd
- prevDetrenderOdd = b * prevDetrenderInputOdd
- detrender += prevDetrenderOdd
- prevDetrenderInputOdd = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Odd[hilbertIdx]
- q1Odd[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Odd
- prevq1Odd = b * prevq1InputOdd
- q1 += prevq1Odd
- prevq1InputOdd = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForOddPrev3
- jI = -jIOdd[hilbertIdx]
- jIOdd[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIOdd
- prevJIOdd = b * prevJIInputOdd
- jI += prevJIOdd
- prevJIInputOdd = i1ForOddPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQOdd[hilbertIdx]
- jQOdd[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQOdd
- prevJQOdd = b * prevJQInputOdd
- jQ += prevJQOdd
- prevJQInputOdd = q1
- jQ *= adjustedPrevPeriod
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForOddPrev3 - jQ)) + (0.8 * previ2)
- i1ForEvenPrev3 = i1ForEvenPrev2
- i1ForEvenPrev2 = detrender
- }
- Re = (0.2 * ((i2 * previ2) + (q2 * prevq2))) + (0.8 * Re)
- Im = (0.2 * ((i2 * prevq2) - (q2 * previ2))) + (0.8 * Im)
- prevq2 = q2
- previ2 = i2
- tempReal = period
- if (Im != 0.0) && (Re != 0.0) {
- period = 360.0 / (math.Atan(Im/Re) * rad2Deg)
- }
- tempReal2 := 1.5 * tempReal
- if period > tempReal2 {
- period = tempReal2
- }
- tempReal2 = 0.67 * tempReal
- if period < tempReal2 {
- period = tempReal2
- }
- if period < 6 {
- period = 6
- } else if period > 50 {
- period = 50
- }
- period = (0.2 * period) + (0.8 * tempReal)
- smoothPeriod = (0.33 * period) + (0.67 * smoothPeriod)
- DCPeriod := smoothPeriod + 0.5
- DCPeriodInt := math.Floor(DCPeriod)
- idx := today
- tempReal = 0.0
- for i := 0; i < int(DCPeriodInt); i++ {
- tempReal += inReal[idx]
- idx--
- }
- if DCPeriodInt > 0 {
- tempReal = tempReal / (DCPeriodInt * 1.0)
- }
- tempReal2 = (4.0*tempReal + 3.0*iTrend1 + 2.0*iTrend2 + iTrend3) / 10.0
- iTrend3 = iTrend2
- iTrend2 = iTrend1
- iTrend1 = tempReal
- if today >= startIdx {
- outReal[outIdx] = tempReal2
- outIdx++
- }
- smoothPriceIdx++
- if smoothPriceIdx > maxIdxSmoothPrice {
- smoothPriceIdx = 0
- }
- today++
- }
- return outReal
- }
- // Kama - Kaufman Adaptive Moving Average
- func Kama(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- constMax := 2.0 / (30.0 + 1.0)
- constDiff := 2.0/(2.0+1.0) - constMax
- lookbackTotal := inTimePeriod
- startIdx := lookbackTotal
- sumROC1 := 0.0
- today := startIdx - lookbackTotal
- trailingIdx := today
- i := inTimePeriod
- for i > 0 {
- tempReal := inReal[today]
- today++
- tempReal -= inReal[today]
- sumROC1 += math.Abs(tempReal)
- i--
- }
- prevKAMA := inReal[today-1]
- tempReal := inReal[today]
- tempReal2 := inReal[trailingIdx]
- trailingIdx++
- periodROC := tempReal - tempReal2
- trailingValue := tempReal2
- if (sumROC1 <= periodROC) || (((-(0.00000000000001)) < sumROC1) && (sumROC1 < (0.00000000000001))) {
- tempReal = 1.0
- } else {
- tempReal = math.Abs(periodROC / sumROC1)
- }
- tempReal = (tempReal * constDiff) + constMax
- tempReal *= tempReal
- prevKAMA = ((inReal[today] - prevKAMA) * tempReal) + prevKAMA
- today++
- for today <= startIdx {
- tempReal = inReal[today]
- tempReal2 = inReal[trailingIdx]
- trailingIdx++
- periodROC = tempReal - tempReal2
- sumROC1 -= math.Abs(trailingValue - tempReal2)
- sumROC1 += math.Abs(tempReal - inReal[today-1])
- trailingValue = tempReal2
- if (sumROC1 <= periodROC) || (((-(0.00000000000001)) < sumROC1) && (sumROC1 < (0.00000000000001))) {
- tempReal = 1.0
- } else {
- tempReal = math.Abs(periodROC / sumROC1)
- }
- tempReal = (tempReal * constDiff) + constMax
- tempReal *= tempReal
- prevKAMA = ((inReal[today] - prevKAMA) * tempReal) + prevKAMA
- today++
- }
- outReal[inTimePeriod] = prevKAMA
- outIdx := inTimePeriod + 1
- for today < len(inReal) {
- tempReal = inReal[today]
- tempReal2 = inReal[trailingIdx]
- trailingIdx++
- periodROC = tempReal - tempReal2
- sumROC1 -= math.Abs(trailingValue - tempReal2)
- sumROC1 += math.Abs(tempReal - inReal[today-1])
- trailingValue = tempReal2
- if (sumROC1 <= periodROC) || (((-(0.00000000000001)) < sumROC1) && (sumROC1 < (0.00000000000001))) {
- tempReal = 1.0
- } else {
- tempReal = math.Abs(periodROC / sumROC1)
- }
- tempReal = (tempReal * constDiff) + constMax
- tempReal *= tempReal
- prevKAMA = ((inReal[today] - prevKAMA) * tempReal) + prevKAMA
- today++
- outReal[outIdx] = prevKAMA
- outIdx++
- }
- return outReal
- }
- // Ma - Moving average
- func Ma(inReal []float64, inTimePeriod int, inMAType MaType) []float64 {
- outReal := make([]float64, len(inReal))
- if inTimePeriod == 1 {
- copy(outReal, inReal)
- return outReal
- }
- switch inMAType {
- case SMA:
- outReal = Sma(inReal, inTimePeriod)
- case EMA:
- outReal = Ema(inReal, inTimePeriod)
- case WMA:
- outReal = Wma(inReal, inTimePeriod)
- case DEMA:
- outReal = Dema(inReal, inTimePeriod)
- case TEMA:
- outReal = Tema(inReal, inTimePeriod)
- case TRIMA:
- outReal = Trima(inReal, inTimePeriod)
- case KAMA:
- outReal = Kama(inReal, inTimePeriod)
- case MAMA:
- outReal, _ = Mama(inReal, 0.5, 0.05)
- case T3MA:
- outReal = T3(inReal, inTimePeriod, 0.7)
- }
- return outReal
- }
- // Mama - MESA Adaptive Moving Average (lookback=32)
- func Mama(inReal []float64, inFastLimit float64, inSlowLimit float64) ([]float64, []float64) {
- outMAMA := make([]float64, len(inReal))
- outFAMA := make([]float64, len(inReal))
- a := 0.0962
- b := 0.5769
- detrenderOdd := make([]float64, 3)
- detrenderEven := make([]float64, 3)
- q1Odd := make([]float64, 3)
- q1Even := make([]float64, 3)
- jIOdd := make([]float64, 3)
- jIEven := make([]float64, 3)
- jQOdd := make([]float64, 3)
- jQEven := make([]float64, 3)
- rad2Deg := 180.0 / (4.0 * math.Atan(1))
- lookbackTotal := 32
- startIdx := lookbackTotal
- trailingWMAIdx := startIdx - lookbackTotal
- today := trailingWMAIdx
- tempReal := inReal[today]
- today++
- periodWMASub := tempReal
- periodWMASum := tempReal
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 2.0
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 3.0
- trailingWMAValue := 0.0
- i := 9
- smoothedValue := 0.0
- for ok := true; ok; {
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASub -= trailingWMAValue
- periodWMASum += tempReal * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- i--
- ok = i != 0
- }
- hilbertIdx := 0
- detrenderOdd[0] = 0.0
- detrenderOdd[1] = 0.0
- detrenderOdd[2] = 0.0
- detrenderEven[0] = 0.0
- detrenderEven[1] = 0.0
- detrenderEven[2] = 0.0
- detrender := 0.0
- prevDetrenderOdd := 0.0
- prevDetrenderEven := 0.0
- prevDetrenderInputOdd := 0.0
- prevDetrenderInputEven := 0.0
- q1Odd[0] = 0.0
- q1Odd[1] = 0.0
- q1Odd[2] = 0.0
- q1Even[0] = 0.0
- q1Even[1] = 0.0
- q1Even[2] = 0.0
- q1 := 0.0
- prevq1Odd := 0.0
- prevq1Even := 0.0
- prevq1InputOdd := 0.0
- prevq1InputEven := 0.0
- jIOdd[0] = 0.0
- jIOdd[1] = 0.0
- jIOdd[2] = 0.0
- jIEven[0] = 0.0
- jIEven[1] = 0.0
- jIEven[2] = 0.0
- jI := 0.0
- prevjIOdd := 0.0
- prevjIEven := 0.0
- prevjIInputOdd := 0.0
- prevjIInputEven := 0.0
- jQOdd[0] = 0.0
- jQOdd[1] = 0.0
- jQOdd[2] = 0.0
- jQEven[0] = 0.0
- jQEven[1] = 0.0
- jQEven[2] = 0.0
- jQ := 0.0
- prevjQOdd := 0.0
- prevjQEven := 0.0
- prevjQInputOdd := 0.0
- prevjQInputEven := 0.0
- period := 0.0
- outIdx := startIdx
- previ2, prevq2 := 0.0, 0.0
- Re, Im := 0.0, 0.0
- mama, fama := 0.0, 0.0
- i1ForOddPrev3, i1ForEvenPrev3 := 0.0, 0.0
- i1ForOddPrev2, i1ForEvenPrev2 := 0.0, 0.0
- prevPhase := 0.0
- adjustedPrevPeriod := 0.0
- todayValue := 0.0
- hilbertTempReal := 0.0
- for today < len(inReal) {
- adjustedPrevPeriod = (0.075 * period) + 0.54
- todayValue = inReal[today]
- periodWMASub += todayValue
- periodWMASub -= trailingWMAValue
- periodWMASum += todayValue * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- q2, i2 := 0.0, 0.0
- tempReal2 := 0.0
- if (today % 2) == 0 {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderEven[hilbertIdx]
- detrenderEven[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderEven
- prevDetrenderEven = b * prevDetrenderInputEven
- detrender += prevDetrenderEven
- prevDetrenderInputEven = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Even[hilbertIdx]
- q1Even[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Even
- prevq1Even = b * prevq1InputEven
- q1 += prevq1Even
- prevq1InputEven = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForEvenPrev3
- jI = -jIEven[hilbertIdx]
- jIEven[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevjIEven
- prevjIEven = b * prevjIInputEven
- jI += prevjIEven
- prevjIInputEven = i1ForEvenPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQEven[hilbertIdx]
- jQEven[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevjQEven
- prevjQEven = b * prevjQInputEven
- jQ += prevjQEven
- prevjQInputEven = q1
- jQ *= adjustedPrevPeriod
- hilbertIdx++
- if hilbertIdx == 3 {
- hilbertIdx = 0
- }
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForEvenPrev3 - jQ)) + (0.8 * previ2)
- i1ForOddPrev3 = i1ForOddPrev2
- i1ForOddPrev2 = detrender
- if i1ForEvenPrev3 != 0.0 {
- tempReal2 = (math.Atan(q1/i1ForEvenPrev3) * rad2Deg)
- } else {
- tempReal2 = 0.0
- }
- } else {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderOdd[hilbertIdx]
- detrenderOdd[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderOdd
- prevDetrenderOdd = b * prevDetrenderInputOdd
- detrender += prevDetrenderOdd
- prevDetrenderInputOdd = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Odd[hilbertIdx]
- q1Odd[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Odd
- prevq1Odd = b * prevq1InputOdd
- q1 += prevq1Odd
- prevq1InputOdd = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForOddPrev3
- jI = -jIOdd[hilbertIdx]
- jIOdd[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevjIOdd
- prevjIOdd = b * prevjIInputOdd
- jI += prevjIOdd
- prevjIInputOdd = i1ForOddPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQOdd[hilbertIdx]
- jQOdd[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevjQOdd
- prevjQOdd = b * prevjQInputOdd
- jQ += prevjQOdd
- prevjQInputOdd = q1
- jQ *= adjustedPrevPeriod
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForOddPrev3 - jQ)) + (0.8 * previ2)
- i1ForEvenPrev3 = i1ForEvenPrev2
- i1ForEvenPrev2 = detrender
- if i1ForOddPrev3 != 0.0 {
- tempReal2 = (math.Atan(q1/i1ForOddPrev3) * rad2Deg)
- } else {
- tempReal2 = 0.0
- }
- }
- tempReal = prevPhase - tempReal2
- prevPhase = tempReal2
- if tempReal < 1.0 {
- tempReal = 1.0
- }
- if tempReal > 1.0 {
- tempReal = inFastLimit / tempReal
- if tempReal < inSlowLimit {
- tempReal = inSlowLimit
- }
- } else {
- tempReal = inFastLimit
- }
- mama = (tempReal * todayValue) + ((1 - tempReal) * mama)
- tempReal *= 0.5
- fama = (tempReal * mama) + ((1 - tempReal) * fama)
- if today >= startIdx {
- outMAMA[outIdx] = mama
- outFAMA[outIdx] = fama
- outIdx++
- }
- Re = (0.2 * ((i2 * previ2) + (q2 * prevq2))) + (0.8 * Re)
- Im = (0.2 * ((i2 * prevq2) - (q2 * previ2))) + (0.8 * Im)
- prevq2 = q2
- previ2 = i2
- tempReal = period
- if (Im != 0.0) && (Re != 0.0) {
- period = 360.0 / (math.Atan(Im/Re) * rad2Deg)
- }
- tempReal2 = 1.5 * tempReal
- if period > tempReal2 {
- period = tempReal2
- }
- tempReal2 = 0.67 * tempReal
- if period < tempReal2 {
- period = tempReal2
- }
- if period < 6 {
- period = 6
- } else if period > 50 {
- period = 50
- }
- period = (0.2 * period) + (0.8 * tempReal)
- today++
- }
- return outMAMA, outFAMA
- }
- // MaVp - Moving average with variable period
- func MaVp(inReal []float64, inPeriods []float64, inMinPeriod int, inMaxPeriod int, inMAType MaType) []float64 {
- outReal := make([]float64, len(inReal))
- startIdx := inMaxPeriod - 1
- outputSize := len(inReal)
- localPeriodArray := make([]float64, outputSize)
- for i := startIdx; i < outputSize; i++ {
- tempInt := int(inPeriods[i])
- if tempInt < inMinPeriod {
- tempInt = inMinPeriod
- } else if tempInt > inMaxPeriod {
- tempInt = inMaxPeriod
- }
- localPeriodArray[i] = float64(tempInt)
- }
- for i := startIdx; i < outputSize; i++ {
- curPeriod := int(localPeriodArray[i])
- if curPeriod != 0 {
- localOutputArray := Ma(inReal, curPeriod, inMAType)
- outReal[i] = localOutputArray[i]
- for j := i + 1; j < outputSize; j++ {
- if localPeriodArray[j] == float64(curPeriod) {
- localPeriodArray[j] = 0
- outReal[j] = localOutputArray[j]
- }
- }
- }
- }
- return outReal
- }
- // MidPoint - MidPoint over period
- func MidPoint(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- nbInitialElementNeeded := inTimePeriod - 1
- startIdx := nbInitialElementNeeded
- outIdx := inTimePeriod - 1
- today := startIdx
- trailingIdx := startIdx - nbInitialElementNeeded
- for today < len(inReal) {
- lowest := inReal[trailingIdx]
- trailingIdx++
- highest := lowest
- for i := trailingIdx; i <= today; i++ {
- tmp := inReal[i]
- if tmp < lowest {
- lowest = tmp
- } else if tmp > highest {
- highest = tmp
- }
- }
- outReal[outIdx] = (highest + lowest) / 2.0
- outIdx++
- today++
- }
- return outReal
- }
- // MidPrice - Midpoint Price over period
- func MidPrice(inHigh []float64, inLow []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inHigh))
- nbInitialElementNeeded := inTimePeriod - 1
- startIdx := nbInitialElementNeeded
- outIdx := inTimePeriod - 1
- today := startIdx
- trailingIdx := startIdx - nbInitialElementNeeded
- for today < len(inHigh) {
- lowest := inLow[trailingIdx]
- highest := inHigh[trailingIdx]
- trailingIdx++
- for i := trailingIdx; i <= today; i++ {
- tmp := inLow[i]
- if tmp < lowest {
- lowest = tmp
- }
- tmp = inHigh[i]
- if tmp > highest {
- highest = tmp
- }
- }
- outReal[outIdx] = (highest + lowest) / 2.0
- outIdx++
- today++
- }
- return outReal
- }
- // Sar - Parabolic SAR
- // real = Sar(high, low, acceleration=0, maximum=0)
- func Sar(inHigh []float64, inLow []float64, inAcceleration float64, inMaximum float64) []float64 {
- outReal := make([]float64, len(inHigh))
- af := inAcceleration
- if af > inMaximum {
- af, inAcceleration = inMaximum, inMaximum
- }
- epTemp := MinusDM(inHigh, inLow, 1)
- isLong := 1
- if epTemp[1] > 0 {
- isLong = 0
- }
- startIdx := 1
- outIdx := startIdx
- todayIdx := startIdx
- newHigh := inHigh[todayIdx-1]
- newLow := inLow[todayIdx-1]
- sar, ep := 0.0, 0.0
- if isLong == 1 {
- ep = inHigh[todayIdx]
- sar = newLow
- } else {
- ep = inLow[todayIdx]
- sar = newHigh
- }
- newLow = inLow[todayIdx]
- newHigh = inHigh[todayIdx]
- prevLow := 0.0
- prevHigh := 0.0
- for todayIdx < len(inHigh) {
- prevLow = newLow
- prevHigh = newHigh
- newLow = inLow[todayIdx]
- newHigh = inHigh[todayIdx]
- todayIdx++
- if isLong == 1 {
- if newLow <= sar {
- isLong = 0
- sar = ep
- if sar < prevHigh {
- sar = prevHigh
- }
- if sar < newHigh {
- sar = newHigh
- }
- outReal[outIdx] = sar
- outIdx++
- af = inAcceleration
- ep = newLow
- sar = sar + af*(ep-sar)
- if sar < prevHigh {
- sar = prevHigh
- }
- if sar < newHigh {
- sar = newHigh
- }
- } else {
- outReal[outIdx] = sar
- outIdx++
- if newHigh > ep {
- ep = newHigh
- af += inAcceleration
- if af > inMaximum {
- af = inMaximum
- }
- }
- sar = sar + af*(ep-sar)
- if sar > prevLow {
- sar = prevLow
- }
- if sar > newLow {
- sar = newLow
- }
- }
- } else {
- if newHigh >= sar {
- isLong = 1
- sar = ep
- if sar > prevLow {
- sar = prevLow
- }
- if sar > newLow {
- sar = newLow
- }
- outReal[outIdx] = sar
- outIdx++
- af = inAcceleration
- ep = newHigh
- sar = sar + af*(ep-sar)
- if sar > prevLow {
- sar = prevLow
- }
- if sar > newLow {
- sar = newLow
- }
- } else {
- outReal[outIdx] = sar
- outIdx++
- if newLow < ep {
- ep = newLow
- af += inAcceleration
- if af > inMaximum {
- af = inMaximum
- }
- }
- sar = sar + af*(ep-sar)
- if sar < prevHigh {
- sar = prevHigh
- }
- if sar < newHigh {
- sar = newHigh
- }
- }
- }
- }
- return outReal
- }
- // SarExt - Parabolic SAR - Extended
- // real = SAREXT(high, low, startvalue=0, offsetonreverse=0, accelerationinitlong=0, accelerationlong=0, accelerationmaxlong=0, accelerationinitshort=0, accelerationshort=0, accelerationmaxshort=0)
- func SarExt(inHigh []float64, inLow []float64,
- inStartValue float64,
- inOffsetOnReverse float64,
- inAccelerationInitLong float64,
- inAccelerationLong float64,
- inAccelerationMaxLong float64,
- inAccelerationInitShort float64,
- inAccelerationShort float64,
- inAccelerationMaxShort float64) []float64 {
- outReal := make([]float64, len(inHigh))
- startIdx := 1
