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/*
Copyright 2016 Mark Chenoweth
Licensed under terms of MIT license (see LICENSE)
*/
// Package talib is a pure Go port of TA-Lib (http://ta-lib.org) Technical Analysis Library
package talib
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