Merge pull request #35 from tsubus/stochastic

Implement Stochastic Oscillator Indicator

go.mod

@@ -5,4 +5,4 @@ go 1.12
 require (
 	github.com/sdcoffey/big v0.7.0
 	github.com/stretchr/testify v1.7.0
-)
+)

go.sum

@@ -16,4 +16,4 @@ github.com/stretchr/testify v1.7.0 h1:nwc3DEeHmmLAfoZucVR881uASk0Mfjw8xYJ99tb5Cc
 github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
 gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
 gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c h1:dUUwHk2QECo/6vqA44rthZ8ie2QXMNeKRTHCNY2nXvo=
-gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
+gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=

indicator_stochastic_oscillator.go

@@ -0,0 +1,54 @@
+package techan
+
+import (
+	"math"
+
+	"github.com/sdcoffey/big"
+)
+
+type kIndicator struct {
+	closePrice Indicator
+	minValue   Indicator
+	maxValue   Indicator
+	window     int
+}
+
+// NewFastStochasticIndicator returns a derivative Indicator which returns the fast stochastic indicator (%K) for the
+// given window.
+// https://www.investopedia.com/terms/s/stochasticoscillator.asp
+func NewFastStochasticIndicator(series *TimeSeries, timeframe int) Indicator {
+	return kIndicator{
+		closePrice: NewClosePriceIndicator(series),
+		minValue:   NewMinimumValueIndicator(NewLowPriceIndicator(series), timeframe),
+		maxValue:   NewMaximumValueIndicator(NewHighPriceIndicator(series), timeframe),
+		window:     timeframe,
+	}
+}
+
+func (k kIndicator) Calculate(index int) big.Decimal {
+	closeVal := k.closePrice.Calculate(index)
+	minVal := k.minValue.Calculate(index)
+	maxVal := k.maxValue.Calculate(index)
+
+	if minVal.EQ(maxVal) {
+		return big.NewDecimal(math.Inf(1))
+	}
+
+	return closeVal.Sub(minVal).Div(maxVal.Sub(minVal)).Mul(big.NewDecimal(100))
+}
+
+type dIndicator struct {
+	k      Indicator
+	window int
+}
+
+// NewSlowStochasticIndicator returns a derivative Indicator which returns the slow stochastic indicator (%D) for the
+// given window.
+// https://www.investopedia.com/terms/s/stochasticoscillator.asp
+func NewSlowStochasticIndicator(k Indicator, window int) Indicator {
+	return dIndicator{k, window}
+}
+
+func (d dIndicator) Calculate(index int) big.Decimal {
+	return NewSimpleMovingAverage(d.k, d.window).Calculate(index)
+}

indicator_stochastic_oscillator_test.go

@@ -0,0 +1,85 @@
+package techan
+
+import (
+	"math"
+	"testing"
+
+	"github.com/sdcoffey/big"
+	"github.com/stretchr/testify/assert"
+)
+
+var fastStochValues = []float64{
+	100,
+	100,
+	100.0 * 12.0 / 16.0,
+	100.0 * 2.0 / 16.0,
+	100.0 * 6.0 / 16.0,
+	100.0 * 2.0 / 16.0,
+	100.0 * 3.0 / 15.0,
+	100.0 * 2.0 / 16.0,
+	100.0 * 4.0 / 13.0,
+	100.0 * 11.0 / 17.0,
+	100.0 * 24.0 / 49.0,
+}
+
+func TestFastStochasticIndicator(t *testing.T) {
+	ts := mockTimeSeriesOCHL(
+		[]float64{10, 12, 12, 8},
+		[]float64{11, 14, 14, 9},
+		[]float64{10, 20, 24, 10},
+		[]float64{9, 10, 11, 9},
+		[]float64{11, 14, 14, 9},
+		[]float64{9, 10, 11, 9},
+		[]float64{10, 12, 12, 10},
+		[]float64{9, 10, 11, 8},
+		[]float64{6, 5, 8, 1},
+		[]float64{15, 12, 18, 9},
+		[]float64{35, 25, 50, 20},
+	)
+
+	window := 6
+
+	k := NewFastStochasticIndicator(ts, window)
+
+	decimalEquals(t, fastStochValues[0], k.Calculate(0))
+	decimalEquals(t, fastStochValues[1], k.Calculate(1))
+	decimalEquals(t, fastStochValues[2], k.Calculate(2))
+	decimalEquals(t, fastStochValues[3], k.Calculate(3))
+	decimalEquals(t, fastStochValues[4], k.Calculate(4))
+	decimalEquals(t, fastStochValues[5], k.Calculate(5))
+	decimalEquals(t, fastStochValues[6], k.Calculate(6))
+	decimalEquals(t, fastStochValues[7], k.Calculate(7))
+	decimalEquals(t, fastStochValues[8], k.Calculate(8))
+	decimalEquals(t, fastStochValues[9], k.Calculate(9))
+	decimalEquals(t, fastStochValues[10], k.Calculate(10))
+}
+
+func TestSlowStochasticIndicator(t *testing.T) {
+	ts := mockTimeSeriesFl(fastStochValues...)
+
+	window := 3
+
+	d := NewSlowStochasticIndicator(NewClosePriceIndicator(ts), window)
+
+	decimalEquals(t, 0, d.Calculate(0))
+	decimalEquals(t, 0, d.Calculate(1))
+	decimalEquals(t, 100.0*(12.0/16.0+1+1)/3.0, d.Calculate(2))
+	decimalEquals(t, 100.0*(2.0/16.0+12.0/16.0+1)/3.0, d.Calculate(3))
+	decimalEquals(t, 100.0*(6.0/16.0+2.0/16.0+12.0/16.0)/3.0, d.Calculate(4))
+	decimalEquals(t, 100.0*(2.0/16.0+6.0/16.0+2.0/16.0)/3.0, d.Calculate(5))
+	decimalEquals(t, 100.0*(3.0/15.0+2.0/16.0+6.0/16.0)/3.0, d.Calculate(6))
+	decimalEquals(t, 100.0*(2.0/16.0+3.0/15.0+2.0/16.0)/3.0, d.Calculate(7))
+	decimalEquals(t, 100.0*(4.0/13.0+2.0/16.0+3.0/15.0)/3.0, d.Calculate(8))
+	decimalEquals(t, 100.0*(11.0/17.0+4.0/13.0+2.0/16.0)/3.0, d.Calculate(9))
+	decimalEquals(t, 100.0*(24.0/49.0+11.0/17.0+4.0/13.0)/3.0, d.Calculate(10))
+}
+
+func TestFastStochasticIndicatorNoPriceChange(t *testing.T) {
+	ts := mockTimeSeriesOCHL(
+		[]float64{42, 42, 42, 42},
+		[]float64{42, 42, 42, 42},
+	)
+
+	k := NewFastStochasticIndicator(ts, 2)
+	assert.Equal(t, big.NewDecimal(math.Inf(1)).FormattedString(2), k.Calculate(1).FormattedString(2))
+}