- afLong := inAccelerationInitLong
- afShort := inAccelerationInitShort
- if afLong > inAccelerationMaxLong {
- afLong, inAccelerationInitLong = inAccelerationMaxLong, inAccelerationMaxLong
- }
- if inAccelerationLong > inAccelerationMaxLong {
- inAccelerationLong = inAccelerationMaxLong
- }
- if afShort > inAccelerationMaxShort {
- afShort, inAccelerationInitShort = inAccelerationMaxShort, inAccelerationMaxShort
- }
- if inAccelerationShort > inAccelerationMaxShort {
- inAccelerationShort = inAccelerationMaxShort
- }
- isLong := 0
- if inStartValue == 0 {
- epTemp := MinusDM(inHigh, inLow, 1)
- if epTemp[1] > 0 {
- isLong = 0
- } else {
- isLong = 1
- }
- } else if inStartValue > 0 {
- isLong = 1
- }
- outIdx := startIdx
- todayIdx := startIdx
- newHigh := inHigh[todayIdx-1]
- newLow := inLow[todayIdx-1]
- ep := 0.0
- sar := 0.0
- if inStartValue == 0 {
- if isLong == 1 {
- ep = inHigh[todayIdx]
- sar = newLow
- } else {
- ep = inLow[todayIdx]
- sar = newHigh
- }
- } else if inStartValue > 0 {
- ep = inHigh[todayIdx]
- sar = inStartValue
- } else {
- ep = inLow[todayIdx]
- sar = math.Abs(inStartValue)
- }
- newLow = inLow[todayIdx]
- newHigh = inHigh[todayIdx]
- prevLow := 0.0
- prevHigh := 0.0
- for todayIdx < len(inHigh) {
- prevLow = newLow
- prevHigh = newHigh
- newLow = inLow[todayIdx]
- newHigh = inHigh[todayIdx]
- todayIdx++
- if isLong == 1 {
- if newLow <= sar {
- isLong = 0
- sar = ep
- if sar < prevHigh {
- sar = prevHigh
- }
- if sar < newHigh {
- sar = newHigh
- }
- if inOffsetOnReverse != 0.0 {
- sar += sar * inOffsetOnReverse
- }
- outReal[outIdx] = -sar
- outIdx++
- afShort = inAccelerationInitShort
- ep = newLow
- sar = sar + afShort*(ep-sar)
- if sar < prevHigh {
- sar = prevHigh
- }
- if sar < newHigh {
- sar = newHigh
- }
- } else {
- outReal[outIdx] = sar
- outIdx++
- if newHigh > ep {
- ep = newHigh
- afLong += inAccelerationLong
- if afLong > inAccelerationMaxLong {
- afLong = inAccelerationMaxLong
- }
- }
- sar = sar + afLong*(ep-sar)
- if sar > prevLow {
- sar = prevLow
- }
- if sar > newLow {
- sar = newLow
- }
- }
- } else {
- if newHigh >= sar {
- isLong = 1
- sar = ep
- if sar > prevLow {
- sar = prevLow
- }
- if sar > newLow {
- sar = newLow
- }
- if inOffsetOnReverse != 0.0 {
- sar -= sar * inOffsetOnReverse
- }
- outReal[outIdx] = sar
- outIdx++
- afLong = inAccelerationInitLong
- ep = newHigh
- sar = sar + afLong*(ep-sar)
- if sar > prevLow {
- sar = prevLow
- }
- if sar > newLow {
- sar = newLow
- }
- } else {
- outReal[outIdx] = -sar
- outIdx++
- if newLow < ep {
- ep = newLow
- afShort += inAccelerationShort
- if afShort > inAccelerationMaxShort {
- afShort = inAccelerationMaxShort
- }
- }
- sar = sar + afShort*(ep-sar)
- if sar < prevHigh {
- sar = prevHigh
- }
- if sar < newHigh {
- sar = newHigh
- }
- }
- }
- }
- return outReal
- }
- // Sma - Simple Moving Average
- func Sma(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- lookbackTotal := inTimePeriod - 1
- startIdx := lookbackTotal
- periodTotal := 0.0
- trailingIdx := startIdx - lookbackTotal
- i := trailingIdx
- if inTimePeriod > 1 {
- for i < startIdx {
- periodTotal += inReal[i]
- i++
- }
- }
- outIdx := startIdx
- for ok := true; ok; {
- periodTotal += inReal[i]
- tempReal := periodTotal
- periodTotal -= inReal[trailingIdx]
- outReal[outIdx] = tempReal / float64(inTimePeriod)
- trailingIdx++
- i++
- outIdx++
- ok = i < len(outReal)
- }
- return outReal
- }
- // T3 - Triple Exponential Moving Average (T3) (lookback=6*inTimePeriod)
- func T3(inReal []float64, inTimePeriod int, inVFactor float64) []float64 {
- outReal := make([]float64, len(inReal))
- lookbackTotal := 6 * (inTimePeriod - 1)
- startIdx := lookbackTotal
- today := startIdx - lookbackTotal
- k := 2.0 / (float64(inTimePeriod) + 1.0)
- oneMinusK := 1.0 - k
- tempReal := inReal[today]
- today++
- for i := inTimePeriod - 1; i > 0; i-- {
- tempReal += inReal[today]
- today++
- }
- e1 := tempReal / float64(inTimePeriod)
- tempReal = e1
- for i := inTimePeriod - 1; i > 0; i-- {
- e1 = (k * inReal[today]) + (oneMinusK * e1)
- tempReal += e1
- today++
- }
- e2 := tempReal / float64(inTimePeriod)
- tempReal = e2
- for i := inTimePeriod - 1; i > 0; i-- {
- e1 = (k * inReal[today]) + (oneMinusK * e1)
- e2 = (k * e1) + (oneMinusK * e2)
- tempReal += e2
- today++
- }
- e3 := tempReal / float64(inTimePeriod)
- tempReal = e3
- for i := inTimePeriod - 1; i > 0; i-- {
- e1 = (k * inReal[today]) + (oneMinusK * e1)
- e2 = (k * e1) + (oneMinusK * e2)
- e3 = (k * e2) + (oneMinusK * e3)
- tempReal += e3
- today++
- }
- e4 := tempReal / float64(inTimePeriod)
- tempReal = e4
- for i := inTimePeriod - 1; i > 0; i-- {
- e1 = (k * inReal[today]) + (oneMinusK * e1)
- e2 = (k * e1) + (oneMinusK * e2)
- e3 = (k * e2) + (oneMinusK * e3)
- e4 = (k * e3) + (oneMinusK * e4)
- tempReal += e4
- today++
- }
- e5 := tempReal / float64(inTimePeriod)
- tempReal = e5
- for i := inTimePeriod - 1; i > 0; i-- {
- e1 = (k * inReal[today]) + (oneMinusK * e1)
- e2 = (k * e1) + (oneMinusK * e2)
- e3 = (k * e2) + (oneMinusK * e3)
- e4 = (k * e3) + (oneMinusK * e4)
- e5 = (k * e4) + (oneMinusK * e5)
- tempReal += e5
- today++
- }
- e6 := tempReal / float64(inTimePeriod)
- for today <= startIdx {
- e1 = (k * inReal[today]) + (oneMinusK * e1)
- e2 = (k * e1) + (oneMinusK * e2)
- e3 = (k * e2) + (oneMinusK * e3)
- e4 = (k * e3) + (oneMinusK * e4)
- e5 = (k * e4) + (oneMinusK * e5)
- e6 = (k * e5) + (oneMinusK * e6)
- today++
- }
- tempReal = inVFactor * inVFactor
- c1 := -(tempReal * inVFactor)
- c2 := 3.0 * (tempReal - c1)
- c3 := -6.0*tempReal - 3.0*(inVFactor-c1)
- c4 := 1.0 + 3.0*inVFactor - c1 + 3.0*tempReal
- outIdx := lookbackTotal
- outReal[outIdx] = c1*e6 + c2*e5 + c3*e4 + c4*e3
- outIdx++
- for today < len(inReal) {
- e1 = (k * inReal[today]) + (oneMinusK * e1)
- e2 = (k * e1) + (oneMinusK * e2)
- e3 = (k * e2) + (oneMinusK * e3)
- e4 = (k * e3) + (oneMinusK * e4)
- e5 = (k * e4) + (oneMinusK * e5)
- e6 = (k * e5) + (oneMinusK * e6)
- outReal[outIdx] = c1*e6 + c2*e5 + c3*e4 + c4*e3
- outIdx++
- today++
- }
- return outReal
- }
- // Tema - Triple Exponential Moving Average
- func Tema(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- firstEMA := Ema(inReal, inTimePeriod)
- secondEMA := Ema(firstEMA[inTimePeriod-1:], inTimePeriod)
- thirdEMA := Ema(secondEMA[inTimePeriod-1:], inTimePeriod)
- outIdx := (inTimePeriod * 3) - 3
- secondEMAIdx := (inTimePeriod * 2) - 2
- thirdEMAIdx := inTimePeriod - 1
- for outIdx < len(inReal) {
- outReal[outIdx] = thirdEMA[thirdEMAIdx] + ((3.0 * firstEMA[outIdx]) - (3.0 * secondEMA[secondEMAIdx]))
- outIdx++
- secondEMAIdx++
- thirdEMAIdx++
- }
- return outReal
- }
- // Trima - Triangular Moving Average
- func Trima(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- lookbackTotal := inTimePeriod - 1
- startIdx := lookbackTotal
- outIdx := inTimePeriod - 1
- var factor float64
- if inTimePeriod%2 == 1 {
- i := inTimePeriod >> 1
- factor = (float64(i) + 1.0) * (float64(i) + 1.0)
- factor = 1.0 / factor
- trailingIdx := startIdx - lookbackTotal
- middleIdx := trailingIdx + i
- todayIdx := middleIdx + i
- numerator := 0.0
- numeratorSub := 0.0
- for i := middleIdx; i >= trailingIdx; i-- {
- tempReal := inReal[i]
- numeratorSub += tempReal
- numerator += numeratorSub
- }
- numeratorAdd := 0.0
- middleIdx++
- for i := middleIdx; i <= todayIdx; i++ {
- tempReal := inReal[i]
- numeratorAdd += tempReal
- numerator += numeratorAdd
- }
- outIdx = inTimePeriod - 1
- tempReal := inReal[trailingIdx]
- trailingIdx++
- outReal[outIdx] = numerator * factor
- outIdx++
- todayIdx++
- for todayIdx < len(inReal) {
- numerator -= numeratorSub
- numeratorSub -= tempReal
- tempReal = inReal[middleIdx]
- middleIdx++
- numeratorSub += tempReal
- numerator += numeratorAdd
- numeratorAdd -= tempReal
- tempReal = inReal[todayIdx]
- todayIdx++
- numeratorAdd += tempReal
- numerator += tempReal
- tempReal = inReal[trailingIdx]
- trailingIdx++
- outReal[outIdx] = numerator * factor
- outIdx++
- }
- } else {
- i := (inTimePeriod >> 1)
- factor = float64(i) * (float64(i) + 1)
- factor = 1.0 / factor
- trailingIdx := startIdx - lookbackTotal
- middleIdx := trailingIdx + i - 1
- todayIdx := middleIdx + i
- numerator := 0.0
- numeratorSub := 0.0
- for i := middleIdx; i >= trailingIdx; i-- {
- tempReal := inReal[i]
- numeratorSub += tempReal
- numerator += numeratorSub
- }
- numeratorAdd := 0.0
- middleIdx++
- for i := middleIdx; i <= todayIdx; i++ {
- tempReal := inReal[i]
- numeratorAdd += tempReal
- numerator += numeratorAdd
- }
- outIdx = inTimePeriod - 1
- tempReal := inReal[trailingIdx]
- trailingIdx++
- outReal[outIdx] = numerator * factor
- outIdx++
- todayIdx++
- for todayIdx < len(inReal) {
- numerator -= numeratorSub
- numeratorSub -= tempReal
- tempReal = inReal[middleIdx]
- middleIdx++
- numeratorSub += tempReal
- numeratorAdd -= tempReal
- numerator += numeratorAdd
- tempReal = inReal[todayIdx]
- todayIdx++
- numeratorAdd += tempReal
- numerator += tempReal
- tempReal = inReal[trailingIdx]
- trailingIdx++
- outReal[outIdx] = numerator * factor
- outIdx++
- }
- }
- return outReal
- }
- // Wma - Weighted Moving Average
- func Wma(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- lookbackTotal := inTimePeriod - 1
- startIdx := lookbackTotal
- if inTimePeriod == 1 {
- copy(outReal, inReal)
- return outReal
- }
- divider := (inTimePeriod * (inTimePeriod + 1)) >> 1
- outIdx := inTimePeriod - 1
- trailingIdx := startIdx - lookbackTotal
- periodSum, periodSub := 0.0, 0.0
- inIdx := trailingIdx
- i := 1
- for inIdx < startIdx {
- tempReal := inReal[inIdx]
- periodSub += tempReal
- periodSum += tempReal * float64(i)
- inIdx++
- i++
- }
- trailingValue := 0.0
- for inIdx < len(inReal) {
- tempReal := inReal[inIdx]
- periodSub += tempReal
- periodSub -= trailingValue
- periodSum += tempReal * float64(inTimePeriod)
- trailingValue = inReal[trailingIdx]
- outReal[outIdx] = periodSum / float64(divider)
- periodSum -= periodSub
- inIdx++
- trailingIdx++
- outIdx++
- }
- return outReal
- }
- /* Momentum Indicators */
- // Adx - Average Directional Movement Index
- func Adx(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- inTimePeriodF := float64(inTimePeriod)
- lookbackTotal := (2 * inTimePeriod) - 1
- startIdx := lookbackTotal
- outIdx := inTimePeriod
- prevMinusDM := 0.0
- prevPlusDM := 0.0
- prevTR := 0.0
- today := startIdx - lookbackTotal
- prevHigh := inHigh[today]
- prevLow := inLow[today]
- prevClose := inClose[today]
- for i := inTimePeriod - 1; i > 0; i-- {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM += diffM
- } else if (diffP > 0) && (diffP > diffM) {
- prevPlusDM += diffP
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR += tempReal
- prevClose = inClose[today]
- }
- sumDX := 0.0
- for i := inTimePeriod; i > 0; i-- {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- prevMinusDM -= prevMinusDM / inTimePeriodF
- prevPlusDM -= prevPlusDM / inTimePeriodF
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM += diffM
- } else if (diffP > 0) && (diffP > diffM) {
- prevPlusDM += diffP
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR = prevTR - (prevTR / inTimePeriodF) + tempReal
- prevClose = inClose[today]
- if !(((-(0.00000000000001)) < prevTR) && (prevTR < (0.00000000000001))) {
- minusDI := (100.0 * (prevMinusDM / prevTR))
- plusDI := (100.0 * (prevPlusDM / prevTR))
- tempReal = minusDI + plusDI
- if !(((-(0.00000000000001)) < tempReal) && (tempReal < (0.00000000000001))) {
- sumDX += (100.0 * (math.Abs(minusDI-plusDI) / tempReal))
- }
- }
- }
- prevADX := (sumDX / inTimePeriodF)
- outReal[startIdx] = prevADX
- outIdx = startIdx + 1
- today++
- for today < len(inClose) {
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- prevMinusDM -= prevMinusDM / inTimePeriodF
- prevPlusDM -= prevPlusDM / inTimePeriodF
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM += diffM
- } else if (diffP > 0) && (diffP > diffM) {
- prevPlusDM += diffP
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR = prevTR - (prevTR / inTimePeriodF) + tempReal
- prevClose = inClose[today]
- if !(((-(0.00000000000001)) < prevTR) && (prevTR < (0.00000000000001))) {
- minusDI := (100.0 * (prevMinusDM / prevTR))
- plusDI := (100.0 * (prevPlusDM / prevTR))
- tempReal = minusDI + plusDI
- if !(((-(0.00000000000001)) < tempReal) && (tempReal < (0.00000000000001))) {
- tempReal = (100.0 * (math.Abs(minusDI-plusDI) / tempReal))
- prevADX = (((prevADX * (inTimePeriodF - 1)) + tempReal) / inTimePeriodF)
- }
- }
- outReal[outIdx] = prevADX
- outIdx++
- today++
- }
- return outReal
- }
- // AdxR - Average Directional Movement Index Rating
- func AdxR(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- startIdx := (2 * inTimePeriod) - 1
- tmpadx := Adx(inHigh, inLow, inClose, inTimePeriod)
- i := startIdx
- j := startIdx + inTimePeriod - 1
- for outIdx := startIdx + inTimePeriod - 1; outIdx < len(inClose); outIdx, i, j = outIdx+1, i+1, j+1 {
- outReal[outIdx] = ((tmpadx[i] + tmpadx[j]) / 2.0)
- }
- return outReal
- }
- // Apo - Absolute Price Oscillator
- func Apo(inReal []float64, inFastPeriod int, inSlowPeriod int, inMAType MaType) []float64 {
- if inSlowPeriod < inFastPeriod {
- inSlowPeriod, inFastPeriod = inFastPeriod, inSlowPeriod
- }
- tempBuffer := Ma(inReal, inFastPeriod, inMAType)
- outReal := Ma(inReal, inSlowPeriod, inMAType)
- for i := inSlowPeriod - 1; i < len(inReal); i++ {
- outReal[i] = tempBuffer[i] - outReal[i]
- }
- return outReal
- }
- // Aroon - Aroon
- // aroondown, aroonup = AROON(high, low, timeperiod=14)
- func Aroon(inHigh []float64, inLow []float64, inTimePeriod int) ([]float64, []float64) {
- outAroonUp := make([]float64, len(inHigh))
- outAroonDown := make([]float64, len(inHigh))
- startIdx := inTimePeriod
- outIdx := startIdx
- today := startIdx
- trailingIdx := startIdx - inTimePeriod
- lowestIdx := -1
- highestIdx := -1
- lowest := 0.0
- highest := 0.0
- factor := 100.0 / float64(inTimePeriod)
- for today < len(inHigh) {
- tmp := inLow[today]
- if lowestIdx < trailingIdx {
- lowestIdx = trailingIdx
- lowest = inLow[lowestIdx]
- i := lowestIdx
- i++
- for i <= today {
- tmp = inLow[i]
- if tmp <= lowest {
- lowestIdx = i
- lowest = tmp
- }
- i++
- }
- } else if tmp <= lowest {
- lowestIdx = today
- lowest = tmp
- }
- tmp = inHigh[today]
- if highestIdx < trailingIdx {
- highestIdx = trailingIdx
- highest = inHigh[highestIdx]
- i := highestIdx
- i++
- for i <= today {
- tmp = inHigh[i]
- if tmp >= highest {
- highestIdx = i
- highest = tmp
- }
- i++
- }
- } else if tmp >= highest {
- highestIdx = today
- highest = tmp
- }
- outAroonUp[outIdx] = factor * float64(inTimePeriod-(today-highestIdx))
- outAroonDown[outIdx] = factor * float64(inTimePeriod-(today-lowestIdx))
- outIdx++
- trailingIdx++
- today++
- }
- return outAroonDown, outAroonUp
- }
- // AroonOsc - Aroon Oscillator
- func AroonOsc(inHigh []float64, inLow []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inHigh))
- startIdx := inTimePeriod
- outIdx := startIdx
- today := startIdx
- trailingIdx := startIdx - inTimePeriod
- lowestIdx := -1
- highestIdx := -1
- lowest := 0.0
- highest := 0.0
- factor := 100.0 / float64(inTimePeriod)
- for today < len(inHigh) {
- tmp := inLow[today]
- if lowestIdx < trailingIdx {
- lowestIdx = trailingIdx
- lowest = inLow[lowestIdx]
- i := lowestIdx
- i++
- for i <= today {
- tmp = inLow[i]
- if tmp <= lowest {
- lowestIdx = i
- lowest = tmp
- }
- i++
- }
- } else if tmp <= lowest {
- lowestIdx = today
- lowest = tmp
- }
- tmp = inHigh[today]
- if highestIdx < trailingIdx {
- highestIdx = trailingIdx
- highest = inHigh[highestIdx]
- i := highestIdx
- i++
- for i <= today {
- tmp = inHigh[i]
- if tmp >= highest {
- highestIdx = i
- highest = tmp
- }
- i++
- }
- } else if tmp >= highest {
- highestIdx = today
- highest = tmp
- }
- aroon := factor * float64(highestIdx-lowestIdx)
- outReal[outIdx] = aroon
- outIdx++
- trailingIdx++
- today++
- }
- return outReal
- }
- // Bop - Balance Of Power
- func Bop(inOpen []float64, inHigh []float64, inLow []float64, inClose []float64) []float64 {
- outReal := make([]float64, len(inClose))
- for i := 0; i < len(inClose); i++ {
- tempReal := inHigh[i] - inLow[i]
- if tempReal < (0.00000000000001) {
- outReal[i] = 0.0
- } else {
- outReal[i] = (inClose[i] - inOpen[i]) / tempReal
- }
