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# Describe Request Alligator strategy is added. Fixed #252 # Change Type New strategy. <!-- This is an auto-generated comment: release notes by coderabbit.ai --> ## Summary by CodeRabbit - **New Features** - Introduced the "Alligator Strategy" in the "Trend Strategies" section. - Added two new strategies: "Inverse Strategy" and "No Loss Strategy" in the "Decorator Strategies" section. - Enhanced the `AllStrategies` function to include the Alligator strategy. - **Bug Fixes** - Updated method signature for `RemoveAll` in the helper package documentation. - **Tests** - Added tests for the Alligator Strategy's computation and reporting functionalities. - **Documentation** - Updated README files to reflect new strategies and their details. <!-- end of auto-generated comment: release notes by coderabbit.ai -->
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,146 @@ | ||
| // Copyright (c) 2021-2024 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
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| package trend | ||
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| import ( | ||
| "fmt" | ||
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| "github.com/cinar/indicator/v2/asset" | ||
| "github.com/cinar/indicator/v2/helper" | ||
| "github.com/cinar/indicator/v2/strategy" | ||
| "github.com/cinar/indicator/v2/trend" | ||
| ) | ||
|
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| const ( | ||
| // DefaultAlligatorStrategyJawPeriod is the default jaw period of 13. | ||
| DefaultAlligatorStrategyJawPeriod = 13 | ||
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| // DefaultAlligatorStrategyTeethPeriod is the default teeth period of 8. | ||
| DefaultAlligatorStrategyTeethPeriod = 8 | ||
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| // DefaultAlligatorStrategyLipPeriod is the default lip period of 5. | ||
| DefaultAlligatorStrategyLipPeriod = 5 | ||
| ) | ||
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| // AlligatorStrategy represents the configuration parameters for calculating the | ||
| // Alligator strategy. It is a technical indicator to help identify the presence | ||
| // and the direction of the trend. It uses three Smooted Moving Averges (SMMAs). | ||
| type AlligatorStrategy struct { | ||
| // Jaw represents the slowest moving aveage. | ||
| Jaw *trend.Smma[float64] | ||
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| // Teeth represents the medium moving average. | ||
| Teeth *trend.Smma[float64] | ||
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| // Lip represents the fastest moving average. | ||
| Lip *trend.Smma[float64] | ||
| } | ||
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| // NewAlligatorStrategy function initializes a new Alligator strategy instance. | ||
| func NewAlligatorStrategy() *AlligatorStrategy { | ||
| return NewAlligatorStrategyWith( | ||
| DefaultAlligatorStrategyJawPeriod, | ||
| DefaultAlligatorStrategyTeethPeriod, | ||
| DefaultAlligatorStrategyLipPeriod, | ||
| ) | ||
| } | ||
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| // NewAlligatorStrategyWith function initializes a new Alligator strategy instance with the given parameters. | ||
| func NewAlligatorStrategyWith(jawPeriod, teethPeriod, lipPeriod int) *AlligatorStrategy { | ||
| return &AlligatorStrategy{ | ||
| Jaw: trend.NewSmmaWithPeriod[float64](jawPeriod), | ||
| Teeth: trend.NewSmmaWithPeriod[float64](teethPeriod), | ||
| Lip: trend.NewSmmaWithPeriod[float64](lipPeriod), | ||
| } | ||
| } | ||
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| // Name returns the name of the strategy. | ||
| func (a *AlligatorStrategy) Name() string { | ||
| return fmt.Sprintf("Alligator Strategy (%d,%d,%d)", | ||
| a.Jaw.Period, | ||
| a.Teeth.Period, | ||
| a.Lip.Period, | ||
| ) | ||
| } | ||
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| // Compute processes the provided asset snapshots and generates a stream of actionable recommendations. | ||
| func (a *AlligatorStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action { | ||
| closingsSplice := helper.Duplicate(asset.SnapshotsAsClosings(snapshots), 3) | ||
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| jaws := a.Jaw.Compute(closingsSplice[0]) | ||
| teeths := a.Teeth.Compute(closingsSplice[1]) | ||
| lips := a.Lip.Compute(closingsSplice[2]) | ||
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| commonPeriod := helper.CommonPeriod(a.Jaw.Period, a.Teeth.Period, a.Lip.Period) | ||
| jaws = helper.SyncPeriod(commonPeriod, a.Jaw.Period, jaws) | ||
| teeths = helper.SyncPeriod(commonPeriod, a.Teeth.Period, teeths) | ||
| lips = helper.SyncPeriod(commonPeriod, a.Lip.Period, lips) | ||
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| actions := helper.Operate3(jaws, teeths, lips, func(jaw, teeth, lip float64) strategy.Action { | ||
| if lip > teeth && lip > jaw { | ||
| return strategy.Buy | ||
| } | ||
