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

SMA Average True Range

Indicator calculates Average True Range using a simple moving average of the true range values.

period := 3
smaAtr := indicator.NewSmaAverageTrueRange(series, period)
fmt.Println(smaAtr.Calculate(3))  

Filter Option

You can filter candles using WithSmaAverageTrueRangeFilter option. Filtered candles are skipped and the indicator looks back further to collect the required number of candles.

filter := func(i int, candle *timeseries.Candle) bool {
    return candle.Volume > 0
}
period := 3
smaAtr := indicator.NewSmaAverageTrueRange(
    series,
    period,
    indicator.WithSmaAverageTrueRangeFilter(filter),
)
fmt.Println(smaAtr.Calculate(3))

Average Volume

Indicator calculates Average Volume

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

Filter Option

You can filter candles using WithAverageVolumeFilter option. Filtered candles are skipped during calculation, and the indicator looks back further to collect the required number of candles.

// Skip candles with zero volume
filter := func(i int, candle *timeseries.Candle) bool {
    return candle.Volume > 0
}
period := 2
avgVolume := indicator.NewAverageVolume(series, period, indicator.WithAverageVolumeFilter(filter))
fmt.Println(avgVolume.Calculate(1))

Exponential Moving Average

Indicator calculates Exponential Moving Average

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

Filter Option

You can filter candles using WithExponentialMovingAverageFilter option. When a candle is filtered out, the indicator uses the previous EMA value instead of recalculating.

// Skip candles with low volume
filter := func(i int, candle *timeseries.Candle) bool {
    return candle.Volume > 1000000
}
smoothInterval := 2
ema := indicator.NewExponentialMovingAverage(series, smoothInterval, indicator.WithExponentialMovingAverageFilter(filter))
fmt.Println(ema.Calculate(1))

Trend

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

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, TrendWithFlatMaxDiffInPercent(false))
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")
}