From 24351a94bad22d2e333e9dbe68a9f261ff6469dd Mon Sep 17 00:00:00 2001 From: Onur Cinar Date: Thu, 18 Jul 2024 07:30:51 -0700 Subject: [PATCH] ATR calculation to use the previous closing value. --- .../testdata/super_trend_strategy.csv | 44 +- volatility/README.md | 8 +- volatility/atr.go | 11 +- volatility/chandelier_exit.go | 13 +- volatility/keltner_channel.go | 5 +- volatility/testdata/atr.csv | 404 +++++++-------- volatility/testdata/chandelier_exit.csv | 460 ++++++++--------- volatility/testdata/keltner_channel.csv | 464 +++++++++--------- volatility/testdata/super_trend.csv | 464 +++++++++--------- 9 files changed, 944 insertions(+), 929 deletions(-) diff --git a/strategy/volatility/testdata/super_trend_strategy.csv b/strategy/volatility/testdata/super_trend_strategy.csv index 358abd1..3b5f6a9 100644 --- a/strategy/volatility/testdata/super_trend_strategy.csv +++ b/strategy/volatility/testdata/super_trend_strategy.csv @@ -15,8 +15,8 @@ Action 0 0 0 -1 0 +1 0 0 0 @@ -30,8 +30,8 @@ Action 1 0 0 --1 0 +-1 0 1 0 @@ -43,17 +43,16 @@ Action 0 0 0 +-1 0 +1 0 0 0 --1 -0 0 0 0 0 -1 -1 1 -1 @@ -66,6 +65,7 @@ Action 0 0 0 +0 -1 0 0 @@ -88,8 +88,8 @@ Action 1 -1 1 -0 -0 +-1 +1 0 0 0 @@ -100,8 +100,8 @@ Action 0 -1 1 -0 -0 +-1 +1 0 0 -1 @@ -117,8 +117,8 @@ Action -1 1 -1 -0 -0 +1 +-1 0 0 0 @@ -133,8 +133,8 @@ Action 0 0 0 -0 -0 +-1 +1 0 0 0 @@ -142,9 +142,9 @@ Action 0 -1 0 +0 1 --1 -1 +0 0 0 0 @@ -177,8 +177,8 @@ Action 0 0 0 --1 0 +-1 1 -1 1 @@ -197,8 +197,8 @@ Action 0 0 0 --1 -1 +0 +0 0 -1 0 @@ -245,8 +245,8 @@ Action 1 -1 1 -0 -0 -1 -0 -0 +1 +-1 +1 +-1 diff --git a/volatility/README.md b/volatility/README.md index 264aafd..e2d95ec 100644 --- a/volatility/README.md +++ b/volatility/README.md @@ -226,7 +226,7 @@ IdlePeriod is the initial period that Acceleration Bands won't yield any results Atr represents the configuration parameters for calculating the Average True Range \(ATR\). It is a technical analysis indicator that measures market volatility by decomposing the entire range of stock prices for that period. ``` -TR = Max((High - Low), (High - Closing), (Closing - Low)) +TR = Max((High - Low), (High - Previous Closing), (Previous Closing - Low)) ATR = MA TR ``` @@ -283,7 +283,7 @@ func (a *Atr[T]) Compute(highs, lows, closings <-chan T) <-chan T Compute function takes a channel of numbers and computes the ATR over the specified period. -### func \(\*Atr\[T\]\) [IdlePeriod]() +### func \(\*Atr\[T\]\) [IdlePeriod]() ```go func (a *Atr[T]) IdlePeriod() int @@ -441,7 +441,7 @@ func (c *ChandelierExit[T]) Compute(highs, lows, closings <-chan T) (<-chan T, < Compute function takes a channel of numbers and computes the Chandelier Exit over the specified period. -### func \(\*ChandelierExit\[T\]\) [IdlePeriod]() +### func \(\*ChandelierExit\[T\]\) [IdlePeriod]() ```go func (c *ChandelierExit[T]) IdlePeriod() int @@ -569,7 +569,7 @@ func (k *KeltnerChannel[T]) Compute(highs, lows, closings <-chan T) (<-chan T, < Compute function takes a channel of numbers and computes the Keltner Channel over the specified period. -### func \(\*KeltnerChannel\[T\]\) [IdlePeriod]() +### func \(\*KeltnerChannel\[T\]\) [IdlePeriod]() ```go func (k *KeltnerChannel[T]) IdlePeriod() int diff --git a/volatility/atr.go b/volatility/atr.go index 7621ce9..a679780 100644 --- a/volatility/atr.go +++ b/volatility/atr.go @@ -20,7 +20,7 @@ const ( // It is a technical analysis indicator that measures market volatility by decomposing the // entire