- }
- return outReal
- }
- // Cmo - Chande Momentum Oscillator
- func Cmo(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- lookbackTotal := inTimePeriod
- startIdx := lookbackTotal
- outIdx := startIdx
- if inTimePeriod == 1 {
- copy(outReal, inReal)
- return outReal
- }
- today := startIdx - lookbackTotal
- prevValue := inReal[today]
- prevGain := 0.0
- prevLoss := 0.0
- today++
- for i := inTimePeriod; i > 0; i-- {
- tempValue1 := inReal[today]
- tempValue2 := tempValue1 - prevValue
- prevValue = tempValue1
- if tempValue2 < 0 {
- prevLoss -= tempValue2
- } else {
- prevGain += tempValue2
- }
- today++
- }
- prevLoss /= float64(inTimePeriod)
- prevGain /= float64(inTimePeriod)
- if today > startIdx {
- tempValue1 := prevGain + prevLoss
- if !(((-(0.00000000000001)) < tempValue1) && (tempValue1 < (0.00000000000001))) {
- outReal[outIdx] = 100.0 * ((prevGain - prevLoss) / tempValue1)
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx++
- } else {
- for today < startIdx {
- tempValue1 := inReal[today]
- tempValue2 := tempValue1 - prevValue
- prevValue = tempValue1
- prevLoss *= float64(inTimePeriod - 1)
- prevGain *= float64(inTimePeriod - 1)
- if tempValue2 < 0 {
- prevLoss -= tempValue2
- } else {
- prevGain += tempValue2
- }
- prevLoss /= float64(inTimePeriod)
- prevGain /= float64(inTimePeriod)
- today++
- }
- }
- for today < len(inReal) {
- tempValue1 := inReal[today]
- today++
- tempValue2 := tempValue1 - prevValue
- prevValue = tempValue1
- prevLoss *= float64(inTimePeriod - 1)
- prevGain *= float64(inTimePeriod - 1)
- if tempValue2 < 0 {
- prevLoss -= tempValue2
- } else {
- prevGain += tempValue2
- }
- prevLoss /= float64(inTimePeriod)
- prevGain /= float64(inTimePeriod)
- tempValue1 = prevGain + prevLoss
- if !(((-(0.00000000000001)) < tempValue1) && (tempValue1 < (0.00000000000001))) {
- outReal[outIdx] = 100.0 * ((prevGain - prevLoss) / tempValue1)
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx++
- }
- return outReal
- }
- // Cci - Commodity Channel Index
- func Cci(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- circBufferIdx := 0
- lookbackTotal := inTimePeriod - 1
- startIdx := lookbackTotal
- circBuffer := make([]float64, inTimePeriod)
- maxIdxCircBuffer := (inTimePeriod - 1)
- i := startIdx - lookbackTotal
- if inTimePeriod > 1 {
- for i < startIdx {
- circBuffer[circBufferIdx] = (inHigh[i] + inLow[i] + inClose[i]) / 3
- i++
- circBufferIdx++
- if circBufferIdx > maxIdxCircBuffer {
- circBufferIdx = 0
- }
- }
- }
- outIdx := inTimePeriod - 1
- for i < len(inClose) {
- lastValue := (inHigh[i] + inLow[i] + inClose[i]) / 3
- circBuffer[circBufferIdx] = lastValue
- theAverage := 0.0
- for j := 0; j < inTimePeriod; j++ {
- theAverage += circBuffer[j]
- }
- theAverage /= float64(inTimePeriod)
- tempReal2 := 0.0
- for j := 0; j < inTimePeriod; j++ {
- tempReal2 += math.Abs(circBuffer[j] - theAverage)
- }
- tempReal := lastValue - theAverage
- if (tempReal != 0.0) && (tempReal2 != 0.0) {
- outReal[outIdx] = tempReal / (0.015 * (tempReal2 / float64(inTimePeriod)))
- } else {
- outReal[outIdx] = 0.0
- }
- {
- circBufferIdx++
- if circBufferIdx > maxIdxCircBuffer {
- circBufferIdx = 0
- }
- }
- outIdx++
- i++
- }
- return outReal
- }
- // Dx - Directional Movement Index
- func Dx(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- lookbackTotal := 2
- if inTimePeriod > 1 {
- lookbackTotal = inTimePeriod
- }
- startIdx := lookbackTotal
- outIdx := startIdx
- prevMinusDM := 0.0
- prevPlusDM := 0.0
- prevTR := 0.0
- today := startIdx - lookbackTotal
- prevHigh := inHigh[today]
- prevLow := inLow[today]
- prevClose := inClose[today]
- i := inTimePeriod - 1
- for i > 0 {
- i--
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM += diffM
- } else if (diffP > 0) && (diffP > diffM) {
- prevPlusDM += diffP
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR += tempReal
- prevClose = inClose[today]
- }
- if !(((-(0.00000000000001)) < prevTR) && (prevTR < (0.00000000000001))) {
- minusDI := (100.0 * (prevMinusDM / prevTR))
- plusDI := (100.0 * (prevPlusDM / prevTR))
- tempReal := minusDI + plusDI
- if !(((-(0.00000000000001)) < tempReal) && (tempReal < (0.00000000000001))) {
- outReal[outIdx] = (100.0 * (math.Abs(minusDI-plusDI) / tempReal))
- } else {
- outReal[outIdx] = 0.0
- }
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx = startIdx
- for today < len(inClose)-1 {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- prevMinusDM -= prevMinusDM / float64(inTimePeriod)
- prevPlusDM -= prevPlusDM / float64(inTimePeriod)
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM += diffM
- } else if (diffP > 0) && (diffP > diffM) {
- prevPlusDM += diffP
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR = prevTR - (prevTR / float64(inTimePeriod)) + tempReal
- prevClose = inClose[today]
- if !(((-(0.00000000000001)) < prevTR) && (prevTR < (0.00000000000001))) {
- minusDI := (100.0 * (prevMinusDM / prevTR))
- plusDI := (100.0 * (prevPlusDM / prevTR))
- tempReal = minusDI + plusDI
- if !(((-(0.00000000000001)) < tempReal) && (tempReal < (0.00000000000001))) {
- outReal[outIdx] = (100.0 * (math.Abs(minusDI-plusDI) / tempReal))
- } else {
- outReal[outIdx] = outReal[outIdx-1]
- }
- } else {
- outReal[outIdx] = outReal[outIdx-1]
- }
- outIdx++
- }
- return outReal
- }
- // Macd - Moving Average Convergence/Divergence
- // unstable period ~= 100
- func Macd(inReal []float64, inFastPeriod int, inSlowPeriod int, inSignalPeriod int) ([]float64, []float64, []float64) {
- if inSlowPeriod < inFastPeriod {
- inSlowPeriod, inFastPeriod = inFastPeriod, inSlowPeriod
- }
- k1 := 0.0
- k2 := 0.0
- if inSlowPeriod != 0 {
- k1 = 2.0 / float64(inSlowPeriod+1)
- } else {
- inSlowPeriod = 26
- k1 = 0.075
- }
- if inFastPeriod != 0 {
- k2 = 2.0 / float64(inFastPeriod+1)
- } else {
- inFastPeriod = 12
- k2 = 0.15
- }
- lookbackSignal := inSignalPeriod - 1
- lookbackTotal := lookbackSignal
- lookbackTotal += (inSlowPeriod - 1)
- fastEMABuffer := ema(inReal, inFastPeriod, k2)
- slowEMABuffer := ema(inReal, inSlowPeriod, k1)
- for i := 0; i < len(fastEMABuffer); i++ {
- fastEMABuffer[i] = fastEMABuffer[i] - slowEMABuffer[i]
- }
- outMACD := make([]float64, len(inReal))
- for i := lookbackTotal - 1; i < len(fastEMABuffer); i++ {
- outMACD[i] = fastEMABuffer[i]
- }
- outMACDSignal := ema(outMACD, inSignalPeriod, (2.0 / float64(inSignalPeriod+1)))
- outMACDHist := make([]float64, len(inReal))
- for i := lookbackTotal; i < len(outMACDHist); i++ {
- outMACDHist[i] = outMACD[i] - outMACDSignal[i]
- }
- return outMACD, outMACDSignal, outMACDHist
- }
- // MacdExt - MACD with controllable MA type
- // unstable period ~= 100
- func MacdExt(inReal []float64, inFastPeriod int, inFastMAType MaType, inSlowPeriod int, inSlowMAType MaType, inSignalPeriod int, inSignalMAType MaType) ([]float64, []float64, []float64) {
- lookbackLargest := 0
- if inFastPeriod < inSlowPeriod {
- lookbackLargest = inSlowPeriod
- } else {
- lookbackLargest = inFastPeriod
- }
- lookbackTotal := (inSignalPeriod - 1) + (lookbackLargest - 1)
- outMACD := make([]float64, len(inReal))
- outMACDSignal := make([]float64, len(inReal))
- outMACDHist := make([]float64, len(inReal))
- slowMABuffer := Ma(inReal, inSlowPeriod, inSlowMAType)
- fastMABuffer := Ma(inReal, inFastPeriod, inFastMAType)
- tempBuffer1 := make([]float64, len(inReal))
- for i := 0; i < len(slowMABuffer); i++ {
- tempBuffer1[i] = fastMABuffer[i] - slowMABuffer[i]
- }
- tempBuffer2 := Ma(tempBuffer1, inSignalPeriod, inSignalMAType)
- for i := lookbackTotal; i < len(outMACDHist); i++ {
- outMACD[i] = tempBuffer1[i]
- outMACDSignal[i] = tempBuffer2[i]
- outMACDHist[i] = outMACD[i] - outMACDSignal[i]
- }
- return outMACD, outMACDSignal, outMACDHist
- }
- // MacdFix - MACD Fix 12/26
- // unstable period ~= 100
- func MacdFix(inReal []float64, inSignalPeriod int) ([]float64, []float64, []float64) {
- return Macd(inReal, 0, 0, inSignalPeriod)
- }
- // MinusDI - Minus Directional Indicator
- func MinusDI(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- lookbackTotal := 1
- if inTimePeriod > 1 {
- lookbackTotal = inTimePeriod
- }
- startIdx := lookbackTotal
- outIdx := startIdx
- prevHigh := 0.0
- prevLow := 0.0
- prevClose := 0.0
- if inTimePeriod <= 1 {
- today := startIdx - 1
- prevHigh = inHigh[today]
- prevLow = inLow[today]
- prevClose = inClose[today]
- for today < len(inClose)-1 {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- if ((-(0.00000000000001)) < tempReal) && (tempReal < (0.00000000000001)) {
- outReal[outIdx] = 0.0
- } else {
- outReal[outIdx] = diffM / tempReal
- }
- outIdx++
- } else {
- outReal[outIdx] = 0.0
- outIdx++
- }
- prevClose = inClose[today]
- }
- return outReal
- }
- prevMinusDM := 0.0
- prevTR := 0.0
- today := startIdx - lookbackTotal
- prevHigh = inHigh[today]
- prevLow = inLow[today]
- prevClose = inClose[today]
- i := inTimePeriod - 1
- for i > 0 {
- i--
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM += diffM
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR += tempReal
- prevClose = inClose[today]
- }
- i = 1
- for i != 0 {
- i--
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM = prevMinusDM - (prevMinusDM / float64(inTimePeriod)) + diffM
- } else {
- prevMinusDM = prevMinusDM - (prevMinusDM / float64(inTimePeriod))
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR = prevTR - (prevTR / float64(inTimePeriod)) + tempReal
- prevClose = inClose[today]
- }
- if !(((-(0.00000000000001)) < prevTR) && (prevTR < (0.00000000000001))) {
- outReal[startIdx] = (100.0 * (prevMinusDM / prevTR))
- } else {
- outReal[startIdx] = 0.0
- }
- outIdx = startIdx + 1
- for today < len(inClose)-1 {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM = prevMinusDM - (prevMinusDM / float64(inTimePeriod)) + diffM
- } else {
- prevMinusDM = prevMinusDM - (prevMinusDM / float64(inTimePeriod))
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR = prevTR - (prevTR / float64(inTimePeriod)) + tempReal
- prevClose = inClose[today]
- if !(((-(0.00000000000001)) < prevTR) && (prevTR < (0.00000000000001))) {
- outReal[outIdx] = (100.0 * (prevMinusDM / prevTR))
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx++
- }
- return outReal
- }
- // MinusDM - Minus Directional Movement
- func MinusDM(inHigh []float64, inLow []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inHigh))
- lookbackTotal := 1
- if inTimePeriod > 1 {
- lookbackTotal = inTimePeriod - 1
- }
- startIdx := lookbackTotal
- outIdx := startIdx
- today := startIdx
- prevHigh := 0.0
- prevLow := 0.0
- if inTimePeriod <= 1 {
- today = startIdx - 1
- prevHigh = inHigh[today]
- prevLow = inLow[today]
- for today < len(inHigh)-1 {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- outReal[outIdx] = diffM
- } else {
- outReal[outIdx] = 0
- }
- outIdx++
- }
- return outReal
- }
- prevMinusDM := 0.0
- today = startIdx - lookbackTotal
- prevHigh = inHigh[today]
- prevLow = inLow[today]
- i := inTimePeriod - 1
- for i > 0 {
- i--
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM += diffM
- }
- }
- i = 0
- for i != 0 {
- i--
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM = prevMinusDM - (prevMinusDM / float64(inTimePeriod)) + diffM
- } else {
- prevMinusDM = prevMinusDM - (prevMinusDM / float64(inTimePeriod))
- }
- }
- outReal[startIdx] = prevMinusDM
- outIdx = startIdx + 1
- for today < len(inHigh)-1 {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffM > 0) && (diffP < diffM) {
- prevMinusDM = prevMinusDM - (prevMinusDM / float64(inTimePeriod)) + diffM
- } else {
- prevMinusDM = prevMinusDM - (prevMinusDM / float64(inTimePeriod))
- }
- outReal[outIdx] = prevMinusDM
- outIdx++
- }
- return outReal
- }
- // Mfi - Money Flow Index
- func Mfi(inHigh []float64, inLow []float64, inClose []float64, inVolume []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- mflowIdx := 0
- maxIdxMflow := (50 - 1)
- mflow := make([]moneyFlow, inTimePeriod)
- maxIdxMflow = inTimePeriod - 1
- lookbackTotal := inTimePeriod
- startIdx := lookbackTotal
- outIdx := startIdx
- today := startIdx - lookbackTotal
- prevValue := (inHigh[today] + inLow[today] + inClose[today]) / 3.0
- posSumMF := 0.0
- negSumMF := 0.0
- today++
- for i := inTimePeriod; i > 0; i-- {
- tempValue1 := (inHigh[today] + inLow[today] + inClose[today]) / 3.0
- tempValue2 := tempValue1 - prevValue
- prevValue = tempValue1
- tempValue1 *= inVolume[today]
- today++
- if tempValue2 < 0 {
- (mflow[mflowIdx]).negative = tempValue1
- negSumMF += tempValue1
- (mflow[mflowIdx]).positive = 0.0
- } else if tempValue2 > 0 {
- (mflow[mflowIdx]).positive = tempValue1
- posSumMF += tempValue1
- (mflow[mflowIdx]).negative = 0.0
- } else {
- (mflow[mflowIdx]).positive = 0.0
- (mflow[mflowIdx]).negative = 0.0
- }
- mflowIdx++
- if mflowIdx > maxIdxMflow {
- mflowIdx = 0
- }
- }
- if today > startIdx {
- tempValue1 := posSumMF + negSumMF
- if tempValue1 < 1.0 {
- } else {
- outReal[outIdx] = 100.0 * (posSumMF / tempValue1)
- outIdx++
- }
- } else {
- for today < startIdx {
- posSumMF -= mflow[mflowIdx].positive
- negSumMF -= mflow[mflowIdx].negative
- tempValue1 := (inHigh[today] + inLow[today] + inClose[today]) / 3.0
- tempValue2 := tempValue1 - prevValue
- prevValue = tempValue1
- tempValue1 *= inVolume[today]
- today++
- if tempValue2 < 0 {
- (mflow[mflowIdx]).negative = tempValue1
- negSumMF += tempValue1
- (mflow[mflowIdx]).positive = 0.0
- } else if tempValue2 > 0 {
- (mflow[mflowIdx]).positive = tempValue1
- posSumMF += tempValue1
- (mflow[mflowIdx]).negative = 0.0
- } else {
- (mflow[mflowIdx]).positive = 0.0
- (mflow[mflowIdx]).negative = 0.0
- }
- mflowIdx++
- if mflowIdx > maxIdxMflow {
- mflowIdx = 0
- }
- }
- }
- for today < len(inClose) {
- posSumMF -= (mflow[mflowIdx]).positive
- negSumMF -= (mflow[mflowIdx]).negative
- tempValue1 := (inHigh[today] + inLow[today] + inClose[today]) / 3.0
- tempValue2 := tempValue1 - prevValue
- prevValue = tempValue1
- tempValue1 *= inVolume[today]
- today++
- if tempValue2 < 0 {
- (mflow[mflowIdx]).negative = tempValue1
- negSumMF += tempValue1
- (mflow[mflowIdx]).positive = 0.0
- } else if tempValue2 > 0 {
- (mflow[mflowIdx]).positive = tempValue1
- posSumMF += tempValue1
- (mflow[mflowIdx]).negative = 0.0
- } else {
- (mflow[mflowIdx]).positive = 0.0
- (mflow[mflowIdx]).negative = 0.0
- }
- tempValue1 = posSumMF + negSumMF
- if tempValue1 < 1.0 {
- outReal[outIdx] = 0.0
- } else {
- outReal[outIdx] = 100.0 * (posSumMF / tempValue1)
- }
- outIdx++
- mflowIdx++
- if mflowIdx > maxIdxMflow {
- mflowIdx = 0
- }
- }
- return outReal
- }
- // Mom - Momentum
- func Mom(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- inIdx, outIdx, trailingIdx := inTimePeriod, inTimePeriod, 0
- for inIdx < len(inReal) {
- outReal[outIdx] = inReal[inIdx] - inReal[trailingIdx]
- inIdx, outIdx, trailingIdx = inIdx+1, outIdx+1, trailingIdx+1
- }
- return outReal
- }
- // PlusDI - Plus Directional Indicator
- func PlusDI(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- lookbackTotal := 1
- if inTimePeriod > 1 {
- lookbackTotal = inTimePeriod
- }
- startIdx := lookbackTotal
- outIdx := startIdx
- prevHigh := 0.0
- prevLow := 0.0
- prevClose := 0.0
- if inTimePeriod <= 1 {
- today := startIdx - 1
- prevHigh = inHigh[today]
- prevLow = inLow[today]
- prevClose = inClose[today]
- for today < len(inClose)-1 {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffP > 0) && (diffP > diffM) {
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- if ((-(0.00000000000001)) < tempReal) && (tempReal < (0.00000000000001)) {
- outReal[outIdx] = 0.0
- } else {
- outReal[outIdx] = diffP / tempReal
- }
- outIdx++
- } else {
- outReal[outIdx] = 0.0
- outIdx++
- }
- prevClose = inClose[today]
- }
- return outReal
- }
- prevPlusDM := 0.0
- prevTR := 0.0
- today := startIdx - lookbackTotal
- prevHigh = inHigh[today]
- prevLow = inLow[today]
- prevClose = inClose[today]
- i := inTimePeriod - 1
- for i > 0 {
- i--
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffP > 0) && (diffP > diffM) {
- prevPlusDM += diffP
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR += tempReal
- prevClose = inClose[today]
- }
- i = 1
- for i != 0 {
- i--
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffP > 0) && (diffP > diffM) {
- prevPlusDM = prevPlusDM - (prevPlusDM / float64(inTimePeriod)) + diffP
