candfan/rogue-trader

katakoda

Trading indicators

The set of trading indicators

Installation

$ go get github.com/evsamsonov/trading-indicators/indicator  

Usage

All indicators requires trading data in timeseries structure

dataset := []struct {
    Time   time.Time
    High   float64
    Low    float64
    Open   float64
    Close  float64
    Volume int64
}{
    {Time: time.Unix(1121979600, 0), High: 23, Low: 21.27, Open: 21.3125, Close: 22.1044, Volume: 4604900},
    {Time: time.Unix(1122238800, 0), High: 23.31999, Low: 22.15, Open: 22.15, Close: 23.21608, Volume: 4132600},
}

series := timeseries.New()
for _, item := range dataset {
    candle := timeseries.NewCandle(item.Time)
    candle.Open = item.Open
    candle.Close = item.Close
    candle.High = item.High
    candle.Low = item.Low
    candle.Volume = item.Volume

    err := series.AddCandle(candle)
    if err != nil {
        log.Printf("Failed to add candle: %v\n", err)
    }
}

Average True Range

Indicator calculates Average True Range (ATR)

period := 2
atrIndicator := indicator.NewAverageTrueRange(series, period)
fmt.Println(atrIndicator.Calculate(1))   // 1.4727950000000014

Average Volume

Indicator calculates Average Volume

period := 2
atrIndicator := indicator.NewAverageVolume(series, period)
fmt.Println(atrIndicator.Calculate(1))  // 4368750

Exponential Moving Average

Indicator calculates Exponential Moving Average

smoothInterval := 2
atrIndicator := indicator.NewExponentialMovingAverage(series, smoothInterval)
fmt.Println(atrIndicator.Calculate(1))  // 22.84552

Trend

The indicator returns a trend direction. It bases on fast (with shorter period) and slow EMA. The third parameter of NewTrend allows setting max difference between fast and slow EMA when Calculate returns the flat.

fastEMAIndicator, err := indicator.NewExponentialMovingAverage(series, 14)
if err != nil {
    log.Fatalln(err)
}
slowEMAIndicator, err := indicator.NewExponentialMovingAverage(series, 50)
if err != nil {
    log.Fatalln(err)
}

trendIndicator := indicator.NewTrend(fastEMAIndicator, slowEMAIndicator, 0.6)
trend := trendIndicator.Calculate(1)
switch trend {
case indicator.UpTrend:
    fmt.Println("Up trend")
case indicator.DownTrend:
    fmt.Println("Down trend")
case indicator.FlatTrend:
    fmt.Println("Flat trend")
}