sentio/indicator/art_trailing_stop_loss.go

package indicator

import (
	"errors"
	"git.beejay.kim/Gshopper/sentio"
	"git.beejay.kim/Gshopper/sentio/talib"
	"time"
)

func AtrTrailingStopLoss(m sentio.Market,
	period uint,
	length uint,
	multiplier float64,
	hhv int,
	symbols ...string,
) (map[string]float64, error) {
	var (
		stoplosses map[string]float64
		bars       map[string][]sentio.Bar
		err        error
	)

	if bars, err = m.HistoricalBars(symbols, time.Minute*time.Duration(period), nil); err != nil {
		return nil, err
	}

	stoplosses = make(map[string]float64)
	for s := range bars {
		if bars == nil || len(bars[s]) < int(length) {
			return nil, errors.New("AtrStopLoss: could not calculate stoploss for too short timeseries")
		}

		h := make([]float64, len(bars[s]))
		l := make([]float64, len(bars[s]))
		c := make([]float64, len(bars[s]))

		for i := range bars[s] {
			h[i] = bars[s][i].High
			l[i] = bars[s][i].Low
			c[i] = bars[s][i].Close
		}

		atr := talib.Atr(h, l, c, int(length))
		trailing := make([]float64, len(atr))
		for i := range atr {
			trailing[i] = c[i] - multiplier*atr[i]
		}

		if hhv > 1 {
			trailing = talib.Max(trailing, hhv)
		}

		stoplosses[s] = trailing[len(trailing)-1]
	}

	return stoplosses, nil
}