sdcoffey / techan Goto Github PK

How to obtain the macd signal?

In the tests, one can only obtain the macd and macd histogram values

package techan

import (
	"testing"

	"github.com/stretchr/testify/assert"
)

func TestNewMACDIndicator(t *testing.T) {
	series := randomTimeSeries(100)

	macd := NewMACDIndicator(NewClosePriceIndicator(series), 12, 26)

	assert.NotNil(t, macd)
}

func TestNewMACDHistogramIndicator(t *testing.T) {
	series := randomTimeSeries(100)

	macd := NewMACDIndicator(NewClosePriceIndicator(series), 12, 26)
	macdHistogram := NewMACDHistogramIndicator(macd, 9)

	assert.NotNil(t, macdHistogram)
}

Any thoughts ?

Am very appreciative of you work on this. Please add more documentation via examples, with comments on every line, and more realistic scenarios. I know this seems like just a chore, and it’s easier said than done, but needs to be done. For example, examples were last updated 4 years ago, but last update seems to have been 26 days ago, to the Readme. I have to fight for better documentation at work every day :) Always tough to justify the time spent on it. But I find that, as a result, people tend to get a more solid start, ask fewer “dumb” questions along the way, use the code in the right way, figure out issues more efficiently on their own, and they are more willing to contribute in kind when they resolve the eventual bug. Thank you

Hello, Steve Coffey!
What is the difference between PayPal Orders API and Payments API from Checkout-Java-SDK?
Which one to use if I want to use authentications?
It is seems that Orders API not allows doing void of authorization. It feels like Order API is for use cases where you want to capture instantly and Payments API is for use cases when you want to use authorization, but it's not clear for me yet, am I right?

Orders API
https://developer.paypal.com/docs/api/orders/v2/

Payments API
https://developer.paypal.com/docs/api/payments/v2/

Hey! I had a problem recalculating the last value of a series due to result caching. I want to propose to take out the need to use the cache for the flag. What do you think of it?

for example

go.sum file is generated by golang with go.mod automatically.

I found some profile analyze use exitvalue sub costbaseis, but in future, you could sell short first and then buy long.
does the profit analyze with order side?

Hi!
Thanks for your library!
I think it would be useful to add support and resistance levels indicator for a symbol.
https://www.investopedia.com/trading/support-and-resistance-basics/

Is this package maintained?
There some open pull requests that date to 2021.

Hi, I see the implementation of EMA does not consider the time window, is it correct?

Also, is RSI correct since RSI relays on EMA?

I can't say for sure what's wrong (I'm not familiar how RSI is calculated), but the calculation itself is not providing the right result when I compare to what I see on Tradingview. To triple-check I was not doing something wrong, I tried with this library https://github.com/markcheno/go-talib, which provided the expected result.

Also I'm using successfully the EMA of this library, which works well, so I highly suspect that the RSI calculation is not correct.

I'm running a server which appends candles to a techan.TimeSeries struct. Since I can't save the candles forever(if so, Out Of Memory will make me crazy), I'm throwing away the old ones if a new candle is appended(for example, if len(timeSeries.Candles) > 200, I throw up the old ones to hold only 200 candles). I'll call my candles` slice MyBuffer.
The problem is: if I run MACD, it gives me the same value for every new candle appended. And the reason I analysed is this:

Is setting MyBuffer's size the only way to solve this situation? Or is there other graceful way to this problem?

I've been looking into code of TotalProfitAnalysis Analyze.

It looks we have miscalculation for all short positions.

Based on a series of data, to plot the MACD and signal lines, I am doing:

	macD := analytics.MACD(closePriceIndicator, 12, 26)
	macDSignal := analytics.MACDSignalLine(macD, 9)

Where the above two functions are defined as:

func MACD(indicator techan.Indicator, shortWindow, longWindow int) techan.Indicator {
	return techan.NewMACDIndicator(indicator, shortWindow, longWindow)
}
func MACDSignalLine(indicator techan.Indicator, window int) techan.Indicator {
	return techan.NewEMAIndicator(indicator, window)
}

However when I plot this, I get two very different lines

To check I wasn't going completely mad, I changed the signal line to use an SMA instead, so my MACDSignalLine function becomes

func MACDSignalLine(indicator techan.Indicator, window int) techan.Indicator {
	return techan.NewSimpleMovingAverage(indicator, window) // Create an exponential moving average with a window of 10
}

which plots like

Which suggests that the EMA isn't working correctly for some reason here. Any suggestions as to where Im going wrong would be great, thanks!

	ema := NewEMAIndicator(NewClosePriceIndicator(ts), 10)

	decimalEquals(t, 63.6948, ema.Calculate(9))
	decimalEquals(t, 63.2649, ema.Calculate(10))
	decimalEquals(t, 62.9458, ema.Calculate(11))

ts variable has a time-period set for candles already. So what is this window parameter passed to NewEMAIndicator? Also, what is the purpose of that parameter index given to Calculate?