- } else {
- prevPlusDM = prevPlusDM - (prevPlusDM / float64(inTimePeriod))
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR = prevTR - (prevTR / float64(inTimePeriod)) + tempReal
- prevClose = inClose[today]
- }
- if !(((-(0.00000000000001)) < prevTR) && (prevTR < (0.00000000000001))) {
- outReal[startIdx] = (100.0 * (prevPlusDM / prevTR))
- } else {
- outReal[startIdx] = 0.0
- }
- outIdx = startIdx + 1
- for today < len(inClose)-1 {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffP > 0) && (diffP > diffM) {
- prevPlusDM = prevPlusDM - (prevPlusDM / float64(inTimePeriod)) + diffP
- } else {
- prevPlusDM = prevPlusDM - (prevPlusDM / float64(inTimePeriod))
- }
- tempReal = prevHigh - prevLow
- tempReal2 := math.Abs(prevHigh - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- tempReal2 = math.Abs(prevLow - prevClose)
- if tempReal2 > tempReal {
- tempReal = tempReal2
- }
- prevTR = prevTR - (prevTR / float64(inTimePeriod)) + tempReal
- prevClose = inClose[today]
- if !(((-(0.00000000000001)) < prevTR) && (prevTR < (0.00000000000001))) {
- outReal[outIdx] = (100.0 * (prevPlusDM / prevTR))
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx++
- }
- return outReal
- }
- // PlusDM - Plus Directional Movement
- func PlusDM(inHigh []float64, inLow []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inHigh))
- lookbackTotal := 1
- if inTimePeriod > 1 {
- lookbackTotal = inTimePeriod - 1
- }
- startIdx := lookbackTotal
- outIdx := startIdx
- today := startIdx
- prevHigh := 0.0
- prevLow := 0.0
- if inTimePeriod <= 1 {
- today = startIdx - 1
- prevHigh = inHigh[today]
- prevLow = inLow[today]
- for today < len(inHigh)-1 {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffP > 0) && (diffP > diffM) {
- outReal[outIdx] = diffP
- } else {
- outReal[outIdx] = 0
- }
- outIdx++
- }
- return outReal
- }
- prevPlusDM := 0.0
- today = startIdx - lookbackTotal
- prevHigh = inHigh[today]
- prevLow = inLow[today]
- i := inTimePeriod - 1
- for i > 0 {
- i--
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffP > 0) && (diffP > diffM) {
- prevPlusDM += diffP
- }
- }
- i = 0
- for i != 0 {
- i--
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffP > 0) && (diffP > diffM) {
- prevPlusDM = prevPlusDM - (prevPlusDM / float64(inTimePeriod)) + diffP
- } else {
- prevPlusDM = prevPlusDM - (prevPlusDM / float64(inTimePeriod))
- }
- }
- outReal[startIdx] = prevPlusDM
- outIdx = startIdx + 1
- for today < len(inHigh)-1 {
- today++
- tempReal := inHigh[today]
- diffP := tempReal - prevHigh
- prevHigh = tempReal
- tempReal = inLow[today]
- diffM := prevLow - tempReal
- prevLow = tempReal
- if (diffP > 0) && (diffP > diffM) {
- prevPlusDM = prevPlusDM - (prevPlusDM / float64(inTimePeriod)) + diffP
- } else {
- prevPlusDM = prevPlusDM - (prevPlusDM / float64(inTimePeriod))
- }
- outReal[outIdx] = prevPlusDM
- outIdx++
- }
- return outReal
- }
- // Ppo - Percentage Price Oscillator
- func Ppo(inReal []float64, inFastPeriod int, inSlowPeriod int, inMAType MaType) []float64 {
- if inSlowPeriod < inFastPeriod {
- inSlowPeriod, inFastPeriod = inFastPeriod, inSlowPeriod
- }
- tempBuffer := Ma(inReal, inFastPeriod, inMAType)
- outReal := Ma(inReal, inSlowPeriod, inMAType)
- for i := inSlowPeriod - 1; i < len(inReal); i++ {
- tempReal := outReal[i]
- if !(((-(0.00000000000001)) < tempReal) && (tempReal < (0.00000000000001))) {
- outReal[i] = ((tempBuffer[i] - tempReal) / tempReal) * 100.0
- } else {
- outReal[i] = 0.0
- }
- }
- return outReal
- }
- // Rocp - Rate of change Percentage: (price-prevPrice)/prevPrice
- func Rocp(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- if inTimePeriod < 1 {
- return outReal
- }
- startIdx := inTimePeriod
- outIdx := startIdx
- inIdx := startIdx
- trailingIdx := startIdx - inTimePeriod
- for inIdx < len(outReal) {
- tempReal := inReal[trailingIdx]
- if tempReal != 0.0 {
- outReal[outIdx] = (inReal[inIdx] - tempReal) / tempReal
- } else {
- outReal[outIdx] = 0.0
- }
- trailingIdx++
- outIdx++
- inIdx++
- }
- return outReal
- }
- // Roc - Rate of change : ((price/prevPrice)-1)*100
- func Roc(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- startIdx := inTimePeriod
- outIdx := inTimePeriod
- inIdx := startIdx
- trailingIdx := startIdx - inTimePeriod
- for inIdx < len(inReal) {
- tempReal := inReal[trailingIdx]
- if tempReal != 0.0 {
- outReal[outIdx] = ((inReal[inIdx] / tempReal) - 1.0) * 100.0
- } else {
- outReal[outIdx] = 0.0
- }
- trailingIdx++
- outIdx++
- inIdx++
- }
- return outReal
- }
- // Rocr - Rate of change ratio: (price/prevPrice)
- func Rocr(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- startIdx := inTimePeriod
- outIdx := inTimePeriod
- inIdx := startIdx
- trailingIdx := startIdx - inTimePeriod
- for inIdx < len(inReal) {
- tempReal := inReal[trailingIdx]
- if tempReal != 0.0 {
- outReal[outIdx] = (inReal[inIdx] / tempReal)
- } else {
- outReal[outIdx] = 0.0
- }
- trailingIdx++
- outIdx++
- inIdx++
- }
- return outReal
- }
- // Rocr100 - Rate of change ratio 100 scale: (price/prevPrice)*100
- func Rocr100(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- startIdx := inTimePeriod
- outIdx := inTimePeriod
- inIdx := startIdx
- trailingIdx := startIdx - inTimePeriod
- for inIdx < len(inReal) {
- tempReal := inReal[trailingIdx]
- if tempReal != 0.0 {
- outReal[outIdx] = (inReal[inIdx] / tempReal) * 100.0
- } else {
- outReal[outIdx] = 0.0
- }
- trailingIdx++
- outIdx++
- inIdx++
- }
- return outReal
- }
- // Rsi - Relative strength index
- func Rsi(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- if inTimePeriod < 2 {
- return outReal
- }
- // variable declarations
- tempValue1 := 0.0
- tempValue2 := 0.0
- outIdx := inTimePeriod
- today := 0
- prevValue := inReal[today]
- prevGain := 0.0
- prevLoss := 0.0
- today++
- for i := inTimePeriod; i > 0; i-- {
- tempValue1 = inReal[today]
- today++
- tempValue2 = tempValue1 - prevValue
- prevValue = tempValue1
- if tempValue2 < 0 {
- prevLoss -= tempValue2
- } else {
- prevGain += tempValue2
- }
- }
- prevLoss /= float64(inTimePeriod)
- prevGain /= float64(inTimePeriod)
- if today > 0 {
- tempValue1 = prevGain + prevLoss
- if !((-0.00000000000001 < tempValue1) && (tempValue1 < 0.00000000000001)) {
- outReal[outIdx] = 100.0 * (prevGain / tempValue1)
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx++
- } else {
- for today < 0 {
- tempValue1 = inReal[today]
- tempValue2 = tempValue1 - prevValue
- prevValue = tempValue1
- prevLoss *= float64(inTimePeriod - 1)
- prevGain *= float64(inTimePeriod - 1)
- if tempValue2 < 0 {
- prevLoss -= tempValue2
- } else {
- prevGain += tempValue2
- }
- prevLoss /= float64(inTimePeriod)
- prevGain /= float64(inTimePeriod)
- today++
- }
- }
- for today < len(inReal) {
- tempValue1 = inReal[today]
- today++
- tempValue2 = tempValue1 - prevValue
- prevValue = tempValue1
- prevLoss *= float64(inTimePeriod - 1)
- prevGain *= float64(inTimePeriod - 1)
- if tempValue2 < 0 {
- prevLoss -= tempValue2
- } else {
- prevGain += tempValue2
- }
- prevLoss /= float64(inTimePeriod)
- prevGain /= float64(inTimePeriod)
- tempValue1 = prevGain + prevLoss
- if !((-0.00000000000001 < tempValue1) && (tempValue1 < 0.00000000000001)) {
- outReal[outIdx] = 100.0 * (prevGain / tempValue1)
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx++
- }
- return outReal
- }
- // Stoch - Stochastic
- func Stoch(inHigh []float64, inLow []float64, inClose []float64, inFastKPeriod int, inSlowKPeriod int, inSlowKMAType MaType, inSlowDPeriod int, inSlowDMAType MaType) ([]float64, []float64) {
- outSlowK := make([]float64, len(inClose))
- outSlowD := make([]float64, len(inClose))
- lookbackK := inFastKPeriod - 1
- lookbackKSlow := inSlowKPeriod - 1
- lookbackDSlow := inSlowDPeriod - 1
- lookbackTotal := lookbackK + lookbackDSlow + lookbackKSlow
- startIdx := lookbackTotal
- outIdx := 0
- trailingIdx := startIdx - lookbackTotal
- today := trailingIdx + lookbackK
- lowestIdx, highestIdx := -1, -1
- diff, highest, lowest := 0.0, 0.0, 0.0
- tempBuffer := make([]float64, len(inClose)-today+1)
- for today < len(inClose) {
- tmp := inLow[today]
- if lowestIdx < trailingIdx {
- lowestIdx = trailingIdx
- lowest = inLow[lowestIdx]
- i := lowestIdx + 1
- for i <= today {
- tmp := inLow[i]
- if tmp < lowest {
- lowestIdx = i
- lowest = tmp
- }
- i++
- }
- diff = (highest - lowest) / 100.0
- } else if tmp <= lowest {
- lowestIdx = today
- lowest = tmp
- diff = (highest - lowest) / 100.0
- }
- tmp = inHigh[today]
- if highestIdx < trailingIdx {
- highestIdx = trailingIdx
- highest = inHigh[highestIdx]
- i := highestIdx + 1
- for i <= today {
- tmp := inHigh[i]
- if tmp > highest {
- highestIdx = i
- highest = tmp
- }
- i++
- }
- diff = (highest - lowest) / 100.0
- } else if tmp >= highest {
- highestIdx = today
- highest = tmp
- diff = (highest - lowest) / 100.0
- }
- if diff != 0.0 {
- tempBuffer[outIdx] = (inClose[today] - lowest) / diff
- } else {
- tempBuffer[outIdx] = 0.0
- }
- outIdx++
- trailingIdx++
- today++
- }
- tempBuffer1 := Ma(tempBuffer, inSlowKPeriod, inSlowKMAType)
- tempBuffer2 := Ma(tempBuffer1, inSlowDPeriod, inSlowDMAType)
- //for i, j := lookbackK, lookbackTotal; j < len(inClose); i, j = i+1, j+1 {
- for i, j := lookbackDSlow+lookbackKSlow, lookbackTotal; j < len(inClose); i, j = i+1, j+1 {
- outSlowK[j] = tempBuffer1[i]
- outSlowD[j] = tempBuffer2[i]
- }
- return outSlowK, outSlowD
- }
- // StochF - Stochastic Fast
- func StochF(inHigh []float64, inLow []float64, inClose []float64, inFastKPeriod int, inFastDPeriod int, inFastDMAType MaType) ([]float64, []float64) {
- outFastK := make([]float64, len(inClose))
- outFastD := make([]float64, len(inClose))
- lookbackK := inFastKPeriod - 1
- lookbackFastD := inFastDPeriod - 1
- lookbackTotal := lookbackK + lookbackFastD
- startIdx := lookbackTotal
- outIdx := 0
- trailingIdx := startIdx - lookbackTotal
- today := trailingIdx + lookbackK
- lowestIdx, highestIdx := -1, -1
- diff, highest, lowest := 0.0, 0.0, 0.0
- tempBuffer := make([]float64, (len(inClose) - today + 1))
- for today < len(inClose) {
- tmp := inLow[today]
- if lowestIdx < trailingIdx {
- lowestIdx = trailingIdx
- lowest = inLow[lowestIdx]
- i := lowestIdx
- i++
- for i <= today {
- tmp = inLow[i]
- if tmp < lowest {
- lowestIdx = i
- lowest = tmp
- }
- i++
- }
- diff = (highest - lowest) / 100.0
- } else if tmp <= lowest {
- lowestIdx = today
- lowest = tmp
- diff = (highest - lowest) / 100.0
- }
- tmp = inHigh[today]
- if highestIdx < trailingIdx {
- highestIdx = trailingIdx
- highest = inHigh[highestIdx]
- i := highestIdx
- i++
- for i <= today {
- tmp = inHigh[i]
- if tmp > highest {
- highestIdx = i
- highest = tmp
- }
- i++
- }
- diff = (highest - lowest) / 100.0
- } else if tmp >= highest {
- highestIdx = today
- highest = tmp
- diff = (highest - lowest) / 100.0
- }
- if diff != 0.0 {
- tempBuffer[outIdx] = (inClose[today] - lowest) / diff
- } else {
- tempBuffer[outIdx] = 0.0
- }
- outIdx++
- trailingIdx++
- today++
- }
- tempBuffer1 := Ma(tempBuffer, inFastDPeriod, inFastDMAType)
- for i, j := lookbackFastD, lookbackTotal; j < len(inClose); i, j = i+1, j+1 {
- outFastK[j] = tempBuffer[i]
- outFastD[j] = tempBuffer1[i]
- }
- return outFastK, outFastD
- }
- // StochRsi - Stochastic Relative Strength Index
- func StochRsi(inReal []float64, inTimePeriod int, inFastKPeriod int, inFastDPeriod int, inFastDMAType MaType) ([]float64, []float64) {
- outFastK := make([]float64, len(inReal))
- outFastD := make([]float64, len(inReal))
- lookbackSTOCHF := (inFastKPeriod - 1) + (inFastDPeriod - 1)
- lookbackTotal := inTimePeriod + lookbackSTOCHF
- startIdx := lookbackTotal
- tempRSIBuffer := Rsi(inReal, inTimePeriod)
- tempk, tempd := StochF(tempRSIBuffer, tempRSIBuffer, tempRSIBuffer, inFastKPeriod, inFastDPeriod, inFastDMAType)
- for i := startIdx; i < len(inReal); i++ {
- outFastK[i] = tempk[i]
- outFastD[i] = tempd[i]
- }
- return outFastK, outFastD
- }
- // Trix - 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
- func Trix(inReal []float64, inTimePeriod int) []float64 {
- tmpReal := Ema(inReal, inTimePeriod)
- tmpReal = Ema(tmpReal[inTimePeriod-1:], inTimePeriod)
- tmpReal = Ema(tmpReal[inTimePeriod-1:], inTimePeriod)
- tmpReal = Roc(tmpReal, 1)
- outReal := make([]float64, len(inReal))
- for i, j := inTimePeriod, ((inTimePeriod-1)*3)+1; j < len(outReal); i, j = i+1, j+1 {
- outReal[j] = tmpReal[i]
- }
- return outReal
- }
- // UltOsc - Ultimate Oscillator
- func UltOsc(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod1 int, inTimePeriod2 int, inTimePeriod3 int) []float64 {
- outReal := make([]float64, len(inClose))
- usedFlag := make([]int, 3)
- periods := make([]int, 3)
- sortedPeriods := make([]int, 3)
- periods[0] = inTimePeriod1
- periods[1] = inTimePeriod2
- periods[2] = inTimePeriod3
- for i := 0; i < 3; i++ {
- longestPeriod := 0
- longestIndex := 0
- for j := 0; j < 3; j++ {
- if (usedFlag[j] == 0) && (periods[j] > longestPeriod) {
- longestPeriod = periods[j]
- longestIndex = j
- }
- }
- usedFlag[longestIndex] = 1
- sortedPeriods[i] = longestPeriod
- }
- inTimePeriod1 = sortedPeriods[2]
- inTimePeriod2 = sortedPeriods[1]
- inTimePeriod3 = sortedPeriods[0]
- lookbackTotal := 0
- if inTimePeriod1 > inTimePeriod2 {
- lookbackTotal = inTimePeriod1
- }
- if inTimePeriod3 > lookbackTotal {
- lookbackTotal = inTimePeriod3
- }
- lookbackTotal++
- startIdx := lookbackTotal - 1
- a1Total := 0.0
- b1Total := 0.0
- for i := startIdx - inTimePeriod1 + 1; i < startIdx; i++ {
- tempLT := inLow[i]
- tempHT := inHigh[i]
- tempCY := inClose[i-1]
- trueLow := 0.0
- if tempLT < tempCY {
- trueLow = tempLT
- } else {
- trueLow = tempCY
- }
- closeMinusTrueLow := inClose[i] - trueLow
- trueRange := tempHT - tempLT
- tempDouble := math.Abs(tempCY - tempHT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- tempDouble = math.Abs(tempCY - tempLT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- a1Total += closeMinusTrueLow
- b1Total += trueRange
- }
- a2Total := 0.0
- b2Total := 0.0
- for i := startIdx - inTimePeriod2 + 1; i < startIdx; i++ {
- tempLT := inLow[i]
- tempHT := inHigh[i]
- tempCY := inClose[i-1]
- trueLow := 0.0
- if tempLT < tempCY {
- trueLow = tempLT
- } else {
- trueLow = tempCY
- }
- closeMinusTrueLow := inClose[i] - trueLow
- trueRange := tempHT - tempLT
- tempDouble := math.Abs(tempCY - tempHT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- tempDouble = math.Abs(tempCY - tempLT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- a2Total += closeMinusTrueLow
- b2Total += trueRange
- }
- a3Total := 0.0
- b3Total := 0.0
- for i := startIdx - inTimePeriod3 + 1; i < startIdx; i++ {
- tempLT := inLow[i]
- tempHT := inHigh[i]
- tempCY := inClose[i-1]
- trueLow := 0.0
- if tempLT < tempCY {
- trueLow = tempLT
- } else {
- trueLow = tempCY
- }
- closeMinusTrueLow := inClose[i] - trueLow
- trueRange := tempHT - tempLT
- tempDouble := math.Abs(tempCY - tempHT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- tempDouble = math.Abs(tempCY - tempLT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- a3Total += closeMinusTrueLow
- b3Total += trueRange
- }
- //today := startIdx
- //outIdx := startIdx
- //trailingIdx1 := today - inTimePeriod1 + 1
- //trailingIdx2 := today - inTimePeriod2 + 1
- //trailingIdx3 := today - inTimePeriod3 + 1
- today := startIdx
- outIdx := startIdx
- trailingIdx1 := today - inTimePeriod1 + 1
- trailingIdx2 := today - inTimePeriod2 + 1
- trailingIdx3 := today - inTimePeriod3 + 1
- for today < len(inClose) {
- tempLT := inLow[today]
- tempHT := inHigh[today]
- tempCY := inClose[today-1]
- trueLow := 0.0
- if tempLT < tempCY {
- trueLow = tempLT
- } else {
- trueLow = tempCY
- }
- closeMinusTrueLow := inClose[today] - trueLow
- trueRange := tempHT - tempLT
- tempDouble := math.Abs(tempCY - tempHT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- tempDouble = math.Abs(tempCY - tempLT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- a1Total += closeMinusTrueLow
- a2Total += closeMinusTrueLow
- a3Total += closeMinusTrueLow
- b1Total += trueRange
- b2Total += trueRange
- b3Total += trueRange
- output := 0.0
- if !(((-(0.00000000000001)) < b1Total) && (b1Total < (0.00000000000001))) {
- output += 4.0 * (a1Total / b1Total)
- }
- if !(((-(0.00000000000001)) < b2Total) && (b2Total < (0.00000000000001))) {