range of stock prices for that period. // -// TR = Max((High - Low), (High - Closing), (Closing - Low)) +// TR = Max((High - Low), (High - Previous Closing), (Previous Closing - Low)) // ATR = MA TR // // By default, SMA is used as the MA. @@ -41,7 +41,7 @@ func NewAtr[T helper.Number]() *Atr[T] { // NewAtrWithPeriod function initializes a new ATR instance with the given period. func NewAtrWithPeriod[T helper.Number](period int) *Atr[T] { - return NewAtrWithMa[T](trend.NewSmaWithPeriod[T](period)) + return NewAtrWithMa(trend.NewSmaWithPeriod[T](period)) } // NewAtrWithMa function initializes a new ATR instance with the given moving average instance. @@ -53,6 +53,10 @@ func NewAtrWithMa[T helper.Number](ma trend.Ma[T]) *Atr[T] { // Compute function takes a channel of numbers and computes the ATR over the specified period. func (a *Atr[T]) Compute(highs, lows, closings <-chan T) <-chan T { + // Use previous closing by skipping highs and lows by one. + highs = helper.Skip(highs, 1) + lows = helper.Skip(lows, 1) + tr := helper.Operate3(highs, lows, closings, func(high, low, closing T) T { return T(math.Max(float64(high-low), math.Max(float64(high-closing), float64(closing-low)))) }) @@ -64,5 +68,6 @@ func (a *Atr[T]) Compute(highs, lows, closings <-chan T) <-chan T { // IdlePeriod is the initial period that Acceleration Bands won't yield any results. func (a *Atr[T]) IdlePeriod() int { - return a.Ma.IdlePeriod() + // Ma idle period and for using the previous closing. + return a.Ma.IdlePeriod() + 1 } diff --git a/volatility/chandelier_exit.go b/volatility/chandelier_exit.go index 5471c8c..117b7bb 100644 --- a/volatility/chandelier_exit.go +++ b/volatility/chandelier_exit.go @@ -53,8 +53,15 @@ func (c *ChandelierExit[T]) Compute(highs, lows, closings <-chan T) (<-chan T, < atr := NewAtrWithPeriod[T](c.Period) - maxHighs := max.Compute(highsSplice[0]) - minLows := min.Compute(lowsSplice[0]) + maxHighs := helper.Skip( + max.Compute(highsSplice[0]), + atr.IdlePeriod()-max.IdlePeriod(), + ) + + minLows := helper.Skip( + min.Compute(lowsSplice[0]), + atr.IdlePeriod()-min.IdlePeriod(), + ) atr3Splice := helper.Duplicate( helper.MultiplyBy( @@ -72,5 +79,5 @@ func (c *ChandelierExit[T]) Compute(highs, lows, closings <-chan T) (<-chan T, < // IdlePeriod is the initial period that Chandelier Exit won't yield any results. func (c *ChandelierExit[T]) IdlePeriod() int { - return c.Period - 1 + return c.Period } diff --git a/volatility/keltner_channel.go b/volatility/keltner_channel.go index 5f96488..c71a1d7 100644 --- a/volatility/keltner_channel.go +++ b/volatility/keltner_channel.go @@ -62,7 +62,10 @@ func (k *KeltnerChannel[T]) Compute(highs, lows, closings <-chan T) (<-chan T, < // Middle Line = EMA(period, closings) middles := helper.Duplicate( - k.Ema.Compute(closingsSplice[1]), + helper.Skip( + k.Ema.Compute(closingsSplice[1]), + k.Atr.IdlePeriod()-k.Ema.IdlePeriod(), + ), 3, ) diff --git a/volatility/testdata/atr.csv b/volatility/testdata/atr.csv index 737a3d0..e2c3d7b 100644 --- a/volatility/testdata/atr.csv +++ b/volatility/testdata/atr.csv @@ -48,205 +48,205 @@ High,Low,Close,Atr 314.149994,306.630005,312.970001,0 313.410004,308.01001,308.480011,0 311.420013,306.98999,307.209991,0 -309.980011,305.279999,309.890015,5.16 -313.73999,309.619995,313.73999,5.04 -314.100006,309.040009,310.790009,5.02 -310.369995,308.279999,309.630005,4.99 -310.200012,306.869995,308.179993,4.92 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