I couldn't find any documentation for it. Can someone please explain it to me?

Hello, i used your code with data and ... nothing works. For example EMA always gives 0

Volume:	870.19 Time:	2021-11-28T07:00:00 -> 2021-11-28T08:00:00
Open:	54377.42
Close:	54475.96
High:	54590.48
Low:	54173.81
Volume:	787.07 Time:	2021-11-28T08:00:00 -> 2021-11-28T09:00:00
Open:	54475.97
Close:	54515.61
High:	54636.65
Low:	54396.33
Volume:	985.20 Time:	2021-11-28T09:00:00 -> 2021-11-28T10:00:00
Open:	54515.60
Close:	54396.20
High:	54682.90
Low:	54231.92
Volume:	823.84 Time:	2021-11-28T10:00:00 -> 2021-11-28T11:00:00
Open:	54393.87
Close:	54335.80
High:	54475.00
Low:	54130.72
Volume:	765.69 Time:	2021-11-28T11:00:00 -> 2021-11-28T12:00:00
Open:	54335.80
Close:	54718.15
High:	54933.80
Low:	54184.60
Volume:	1028.53 Time:	2021-11-28T12:00:00 -> 2021-11-28T13:00:00
Open:	54718.15
Close:	54493.09
High:	54875.00
Low:	54425.27
Volume:	1030.39 Time:	2021-11-28T13:00:00 -> 2021-11-28T14:00:00
Open:	54493.10
Close:	54356.62
High:	54635.52
Low:	54263.16
Volume:	909.93 Time:	2021-11-28T14:00:00 -> 2021-11-28T15:00:00
Open:	54356.62
Close:	54274.20
High:	54396.33
Low:	54203.13
Volume:	777.66 Time:	2021-11-28T15:00:00 -> 2021-11-28T16:00:00
Open:	54274.20
Close:	54365.00
High:	54555.00
Low:	54029.99
Volume:	1130.34 Time:	2021-11-28T16:00:00 -> 2021-11-28T17:00:00
Open:	54365.00
Close:	54296.14
High:	54450.00
Low:	54169.84
Volume:	753.77 Time:	2021-11-28T17:00:00 -> 2021-11-28T18:00:00
Open:	54296.14
Close:	54188.43
High:	54373.00
Low:	53942.01
Volume:	1277.10 Time:	2021-11-28T18:00:00 -> 2021-11-28T19:00:00
Open:	54188.43
Close:	53896.37
High:	54287.25
Low:	53800.00
Volume:	1358.34 Time:	2021-11-28T19:00:00 -> 2021-11-28T20:00:00
Open:	53896.36
Close:	54108.99
High:	54186.17
Low:	53256.64
Volume:	2958.13 Time:	2021-11-28T20:00:00 -> 2021-11-28T21:00:00
Open:	54108.99
Close:	54617.85
High:	54967.50
Low:	54044.98
Volume:	2249.23 Time:	2021-11-28T21:00:00 -> 2021-11-28T22:00:00
Open:	54617.85
Close:	54918.51
High:	55149.99
Low:	54617.84
Volume:	1304.77 Time:	2021-11-28T22:00:00 -> 2021-11-28T23:00:00
Open:	54918.51
Close:	56273.23
High:	56390.00
Low:	54863.01
Volume:	3117.97 Time:	2021-11-28T23:00:00 -> 2021-11-29T00:00:00
Open:	56273.23
Close:	56029.82
High:	56729.72
Low:	56023.01
Volume:	2427.77 Time:	2021-11-29T00:00:00 -> 2021-11-29T01:00:00
Open:	56029.81
Close:	57274.88
High:	57445.05
Low:	56000.00
Volume:	3468.79 Time:	2021-11-29T01:00:00 -> 2021-11-29T02:00:00
Open:	57274.89
Close:	57765.73
High:	58000.15
Low:	57136.56
Volume:	3073.53 Time:	2021-11-29T02:00:00 -> 2021-11-29T03:00:00
Open:	57765.73
Close:	57639.76
High:	58242.09
Low:	57501.99
Volume:	2729.83 Time:	2021-11-29T03:00:00 -> 2021-11-29T04:00:00
Open:	57643.14
Close:	57309.25
High:	57715.42
Low:	57269.72
Volume:	1769.15 Time:	2021-11-29T04:00:00 -> 2021-11-29T05:00:00
Open:	57309.26
Close:	57359.02
High:	57426.95
Low:	57176.00
Volume:	1648.18 Time:	2021-11-29T05:00:00 -> 2021-11-29T06:00:00
Open:	57359.02
Close:	57249.58
High:	57642.93
Low:	57232.00
Volume:	1358.98 Time:	2021-11-29T06:00:00 -> 2021-11-29T07:00:00
Open:	57249.58
Close:	57325.75
High:	57384.99
Low:	57200.00
Volume:	801.75 Time:	2021-11-29T07:00:00 -> 2021-11-29T08:00:00
Open:	57325.76
Close:	57426.91
High:	57500.63
Low:	57309.65
Volume:	1002.85 Time:	2021-11-29T08:00:00 -> 2021-11-29T09:00:00
Open:	57426.92
Close:	57515.13
High:	57688.00
Low:	57390.00
Volume:	1047.27 Time:	2021-11-29T09:00:00 -> 2021-11-29T10:00:00
Open:	57512.17
Close:	57514.33
High:	57642.85
Low:	57455.08
Volume:	174.91]}

