feat(indicator): include indicator module (#178)

rodrigo-brito · Jul 22, 2022 · a85bdd9 · a85bdd9
1 parent 0bab420
commit a85bdd9
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Showing 6 changed files with 523 additions and 11 deletions.
diff --git a/examples/strategies/emacross.go b/examples/strategies/emacross.go
@@ -2,10 +2,10 @@ package strategies
 
 import (
 	"github.com/rodrigo-brito/ninjabot"
+	"github.com/rodrigo-brito/ninjabot/indicator"
 	"github.com/rodrigo-brito/ninjabot/service"
 	"github.com/rodrigo-brito/ninjabot/strategy"
 
-	"github.com/markcheno/go-talib"
 	log "github.com/sirupsen/logrus"
 )
 
@@ -20,8 +20,8 @@ func (e CrossEMA) WarmupPeriod() int {
 }
 
 func (e CrossEMA) Indicators(df *ninjabot.Dataframe) []strategy.ChartIndicator {
-	df.Metadata["ema8"] = talib.Ema(df.Close, 8)
-	df.Metadata["sma21"] = talib.Sma(df.Close, 21)
+	df.Metadata["ema8"] = indicator.EMA(df.Close, 8)
+	df.Metadata["sma21"] = indicator.SMA(df.Close, 21)
 
 	return []strategy.ChartIndicator{
 		{

diff --git a/examples/strategies/ocosell.go b/examples/strategies/ocosell.go
@@ -1,11 +1,12 @@
 package strategies
 
 import (
+	"github.com/markcheno/go-talib"
+	"github.com/rodrigo-brito/ninjabot/indicator"
 	"github.com/rodrigo-brito/ninjabot/model"
 	"github.com/rodrigo-brito/ninjabot/service"
 	"github.com/rodrigo-brito/ninjabot/strategy"
 
-	"github.com/markcheno/go-talib"
 	log "github.com/sirupsen/logrus"
 )
 
@@ -20,7 +21,7 @@ func (e OCOSell) WarmupPeriod() int {
 }
 
 func (e OCOSell) Indicators(df *model.Dataframe) []strategy.ChartIndicator {
-	df.Metadata["stoch"], df.Metadata["stoch_signal"] = talib.Stoch(
+	df.Metadata["stoch"], df.Metadata["stoch_signal"] = indicator.Stoch(
 		df.High,
 		df.Low,
 		df.Close,

diff --git a/examples/strategies/trailingstop.go b/examples/strategies/trailingstop.go
@@ -1,12 +1,13 @@
 package strategies
 
 import (
-	"github.com/markcheno/go-talib"
 	"github.com/rodrigo-brito/ninjabot"
+	"github.com/rodrigo-brito/ninjabot/indicator"
 	"github.com/rodrigo-brito/ninjabot/model"
 	"github.com/rodrigo-brito/ninjabot/service"
 	"github.com/rodrigo-brito/ninjabot/strategy"
 	"github.com/rodrigo-brito/ninjabot/tools"
+
 	log "github.com/sirupsen/logrus"
 )
 
@@ -38,8 +39,8 @@ func (t trailing) WarmupPeriod() int {
 }
 
 func (t trailing) Indicators(df *model.Dataframe) []strategy.ChartIndicator {
-	df.Metadata["ema_fast"] = talib.Ema(df.Close, 8)
-	df.Metadata["sma_slow"] = talib.Sma(df.Close, 21)
+	df.Metadata["ema_fast"] = indicator.EMA(df.Close, 8)
+	df.Metadata["sma_slow"] = indicator.SMA(df.Close, 21)
 
 	return nil
 }

diff --git a/examples/strategies/turtle.go b/examples/strategies/turtle.go
@@ -2,10 +2,10 @@ package strategies
 
 import (
 	"github.com/rodrigo-brito/ninjabot"
+	"github.com/rodrigo-brito/ninjabot/indicator"
 	"github.com/rodrigo-brito/ninjabot/service"
 	"github.com/rodrigo-brito/ninjabot/strategy"
 
-	"github.com/markcheno/go-talib"
 	log "github.com/sirupsen/logrus"
 )
 
@@ -21,8 +21,8 @@ func (e Turtle) WarmupPeriod() int {
 }
 
 func (e Turtle) Indicators(df *ninjabot.Dataframe) []strategy.ChartIndicator {
-	df.Metadata["turtleHighest"] = talib.Max(df.Close, 40)
-	df.Metadata["turtleLowest"] = talib.Min(df.Close, 20)
+	df.Metadata["turtleHighest"] = indicator.Max(df.Close, 40)
+	df.Metadata["turtleLowest"] = indicator.Min(df.Close, 20)
 
 	return nil
 }

diff --git a/indicator/supertrend.go b/indicator/supertrend.go
@@ -0,0 +1,47 @@
+package indicator
+
+import "github.com/markcheno/go-talib"
+
+func SuperTrend(high, low, close []float64, atrPeriod int, factor float64) []float64 {
+	atr := talib.Atr(high, low, close, atrPeriod)
+	basicUpperBand := make([]float64, len(atr))
+	basicLowerBand := make([]float64, len(atr))
+	finalUpperBand := make([]float64, len(atr))
+	finalLowerBand := make([]float64, len(atr))
+	superTrend := make([]float64, len(atr))
+
+	for i := 1; i < len(basicLowerBand); i++ {
+		basicUpperBand[i] = (high[i]+low[i])/2.0 + atr[i]*factor
+		basicLowerBand[i] = (high[i]+low[i])/2.0 - atr[i]*factor
+
+		if basicUpperBand[i] < finalUpperBand[i-1] ||
+			close[i-1] > finalUpperBand[i-1] {
+			finalUpperBand[i] = basicUpperBand[i]
+		} else {
+			finalUpperBand[i] = finalUpperBand[i-1]
+		}
+
+		if basicLowerBand[i] > finalLowerBand[i-1] ||
+			close[i-1] < finalLowerBand[i-1] {
+			finalLowerBand[i] = basicLowerBand[i]
+		} else {
+			finalLowerBand[i] = finalLowerBand[i-1]
+		}
+
+		if finalUpperBand[i-1] == superTrend[i-1] {
+			if close[i] > finalUpperBand[i] {
+				superTrend[i] = finalLowerBand[i]
+			} else {
+				superTrend[i] = finalUpperBand[i]
+			}
+		} else {
+			if close[i] < finalLowerBand[i] {
+				superTrend[i] = finalUpperBand[i]
+			} else {
+				superTrend[i] = finalLowerBand[i]
+			}
+		}
+	}
+
+	return superTrend
+}