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Balance of Power (BoP) strategy added.
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| .git/hooks/pre-commit |
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| // Copyright (c) 2021-2023 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
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| package strategy | ||
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| import ( | ||
| "github.com/cinar/indicator/asset" | ||
| "github.com/cinar/indicator/helper" | ||
| "github.com/cinar/indicator/trend" | ||
| ) | ||
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| // BopStrategy gauges the strength of buying and selling forces using the | ||
| // Balance of Power (BoP) indicator. A positive BoP value suggests an | ||
| // upward trend, while a negative value indicates a downward trend. A | ||
| // BoP value of zero implies equilibrium between the two forces. | ||
| type BopStrategy struct { | ||
| Strategy | ||
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| // Bop represents the configuration parameters for calculating the | ||
| // Balance of Power (BoP). | ||
| Bop *trend.Bop[float64] | ||
| } | ||
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| // NewBopStrategy function initializes a new BoP strategy instance with the default parameters. | ||
| func NewBopStrategy() *BopStrategy { | ||
| return &BopStrategy{ | ||
| Bop: trend.NewBop[float64](), | ||
| } | ||
| } | ||
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| // Name returns the name of the strategy. | ||
| func (*BopStrategy) Name() string { | ||
| return "BoP Strategy" | ||
| } | ||
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| // Compute processes the provided asset snapshots and generates a | ||
| // stream of actionable recommendations. | ||
| func (b *BopStrategy) Compute(c <-chan *asset.Snapshot) <-chan Action { | ||
| snapshots := helper.Duplicate(c, 4) | ||
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| openings := asset.SnapshotsAsOpenings(snapshots[0]) | ||
| highs := asset.SnapshotsAsHighs(snapshots[1]) | ||
| lows := asset.SnapshotsAsLows(snapshots[2]) | ||
| closings := asset.SnapshotsAsClosings(snapshots[3]) | ||
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| bops := b.Bop.Compute(openings, highs, lows, closings) | ||
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| return NormalizeActions(helper.Map(bops, func(bop float64) Action { | ||
| if bop > 0 { | ||
| return Buy | ||
| } | ||
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| if bop < 0 { | ||
| return Sell | ||
| } | ||
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| return Hold | ||
| })) | ||
| } | ||
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| // Report processes the provided asset snapshots and generates a | ||
| // report annotated with the recommended actions. | ||
| func (b *BopStrategy) Report(c <-chan *asset.Snapshot) *helper.Report { | ||
| // | ||
| // snapshots[0] -> dates | ||
| // snapshots[1] -> openings | | ||
| // snapshots[2] -> highs | | ||
| // snapshots[3] -> lows | | ||
| // snapshots[4] -> closings[1] |> bop | ||
| // closings[0] -> closings | ||
| // snapshots[5] -> actions -> annotations | ||
| // outcomes | ||
| // | ||
| snapshots := helper.Duplicate(c, 6) | ||
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| dates := asset.SnapshotsAsDates(snapshots[0]) | ||
| openings := asset.SnapshotsAsOpenings(snapshots[1]) | ||
| highs := asset.SnapshotsAsHighs(snapshots[2]) | ||
| lows := asset.SnapshotsAsLows(snapshots[3]) | ||
| closings := helper.Duplicate(asset.SnapshotsAsClosings(snapshots[4]), 2) | ||
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| bop := b.Bop.Compute(openings, highs, lows, closings[1]) | ||
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| actions, outcomes := ComputeWithOutcome(b, snapshots[5]) | ||
| annotations := ActionsToAnnotations(actions) | ||
| outcomes = helper.MultiplyBy(outcomes, 100) | ||
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| report := helper.NewReport(b.Name(), dates) | ||
| report.AddChart() | ||
| report.AddChart() | ||
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| report.AddColumn(helper.NewNumericReportColumn("Close", closings[0])) | ||
| report.AddColumn(helper.NewNumericReportColumn("BoP", bop), 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 +1,68 @@ | ||
| // Copyright (c) 2021-2023 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
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| package strategy_test | ||
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| import ( | ||
| "os" | ||
| "testing" | ||
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| "github.com/cinar/indicator/asset" | ||
| "github.com/cinar/indicator/helper" | ||
| "github.com/cinar/indicator/strategy" | ||
| ) | ||
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| func TestBopStrategy(t *testing.T) { | ||
| type Result struct { | ||
| Action strategy.Action | ||
| Outcome float64 | ||
| } | ||
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| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/repository/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
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| results, err := helper.ReadFromCsvFile[Result]("testdata/bop_strategy.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
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| bop := strategy.NewBopStrategy() | ||
| actions, outcomes := strategy.ComputeWithOutcome(bop, snapshots) | ||
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| outcomes = helper.RoundDigits(outcomes, 2) | ||
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| for result := range results { | ||
| action := <-actions | ||
| outcome := <-outcomes | ||
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| if action != result.Action { | ||
| t.Fatalf("actual %v expected %v", action, result.Action) | ||
| } | ||
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| if outcome != result.Outcome { | ||
| t.Fatalf("actual %v expected %v", outcome, result.Outcome) | ||
| } | ||
| } | ||
| } | ||
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| func TestBopStrategyReport(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/repository/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
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| bop := strategy.NewBopStrategy() | ||
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| report := bop.Report(snapshots) | ||
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| fileName := "bop_strategy.html" | ||
| defer os.Remove(fileName) | ||
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| err = report.WriteToFile(fileName) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } |
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