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Community Channel Index (CCI) strategy added.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,101 @@ | ||
| // Copyright (c) 2021-2023 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 ( | ||
| "github.com/cinar/indicator/asset" | ||
| "github.com/cinar/indicator/helper" | ||
| "github.com/cinar/indicator/strategy" | ||
| "github.com/cinar/indicator/trend" | ||
| ) | ||
|
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| // CciStrategy represents the configuration parameters for calculating the CCI strategy. | ||
| // A CCI value crossing above the 100+ suggests a bullish trend, while crossing below | ||
| // the 100- indicates a bearish trend. | ||
| type CciStrategy struct { | ||
| strategy.Strategy | ||
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| // Cci represents the configuration parameters for calculating the CCI. | ||
| Cci *trend.Cci[float64] | ||
| } | ||
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| // NewCciStrategy function initializes a new CCI strategy instance. | ||
| func NewCciStrategy() *CciStrategy { | ||
| return &CciStrategy{ | ||
| Cci: trend.NewCci[float64](), | ||
| } | ||
| } | ||
|
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| // Name returns the name of the strategy. | ||
| func (*CciStrategy) Name() string { | ||
| return "CCI Strategy" | ||
| } | ||
|
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| // Compute processes the provided asset snapshots and generates a stream of actionable recommendations. | ||
| func (t *CciStrategy) Compute(c <-chan *asset.Snapshot) <-chan strategy.Action { | ||
| snapshots := helper.Duplicate(c, 3) | ||
| highs := asset.SnapshotsAsHighs(snapshots[0]) | ||
| lows := asset.SnapshotsAsHighs(snapshots[1]) | ||
| closings := asset.SnapshotsAsHighs(snapshots[2]) | ||
|
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| ccis := t.Cci.Compute(highs, lows, closings) | ||
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| actions := helper.Map(ccis, func(cci float64) strategy.Action { | ||
| if cci >= 100 { | ||
| return strategy.Buy | ||
| } | ||
|
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| if cci <= -100 { | ||
| return strategy.Sell | ||
| } | ||
|
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| return strategy.Hold | ||
| }) | ||
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| actions = strategy.NormalizeActions(actions) | ||
|
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| // CCI starts only after a full period. | ||
| actions = helper.Shift(actions, t.Cci.IdlePeriod(), 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 (t *CciStrategy) Report(c <-chan *asset.Snapshot) *helper.Report { | ||
| // | ||
| // snapshots[0] -> dates | ||
| // snapshots[1] -> highs | | ||
| // snapshots[2] -> lows | | ||
| // snapshots[3] -> closings[1] |> ccis | ||
| // closings[0] -> closings | ||
| // snapshots[4] -> actions -> annotations | ||
| // -> outcomes | ||
| // | ||
| snapshots := helper.Duplicate(c, 5) | ||
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| dates := asset.SnapshotsAsDates(snapshots[0]) | ||
| highs := asset.SnapshotsAsHighs(snapshots[1]) | ||
| lows := asset.SnapshotsAsHighs(snapshots[2]) | ||
| closings := helper.Duplicate(asset.SnapshotsAsHighs(snapshots[3]), 2) | ||
|
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| ccis := t.Cci.Compute(highs, lows, closings[1]) | ||
| ccis = helper.Shift(ccis, t.Cci.IdlePeriod(), 0) | ||
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| actions, outcomes := strategy.ComputeWithOutcome(t, snapshots[4]) | ||
| annotations := strategy.ActionsToAnnotations(actions) | ||
| outcomes = helper.MultiplyBy(outcomes, 100) | ||
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| report := helper.NewReport(t.Name(), dates) | ||
| report.AddChart() | ||
| report.AddChart() | ||
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| report.AddColumn(helper.NewNumericReportColumn("Close", closings[0])) | ||
| report.AddColumn(helper.NewNumericReportColumn("CCI", ccis), 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 +1,55 @@ | ||
| // Copyright (c) 2021-2023 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 ( | ||
| "os" | ||
| "testing" | ||
|
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| "github.com/cinar/indicator/asset" | ||
| "github.com/cinar/indicator/helper" | ||
| "github.com/cinar/indicator/strategy" | ||
| "github.com/cinar/indicator/strategy/trend" | ||
| ) | ||
|
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| func TestCciStrategy(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/cci_strategy.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
|
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| cci := trend.NewCciStrategy() | ||
| actions, outcomes := strategy.ComputeWithOutcome(cci, snapshots) | ||
| outcomes = helper.RoundDigits(outcomes, 2) | ||
|
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| err = strategy.CheckResults(results, actions, outcomes) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } | ||
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| func TestCciStrategyReport(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
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| cci := trend.NewCciStrategy() | ||
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| report := cci.Report(snapshots) | ||
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| fileName := "cci_strategy.html" | ||
| defer os.Remove(fileName) | ||
|
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| err = report.WriteToFile(fileName) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } |
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