Volatility: Donchian Channel (DC)

Fixes #44

README.md

@@ -50,6 +50,7 @@ The following list of indicators are currently supported by this package:
 - [Bollinger Band Width](volatility_indicators.md#bollinger-band-width)
 - [Bollinger Bands](volatility_indicators.md#bollinger-bands)
 - [Chandelier Exit](volatility_indicators.md#chandelier-exit)
+- [Donchian Channel (DC)](volatility_indicators.md#donchian-channel-dc)
 - [Moving Standard Deviation (Std)](volatility_indicators.md#moving-standard-deviation-std)
 - [Projection Oscillator (PO)](volatility_indicators.md#projection-oscillator-po)
 - [Ulcer Index (UI)](volatility_indicators.md#ulcer-index-ui)

volatility_indicators.go

@@ -180,10 +180,31 @@ func UlcerIndex(period int, closing []float64) []float64 {
 	percentageDrawdown := multiplyBy(divide(substract(closing, highClosing), highClosing), 100)
 	squaredAverage := Sma(period, multiply(percentageDrawdown, percentageDrawdown))
 	ui := sqrt(squaredAverage)
+
 	return ui
 }
 
 // The default ulcer index with the default period of 14.
 func DefaultUlcerIndex(closing []float64) []float64 {
 	return UlcerIndex(14, closing)
 }
+
+// The Donchian Channel (DC) calculates three lines generated by moving average
+// calculations that comprise an indicator formed by upper and lower bands
+// around a midrange or median band. The upper band marks the highest
+// price of an asset while the lower band marks the lowest price of
+// an asset, and the area between the upper and lower bands
+// represents the Donchian Channel.
+//
+// Upper Channel = Mmax(period, closings)
+// Lower Channel = Mmin(period, closings)
+// Middle Channel = (Upper Channel + Lower Channel) / 2
+//
+// Returns upperChannel, middleChannel, lowerChannel.
+func DonchianChannel(period int, closing []float64) ([]float64, []float64, []float64) {
+	upperChannel := Max(period, closing)
+	lowerChannel := Min(period, closing)
+	middleChannel := divideBy(add(upperChannel, lowerChannel), 2)
+
+	return upperChannel, middleChannel, lowerChannel
+}

volatility_indicators.md

@@ -7,6 +7,7 @@ Volatility indicators measure the rate of movement regardless of its direction.
 - [Bollinger Band Width](#bollinger-band-width)
 - [Bollinger Bands](#bollinger-bands)
 - [Chandelier Exit](#chandelier-exit)
+- [Donchian Channel (DC)](#donchian-channel-dc)
 - [Moving Standard Deviation (Std)](#moving-standard-deviation-std)
 - [Projection Oscillator (PO)](#projection-oscillator-po)
 - [Ulcer Index (UI)](#ulcer-index-ui)
@@ -79,6 +80,20 @@ Chandelier Exit Short = 22-Period SMA Low + ATR(22) * 3
 chandelierExitLong, chandelierExitShort := indicator.ChandelierExit(high, low, closing)
 ```
 
+#### Donchian Channel (DC)
+
+The [DonchianChannel](https://pkg.go.dev/github.com/cinar/indicator#DonchianChannel) calculates three lines generated by moving average calculations that comprise an indicator formed by upper and lower bands around a midrange or median band. The upper band marks the highest price of an asset while the lower band marks the lowest price of an asset, and the area between the upper and lower bands represents the Donchian Channel.
+
+```
+Upper Channel = Mmax(period, closings)
+Lower Channel = Mmin(period, closings)
+Middle Channel = (Upper Channel + Lower Channel) / 2
+```
+
+```golang
+upperChannel, middleChannel, lowerChannel := indicator.DonchianChannel(period, closing)
+```
+
 #### Moving Standard Deviation (Std)
 
 The [Std](https://pkg.go.dev/github.com/cinar/indicator#Std) function calculates the moving standard deviation for a given period.

volatility_indicators_test.go

@@ -26,3 +26,16 @@ func TestUlcerIndex(t *testing.T) {
 	actual := DefaultUlcerIndex(closing)
 	testEquals(t, roundDigitsAll(actual, 2), expected)
 }
+
+func TestDonchianChannel(t *testing.T) {
+	closing := []float64{9, 11, 7, 10, 8}
+	period := 4
+	expectedUpperChannel := []float64{9, 11, 11, 11, 11}
+	expectedMiddleChannel := []float64{9, 10, 9, 9, 9}
+	expectedLowerChannel := []float64{9, 9, 7, 7, 7}
+
+	actualUpperChannel, actualMiddleChannel, actualLowerChannel := DonchianChannel(period, closing)
+	testEquals(t, roundDigitsAll(actualUpperChannel, 2), expectedUpperChannel)
+	testEquals(t, roundDigitsAll(actualMiddleChannel, 2), expectedMiddleChannel)
+	testEquals(t, roundDigitsAll(actualLowerChannel, 2), expectedLowerChannel)
+}