EMA output: 0.00

The code :

df := techan.NewTimeSeries()

	for _, k := range *klines {
		// opentime, open, high, low, close, volume
		period := techan.NewTimePeriod(time.Unix(k.OpenTime/1000, 0), *duration)

		candle := techan.NewCandle(period)
		candle.OpenPrice = big.NewFromString(k.Open)
		candle.ClosePrice = big.NewFromString(k.Close)
		candle.MaxPrice = big.NewFromString(k.High)
		candle.MinPrice = big.NewFromString(k.Low)
		candle.Volume = big.NewFromString(k.Volume)

		df.AddCandle(candle)
	}

	fmt.Println(df)
        closePrices := techan.NewClosePriceIndicator(df)
	movingAverage := techan.NewEMAIndicator(closePrices, 10) // Create an exponential moving average with a window of 10

	fmt.Println("EMA output :" + movingAverage.Calculate(0).FormattedString(2))

Moving average indicator should NOT cache result of last index in a series as stated on ta4j documentation page about indicators:

Values for the last Bar will not be cached. This allows you to modify the last bar of the TimeSeries by adding price/trades to it and to recalculate results with indicators.

Changes

• the code below
  

  techan/indicator_moving_average.go

  Line 41 in e87ec2e

  resultCache: make([]*big.Decimal, 10000),

  and
  

  techan/indicator_moving_average.go

  Line 75 in e87ec2e

  resultCache: make([]*big.Decimal, 10000),

  should become:

	resultCache: make([]*big.Decimal, 1, 10000),

• techan/indicator_moving_average.go

  Line 48 in e87ec2e

  } else if len(ema.resultCache) > index && ema.resultCache[index] != nil {

  should be changed to use the cache for all indices except last index:

	} else if index < len(ema.resultCache)-1 {

• techan/indicator_moving_average.go

  Lines 59 to 65 in e87ec2e

  	func (ema *emaIndicator) cacheResult(index int, val big.Decimal) {
  	if index < len(ema.resultCache) {
  	ema.resultCache[index] = &val
  	} else {
  	ema.resultCache = append(ema.resultCache, &val)
  	}
  	}

  
  should become:

func (ema *emaIndicator) cacheResult(index int, val big.Decimal) {
	// do not cache the result for last index
	if index == len(ema.resultCache) - 1 {
		return
	}
	if index < len(ema.resultCache) {
		ema.resultCache[index] = &val
	} else {
		ema.resultCache = append(ema.resultCache, &val)
	}
}

Hello sdcoffey,
Long time to see you here, I hope you're ok.
In this function, it's not satisfied to use close price divide CostBasis

func (slr stopLossRule) IsSatisfied(index int, record *TradingRecord) bool {
	if !record.CurrentPosition().IsOpen() {
		return false
	}

	openPrice := record.CurrentPosition().CostBasis()
	loss := slr.Indicator.Calculate(index).Div(openPrice).Sub(big.ONE)
	return loss.LTE(slr.tolerance)
}

https://www.elearnmarkets.com/blog/capture-big-moves-using-supertrend-indicator/

useful for riding trends and trailing stop losses

Hello!

Would it be possible to add a way to include transaction fees into the calculations?
I see two way to do it:

• Update the Strategy interface in order to include it.
• Make a new analyze tool

What do you think of it?