- output += 2.0 * (a2Total / b2Total)
- }
- if !(((-(0.00000000000001)) < b3Total) && (b3Total < (0.00000000000001))) {
- output += a3Total / b3Total
- }
- tempLT = inLow[trailingIdx1]
- tempHT = inHigh[trailingIdx1]
- tempCY = inClose[trailingIdx1-1]
- trueLow = 0.0
- if tempLT < tempCY {
- trueLow = tempLT
- } else {
- trueLow = tempCY
- }
- closeMinusTrueLow = inClose[trailingIdx1] - trueLow
- trueRange = tempHT - tempLT
- tempDouble = math.Abs(tempCY - tempHT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- tempDouble = math.Abs(tempCY - tempLT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- a1Total -= closeMinusTrueLow
- b1Total -= trueRange
- tempLT = inLow[trailingIdx2]
- tempHT = inHigh[trailingIdx2]
- tempCY = inClose[trailingIdx2-1]
- trueLow = 0.0
- if tempLT < tempCY {
- trueLow = tempLT
- } else {
- trueLow = tempCY
- }
- closeMinusTrueLow = inClose[trailingIdx2] - trueLow
- trueRange = tempHT - tempLT
- tempDouble = math.Abs(tempCY - tempHT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- tempDouble = math.Abs(tempCY - tempLT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- a2Total -= closeMinusTrueLow
- b2Total -= trueRange
- tempLT = inLow[trailingIdx3]
- tempHT = inHigh[trailingIdx3]
- tempCY = inClose[trailingIdx3-1]
- trueLow = 0.0
- if tempLT < tempCY {
- trueLow = tempLT
- } else {
- trueLow = tempCY
- }
- closeMinusTrueLow = inClose[trailingIdx3] - trueLow
- trueRange = tempHT - tempLT
- tempDouble = math.Abs(tempCY - tempHT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- tempDouble = math.Abs(tempCY - tempLT)
- if tempDouble > trueRange {
- trueRange = tempDouble
- }
- a3Total -= closeMinusTrueLow
- b3Total -= trueRange
- outReal[outIdx] = 100.0 * (output / 7.0)
- outIdx++
- today++
- trailingIdx1++
- trailingIdx2++
- trailingIdx3++
- }
- return outReal
- }
- // WillR - Williams' %R
- func WillR(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- nbInitialElementNeeded := (inTimePeriod - 1)
- diff := 0.0
- outIdx := inTimePeriod - 1
- startIdx := inTimePeriod - 1
- today := startIdx
- trailingIdx := startIdx - nbInitialElementNeeded
- highestIdx := -1
- lowestIdx := -1
- highest := 0.0
- lowest := 0.0
- i := 0
- for today < len(inClose) {
- tmp := inLow[today]
- if lowestIdx < trailingIdx {
- lowestIdx = trailingIdx
- lowest = inLow[lowestIdx]
- i = lowestIdx
- i++
- for i <= today {
- tmp = inLow[i]
- if tmp < lowest {
- lowestIdx = i
- lowest = tmp
- }
- i++
- }
- diff = (highest - lowest) / (-100.0)
- } else if tmp <= lowest {
- lowestIdx = today
- lowest = tmp
- diff = (highest - lowest) / (-100.0)
- }
- tmp = inHigh[today]
- if highestIdx < trailingIdx {
- highestIdx = trailingIdx
- highest = inHigh[highestIdx]
- i = highestIdx
- i++
- for i <= today {
- tmp = inHigh[i]
- if tmp > highest {
- highestIdx = i
- highest = tmp
- }
- i++
- }
- diff = (highest - lowest) / (-100.0)
- } else if tmp >= highest {
- highestIdx = today
- highest = tmp
- diff = (highest - lowest) / (-100.0)
- }
- if diff != 0.0 {
- outReal[outIdx] = (highest - inClose[today]) / diff
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx++
- trailingIdx++
- today++
- }
- return outReal
- }
- /* Volume Indicators */
- // Ad - Chaikin A/D Line
- func Ad(inHigh []float64, inLow []float64, inClose []float64, inVolume []float64) []float64 {
- outReal := make([]float64, len(inClose))
- startIdx := 0
- nbBar := len(inClose) - startIdx
- currentBar := startIdx
- outIdx := 0
- ad := 0.0
- for nbBar != 0 {
- high := inHigh[currentBar]
- low := inLow[currentBar]
- tmp := high - low
- close := inClose[currentBar]
- if tmp > 0.0 {
- ad += (((close - low) - (high - close)) / tmp) * (inVolume[currentBar])
- }
- outReal[outIdx] = ad
- outIdx++
- currentBar++
- nbBar--
- }
- return outReal
- }
- // AdOsc - Chaikin A/D Oscillator
- func AdOsc(inHigh []float64, inLow []float64, inClose []float64, inVolume []float64, inFastPeriod int, inSlowPeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- if (inFastPeriod < 2) || (inSlowPeriod < 2) {
- return outReal
- }
- slowestPeriod := 0
- if inFastPeriod < inSlowPeriod {
- slowestPeriod = inSlowPeriod
- } else {
- slowestPeriod = inFastPeriod
- }
- lookbackTotal := slowestPeriod - 1
- startIdx := lookbackTotal
- today := startIdx - lookbackTotal
- ad := 0.0
- fastk := (2.0 / (float64(inFastPeriod) + 1.0))
- oneMinusfastk := 1.0 - fastk
- slowk := (2.0 / (float64(inSlowPeriod) + 1.0))
- oneMinusslowk := 1.0 - slowk
- high := inHigh[today]
- low := inLow[today]
- tmp := high - low
- close := inClose[today]
- if tmp > 0.0 {
- ad += (((close - low) - (high - close)) / tmp) * (inVolume[today])
- }
- today++
- fastEMA := ad
- slowEMA := ad
- for today < startIdx {
- high = inHigh[today]
- low = inLow[today]
- tmp = high - low
- close = inClose[today]
- if tmp > 0.0 {
- ad += (((close - low) - (high - close)) / tmp) * (inVolume[today])
- }
- today++
- fastEMA = (fastk * ad) + (oneMinusfastk * fastEMA)
- slowEMA = (slowk * ad) + (oneMinusslowk * slowEMA)
- }
- outIdx := lookbackTotal
- for today < len(inClose) {
- high = inHigh[today]
- low = inLow[today]
- tmp = high - low
- close = inClose[today]
- if tmp > 0.0 {
- ad += (((close - low) - (high - close)) / tmp) * (inVolume[today])
- }
- today++
- fastEMA = (fastk * ad) + (oneMinusfastk * fastEMA)
- slowEMA = (slowk * ad) + (oneMinusslowk * slowEMA)
- outReal[outIdx] = fastEMA - slowEMA
- outIdx++
- }
- return outReal
- }
- // Obv - On Balance Volume
- func Obv(inReal []float64, inVolume []float64) []float64 {
- outReal := make([]float64, len(inReal))
- startIdx := 0
- prevOBV := inVolume[startIdx]
- prevReal := inReal[startIdx]
- outIdx := 0
- for i := startIdx; i < len(inReal); i++ {
- tempReal := inReal[i]
- if tempReal > prevReal {
- prevOBV += inVolume[i]
- } else if tempReal < prevReal {
- prevOBV -= inVolume[i]
- }
- outReal[outIdx] = prevOBV
- prevReal = tempReal
- outIdx++
- }
- return outReal
- }
- /* Volatility Indicators */
- // Atr - Average True Range
- func Atr(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- inTimePeriodF := float64(inTimePeriod)
- if inTimePeriod < 1 {
- return outReal
- }
- if inTimePeriod <= 1 {
- return TRange(inHigh, inLow, inClose)
- }
- outIdx := inTimePeriod
- today := inTimePeriod + 1
- tr := TRange(inHigh, inLow, inClose)
- prevATRTemp := Sma(tr, inTimePeriod)
- prevATR := prevATRTemp[inTimePeriod]
- outReal[inTimePeriod] = prevATR
- for outIdx = inTimePeriod + 1; outIdx < len(inClose); outIdx++ {
- prevATR *= inTimePeriodF - 1.0
- prevATR += tr[today]
- prevATR /= inTimePeriodF
- outReal[outIdx] = prevATR
- today++
- }
- return outReal
- }
- // Natr - Normalized Average True Range
- func Natr(inHigh []float64, inLow []float64, inClose []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inClose))
- if inTimePeriod < 1 {
- return outReal
- }
- if inTimePeriod <= 1 {
- return TRange(inHigh, inLow, inClose)
- }
- inTimePeriodF := float64(inTimePeriod)
- outIdx := inTimePeriod
- today := inTimePeriod
- tr := TRange(inHigh, inLow, inClose)
- prevATRTemp := Sma(tr, inTimePeriod)
- prevATR := prevATRTemp[inTimePeriod]
- tempValue := inClose[today]
- if tempValue != 0.0 {
- outReal[outIdx] = (prevATR / tempValue) * 100.0
- } else {
- outReal[outIdx] = 0.0
- }
- for outIdx = inTimePeriod + 1; outIdx < len(inClose); outIdx++ {
- today++
- prevATR *= inTimePeriodF - 1.0
- prevATR += tr[today]
- prevATR /= inTimePeriodF
- tempValue = inClose[today]
- if tempValue != 0.0 {
- outReal[outIdx] = (prevATR / tempValue) * 100.0
- } else {
- outReal[0] = 0.0
- }
- }
- return outReal
- }
- // TRange - True Range
- func TRange(inHigh []float64, inLow []float64, inClose []float64) []float64 {
- outReal := make([]float64, len(inClose))
- startIdx := 1
- outIdx := startIdx
- today := startIdx
- for today < len(inClose) {
- tempLT := inLow[today]
- tempHT := inHigh[today]
- tempCY := inClose[today-1]
- greatest := tempHT - tempLT
- val2 := math.Abs(tempCY - tempHT)
- if val2 > greatest {
- greatest = val2
- }
- val3 := math.Abs(tempCY - tempLT)
- if val3 > greatest {
- greatest = val3
- }
- outReal[outIdx] = greatest
- outIdx++
- today++
- }
- return outReal
- }
- /* Price Transform */
- // AvgPrice - Average Price (o+h+l+c)/4
- func AvgPrice(inOpen []float64, inHigh []float64, inLow []float64, inClose []float64) []float64 {
- outReal := make([]float64, len(inClose))
- outIdx := 0
- startIdx := 0
- for i := startIdx; i < len(inClose); i++ {
- outReal[outIdx] = (inHigh[i] + inLow[i] + inClose[i] + inOpen[i]) / 4
- outIdx++
- }
- return outReal
- }
- // MedPrice - Median Price (h+l)/2
- func MedPrice(inHigh []float64, inLow []float64) []float64 {
- outReal := make([]float64, len(inHigh))
- outIdx := 0
- startIdx := 0
- for i := startIdx; i < len(inHigh); i++ {
- outReal[outIdx] = (inHigh[i] + inLow[i]) / 2.0
- outIdx++
- }
- return outReal
- }
- // TypPrice - Typical Price (h+l+c)/3
- func TypPrice(inHigh []float64, inLow []float64, inClose []float64) []float64 {
- outReal := make([]float64, len(inClose))
- outIdx := 0
- startIdx := 0
- for i := startIdx; i < len(inClose); i++ {
- outReal[outIdx] = (inHigh[i] + inLow[i] + inClose[i]) / 3.0
- outIdx++
- }
- return outReal
- }
- // WclPrice - Weighted Close Price
- func WclPrice(inHigh []float64, inLow []float64, inClose []float64) []float64 {
- outReal := make([]float64, len(inClose))
- outIdx := 0
- startIdx := 0
- for i := startIdx; i < len(inClose); i++ {
- outReal[outIdx] = (inHigh[i] + inLow[i] + (inClose[i] * 2.0)) / 4.0
- outIdx++
- }
- return outReal
- }
- /* Cycle Indicators */
- // HtDcPeriod - Hilbert Transform - Dominant Cycle Period (lookback=32)
- func HtDcPeriod(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- a := 0.0962
- b := 0.5769
- detrenderOdd := make([]float64, 3)
- detrenderEven := make([]float64, 3)
- q1Odd := make([]float64, 3)
- q1Even := make([]float64, 3)
- jIOdd := make([]float64, 3)
- jIEven := make([]float64, 3)
- jQOdd := make([]float64, 3)
- jQEven := make([]float64, 3)
- rad2Deg := 180.0 / (4.0 * math.Atan(1))
- lookbackTotal := 32
- startIdx := lookbackTotal
- trailingWMAIdx := startIdx - lookbackTotal
- today := trailingWMAIdx
- tempReal := inReal[today]
- today++
- periodWMASub := tempReal
- periodWMASum := tempReal
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 2.0
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 3.0
- trailingWMAValue := 0.0
- i := 9
- smoothedValue := 0.0
- for ok := true; ok; {
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASub -= trailingWMAValue
- periodWMASum += tempReal * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- i--
- ok = i != 0
- }
- hilbertIdx := 0
- detrender := 0.0
- prevDetrenderOdd := 0.0
- prevDetrenderEven := 0.0
- prevDetrenderInputOdd := 0.0
- prevDetrenderInputEven := 0.0
- q1 := 0.0
- prevq1Odd := 0.0
- prevq1Even := 0.0
- prevq1InputOdd := 0.0
- prevq1InputEven := 0.0
- jI := 0.0
- prevJIOdd := 0.0
- prevJIEven := 0.0
- prevJIInputOdd := 0.0
- prevJIInputEven := 0.0
- jQ := 0.0
- prevJQOdd := 0.0
- prevJQEven := 0.0
- prevJQInputOdd := 0.0
- prevJQInputEven := 0.0
- period := 0.0
- outIdx := 32
- previ2 := 0.0
- prevq2 := 0.0
- Re := 0.0
- Im := 0.0
- i2 := 0.0
- q2 := 0.0
- i1ForOddPrev3 := 0.0
- i1ForEvenPrev3 := 0.0
- i1ForOddPrev2 := 0.0
- i1ForEvenPrev2 := 0.0
- smoothPeriod := 0.0
- for today < len(inReal) {
- adjustedPrevPeriod := (0.075 * period) + 0.54
- todayValue := inReal[today]
- periodWMASub += todayValue
- periodWMASub -= trailingWMAValue
- periodWMASum += todayValue * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- hilbertTempReal := 0.0
- if (today % 2) == 0 {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderEven[hilbertIdx]
- detrenderEven[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderEven
- prevDetrenderEven = b * prevDetrenderInputEven
- detrender += prevDetrenderEven
- prevDetrenderInputEven = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Even[hilbertIdx]
- q1Even[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Even
- prevq1Even = b * prevq1InputEven
- q1 += prevq1Even
- prevq1InputEven = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForEvenPrev3
- jI = -jIEven[hilbertIdx]
- jIEven[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIEven
- prevJIEven = b * prevJIInputEven
- jI += prevJIEven
- prevJIInputEven = i1ForEvenPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQEven[hilbertIdx]
- jQEven[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQEven
- prevJQEven = b * prevJQInputEven
- jQ += prevJQEven
- prevJQInputEven = q1
- jQ *= adjustedPrevPeriod
- hilbertIdx++
- if hilbertIdx == 3 {
- hilbertIdx = 0
- }
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForEvenPrev3 - jQ)) + (0.8 * previ2)
- i1ForOddPrev3 = i1ForOddPrev2
- i1ForOddPrev2 = detrender
- } else {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderOdd[hilbertIdx]
- detrenderOdd[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderOdd
- prevDetrenderOdd = b * prevDetrenderInputOdd
- detrender += prevDetrenderOdd
- prevDetrenderInputOdd = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Odd[hilbertIdx]
- q1Odd[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Odd
- prevq1Odd = b * prevq1InputOdd
- q1 += prevq1Odd
- prevq1InputOdd = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForOddPrev3
- jI = -jIOdd[hilbertIdx]
- jIOdd[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIOdd
- prevJIOdd = b * prevJIInputOdd
- jI += prevJIOdd
- prevJIInputOdd = i1ForOddPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQOdd[hilbertIdx]
- jQOdd[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQOdd
- prevJQOdd = b * prevJQInputOdd
- jQ += prevJQOdd
- prevJQInputOdd = q1
- jQ *= adjustedPrevPeriod
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForOddPrev3 - jQ)) + (0.8 * previ2)
- i1ForEvenPrev3 = i1ForEvenPrev2
- i1ForEvenPrev2 = detrender
- }
- Re = (0.2 * ((i2 * previ2) + (q2 * prevq2))) + (0.8 * Re)
- Im = (0.2 * ((i2 * prevq2) - (q2 * previ2))) + (0.8 * Im)
- prevq2 = q2
- previ2 = i2
- tempReal = period
- if (Im != 0.0) && (Re != 0.0) {
- period = 360.0 / (math.Atan(Im/Re) * rad2Deg)
- }
- tempReal2 := 1.5 * tempReal
- if period > tempReal2 {
- period = tempReal2
- }
- tempReal2 = 0.67 * tempReal
- if period < tempReal2 {
- period = tempReal2
- }
- if period < 6 {
- period = 6
- } else if period > 50 {
- period = 50
- }
- period = (0.2 * period) + (0.8 * tempReal)
- smoothPeriod = (0.33 * period) + (0.67 * smoothPeriod)
- if today >= startIdx {
- outReal[outIdx] = smoothPeriod
- outIdx++
- }
- today++
- }
- return outReal
- }
- // HtDcPhase - Hilbert Transform - Dominant Cycle Phase (lookback=63)
- func HtDcPhase(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- a := 0.0962
- b := 0.5769
- detrenderOdd := make([]float64, 3)
- detrenderEven := make([]float64, 3)
- q1Odd := make([]float64, 3)
- q1Even := make([]float64, 3)
- jIOdd := make([]float64, 3)
- jIEven := make([]float64, 3)
- jQOdd := make([]float64, 3)
- jQEven := make([]float64, 3)
- smoothPriceIdx := 0
- maxIdxSmoothPrice := (50 - 1)
- smoothPrice := make([]float64, maxIdxSmoothPrice+1)
- tempReal := math.Atan(1)
- rad2Deg := 45.0 / tempReal
- constDeg2RadBy360 := tempReal * 8.0
- lookbackTotal := 63
- startIdx := lookbackTotal
- trailingWMAIdx := startIdx - lookbackTotal
- today := trailingWMAIdx
- tempReal = inReal[today]
- today++
- periodWMASub := tempReal
- periodWMASum := tempReal
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 2.0
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 3.0
- trailingWMAValue := 0.0
- i := 34
- smoothedValue := 0.0
- for ok := true; ok; {
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASub -= trailingWMAValue
- periodWMASum += tempReal * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- i--
- ok = i != 0
- }
- hilbertIdx := 0
- detrender := 0.0
- prevDetrenderOdd := 0.0
- prevDetrenderEven := 0.0
- prevDetrenderInputOdd := 0.0
- prevDetrenderInputEven := 0.0
- q1 := 0.0
- prevq1Odd := 0.0
- prevq1Even := 0.0
- prevq1InputOdd := 0.0
- prevq1InputEven := 0.0
- jI := 0.0
- prevJIOdd := 0.0
- prevJIEven := 0.0
- prevJIInputOdd := 0.0
- prevJIInputEven := 0.0
- jQ := 0.0
- prevJQOdd := 0.0
- prevJQEven := 0.0
- prevJQInputOdd := 0.0
- prevJQInputEven := 0.0
- period := 0.0
- outIdx := 0
- previ2 := 0.0
