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Smoothed Moving Average (SMMA) Strategy added. (#249)
# Describe Request Smoothed Moving Average (SMMA) Strategy added. # Change Type New Strategy. <!-- This is an auto-generated comment: release notes by coderabbit.ai --> ## Summary by CodeRabbit - **New Features** - Introduced the Smoothed Moving Average (SMMA) Strategy to the Indicator Go module. - Added associated methods for the SMMA strategy, enhancing trend analysis capabilities. - **Bug Fixes** - Updated documentation to reflect new function signatures and improve clarity. - **Tests** - Established a testing framework for the SMMA strategy, validating computation and reporting functionalities. <!-- 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 +1,136 @@ | ||
| // 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 ( | ||
| // DefaultSmmaStrategyShortPeriod is the default short-term SMMA period of 20. | ||
| DefaultSmmaStrategyShortPeriod = 20 | ||
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| // DefaultSmmaStrategyLongPeriod is the default short-term SMMA period of 50. | ||
| DefaultSmmaStrategyLongPeriod = 50 | ||
| ) | ||
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| // SmmaStrategy represents the configuration parameters for calculating the | ||
| // Smooted Moving Averge (SMMA) strategy. A short-term SMMA crossing above | ||
| // the long-term SMMA suggests a bullish trend, while crossing below the | ||
| // long-term SMMA indicates a bearish trend. | ||
| type SmmaStrategy struct { | ||
| // ShortSmma represents the configuration parameters for calculating the | ||
| // short-term Smooted Moving Averge (SMMA). | ||
| ShortSmma *trend.Smma[float64] | ||
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| // LongSmma represents the configuration parameters for calculating the | ||
| // long-term Smooted Moving Averge (SMMA). | ||
| LongSmma *trend.Smma[float64] | ||
| } | ||
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| // NewSmmaStrategy function initializes a new SMMA strategy instance. | ||
| func NewSmmaStrategy() *SmmaStrategy { | ||
| return NewSmmaStrategyWith( | ||
| DefaultSmmaStrategyShortPeriod, | ||
| DefaultSmmaStrategyLongPeriod, | ||
| ) | ||
| } | ||
|
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| // NewSmmaStrategyWith function initializes a new SMMA strategy instance with the given parameters. | ||
| func NewSmmaStrategyWith(shortPeriod, longPeriod int) *SmmaStrategy { | ||
| return &SmmaStrategy{ | ||
| ShortSmma: trend.NewSmmaWithPeriod[float64](shortPeriod), | ||
| LongSmma: trend.NewSmmaWithPeriod[float64](longPeriod), | ||
| } | ||
| } | ||
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| // Name returns the name of the strategy. | ||
| func (s *SmmaStrategy) Name() string { | ||
| return fmt.Sprintf("SMMA Strategy (%d,%d)", | ||
| s.ShortSmma.Period, | ||
| s.LongSmma.Period, | ||
| ) | ||
| } | ||
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| // Compute processes the provided asset snapshots and generates a stream of actionable recommendations. | ||
| func (s *SmmaStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action { | ||
| closingsSplice := helper.Duplicate(asset.SnapshotsAsClosings(snapshots), 2) | ||
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| shortSmmas := s.ShortSmma.Compute(closingsSplice[0]) | ||
| longSmmas := s.LongSmma.Compute(closingsSplice[1]) | ||
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| commonPeriod := helper.CommonPeriod(s.ShortSmma.Period, s.LongSmma.Period) | ||
| shortSmmas = helper.SyncPeriod(commonPeriod, s.ShortSmma.Period, shortSmmas) | ||
| longSmmas = helper.SyncPeriod(commonPeriod, s.LongSmma.Period, longSmmas) | ||
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| actions := helper.Operate(shortSmmas, longSmmas, func(shortSmma, longSmma float64) strategy.Action { | ||
| // A short-perios SMMA value crossing above long-period SMMA suggests a bullish trend. | ||
| if shortSmma > longSmma { | ||
| return strategy.Buy | ||
| } | ||
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| // A short-period SMMA value crossing below long-period SMMA suggests a bearish trend. | ||
| if longSmma > shortSmma { | ||
| return strategy.Sell | ||
| } | ||
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| return strategy.Hold | ||
| }) | ||
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| // SMMA 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 (s *SmmaStrategy) Report(c <-chan *asset.Snapshot) *helper.Report { | ||
| // | ||
| // snapshots[0] -> dates | ||
| // snapshots[1] -> closings[0] -> closings | ||
| // closings[1] -> short-period SMMA | ||
| // closings[2] -> long-period SMMA | ||
| // snapshots[2] -> actions -> annotations | ||
| // -> outcomes | ||
| // | ||
| snapshots := helper.Duplicate(c, 3) | ||
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| dates := asset.SnapshotsAsDates(snapshots[0]) | ||
| closings := helper.Duplicate(asset.SnapshotsAsClosings(snapshots[1]), 3) | ||
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| shortSmmas := s.ShortSmma.Compute(closings[1]) | ||
| longSmmas := s.LongSmma.Compute(closings[2]) | ||
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| actions, outcomes := strategy.ComputeWithOutcome(s, snapshots[2]) | ||
| annotations := strategy.ActionsToAnnotations(actions) | ||
| outcomes = helper.MultiplyBy(outcomes, 100) | ||
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| commonPeriod := helper.CommonPeriod(s.ShortSmma.Period, s.LongSmma.Period) | ||
| dates = helper.SyncPeriod(commonPeriod, 0, dates) | ||
| closings[0] = helper.Skip(closings[0], commonPeriod) | ||
| shortSmmas = helper.SyncPeriod(commonPeriod, s.ShortSmma.Period, shortSmmas) | ||
| longSmmas = helper.SyncPeriod(commonPeriod, s.LongSmma.Period, longSmmas) | ||
| annotations = helper.Skip(annotations, commonPeriod) | ||
| outcomes = helper.Skip(outcomes, commonPeriod) | ||
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| report := helper.NewReport(s.Name(), dates) | ||
| report.AddChart() | ||
| report.AddChart() | ||
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| report.AddColumn(helper.NewNumericReportColumn("Close", closings[0])) | ||
| report.AddColumn(helper.NewNumericReportColumn("MACD", shortSmmas), 1) | ||
| report.AddColumn(helper.NewNumericReportColumn("Signal", longSmmas), 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 +1,56 @@ | ||
| // 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 ( | ||
| "os" | ||
| "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 TestSmmaStrategy(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/smma_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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| smma := trend.NewSmmaStrategy() | ||
| actual := smma.Compute(snapshots) | ||
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| err = helper.CheckEquals(actual, expected) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } | ||
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| func TestSmmaStrategyReport(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
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| smma := trend.NewSmmaStrategy() | ||
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| report := smma.Report(snapshots) | ||
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| fileName := "smma_strategy.html" | ||
| defer os.Remove(fileName) | ||
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| err = report.WriteToFile(fileName) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } |
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