Envelope strategy. Wont build.

strategy/trend/envelope_strategy.go

@@ -0,0 +1,120 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package trend
+
+import (
+	"fmt"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+	"github.com/cinar/indicator/v2/trend"
+)
+
+// EnvelopeStrategy represents the configuration parameters for calculating the Envelope strategy. When the closing
+// is above the upper band suggests a Sell recommendation, and when the closing is below the lower band suggests a
+// buy recommendation.
+type EnvelopeStrategy struct {
+	// Envelope is the envelope indicator instance.
+	Envelope *trend.Envelope[float64]
+}
+
+// NewEnvelopeStrategy function initializes a new Envelope strategy with the default parameters.
+func NewEnvelopeStrategy() *EnvelopeStrategy {
+	return NewEnvelopeStrategyWith(
+		trend.NewEnvelopeWithSma[float64](),
+	)
+}
+
+// NewEnvelopeStrategyWith function initializes a new Envelope strategy with the given Envelope instance.
+func NewEnvelopeStrategyWith(envelope *trend.Envelope[float64]) *EnvelopeStrategy {
+	return &EnvelopeStrategy{
+		Envelope: envelope,
+	}
+}
+
+// Name returns the name of the strategy.
+func (e *EnvelopeStrategy) Name() string {
+	return fmt.Sprintf("Envelope Strategy (%s)", e.Envelope.String())
+}
+
+// Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+func (e *EnvelopeStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action {
+	closingsSplice := helper.Duplicate(
+		asset.SnapshotsAsClosings(snapshots),
+		2,
+	)
+
+	uppers, middles, lowers := e.Envelope.Compute(closingsSplice[0])
+	go helper.Drain(middles)
+
+	actions := helper.Operate3(uppers, lowers, closingsSplice[1], func(upper, lower, closing float64) strategy.Action {
+		// When the closing is below the lower band suggests a buy recommendation.
+		if closing < lower {
+			return strategy.Buy
+		}
+
+		// When the closing is above the upper band suggests a Sell recommendation.
+		if closing > upper {
+			return strategy.Sell
+		}
+
+		return strategy.Hold
+	})
+
+	// Envelope start only after a full period.
+	actions = helper.Shift(actions, e.Envelope.IdlePeriod(), strategy.Hold)
+
+	return actions
+}
+
+// Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+func (e *EnvelopeStrategy) Report(c <-chan *asset.Snapshot) *helper.Report {
+	//
+	// snapshots[0] -> dates
+	// snapshots[1] -> closings[0] -> closings
+	//                 closings[1] -> envelope -> upper
+	//                                         -> middle
+	//                                         -> lower
+	// snapshots[2] -> actions     -> annotations
+	//              -> outcomes
+	//
+	snapshotsSplice := helper.Duplicate(c, 3)
+
+	dates := helper.Skip(
+		asset.SnapshotsAsDates(snapshotsSplice[0]),
+		e.Envelope.IdlePeriod(),
+	)
+
+	closingsSplice := helper.Duplicate(asset.SnapshotsAsClosings(snapshotsSplice[1]), 2)
+	closingsSplice[1] = helper.Skip(closingsSplice[1], t.IdlePeriod())
+
+	tsisSplice := helper.Duplicate(t.Tsi.Compute(closingsSplice[0]), 2)
+	tsisSplice[0] = helper.Skip(tsisSplice[0], t.Signal.IdlePeriod())
+
+	signals := t.Signal.Compute(tsisSplice[1])
+
+	actions, outcomes := strategy.ComputeWithOutcome(t, snapshotsSplice[2])
+	actions = helper.Skip(actions, t.IdlePeriod())
+	outcomes = helper.Skip(outcomes, t.IdlePeriod())
+
+	annotations := strategy.ActionsToAnnotations(actions)
+	outcomes = helper.MultiplyBy(outcomes, 100)
+
+	report := helper.NewReport(t.Name(), dates)
+	report.AddChart()
+	report.AddChart()
+
+	report.AddColumn(helper.NewNumericReportColumn("Close", closingsSplice[1]))
+
+	report.AddColumn(helper.NewNumericReportColumn("TSI", tsisSplice[0]), 1)
+	report.AddColumn(helper.NewNumericReportColumn("Signal", signals), 1)
+
+	report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1)
+
+	report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 2)
+
+	return report
+}