- prevq2 := 0.0
- Re := 0.0
- Im := 0.0
- i1ForOddPrev3 := 0.0
- i1ForEvenPrev3 := 0.0
- i1ForOddPrev2 := 0.0
- i1ForEvenPrev2 := 0.0
- smoothPeriod := 0.0
- dcPhase := 0.0
- q2 := 0.0
- i2 := 0.0
- for today < len(inReal) {
- adjustedPrevPeriod := (0.075 * period) + 0.54
- todayValue := inReal[today]
- periodWMASub += todayValue
- periodWMASub -= trailingWMAValue
- periodWMASum += todayValue * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- hilbertTempReal := 0.0
- smoothPrice[smoothPriceIdx] = smoothedValue
- if (today % 2) == 0 {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderEven[hilbertIdx]
- detrenderEven[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderEven
- prevDetrenderEven = b * prevDetrenderInputEven
- detrender += prevDetrenderEven
- prevDetrenderInputEven = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Even[hilbertIdx]
- q1Even[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Even
- prevq1Even = b * prevq1InputEven
- q1 += prevq1Even
- prevq1InputEven = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForEvenPrev3
- jI = -jIEven[hilbertIdx]
- jIEven[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIEven
- prevJIEven = b * prevJIInputEven
- jI += prevJIEven
- prevJIInputEven = i1ForEvenPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQEven[hilbertIdx]
- jQEven[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQEven
- prevJQEven = b * prevJQInputEven
- jQ += prevJQEven
- prevJQInputEven = q1
- jQ *= adjustedPrevPeriod
- hilbertIdx++
- if hilbertIdx == 3 {
- hilbertIdx = 0
- }
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForEvenPrev3 - jQ)) + (0.8 * previ2)
- i1ForOddPrev3 = i1ForOddPrev2
- i1ForOddPrev2 = detrender
- } else {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderOdd[hilbertIdx]
- detrenderOdd[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderOdd
- prevDetrenderOdd = b * prevDetrenderInputOdd
- detrender += prevDetrenderOdd
- prevDetrenderInputOdd = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Odd[hilbertIdx]
- q1Odd[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Odd
- prevq1Odd = b * prevq1InputOdd
- q1 += prevq1Odd
- prevq1InputOdd = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForOddPrev3
- jI = -jIOdd[hilbertIdx]
- jIOdd[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIOdd
- prevJIOdd = b * prevJIInputOdd
- jI += prevJIOdd
- prevJIInputOdd = i1ForOddPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQOdd[hilbertIdx]
- jQOdd[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQOdd
- prevJQOdd = b * prevJQInputOdd
- jQ += prevJQOdd
- prevJQInputOdd = q1
- jQ *= adjustedPrevPeriod
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForOddPrev3 - jQ)) + (0.8 * previ2)
- i1ForEvenPrev3 = i1ForEvenPrev2
- i1ForEvenPrev2 = detrender
- }
- Re = (0.2 * ((i2 * previ2) + (q2 * prevq2))) + (0.8 * Re)
- Im = (0.2 * ((i2 * prevq2) - (q2 * previ2))) + (0.8 * Im)
- prevq2 = q2
- previ2 = i2
- tempReal = period
- if (Im != 0.0) && (Re != 0.0) {
- period = 360.0 / (math.Atan(Im/Re) * rad2Deg)
- }
- tempReal2 := 1.5 * tempReal
- if period > tempReal2 {
- period = tempReal2
- }
- tempReal2 = 0.67 * tempReal
- if period < tempReal2 {
- period = tempReal2
- }
- if period < 6 {
- period = 6
- } else if period > 50 {
- period = 50
- }
- period = (0.2 * period) + (0.8 * tempReal)
- smoothPeriod = (0.33 * period) + (0.67 * smoothPeriod)
- DCPeriod := smoothPeriod + 0.5
- DCPeriodInt := math.Floor(DCPeriod)
- realPart := 0.0
- imagPart := 0.0
- idx := smoothPriceIdx
- for i := 0; i < int(DCPeriodInt); i++ {
- tempReal = (float64(i) * constDeg2RadBy360) / (DCPeriodInt * 1.0)
- tempReal2 = smoothPrice[idx]
- realPart += math.Sin(tempReal) * tempReal2
- imagPart += math.Cos(tempReal) * tempReal2
- if idx == 0 {
- idx = 50 - 1
- } else {
- idx--
- }
- }
- tempReal = math.Abs(imagPart)
- if tempReal > 0.0 {
- dcPhase = math.Atan(realPart/imagPart) * rad2Deg
- } else if tempReal <= 0.01 {
- if realPart < 0.0 {
- dcPhase -= 90.0
- } else if realPart > 0.0 {
- dcPhase += 90.0
- }
- }
- dcPhase += 90.0
- dcPhase += 360.0 / smoothPeriod
- if imagPart < 0.0 {
- dcPhase += 180.0
- }
- if dcPhase > 315.0 {
- dcPhase -= 360.0
- }
- if today >= startIdx {
- outReal[outIdx] = dcPhase
- outIdx++
- }
- smoothPriceIdx++
- if smoothPriceIdx > maxIdxSmoothPrice {
- smoothPriceIdx = 0
- }
- today++
- }
- return outReal
- }
- // HtPhasor - Hibert Transform - Phasor Components (lookback=32)
- func HtPhasor(inReal []float64) ([]float64, []float64) {
- outInPhase := make([]float64, len(inReal))
- outQuadrature := make([]float64, len(inReal))
- a := 0.0962
- b := 0.5769
- detrenderOdd := make([]float64, 3)
- detrenderEven := make([]float64, 3)
- q1Odd := make([]float64, 3)
- q1Even := make([]float64, 3)
- jIOdd := make([]float64, 3)
- jIEven := make([]float64, 3)
- jQOdd := make([]float64, 3)
- jQEven := make([]float64, 3)
- rad2Deg := 180.0 / (4.0 * math.Atan(1))
- lookbackTotal := 32
- startIdx := lookbackTotal
- trailingWMAIdx := startIdx - lookbackTotal
- today := trailingWMAIdx
- tempReal := inReal[today]
- today++
- periodWMASub := tempReal
- periodWMASum := tempReal
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 2.0
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 3.0
- trailingWMAValue := 0.0
- i := 9
- smoothedValue := 0.0
- for ok := true; ok; {
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASub -= trailingWMAValue
- periodWMASum += tempReal * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- i--
- ok = i != 0
- }
- hilbertIdx := 0
- detrender := 0.0
- prevDetrenderOdd := 0.0
- prevDetrenderEven := 0.0
- prevDetrenderInputOdd := 0.0
- prevDetrenderInputEven := 0.0
- q1 := 0.0
- prevq1Odd := 0.0
- prevq1Even := 0.0
- prevq1InputOdd := 0.0
- prevq1InputEven := 0.0
- jI := 0.0
- prevJIOdd := 0.0
- prevJIEven := 0.0
- prevJIInputOdd := 0.0
- prevJIInputEven := 0.0
- jQ := 0.0
- prevJQOdd := 0.0
- prevJQEven := 0.0
- prevJQInputOdd := 0.0
- prevJQInputEven := 0.0
- period := 0.0
- outIdx := 32
- previ2 := 0.0
- prevq2 := 0.0
- Re := 0.0
- Im := 0.0
- i1ForOddPrev3 := 0.0
- i1ForEvenPrev3 := 0.0
- i1ForOddPrev2 := 0.0
- i1ForEvenPrev2 := 0.0
- i2 := 0.0
- q2 := 0.0
- for today < len(inReal) {
- adjustedPrevPeriod := (0.075 * period) + 0.54
- todayValue := inReal[today]
- periodWMASub += todayValue
- periodWMASub -= trailingWMAValue
- periodWMASum += todayValue * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- hilbertTempReal := 0.0
- if (today % 2) == 0 {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderEven[hilbertIdx]
- detrenderEven[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderEven
- prevDetrenderEven = b * prevDetrenderInputEven
- detrender += prevDetrenderEven
- prevDetrenderInputEven = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Even[hilbertIdx]
- q1Even[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Even
- prevq1Even = b * prevq1InputEven
- q1 += prevq1Even
- prevq1InputEven = detrender
- q1 *= adjustedPrevPeriod
- if today >= startIdx {
- outQuadrature[outIdx] = q1
- outInPhase[outIdx] = i1ForEvenPrev3
- outIdx++
- }
- hilbertTempReal = a * i1ForEvenPrev3
- jI = -jIEven[hilbertIdx]
- jIEven[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIEven
- prevJIEven = b * prevJIInputEven
- jI += prevJIEven
- prevJIInputEven = i1ForEvenPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQEven[hilbertIdx]
- jQEven[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQEven
- prevJQEven = b * prevJQInputEven
- jQ += prevJQEven
- prevJQInputEven = q1
- jQ *= adjustedPrevPeriod
- hilbertIdx++
- if hilbertIdx == 3 {
- hilbertIdx = 0
- }
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForEvenPrev3 - jQ)) + (0.8 * previ2)
- i1ForOddPrev3 = i1ForOddPrev2
- i1ForOddPrev2 = detrender
- } else {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderOdd[hilbertIdx]
- detrenderOdd[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderOdd
- prevDetrenderOdd = b * prevDetrenderInputOdd
- detrender += prevDetrenderOdd
- prevDetrenderInputOdd = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Odd[hilbertIdx]
- q1Odd[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Odd
- prevq1Odd = b * prevq1InputOdd
- q1 += prevq1Odd
- prevq1InputOdd = detrender
- q1 *= adjustedPrevPeriod
- if today >= startIdx {
- outQuadrature[outIdx] = q1
- outInPhase[outIdx] = i1ForOddPrev3
- outIdx++
- }
- hilbertTempReal = a * i1ForOddPrev3
- jI = -jIOdd[hilbertIdx]
- jIOdd[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIOdd
- prevJIOdd = b * prevJIInputOdd
- jI += prevJIOdd
- prevJIInputOdd = i1ForOddPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQOdd[hilbertIdx]
- jQOdd[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQOdd
- prevJQOdd = b * prevJQInputOdd
- jQ += prevJQOdd
- prevJQInputOdd = q1
- jQ *= adjustedPrevPeriod
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForOddPrev3 - jQ)) + (0.8 * previ2)
- i1ForEvenPrev3 = i1ForEvenPrev2
- i1ForEvenPrev2 = detrender
- }
- Re = (0.2 * ((i2 * previ2) + (q2 * prevq2))) + (0.8 * Re)
- Im = (0.2 * ((i2 * prevq2) - (q2 * previ2))) + (0.8 * Im)
- prevq2 = q2
- previ2 = i2
- tempReal = period
- if (Im != 0.0) && (Re != 0.0) {
- period = 360.0 / (math.Atan(Im/Re) * rad2Deg)
- }
- tempReal2 := 1.5 * tempReal
- if period > tempReal2 {
- period = tempReal2
- }
- tempReal2 = 0.67 * tempReal
- if period < tempReal2 {
- period = tempReal2
- }
- if period < 6 {
- period = 6
- } else if period > 50 {
- period = 50
- }
- period = (0.2 * period) + (0.8 * tempReal)
- today++
- }
- return outInPhase, outQuadrature
- }
- // HtSine - Hilbert Transform - SineWave (lookback=63)
- func HtSine(inReal []float64) ([]float64, []float64) {
- outSine := make([]float64, len(inReal))
- outLeadSine := make([]float64, len(inReal))
- a := 0.0962
- b := 0.5769
- detrenderOdd := make([]float64, 3)
- detrenderEven := make([]float64, 3)
- q1Odd := make([]float64, 3)
- q1Even := make([]float64, 3)
- jIOdd := make([]float64, 3)
- jIEven := make([]float64, 3)
- jQOdd := make([]float64, 3)
- jQEven := make([]float64, 3)
- smoothPriceIdx := 0
- maxIdxSmoothPrice := (50 - 1)
- smoothPrice := make([]float64, maxIdxSmoothPrice+1)
- tempReal := math.Atan(1)
- rad2Deg := 45.0 / tempReal
- deg2Rad := 1.0 / rad2Deg
- constDeg2RadBy360 := tempReal * 8.0
- lookbackTotal := 63
- startIdx := lookbackTotal
- trailingWMAIdx := startIdx - lookbackTotal
- today := trailingWMAIdx
- tempReal = inReal[today]
- today++
- periodWMASub := tempReal
- periodWMASum := tempReal
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 2.0
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 3.0
- trailingWMAValue := 0.0
- i := 34
- smoothedValue := 0.0
- for ok := true; ok; {
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASub -= trailingWMAValue
- periodWMASum += tempReal * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- i--
- ok = i != 0
- }
- hilbertIdx := 0
- detrender := 0.0
- prevDetrenderOdd := 0.0
- prevDetrenderEven := 0.0
- prevDetrenderInputOdd := 0.0
- prevDetrenderInputEven := 0.0
- q1 := 0.0
- prevq1Odd := 0.0
- prevq1Even := 0.0
- prevq1InputOdd := 0.0
- prevq1InputEven := 0.0
- jI := 0.0
- prevJIOdd := 0.0
- prevJIEven := 0.0
- prevJIInputOdd := 0.0
- prevJIInputEven := 0.0
- jQ := 0.0
- prevJQOdd := 0.0
- prevJQEven := 0.0
- prevJQInputOdd := 0.0
- prevJQInputEven := 0.0
- period := 0.0
- outIdx := 63
- previ2 := 0.0
- prevq2 := 0.0
- Re := 0.0
- Im := 0.0
- i1ForOddPrev3 := 0.0
- i1ForEvenPrev3 := 0.0
- i1ForOddPrev2 := 0.0
- i1ForEvenPrev2 := 0.0
- smoothPeriod := 0.0
- dcPhase := 0.0
- hilbertTempReal := 0.0
- q2 := 0.0
- i2 := 0.0
- for today < len(inReal) {
- adjustedPrevPeriod := (0.075 * period) + 0.54
- todayValue := inReal[today]
- periodWMASub += todayValue
- periodWMASub -= trailingWMAValue
- periodWMASum += todayValue * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- smoothPrice[smoothPriceIdx] = smoothedValue
- if (today % 2) == 0 {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderEven[hilbertIdx]
- detrenderEven[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderEven
- prevDetrenderEven = b * prevDetrenderInputEven
- detrender += prevDetrenderEven
- prevDetrenderInputEven = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Even[hilbertIdx]
- q1Even[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Even
- prevq1Even = b * prevq1InputEven
- q1 += prevq1Even
- prevq1InputEven = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForEvenPrev3
- jI = -jIEven[hilbertIdx]
- jIEven[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIEven
- prevJIEven = b * prevJIInputEven
- jI += prevJIEven
- prevJIInputEven = i1ForEvenPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQEven[hilbertIdx]
- jQEven[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQEven
- prevJQEven = b * prevJQInputEven
- jQ += prevJQEven
- prevJQInputEven = q1
- jQ *= adjustedPrevPeriod
- hilbertIdx++
- if hilbertIdx == 3 {
- hilbertIdx = 0
- }
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForEvenPrev3 - jQ)) + (0.8 * previ2)
- i1ForOddPrev3 = i1ForOddPrev2
- i1ForOddPrev2 = detrender
- } else {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderOdd[hilbertIdx]
- detrenderOdd[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderOdd
- prevDetrenderOdd = b * prevDetrenderInputOdd
- detrender += prevDetrenderOdd
- prevDetrenderInputOdd = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Odd[hilbertIdx]
- q1Odd[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Odd
- prevq1Odd = b * prevq1InputOdd
- q1 += prevq1Odd
- prevq1InputOdd = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForOddPrev3
- jI = -jIOdd[hilbertIdx]
- jIOdd[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIOdd
- prevJIOdd = b * prevJIInputOdd
- jI += prevJIOdd
- prevJIInputOdd = i1ForOddPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQOdd[hilbertIdx]
- jQOdd[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQOdd
- prevJQOdd = b * prevJQInputOdd
- jQ += prevJQOdd
- prevJQInputOdd = q1
- jQ *= adjustedPrevPeriod
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForOddPrev3 - jQ)) + (0.8 * previ2)
- i1ForEvenPrev3 = i1ForEvenPrev2
- i1ForEvenPrev2 = detrender
- }
- Re = (0.2 * ((i2 * previ2) + (q2 * prevq2))) + (0.8 * Re)
- Im = (0.2 * ((i2 * prevq2) - (q2 * previ2))) + (0.8 * Im)
- prevq2 = q2
- previ2 = i2
- tempReal = period
- if (Im != 0.0) && (Re != 0.0) {
- period = 360.0 / (math.Atan(Im/Re) * rad2Deg)
- }
- tempReal2 := 1.5 * tempReal
- if period > tempReal2 {
- period = tempReal2
- }
- tempReal2 = 0.67 * tempReal
- if period < tempReal2 {
- period = tempReal2
- }
- if period < 6 {
- period = 6
- } else if period > 50 {
- period = 50
- }
- period = (0.2 * period) + (0.8 * tempReal)
- smoothPeriod = (0.33 * period) + (0.67 * smoothPeriod)
- DCPeriod := smoothPeriod + 0.5
- DCPeriodInt := math.Floor(DCPeriod)
- realPart := 0.0
- imagPart := 0.0
- idx := smoothPriceIdx
- for i := 0; i < int(DCPeriodInt); i++ {
- tempReal = (float64(i) * constDeg2RadBy360) / (DCPeriodInt * 1.0)
- tempReal2 = smoothPrice[idx]
- realPart += math.Sin(tempReal) * tempReal2
- imagPart += math.Cos(tempReal) * tempReal2
- if idx == 0 {
- idx = 50 - 1
- } else {
- idx--
- }
- }
- tempReal = math.Abs(imagPart)
- if tempReal > 0.0 {
- dcPhase = math.Atan(realPart/imagPart) * rad2Deg
- } else if tempReal <= 0.01 {
- if realPart < 0.0 {
- dcPhase -= 90.0
- } else if realPart > 0.0 {
- dcPhase += 90.0
- }
- }
- dcPhase += 90.0
- dcPhase += 360.0 / smoothPeriod
- if imagPart < 0.0 {
- dcPhase += 180.0
- }
- if dcPhase > 315.0 {
- dcPhase -= 360.0
- }
- if today >= startIdx {
- outSine[outIdx] = math.Sin(dcPhase * deg2Rad)
- outLeadSine[outIdx] = math.Sin((dcPhase + 45) * deg2Rad)
- outIdx++
- }
- smoothPriceIdx++
- if smoothPriceIdx > maxIdxSmoothPrice {
- smoothPriceIdx = 0
- }
- today++
- }
- return outSine, outLeadSine
- }
- // HtTrendMode - Hilbert Transform - Trend vs Cycle Mode (lookback=63)
- func HtTrendMode(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- a := 0.0962
- b := 0.5769
- detrenderOdd := make([]float64, 3)
- detrenderEven := make([]float64, 3)
- q1Odd := make([]float64, 3)
- q1Even := make([]float64, 3)
- jIOdd := make([]float64, 3)
- jIEven := make([]float64, 3)
- jQOdd := make([]float64, 3)
- jQEven := make([]float64, 3)
- smoothPriceIdx := 0
