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supertrend.go
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supertrend.go
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package indicator
import (
"fmt"
"time"
"github.com/ezquant/azbot/azbot/model"
"github.com/ezquant/azbot/azbot/plot"
"github.com/markcheno/go-talib"
)
func Spertrend(period int, factor float64, color string) plot.Indicator {
return &supertrend{
Period: period,
Factor: factor,
Color: color,
}
}
type supertrend struct {
Period int
Factor float64
Color string
Close model.Series[float64]
BasicUpperBand model.Series[float64]
FinalUpperBand model.Series[float64]
BasicLowerBand model.Series[float64]
FinalLowerBand model.Series[float64]
SuperTrend model.Series[float64]
Time []time.Time
}
func (s supertrend) Warmup() int {
return s.Period
}
func (s supertrend) Name() string {
return fmt.Sprintf("SuperTrend(%d,%.1f)", s.Period, s.Factor)
}
func (s supertrend) Overlay() bool {
return true
}
func (s *supertrend) Load(df *model.Dataframe) {
if len(df.Time) < s.Period {
return
}
atr := talib.Atr(df.High, df.Low, df.Close, s.Period)
s.BasicUpperBand = make([]float64, len(atr))
s.BasicLowerBand = make([]float64, len(atr))
s.FinalUpperBand = make([]float64, len(atr))
s.FinalLowerBand = make([]float64, len(atr))
s.SuperTrend = make([]float64, len(atr))
for i := 1; i < len(s.BasicLowerBand); i++ {
s.BasicUpperBand[i] = (df.High[i]+df.Low[i])/2.0 + atr[i]*s.Factor
s.BasicLowerBand[i] = (df.High[i]+df.Low[i])/2.0 - atr[i]*s.Factor
if i == 0 {
s.FinalUpperBand[i] = s.BasicUpperBand[i]
} else if s.BasicUpperBand[i] < s.FinalUpperBand[i-1] ||
df.Close[i-1] > s.FinalUpperBand[i-1] {
s.FinalUpperBand[i] = s.BasicUpperBand[i]
} else {
s.FinalUpperBand[i] = s.FinalUpperBand[i-1]
}
if i == 0 || s.BasicLowerBand[i] > s.FinalLowerBand[i-1] ||
df.Close[i-1] < s.FinalLowerBand[i-1] {
s.FinalLowerBand[i] = s.BasicLowerBand[i]
} else {
s.FinalLowerBand[i] = s.FinalLowerBand[i-1]
}
if i == 0 || s.FinalUpperBand[i-1] == s.SuperTrend[i-1] {
if df.Close[i] > s.FinalUpperBand[i] {
s.SuperTrend[i] = s.FinalLowerBand[i]
} else {
s.SuperTrend[i] = s.FinalUpperBand[i]
}
} else {
if df.Close[i] < s.FinalLowerBand[i] {
s.SuperTrend[i] = s.FinalUpperBand[i]
} else {
s.SuperTrend[i] = s.FinalLowerBand[i]
}
}
}
s.Time = df.Time[s.Period:]
s.SuperTrend = s.SuperTrend[s.Period:]
}
func (s supertrend) Metrics() []plot.IndicatorMetric {
return []plot.IndicatorMetric{
{
Style: "scatter",
Color: s.Color,
Values: s.SuperTrend,
Time: s.Time,
},
}
}