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technical-indicators.rkt
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technical-indicators.rkt
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#lang racket/base
(require racket/sequence
racket/vector
"structs.rkt")
(provide simple-moving-average
simple-average-true-range
donchian-channel
delta
shift
crow-soldier-reversal)
(define (vector-partition v period step)
(if (> period (vector-length v)) (vector)
(vector-append (vector (vector-take v period))
(vector-partition (vector-drop v step) period step))))
(define (simple-moving-average date-ohlc-vector period)
(vector-map (λ (v) (dv (dohlc-date (vector-ref v (- period 1)))
(/ (sequence-fold (λ (acc el) (+ acc (dohlc-close el))) 0
(vector-take v period)) period)))
(vector-partition date-ohlc-vector period 1)))
(define (true-range high low previous-close)
(max (- high low)
(abs (- high previous-close))
(abs (- low previous-close))))
(define (simple-average-true-range date-ohlc-vector period)
(let ([true-ranges (vector-map (λ (v) (dv (dohlc-date (vector-ref v 1))
(true-range (dohlc-high (vector-ref v 1))
(dohlc-low (vector-ref v 1))
(dohlc-close (vector-ref v 0)))))
(vector-partition date-ohlc-vector 2 1))])
(vector-map (λ (v) (dv (dv-date (vector-ref v (- period 1)))
(/ (sequence-fold (λ (acc el) (+ acc (dv-value el))) 0
(vector-take v period)) period)))
(vector-partition true-ranges period 1))))
(define (donchian-channel date-ohlc-vector period)
(values (vector-map (λ (v) (dv (dohlc-date (vector-ref v (- period 1)))
(sequence-fold (λ (acc el) (max acc (dohlc-high el)))
(dohlc-high (vector-ref v 0)) v)))
(vector-partition date-ohlc-vector period 1))
(vector-map (λ (v) (dv (dohlc-date (vector-ref v (- period 1)))
(sequence-fold (λ (acc el) (min acc (dohlc-low el)))
(dohlc-low (vector-ref v 0)) v)))
(vector-partition date-ohlc-vector period 1))))
(define (delta dv-vector period)
(vector-map (λ (v) (dv (dv-date (vector-ref v (- period 1)))
(- (dv-value (vector-ref v (- period 1))) (dv-value (vector-ref v 0)))))
(vector-partition dv-vector period 1)))
(define (shift dv-vector period)
(vector-map (λ (v) (dv (dv-date (vector-ref v (- period 1)))
(dv-value (vector-ref v 0))))
(vector-partition dv-vector period 1)))
; Technical indicator to count the number of consecutive crows or soldiers before a reversal.
; There is probably a better name for this.
;
; https://en.wikipedia.org/wiki/Three_black_crows
; https://en.wikipedia.org/wiki/Three_white_soldiers
(define (crow-soldier-reversal date-ohlc-vector period)
(let ([ud (vector-map (λ (v) (cond [(and (> (dohlc-high (vector-ref v 1))
(dohlc-high (vector-ref v 0)))
(> (dohlc-low (vector-ref v 1))
(dohlc-low (vector-ref v 0))))
(dv (dohlc-date (vector-ref v 1)) 1)]
[(and (< (dohlc-high (vector-ref v 1))
(dohlc-high (vector-ref v 0)))
(< (dohlc-low (vector-ref v 1))
(dohlc-low (vector-ref v 0))))
(dv (dohlc-date (vector-ref v 1)) -1)]
[else (dv (dohlc-date (vector-ref v 1)) 0)]))
(vector-partition date-ohlc-vector 2 1))])
(vector-map (λ (v) (let ([sum (sequence-fold (λ (acc el) (+ (dv-value el) acc)) 0
(vector-take v (- (vector-length v) 1)))])
(cond [(and (= -1 (dv-value (vector-ref v (- (vector-length v) 1))))
(= sum (- (vector-length v) 1)))
(dv (dv-date (vector-ref v (- (vector-length v) 1)))
sum)]
[(and (= 1 (dv-value (vector-ref v (- (vector-length v) 1))))
(= (* sum -1) (- (vector-length v) 1)))
(dv (dv-date (vector-ref v (- (vector-length v) 1)))
sum)]
[else (dv (dv-date (vector-ref v (- (vector-length v) 1)))
0)])))
(vector-partition ud period 1))))