- maxIdxSmoothPrice := (50 - 1)
- smoothPrice := make([]float64, maxIdxSmoothPrice+1)
- iTrend1 := 0.0
- iTrend2 := 0.0
- iTrend3 := 0.0
- daysInTrend := 0
- prevdcPhase := 0.0
- dcPhase := 0.0
- prevSine := 0.0
- sine := 0.0
- prevLeadSine := 0.0
- leadSine := 0.0
- tempReal := math.Atan(1)
- rad2Deg := 45.0 / tempReal
- deg2Rad := 1.0 / rad2Deg
- constDeg2RadBy360 := tempReal * 8.0
- lookbackTotal := 63
- startIdx := lookbackTotal
- trailingWMAIdx := startIdx - lookbackTotal
- today := trailingWMAIdx
- tempReal = inReal[today]
- today++
- periodWMASub := tempReal
- periodWMASum := tempReal
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 2.0
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASum += tempReal * 3.0
- trailingWMAValue := 0.0
- i := 34
- for ok := true; ok; {
- tempReal = inReal[today]
- today++
- periodWMASub += tempReal
- periodWMASub -= trailingWMAValue
- periodWMASum += tempReal * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- //smoothedValue := periodWMASum * 0.1
- periodWMASum -= periodWMASub
- i--
- ok = i != 0
- }
- hilbertIdx := 0
- detrender := 0.0
- prevDetrenderOdd := 0.0
- prevDetrenderEven := 0.0
- prevDetrenderInputOdd := 0.0
- prevDetrenderInputEven := 0.0
- q1 := 0.0
- prevq1Odd := 0.0
- prevq1Even := 0.0
- prevq1InputOdd := 0.0
- prevq1InputEven := 0.0
- jI := 0.0
- prevJIOdd := 0.0
- prevJIEven := 0.0
- prevJIInputOdd := 0.0
- prevJIInputEven := 0.0
- jQ := 0.0
- prevJQOdd := 0.0
- prevJQEven := 0.0
- prevJQInputOdd := 0.0
- prevJQInputEven := 0.0
- period := 0.0
- outIdx := 63
- previ2 := 0.0
- prevq2 := 0.0
- Re := 0.0
- Im := 0.0
- i1ForOddPrev3 := 0.0
- i1ForEvenPrev3 := 0.0
- i1ForOddPrev2 := 0.0
- i1ForEvenPrev2 := 0.0
- smoothPeriod := 0.0
- dcPhase = 0.0
- smoothedValue := 0.0
- hilbertTempReal := 0.0
- q2 := 0.0
- i2 := 0.0
- for today < len(inReal) {
- adjustedPrevPeriod := (0.075 * period) + 0.54
- todayValue := inReal[today]
- periodWMASub += todayValue
- periodWMASub -= trailingWMAValue
- periodWMASum += todayValue * 4.0
- trailingWMAValue = inReal[trailingWMAIdx]
- trailingWMAIdx++
- smoothedValue = periodWMASum * 0.1
- periodWMASum -= periodWMASub
- smoothPrice[smoothPriceIdx] = smoothedValue
- if (today % 2) == 0 {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderEven[hilbertIdx]
- detrenderEven[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderEven
- prevDetrenderEven = b * prevDetrenderInputEven
- detrender += prevDetrenderEven
- prevDetrenderInputEven = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Even[hilbertIdx]
- q1Even[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Even
- prevq1Even = b * prevq1InputEven
- q1 += prevq1Even
- prevq1InputEven = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForEvenPrev3
- jI = -jIEven[hilbertIdx]
- jIEven[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIEven
- prevJIEven = b * prevJIInputEven
- jI += prevJIEven
- prevJIInputEven = i1ForEvenPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQEven[hilbertIdx]
- jQEven[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQEven
- prevJQEven = b * prevJQInputEven
- jQ += prevJQEven
- prevJQInputEven = q1
- jQ *= adjustedPrevPeriod
- hilbertIdx++
- if hilbertIdx == 3 {
- hilbertIdx = 0
- }
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForEvenPrev3 - jQ)) + (0.8 * previ2)
- i1ForOddPrev3 = i1ForOddPrev2
- i1ForOddPrev2 = detrender
- } else {
- hilbertTempReal = a * smoothedValue
- detrender = -detrenderOdd[hilbertIdx]
- detrenderOdd[hilbertIdx] = hilbertTempReal
- detrender += hilbertTempReal
- detrender -= prevDetrenderOdd
- prevDetrenderOdd = b * prevDetrenderInputOdd
- detrender += prevDetrenderOdd
- prevDetrenderInputOdd = smoothedValue
- detrender *= adjustedPrevPeriod
- hilbertTempReal = a * detrender
- q1 = -q1Odd[hilbertIdx]
- q1Odd[hilbertIdx] = hilbertTempReal
- q1 += hilbertTempReal
- q1 -= prevq1Odd
- prevq1Odd = b * prevq1InputOdd
- q1 += prevq1Odd
- prevq1InputOdd = detrender
- q1 *= adjustedPrevPeriod
- hilbertTempReal = a * i1ForOddPrev3
- jI = -jIOdd[hilbertIdx]
- jIOdd[hilbertIdx] = hilbertTempReal
- jI += hilbertTempReal
- jI -= prevJIOdd
- prevJIOdd = b * prevJIInputOdd
- jI += prevJIOdd
- prevJIInputOdd = i1ForOddPrev3
- jI *= adjustedPrevPeriod
- hilbertTempReal = a * q1
- jQ = -jQOdd[hilbertIdx]
- jQOdd[hilbertIdx] = hilbertTempReal
- jQ += hilbertTempReal
- jQ -= prevJQOdd
- prevJQOdd = b * prevJQInputOdd
- jQ += prevJQOdd
- prevJQInputOdd = q1
- jQ *= adjustedPrevPeriod
- q2 = (0.2 * (q1 + jI)) + (0.8 * prevq2)
- i2 = (0.2 * (i1ForOddPrev3 - jQ)) + (0.8 * previ2)
- i1ForEvenPrev3 = i1ForEvenPrev2
- i1ForEvenPrev2 = detrender
- }
- Re = (0.2 * ((i2 * previ2) + (q2 * prevq2))) + (0.8 * Re)
- Im = (0.2 * ((i2 * prevq2) - (q2 * previ2))) + (0.8 * Im)
- prevq2 = q2
- previ2 = i2
- tempReal = period
- if (Im != 0.0) && (Re != 0.0) {
- period = 360.0 / (math.Atan(Im/Re) * rad2Deg)
- }
- tempReal2 := 1.5 * tempReal
- if period > tempReal2 {
- period = tempReal2
- }
- tempReal2 = 0.67 * tempReal
- if period < tempReal2 {
- period = tempReal2
- }
- if period < 6 {
- period = 6
- } else if period > 50 {
- period = 50
- }
- period = (0.2 * period) + (0.8 * tempReal)
- smoothPeriod = (0.33 * period) + (0.67 * smoothPeriod)
- prevdcPhase = dcPhase
- DCPeriod := smoothPeriod + 0.5
- DCPeriodInt := math.Floor(DCPeriod)
- realPart := 0.0
- imagPart := 0.0
- idx := smoothPriceIdx
- for i := 0; i < int(DCPeriodInt); i++ {
- tempReal = (float64(i) * constDeg2RadBy360) / (DCPeriodInt * 1.0)
- tempReal2 = smoothPrice[idx]
- realPart += math.Sin(tempReal) * tempReal2
- imagPart += math.Cos(tempReal) * tempReal2
- if idx == 0 {
- idx = 50 - 1
- } else {
- idx--
- }
- }
- tempReal = math.Abs(imagPart)
- if tempReal > 0.0 {
- dcPhase = math.Atan(realPart/imagPart) * rad2Deg
- } else if tempReal <= 0.01 {
- if realPart < 0.0 {
- dcPhase -= 90.0
- } else if realPart > 0.0 {
- dcPhase += 90.0
- }
- }
- dcPhase += 90.0
- dcPhase += 360.0 / smoothPeriod
- if imagPart < 0.0 {
- dcPhase += 180.0
- }
- if dcPhase > 315.0 {
- dcPhase -= 360.0
- }
- prevSine = sine
- prevLeadSine = leadSine
- sine = math.Sin(dcPhase * deg2Rad)
- leadSine = math.Sin((dcPhase + 45) * deg2Rad)
- DCPeriod = smoothPeriod + 0.5
- DCPeriodInt = math.Floor(DCPeriod)
- idx = today
- tempReal = 0.0
- for i := 0; i < int(DCPeriodInt); i++ {
- tempReal += inReal[idx]
- idx--
- }
- if DCPeriodInt > 0 {
- tempReal = tempReal / (DCPeriodInt * 1.0)
- }
- trendline := (4.0*tempReal + 3.0*iTrend1 + 2.0*iTrend2 + iTrend3) / 10.0
- iTrend3 = iTrend2
- iTrend2 = iTrend1
- iTrend1 = tempReal
- trend := 1
- if ((sine > leadSine) && (prevSine <= prevLeadSine)) || ((sine < leadSine) && (prevSine >= prevLeadSine)) {
- daysInTrend = 0
- trend = 0
- }
- daysInTrend++
- if float64(daysInTrend) < (0.5 * smoothPeriod) {
- trend = 0
- }
- tempReal = dcPhase - prevdcPhase
- if (smoothPeriod != 0.0) && ((tempReal > (0.67 * 360.0 / smoothPeriod)) && (tempReal < (1.5 * 360.0 / smoothPeriod))) {
- trend = 0
- }
- tempReal = smoothPrice[smoothPriceIdx]
- if (trendline != 0.0) && (math.Abs((tempReal-trendline)/trendline) >= 0.015) {
- trend = 1
- }
- if today >= startIdx {
- outReal[outIdx] = float64(trend)
- outIdx++
- }
- smoothPriceIdx++
- if smoothPriceIdx > maxIdxSmoothPrice {
- smoothPriceIdx = 0
- }
- today++
- }
- return outReal
- }
- /* Statistic Functions */
- // Beta - Beta
- func Beta(inReal0 []float64, inReal1 []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal0))
- x := 0.0
- y := 0.0
- sSS := 0.0
- sXY := 0.0
- sX := 0.0
- sY := 0.0
- tmpReal := 0.0
- n := 0.0
- nbInitialElementNeeded := inTimePeriod
- startIdx := nbInitialElementNeeded
- trailingIdx := startIdx - nbInitialElementNeeded
- trailingLastPriceX := inReal0[trailingIdx]
- lastPriceX := trailingLastPriceX
- trailingLastPriceY := inReal1[trailingIdx]
- lastPriceY := trailingLastPriceY
- trailingIdx++
- i := trailingIdx
- for i < startIdx {
- tmpReal := inReal0[i]
- x := 0.0
- if !((-0.00000000000001 < lastPriceX) && (lastPriceX < 0.00000000000001)) {
- x = (tmpReal - lastPriceX) / lastPriceX
- }
- lastPriceX = tmpReal
- tmpReal = inReal1[i]
- i++
- y := 0.0
- if !((-0.00000000000001 < lastPriceY) && (lastPriceY < 0.00000000000001)) {
- y = (tmpReal - lastPriceY) / lastPriceY
- }
- lastPriceY = tmpReal
- sSS += x * x
- sXY += x * y
- sX += x
- sY += y
- }
- outIdx := inTimePeriod
- n = float64(inTimePeriod)
- for ok := true; ok; {
- tmpReal = inReal0[i]
- if !((-0.00000000000001 < lastPriceX) && (lastPriceX < 0.00000000000001)) {
- x = (tmpReal - lastPriceX) / lastPriceX
- } else {
- x = 0.0
- }
- lastPriceX = tmpReal
- tmpReal = inReal1[i]
- i++
- if !((-0.00000000000001 < lastPriceY) && (lastPriceY < 0.00000000000001)) {
- y = (tmpReal - lastPriceY) / lastPriceY
- } else {
- y = 0.0
- }
- lastPriceY = tmpReal
- sSS += x * x
- sXY += x * y
- sX += x
- sY += y
- tmpReal = inReal0[trailingIdx]
- if !(((-(0.00000000000001)) < trailingLastPriceX) && (trailingLastPriceX < (0.00000000000001))) {
- x = (tmpReal - trailingLastPriceX) / trailingLastPriceX
- } else {
- x = 0.0
- }
- trailingLastPriceX = tmpReal
- tmpReal = inReal1[trailingIdx]
- trailingIdx++
- if !(((-(0.00000000000001)) < trailingLastPriceY) && (trailingLastPriceY < (0.00000000000001))) {
- y = (tmpReal - trailingLastPriceY) / trailingLastPriceY
- } else {
- y = 0.0
- }
- trailingLastPriceY = tmpReal
- tmpReal = (n * sSS) - (sX * sX)
- if !(((-(0.00000000000001)) < tmpReal) && (tmpReal < (0.00000000000001))) {
- outReal[outIdx] = ((n * sXY) - (sX * sY)) / tmpReal
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx++
- sSS -= x * x
- sXY -= x * y
- sX -= x
- sY -= y
- ok = i < len(inReal0)
- }
- return outReal
- }
- // Correl - Pearson's Correlation Coefficient (r)
- func Correl(inReal0 []float64, inReal1 []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal0))
- inTimePeriodF := float64(inTimePeriod)
- lookbackTotal := inTimePeriod - 1
- startIdx := lookbackTotal
- trailingIdx := startIdx - lookbackTotal
- sumXY, sumX, sumY, sumX2, sumY2 := 0.0, 0.0, 0.0, 0.0, 0.0
- today := trailingIdx
- for today = trailingIdx; today <= startIdx; today++ {
- x := inReal0[today]
- sumX += x
- sumX2 += x * x
- y := inReal1[today]
- sumXY += x * y
- sumY += y
- sumY2 += y * y
- }
- trailingX := inReal0[trailingIdx]
- trailingY := inReal1[trailingIdx]
- trailingIdx++
- tempReal := (sumX2 - ((sumX * sumX) / inTimePeriodF)) * (sumY2 - ((sumY * sumY) / inTimePeriodF))
- if !(tempReal < 0.00000000000001) {
- outReal[inTimePeriod-1] = (sumXY - ((sumX * sumY) / inTimePeriodF)) / math.Sqrt(tempReal)
- } else {
- outReal[inTimePeriod-1] = 0.0
- }
- outIdx := inTimePeriod
- for today < len(inReal0) {
- sumX -= trailingX
- sumX2 -= trailingX * trailingX
- sumXY -= trailingX * trailingY
- sumY -= trailingY
- sumY2 -= trailingY * trailingY
- x := inReal0[today]
- sumX += x
- sumX2 += x * x
- y := inReal1[today]
- today++
- sumXY += x * y
- sumY += y
- sumY2 += y * y
- trailingX = inReal0[trailingIdx]
- trailingY = inReal1[trailingIdx]
- trailingIdx++
- tempReal = (sumX2 - ((sumX * sumX) / inTimePeriodF)) * (sumY2 - ((sumY * sumY) / inTimePeriodF))
- if !(tempReal < (0.00000000000001)) {
- outReal[outIdx] = (sumXY - ((sumX * sumY) / inTimePeriodF)) / math.Sqrt(tempReal)
- } else {
- outReal[outIdx] = 0.0
- }
- outIdx++
- }
- return outReal
- }
- // LinearReg - Linear Regression
- func LinearReg(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- inTimePeriodF := float64(inTimePeriod)
- lookbackTotal := inTimePeriod
- startIdx := lookbackTotal
- outIdx := startIdx - 1
- today := startIdx - 1
- sumX := inTimePeriodF * (inTimePeriodF - 1) * 0.5
- sumXSqr := inTimePeriodF * (inTimePeriodF - 1) * (2*inTimePeriodF - 1) / 6
- divisor := sumX*sumX - inTimePeriodF*sumXSqr
- //initialize values of sumY and sumXY over first (inTimePeriod) input values
- sumXY := 0.0
- sumY := 0.0
- i := inTimePeriod
- for i != 0 {
- i--
- tempValue1 := inReal[today-i]
- sumY += tempValue1
- sumXY += float64(i) * tempValue1
- }
- for today < len(inReal) {
- //sumX and sumXY are already available for first output value
- if today > startIdx-1 {
- tempValue2 := inReal[today-inTimePeriod]
- sumXY += sumY - inTimePeriodF*tempValue2
- sumY += inReal[today] - tempValue2
- }
- m := (inTimePeriodF*sumXY - sumX*sumY) / divisor
- b := (sumY - m*sumX) / inTimePeriodF
- outReal[outIdx] = b + m*(inTimePeriodF-1)
- outIdx++
- today++
- }
- return outReal
- }
- // LinearRegAngle - Linear Regression Angle
- func LinearRegAngle(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- inTimePeriodF := float64(inTimePeriod)
- lookbackTotal := inTimePeriod
- startIdx := lookbackTotal
- outIdx := startIdx - 1
- today := startIdx - 1
- sumX := inTimePeriodF * (inTimePeriodF - 1) * 0.5
- sumXSqr := inTimePeriodF * (inTimePeriodF - 1) * (2*inTimePeriodF - 1) / 6
- divisor := sumX*sumX - inTimePeriodF*sumXSqr
- //initialize values of sumY and sumXY over first (inTimePeriod) input values
- sumXY := 0.0
- sumY := 0.0
- i := inTimePeriod
- for i != 0 {
- i--
- tempValue1 := inReal[today-i]
- sumY += tempValue1
- sumXY += float64(i) * tempValue1
- }
- for today < len(inReal) {
- //sumX and sumXY are already available for first output value
- if today > startIdx-1 {
- tempValue2 := inReal[today-inTimePeriod]
- sumXY += sumY - inTimePeriodF*tempValue2
- sumY += inReal[today] - tempValue2
- }
- m := (inTimePeriodF*sumXY - sumX*sumY) / divisor
- outReal[outIdx] = math.Atan(m) * (180.0 / math.Pi)
- outIdx++
- today++
- }
- return outReal
- }
- // LinearRegIntercept - Linear Regression Intercept
- func LinearRegIntercept(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- inTimePeriodF := float64(inTimePeriod)
- lookbackTotal := inTimePeriod
- startIdx := lookbackTotal
- outIdx := startIdx - 1
- today := startIdx - 1
- sumX := inTimePeriodF * (inTimePeriodF - 1) * 0.5
- sumXSqr := inTimePeriodF * (inTimePeriodF - 1) * (2*inTimePeriodF - 1) / 6
- divisor := sumX*sumX - inTimePeriodF*sumXSqr
- //initialize values of sumY and sumXY over first (inTimePeriod) input values
- sumXY := 0.0
- sumY := 0.0
- i := inTimePeriod
- for i != 0 {
- i--
- tempValue1 := inReal[today-i]
- sumY += tempValue1
- sumXY += float64(i) * tempValue1
- }
- for today < len(inReal) {
- //sumX and sumXY are already available for first output value
- if today > startIdx-1 {
- tempValue2 := inReal[today-inTimePeriod]
- sumXY += sumY - inTimePeriodF*tempValue2
- sumY += inReal[today] - tempValue2
- }
- m := (inTimePeriodF*sumXY - sumX*sumY) / divisor
- outReal[outIdx] = (sumY - m*sumX) / inTimePeriodF
- outIdx++
- today++
- }
- return outReal
- }
- // LinearRegSlope - Linear Regression Slope
- func LinearRegSlope(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- inTimePeriodF := float64(inTimePeriod)
- lookbackTotal := inTimePeriod
- startIdx := lookbackTotal
- outIdx := startIdx - 1
- today := startIdx - 1
- sumX := inTimePeriodF * (inTimePeriodF - 1) * 0.5
- sumXSqr := inTimePeriodF * (inTimePeriodF - 1) * (2*inTimePeriodF - 1) / 6
- divisor := sumX*sumX - inTimePeriodF*sumXSqr
- //initialize values of sumY and sumXY over first (inTimePeriod) input values
- sumXY := 0.0
- sumY := 0.0
- i := inTimePeriod
- for i != 0 {
- i--
- tempValue1 := inReal[today-i]
- sumY += tempValue1
- sumXY += float64(i) * tempValue1
- }
- for today < len(inReal) {
- //sumX and sumXY are already available for first output value
- if today > startIdx-1 {
- tempValue2 := inReal[today-inTimePeriod]
- sumXY += sumY - inTimePeriodF*tempValue2
- sumY += inReal[today] - tempValue2
- }
- outReal[outIdx] = (inTimePeriodF*sumXY - sumX*sumY) / divisor
- outIdx++
- today++
- }
- return outReal
- }
- // StdDev - Standard Deviation
- func StdDev(inReal []float64, inTimePeriod int, inNbDev float64) []float64 {
- outReal := Var(inReal, inTimePeriod)
- if inNbDev != 1.0 {
- for i := 0; i < len(inReal); i++ {
- tempReal := outReal[i]
- if !(tempReal < 0.00000000000001) {
- outReal[i] = math.Sqrt(tempReal) * inNbDev
- } else {
- outReal[i] = 0.0
- }
- }
- } else {
- for i := 0; i < len(inReal); i++ {
- tempReal := outReal[i]
- if !(tempReal < 0.00000000000001) {
- outReal[i] = math.Sqrt(tempReal)
- } else {
- outReal[i] = 0.0
- }
- }
- }
- return outReal
- }
- // Tsf - Time Series Forecast
- func Tsf(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- inTimePeriodF := float64(inTimePeriod)