@sdcoffey thanks so much for this library, i am very new to golang and i like to learn a new language through a project and thought of building a bot with this library i am unable to get the strategy struct/function, along with a couple of rules working the way i want them to, i began making my own implementations but i still have lots of issues, I know the question is rather vague but no replies on pull requests for awhile that's why i'm throwing this out here

package main

import (
	"fmt"
	"time"

	"github.com/sdcoffey/big"
	"github.com/sdcoffey/techan"
)

func calcSma(series *techan.TimeSeries, days int) []big.Decimal {
	closePrices := techan.NewClosePriceIndicator(series)
	sma := techan.NewSimpleMovingAverage(closePrices, days)

	cnt := len(series.Candles)
	ret := make([]big.Decimal, cnt)
	for idx := range ret {
		ret[idx] = sma.Calculate(idx)
	}
	return ret
}

func main() {
	series := techan.NewTimeSeries()
	for i := 1; i <= 30; i++ {
		day := time.Date(2020, 5, i, 0, 0, 0, 0, time.Local)
		candle := techan.NewCandle(techan.TimePeriod{
			Start: day,
			End:   day.Add(time.Duration(23) * time.Hour),
		})

		candle.ClosePrice = big.NewDecimal(float64(100 + i))
		added := series.AddCandle(candle)
		if !added {
			fmt.Println("AddCandle failed")
			return
		}
	}

	indicators := calcSma(series, 10)
	fmt.Println("SMA:", indicators)
}

with version 0.12.0

module main

go 1.17

require (
	github.com/sdcoffey/big v0.7.0
	github.com/sdcoffey/techan v0.12.0
)

the program run result is:
SMA: [101 101.5 102 102.5 103 103.5 104 104.5 105 105.5 106.5 107.5 108.5 109.5 110.5 111.5 112.5 113.5 114.5 115.5 116.5 117.5 118.5 119.5 120.5 121.5 122.5 123.5 124.5 125.5]

I think above result is correct, but with v0.12.1

 module main

go 1.17

require (
	github.com/sdcoffey/big v0.7.0
	github.com/sdcoffey/techan v0.12.1
)

the result is:
SMA: [0 0 0 0 0 0 0 0 0 105.5 106.5 107.5 108.5 109.5 110.5 111.5 112.5 113.5 114.5 115.5 116.5 117.5 118.5 119.5 120.5 121.5 122.5 123.5 124.5 125.5]

I think the initial 0s are incorrect.

Is this a bug or a new feature?

Hi! I think it's useful to have a special NA or NaN value to represent the case where a value cannot be calculated. Other popular data analysis libraries such like numpy/pandas all have it.

One use case is that I want to calculate the difference between today's close price and yesterday's close price for each candle in the time series. Then I want to do dif := techan.NewDifferenceIndicator(today, NewRefIndicator(yday, 1)) but if I accidentally call dif.Calculate(0) it will segfault.

I think we can workaround this problem by other means but I feel the most natural way is to add a NA value. What's your thoughts on this?

what's a wonderful project! It's great!
can it support load trading recorde data from database/log file and save trading record data to database/log file? then analysis this offline data satisfied.

Do you have any plan for support Bollinger Bands indicator?

Hi sdcoffey,

I use the EMA function to calculate EMA(20) result, but I got the MA(20)'s result, I'm sure that the EMA(20) is different with MA(20).

The kline close prices:
43794.37
46253.40
45584.99
45511.00
44399.00
47800.00
47068.51
46973.82
45901.29
44695.95
44705.29
46760.62
49322.47
48821.87
49239.22
49488.85
47674.01
48973.32
46843.87
49069.90
48895.35
48767.83
46982.91
47100.89
47375.36

The EMA(25) result is: 47120 (it should be 46305)

The MA(25) result is: 47120

How I calculate the EMA(25) results:

closePrices := techan.NewClosePriceIndicator(series)
movingAverage := techan.NewEMAIndicator(closePrices, 25)
fmt.Println(movingAverage.Calculate(24).FormattedString(0))

And this is how I calculate MA(25) result:

closePrices := techan.NewClosePriceIndicator(series)
movingAverage := techan.**NewSimpleMovingAverage**(closePrices, 25)
fmt.Println(movingAverage.Calculate(24.FormattedString(0))

BTW, the lib version I used:

Please help me check that if the EMA function has bug, thanks!

Updates: sorry It's my fault, I should create more klines, thanks!

https://docs.anychart.com/Stock_Charts/Technical_Indicators/KDJ

https://www.investopedia.com/terms/s/stochasticoscillator.asp

Either one is fine, KDJ is based on stochasatic oscillator, it just adds the J line that represents the divergence between K and D. Useful for determining the right times to buy or sell.

Because it looks like it is

Hi Steve thanks for porting this lib over to Go. I'm new to trading & technical analysis...

So I was wondering if its possible to create strategies using multiple timeframes.

If so, is it possible to do using your package?

Thanks!

Shopspring's decimal is undoubtedly a better interface than my own big I propose we migrate away from big towards the better decimal impelmentation

Hello @sdcoffey
Haven't contacted in a long time, do you have any plan for support Donchian Channel indicator?

Can we have your plan for this awesome project?