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| if lip < teeth && lip < jaw { | ||
| return strategy.Sell | ||
| } | ||
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| return strategy.Hold | ||
| }) | ||
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| // Alligator strategy starts only after a full period. | ||
| actions = helper.Shift(actions, commonPeriod, strategy.Hold) | ||
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| return actions | ||
| } | ||
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| // Report processes the provided asset snapshots and generates a | ||
| // report annotated with the recommended actions. | ||
| func (a *AlligatorStrategy) Report(c <-chan *asset.Snapshot) *helper.Report { | ||
| // | ||
| // snapshots[0] -> dates | ||
| // snapshots[1] -> closings[0] -> closings | ||
| // closings[1] -> jaw | ||
| // closings[2] -> teeth | ||
| // closings[3] -> lip | ||
| // snapshots[2] -> actions -> annotations | ||
| // -> outcomes | ||
| // | ||
| snapshots := helper.Duplicate(c, 3) | ||
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| dates := asset.SnapshotsAsDates(snapshots[0]) | ||
| closingsSplice := helper.Duplicate(asset.SnapshotsAsClosings(snapshots[1]), 4) | ||
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| jaws := a.Jaw.Compute(closingsSplice[1]) | ||
| teeths := a.Teeth.Compute(closingsSplice[2]) | ||
| lips := a.Lip.Compute(closingsSplice[3]) | ||
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| actions, outcomes := strategy.ComputeWithOutcome(a, snapshots[2]) | ||
| annotations := strategy.ActionsToAnnotations(actions) | ||
| outcomes = helper.MultiplyBy(outcomes, 100) | ||
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| commonPeriod := helper.CommonPeriod(a.Jaw.Period, a.Teeth.Period, a.Lip.Period) | ||
| dates = helper.SyncPeriod(commonPeriod, 0, dates) | ||
| closingsSplice[0] = helper.Skip(closingsSplice[0], commonPeriod) | ||
| jaws = helper.SyncPeriod(commonPeriod, a.Jaw.Period, jaws) | ||
| teeths = helper.SyncPeriod(commonPeriod, a.Teeth.Period, teeths) | ||
| lips = helper.SyncPeriod(commonPeriod, a.Lip.Period, lips) | ||
| annotations = helper.Skip(annotations, commonPeriod) | ||
| outcomes = helper.Skip(outcomes, commonPeriod) | ||
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| report := helper.NewReport(a.Name(), dates) | ||
| report.AddChart() | ||
| report.AddChart() | ||
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| report.AddColumn(helper.NewNumericReportColumn("Close", closingsSplice[0])) | ||
| report.AddColumn(helper.NewNumericReportColumn("Jaw", jaws), 1) | ||
| report.AddColumn(helper.NewNumericReportColumn("Teeth", teeths), 1) | ||
| report.AddColumn(helper.NewNumericReportColumn("Lip", lips), 1) | ||
| report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1) | ||
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| report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 2) | ||
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| return report | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,54 @@ | ||
| // Copyright (c) 2021-2024 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
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| package trend_test | ||
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| import ( | ||
| "testing" | ||
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| "github.com/cinar/indicator/v2/asset" | ||
| "github.com/cinar/indicator/v2/helper" | ||
| "github.com/cinar/indicator/v2/strategy" | ||
| "github.com/cinar/indicator/v2/strategy/trend" | ||
| ) | ||
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| func TestAlligatorStrategy(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
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| results, err := helper.ReadFromCsvFile[strategy.Result]("testdata/alligator_strategy.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
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| expected := helper.Map(results, func(r *strategy.Result) strategy.Action { return r.Action }) | ||
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| alligator := trend.NewAlligatorStrategy() | ||
| actual := alligator.Compute(snapshots) | ||
|
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| err = helper.CheckEquals(actual, expected) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } | ||
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| func TestAlligatorStrategyReport(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
|
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| alligator := trend.NewAlligatorStrategy() | ||
| report := alligator.Report(snapshots) | ||
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| fileName := "alligator_strategy.html" | ||
| defer helper.Remove(t, fileName) | ||
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| err = report.WriteToFile(fileName) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } |
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