- lookbackTotal := inTimePeriod
- startIdx := lookbackTotal
- outIdx := startIdx - 1
- today := startIdx - 1
- sumX := inTimePeriodF * (inTimePeriodF - 1.0) * 0.5
- sumXSqr := inTimePeriodF * (inTimePeriodF - 1) * (2*inTimePeriodF - 1) / 6
- divisor := sumX*sumX - inTimePeriodF*sumXSqr
- //initialize values of sumY and sumXY over first (inTimePeriod) input values
- sumXY := 0.0
- sumY := 0.0
- i := inTimePeriod
- for i != 0 {
- i--
- tempValue1 := inReal[today-i]
- sumY += tempValue1
- sumXY += float64(i) * tempValue1
- }
- for today < len(inReal) {
- //sumX and sumXY are already available for first output value
- if today > startIdx-1 {
- tempValue2 := inReal[today-inTimePeriod]
- sumXY += sumY - inTimePeriodF*tempValue2
- sumY += inReal[today] - tempValue2
- }
- m := (inTimePeriodF*sumXY - sumX*sumY) / divisor
- b := (sumY - m*sumX) / inTimePeriodF
- outReal[outIdx] = b + m*inTimePeriodF
- today++
- outIdx++
- }
- return outReal
- }
- // Var - Variance
- func Var(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- nbInitialElementNeeded := inTimePeriod - 1
- startIdx := nbInitialElementNeeded
- periodTotal1 := 0.0
- periodTotal2 := 0.0
- trailingIdx := startIdx - nbInitialElementNeeded
- i := trailingIdx
- if inTimePeriod > 1 {
- for i < startIdx {
- tempReal := inReal[i]
- periodTotal1 += tempReal
- tempReal *= tempReal
- periodTotal2 += tempReal
- i++
- }
- }
- outIdx := startIdx
- for ok := true; ok; {
- tempReal := inReal[i]
- periodTotal1 += tempReal
- tempReal *= tempReal
- periodTotal2 += tempReal
- meanValue1 := periodTotal1 / float64(inTimePeriod)
- meanValue2 := periodTotal2 / float64(inTimePeriod)
- tempReal = inReal[trailingIdx]
- periodTotal1 -= tempReal
- tempReal *= tempReal
- periodTotal2 -= tempReal
- outReal[outIdx] = meanValue2 - meanValue1*meanValue1
- i++
- trailingIdx++
- outIdx++
- ok = i < len(inReal)
- }
- return outReal
- }
- /* Math Transform Functions */
- // Acos - Vector Trigonometric ACOS
- func Acos(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Acos(inReal[i])
- }
- return outReal
- }
- // Asin - Vector Trigonometric ASIN
- func Asin(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Asin(inReal[i])
- }
- return outReal
- }
- // Atan - Vector Trigonometric ATAN
- func Atan(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Atan(inReal[i])
- }
- return outReal
- }
- // Ceil - Vector CEIL
- func Ceil(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Ceil(inReal[i])
- }
- return outReal
- }
- // Cos - Vector Trigonometric COS
- func Cos(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Cos(inReal[i])
- }
- return outReal
- }
- // Cosh - Vector Trigonometric COSH
- func Cosh(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Cosh(inReal[i])
- }
- return outReal
- }
- // Exp - Vector atrithmetic EXP
- func Exp(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Exp(inReal[i])
- }
- return outReal
- }
- // Floor - Vector FLOOR
- func Floor(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Floor(inReal[i])
- }
- return outReal
- }
- // Ln - Vector natural log LN
- func Ln(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Log(inReal[i])
- }
- return outReal
- }
- // Log10 - Vector LOG10
- func Log10(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Log10(inReal[i])
- }
- return outReal
- }
- // Sin - Vector Trigonometric SIN
- func Sin(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Sin(inReal[i])
- }
- return outReal
- }
- // Sinh - Vector Trigonometric SINH
- func Sinh(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Sinh(inReal[i])
- }
- return outReal
- }
- // Sqrt - Vector SQRT
- func Sqrt(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Sqrt(inReal[i])
- }
- return outReal
- }
- // Tan - Vector Trigonometric TAN
- func Tan(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Tan(inReal[i])
- }
- return outReal
- }
- // Tanh - Vector Trigonometric TANH
- func Tanh(inReal []float64) []float64 {
- outReal := make([]float64, len(inReal))
- for i := 0; i < len(inReal); i++ {
- outReal[i] = math.Tanh(inReal[i])
- }
- return outReal
- }
- /* Math Operator Functions */
- // Add - Vector arithmetic addition
- func Add(inReal0 []float64, inReal1 []float64) []float64 {
- outReal := make([]float64, len(inReal0))
- for i := 0; i < len(inReal0); i++ {
- outReal[i] = inReal0[i] + inReal1[i]
- }
- return outReal
- }
- // Div - Vector arithmetic division
- func Div(inReal0 []float64, inReal1 []float64) []float64 {
- outReal := make([]float64, len(inReal0))
- for i := 0; i < len(inReal0); i++ {
- outReal[i] = inReal0[i] / inReal1[i]
- }
- return outReal
- }
- // Max - Highest value over a period
- func Max(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- if inTimePeriod < 2 {
- return outReal
- }
- nbInitialElementNeeded := inTimePeriod - 1
- startIdx := nbInitialElementNeeded
- outIdx := startIdx
- today := startIdx
- trailingIdx := startIdx - nbInitialElementNeeded
- highestIdx := -1
- highest := 0.0
- for today < len(outReal) {
- tmp := inReal[today]
- if highestIdx < trailingIdx {
- highestIdx = trailingIdx
- highest = inReal[highestIdx]
- i := highestIdx + 1
- for i <= today {
- tmp = inReal[i]
- if tmp > highest {
- highestIdx = i
- highest = tmp
- }
- i++
- }
- } else if tmp >= highest {
- highestIdx = today
- highest = tmp
- }
- outReal[outIdx] = highest
- outIdx++
- trailingIdx++
- today++
- }
- return outReal
- }
- // MaxIndex - Index of highest value over a specified period
- func MaxIndex(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- if inTimePeriod < 2 {
- return outReal
- }
- nbInitialElementNeeded := inTimePeriod - 1
- startIdx := nbInitialElementNeeded
- outIdx := startIdx
- today := startIdx
- trailingIdx := startIdx - nbInitialElementNeeded
- highestIdx := -1
- highest := 0.0
- for today < len(inReal) {
- tmp := inReal[today]
- if highestIdx < trailingIdx {
- highestIdx = trailingIdx
- highest = inReal[highestIdx]
- i := highestIdx + 1
- for i <= today {
- tmp := inReal[i]
- if tmp > highest {
- highestIdx = i
- highest = tmp
- }
- i++
- }
- } else if tmp >= highest {
- highestIdx = today
- highest = tmp
- }
- outReal[outIdx] = float64(highestIdx)
- outIdx++
- trailingIdx++
- today++
- }
- return outReal
- }
- // Min - Lowest value over a period
- func Min(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- if inTimePeriod < 2 {
- return outReal
- }
- nbInitialElementNeeded := inTimePeriod - 1
- startIdx := nbInitialElementNeeded
- outIdx := startIdx
- today := startIdx
- trailingIdx := startIdx - nbInitialElementNeeded
- lowestIdx := -1
- lowest := 0.0
- for today < len(outReal) {
- tmp := inReal[today]
- if lowestIdx < trailingIdx {
- lowestIdx = trailingIdx
- lowest = inReal[lowestIdx]
- i := lowestIdx + 1
- for i <= today {
- tmp = inReal[i]
- if tmp < lowest {
- lowestIdx = i
- lowest = tmp
- }
- i++
- }
- } else if tmp <= lowest {
- lowestIdx = today
- lowest = tmp
- }
- outReal[outIdx] = lowest
- outIdx++
- trailingIdx++
- today++
- }
- return outReal
- }
- // MinIndex - Index of lowest value over a specified period
- func MinIndex(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- if inTimePeriod < 2 {
- return outReal
- }
- nbInitialElementNeeded := inTimePeriod - 1
- startIdx := nbInitialElementNeeded
- outIdx := startIdx
- today := startIdx
- trailingIdx := startIdx - nbInitialElementNeeded
- lowestIdx := -1
- lowest := 0.0
- for today < len(inReal) {
- tmp := inReal[today]
- if lowestIdx < trailingIdx {
- lowestIdx = trailingIdx
- lowest = inReal[lowestIdx]
- i := lowestIdx + 1
- for i <= today {
- tmp = inReal[i]
- if tmp < lowest {
- lowestIdx = i
- lowest = tmp
- }
- i++
- }
- } else if tmp <= lowest {
- lowestIdx = today
- lowest = tmp
- }
- outReal[outIdx] = float64(lowestIdx)
- outIdx++
- trailingIdx++
- today++
- }
- return outReal
- }
- // MinMax - Lowest and highest values over a specified period
- func MinMax(inReal []float64, inTimePeriod int) ([]float64, []float64) {
- outMin := make([]float64, len(inReal))
- outMax := make([]float64, len(inReal))
- nbInitialElementNeeded := (inTimePeriod - 1)
- startIdx := nbInitialElementNeeded
- outIdx := startIdx
- today := startIdx
- trailingIdx := startIdx - nbInitialElementNeeded
- highestIdx := -1
- highest := 0.0
- lowestIdx := -1
- lowest := 0.0
- for today < len(inReal) {
- tmpLow, tmpHigh := inReal[today], inReal[today]
- if highestIdx < trailingIdx {
- highestIdx = trailingIdx
- highest = inReal[highestIdx]
- i := highestIdx
- i++
- for i <= today {
- tmpHigh = inReal[i]
- if tmpHigh > highest {
- highestIdx = i
- highest = tmpHigh
- }
- i++
- }
- } else if tmpHigh >= highest {
- highestIdx = today
- highest = tmpHigh
- }
- if lowestIdx < trailingIdx {
- lowestIdx = trailingIdx
- lowest = inReal[lowestIdx]
- i := lowestIdx
- i++
- for i <= today {
- tmpLow = inReal[i]
- if tmpLow < lowest {
- lowestIdx = i
- lowest = tmpLow
- }
- i++
- }
- } else if tmpLow <= lowest {
- lowestIdx = today
- lowest = tmpLow
- }
- outMax[outIdx] = highest
- outMin[outIdx] = lowest
- outIdx++
- trailingIdx++
- today++
- }
- return outMin, outMax
- }
- // MinMaxIndex - Indexes of lowest and highest values over a specified period
- func MinMaxIndex(inReal []float64, inTimePeriod int) ([]float64, []float64) {
- outMinIdx := make([]float64, len(inReal))
- outMaxIdx := make([]float64, len(inReal))
- nbInitialElementNeeded := (inTimePeriod - 1)
- startIdx := nbInitialElementNeeded
- outIdx := startIdx
- today := startIdx
- trailingIdx := startIdx - nbInitialElementNeeded
- highestIdx := -1
- highest := 0.0
- lowestIdx := -1
- lowest := 0.0
- for today < len(inReal) {
- tmpLow, tmpHigh := inReal[today], inReal[today]
- if highestIdx < trailingIdx {
- highestIdx = trailingIdx
- highest = inReal[highestIdx]
- i := highestIdx
- i++
- for i <= today {
- tmpHigh = inReal[i]
- if tmpHigh > highest {
- highestIdx = i
- highest = tmpHigh
- }
- i++
- }
- } else if tmpHigh >= highest {
- highestIdx = today
- highest = tmpHigh
- }
- if lowestIdx < trailingIdx {
- lowestIdx = trailingIdx
- lowest = inReal[lowestIdx]
- i := lowestIdx
- i++
- for i <= today {
- tmpLow = inReal[i]
- if tmpLow < lowest {
- lowestIdx = i
- lowest = tmpLow
- }
- i++
- }
- } else if tmpLow <= lowest {
- lowestIdx = today
- lowest = tmpLow
- }
- outMaxIdx[outIdx] = float64(highestIdx)
- outMinIdx[outIdx] = float64(lowestIdx)
- outIdx++
- trailingIdx++
- today++
- }
- return outMinIdx, outMaxIdx
- }
- // Mult - Vector arithmetic multiply
- func Mult(inReal0 []float64, inReal1 []float64) []float64 {
- outReal := make([]float64, len(inReal0))
- for i := 0; i < len(inReal0); i++ {
- outReal[i] = inReal0[i] * inReal1[i]
- }
- return outReal
- }
- // Sub - Vector arithmetic subtraction
- func Sub(inReal0 []float64, inReal1 []float64) []float64 {
- outReal := make([]float64, len(inReal0))
- for i := 0; i < len(inReal0); i++ {
- outReal[i] = inReal0[i] - inReal1[i]
- }
- return outReal
- }
- // Sum - Vector summation
- func Sum(inReal []float64, inTimePeriod int) []float64 {
- outReal := make([]float64, len(inReal))
- lookbackTotal := inTimePeriod - 1
- startIdx := lookbackTotal
- periodTotal := 0.0
- trailingIdx := startIdx - lookbackTotal
- i := trailingIdx
- if inTimePeriod > 1 {
- for i < startIdx {
- periodTotal += inReal[i]
- i++
- }
- }
- outIdx := startIdx
- for i < len(inReal) {
- periodTotal += inReal[i]
- tempReal := periodTotal
- periodTotal -= inReal[trailingIdx]
- outReal[outIdx] = tempReal
- i++
- trailingIdx++
- outIdx++
- }
- return outReal
- }
- // HeikinashiCandles - from candle values extracts heikinashi candle values.
- //
- // Returns highs, opens, closes and lows of the heikinashi candles (in this order).
- //
- // NOTE: The number of Heikin-Ashi candles will always be one less than the number of provided candles, due to the fact
- // that a previous candle is necessary to calculate the Heikin-Ashi candle, therefore the first provided candle is not considered
- // as "current candle" in the algorithm, but only as "previous candle".
- func HeikinashiCandles(highs []float64, opens []float64, closes []float64, lows []float64) ([]float64, []float64, []float64, []float64) {
- N := len(highs)
- heikinHighs := make([]float64, N)
- heikinOpens := make([]float64, N)
- heikinCloses := make([]float64, N)
- heikinLows := make([]float64, N)
- for currentCandle := 1; currentCandle < N; currentCandle++ {
- previousCandle := currentCandle - 1
- heikinHighs[currentCandle] = math.Max(highs[currentCandle], math.Max(opens[currentCandle], closes[currentCandle]))
- heikinOpens[currentCandle] = (opens[previousCandle] + closes[previousCandle]) / 2
- heikinCloses[currentCandle] = (highs[currentCandle] + opens[currentCandle] + closes[currentCandle] + lows[currentCandle]) / 4
- heikinLows[currentCandle] = math.Min(highs[currentCandle], math.Min(opens[currentCandle], closes[currentCandle]))
- }
- return heikinHighs, heikinOpens, heikinCloses, heikinLows
- }
- // Hlc3 returns the Hlc3 values
- //
- // NOTE: Every Hlc item is defined as follows : (high + low + close) / 3
- // It is used as AvgPrice candle.
- func Hlc3(highs []float64, lows []float64, closes []float64) []float64 {
- N := len(highs)
- result := make([]float64, N)
- for i := range highs {
- result[i] = (highs[i] + lows[i] + closes[i]) / 3
- }
- return result
- }
- // Crossover returns true if series1 is crossing over series2.
- //
- // NOTE: Usually this is used with Media Average Series to check if it crosses for buy signals.
- // It assumes first values are the most recent.
- // The crossover function does not use most recent value, since usually it's not a complete candle.
- // The second recent values and the previous are used, instead.
- func Crossover(series1 []float64, series2 []float64) bool {
- if len(series1) < 3 || len(series2) < 3 {
- return false
- }
- N := len(series1)
- return series1[N-2] <= series2[N-2] && series1[N-1] > series2[N-1]
- }
- // Crossunder returns true if series1 is crossing under series2.
- //
- // NOTE: Usually this is used with Media Average Series to check if it crosses for sell signals.
- func Crossunder(series1 []float64, series2 []float64) bool {
- if len(series1) < 3 || len(series2) < 3 {
- return false
- }
- N := len(series1)
- return series1[N-1] <= series2[N-1] && series1[N-2] > series2[N-2]
- }
- // GroupCandles groups a set of candles in another set of candles, basing on a grouping factor.
- //
- // This is pretty useful if you want to transform, for example, 15min candles into 1h candles using same data.
- //
- // This avoid calling multiple times the exchange for multiple contexts.
- //
- // Example:
- //
- // To transform 15 minute candles in 30 minutes candles you have a grouping factor = 2
- //
- // To transform 15 minute candles in 1 hour candles you have a grouping factor = 4
- //
- // To transform 30 minute candles in 1 hour candles you have a grouping factor = 2
- func GroupCandles(highs []float64, opens []float64, closes []float64, lows []float64, groupingFactor int) ([]float64, []float64, []float64, []float64, error) {
- N := len(highs)
- if groupingFactor == 0 {
- return nil, nil, nil, nil, errors.New("Grouping factor must be > 0")
- } else if groupingFactor == 1 {
- return highs, opens, closes, lows, nil // no need to group in this case, return the parameters.
- }
- if N%groupingFactor > 0 {
- return nil, nil, nil, nil, errors.New("Cannot group properly, need a groupingFactor which is a factor of the number of candles")
- }
- groupedN := N / groupingFactor
- groupedHighs := make([]float64, groupedN)
- groupedOpens := make([]float64, groupedN)
- groupedCloses := make([]float64, groupedN)
- groupedLows := make([]float64, groupedN)
- lastOfCurrentGroup := groupingFactor - 1
- k := 0
- for i := 0; i < N; i += groupingFactor { // scan all param candles
- groupedOpens[k] = opens[i]
- groupedCloses[k] = closes[i+lastOfCurrentGroup]
- groupedHighs[k] = highs[i]
- groupedLows[k] = lows[i]
- endOfCurrentGroup := i + lastOfCurrentGroup
- for j := i + 1; j <= endOfCurrentGroup; j++ { // group high lows candles here
- if lows[j] < groupedLows[k] {
- groupedLows[k] = lows[j]
- }
- if highs[j] > groupedHighs[k] {
- groupedHighs[k] = highs[j]
- }
- }
- k++
- }
- return groupedHighs, groupedOpens, groupedCloses, groupedLows, nil
- }
|