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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,119 @@ | ||
| // Copyright (c) 2021-2024 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
|
|
||
| package volume | ||
|
|
||
| import ( | ||
| "fmt" | ||
|
|
||
| "github.com/cinar/indicator/v2/asset" | ||
| "github.com/cinar/indicator/v2/helper" | ||
| "github.com/cinar/indicator/v2/strategy" | ||
| "github.com/cinar/indicator/v2/volume" | ||
| ) | ||
|
|
||
| // EaseOfMovementStrategy represents the configuration parameters for calculating the Ease of Movement strategy. | ||
| // Recommends a Buy action when it crosses above 0, and recommends a Sell action when it crosses below 0. | ||
| type EaseOfMovementStrategy struct { | ||
| // EaseOfMovement is the Ease of Movement indicator instance. | ||
| EaseOfMovement *volume.Emv[float64] | ||
| } | ||
|
|
||
| // NewEaseOfMovementStrategy function initializes a new Ease of Movement strategy instance with the | ||
| // default parameters. | ||
| func NewEaseOfMovementStrategy() *EaseOfMovementStrategy { | ||
| return NewEaseOfMovementStrategyWith( | ||
| volume.DefaultEmvPeriod, | ||
| ) | ||
| } | ||
|
|
||
| // NewEaseOfMovementStrategyWith function initializes a new Ease of Movement strategy instance with the | ||
| // given parameters. | ||
| func NewEaseOfMovementStrategyWith(period int) *EaseOfMovementStrategy { | ||
| return &EaseOfMovementStrategy{ | ||
| EaseOfMovement: volume.NewEmvWithPeriod[float64](period), | ||
| } | ||
| } | ||
|
|
||
| // Name function returns the name of the strategy. | ||
| func (e *EaseOfMovementStrategy) Name() string { | ||
| return fmt.Sprintf("Ease of Movement Strategy (%d)", e.EaseOfMovement.IdlePeriod()+1) | ||
| } | ||
|
|
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| // Compute function processes the provided asset snapshots and generates a stream of actionable recommendations. | ||
| func (e *EaseOfMovementStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action { | ||
| snapshotsSplice := helper.Duplicate(snapshots, 3) | ||
|
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| highs := asset.SnapshotsAsHighs(snapshotsSplice[0]) | ||
| lows := asset.SnapshotsAsLows(snapshotsSplice[1]) | ||
| volumes := asset.SnapshotsAsVolumes(snapshotsSplice[2]) | ||
|
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| emvs := e.EaseOfMovement.Compute(highs, lows, volumes) | ||
|
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| actions := helper.Map(emvs, func(emv float64) strategy.Action { | ||
| if emv > 0 { | ||
| return strategy.Buy | ||
| } | ||
|
|
||
| if emv < 0 { | ||
| return strategy.Sell | ||
| } | ||
|
|
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| return strategy.Hold | ||
| }) | ||
|
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| // Ease of Movement starts only after a full period. | ||
| actions = helper.Shift(actions, e.EaseOfMovement.IdlePeriod(), strategy.Hold) | ||
|
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| return actions | ||
| } | ||
|
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| // Report function processes the provided asset snapshots and generates a report annotated with the recommended actions. | ||
| func (e *EaseOfMovementStrategy) Report(snapshots <-chan *asset.Snapshot) *helper.Report { | ||
| // | ||
| // snapshots[0] -> dates | ||
| // snapshots[1] -> highs | | ||
| // snapshots[2] -> lows | | ||
| // snapshots[3] -> volumes -> emv | ||
| // snapshots[4] -> closings | ||
| // snapshots[5] -> actions -> annotations | ||
| // -> outcomes | ||
| // | ||
| snapshotsSplice := helper.Duplicate(snapshots, 6) | ||
|
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| dates := helper.Skip( | ||
| asset.SnapshotsAsDates(snapshotsSplice[0]), | ||
| e.EaseOfMovement.IdlePeriod(), | ||
| ) | ||
|
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| highs := asset.SnapshotsAsHighs(snapshotsSplice[1]) | ||
| lows := asset.SnapshotsAsLows(snapshotsSplice[2]) | ||
| volumes := asset.SnapshotsAsVolumes(snapshotsSplice[3]) | ||
|
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| closings := helper.Skip( | ||
| asset.SnapshotsAsClosings(snapshotsSplice[4]), | ||
| e.EaseOfMovement.IdlePeriod(), | ||
| ) | ||
|
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| emvs := e.EaseOfMovement.Compute(highs, lows, volumes) | ||
|
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| actions, outcomes := strategy.ComputeWithOutcome(e, snapshotsSplice[5]) | ||
| actions = helper.Skip(actions, e.EaseOfMovement.IdlePeriod()) | ||
| outcomes = helper.Skip(outcomes, e.EaseOfMovement.IdlePeriod()) | ||
|
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| annotations := strategy.ActionsToAnnotations(actions) | ||
| outcomes = helper.MultiplyBy(outcomes, 100) | ||
|
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| report := helper.NewReport(e.Name(), dates) | ||
| report.AddChart() | ||
| report.AddChart() | ||
|
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| report.AddColumn(helper.NewNumericReportColumn("Close", closings)) | ||
| report.AddColumn(helper.NewNumericReportColumn("Ease of Movement", emvs), 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) 2021-2024 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
|
|
||
| package volume_test | ||
|
|
||
| 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/volume" | ||
| ) | ||
|
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| func TestEaseOfMovementStrategy(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/ease_of_movement_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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| emvs := volume.NewEaseOfMovementStrategy() | ||
| actual := emvs.Compute(snapshots) | ||
|
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| err = helper.CheckEquals(actual, expected) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } | ||
|
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| func TestEaseOfMovementStrategyReport(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
|
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| emvs := volume.NewEaseOfMovementStrategy() | ||
| report := emvs.Report(snapshots) | ||
|
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| fileName := "ease_of_movement_strategy.html" | ||
| defer os.Remove(fileName) | ||
|
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| err = report.WriteToFile(fileName) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } |
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