108 lines
2.2 KiB
Go
108 lines
2.2 KiB
Go
package strategy
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import (
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"sync/atomic"
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"github.com/shopspring/decimal"
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)
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// α = 2 / (N+1) 平滑係數
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func alphaFromPeriod(n uint) decimal.Decimal {
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return decimal.NewFromInt(2).
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Div(decimal.NewFromInt(int64(n)).Add(decimal.NewFromInt(1)))
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}
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// =========================
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// EMA（單寫；快照多讀）
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// Seed: SMA 作為初始化
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// =========================
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type emaCore struct {
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period uint
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alpha decimal.Decimal
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// 狀態（單 writer 更新）
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value decimal.Decimal
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ready bool
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count uint
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sum decimal.Decimal // warm-up 期間用於 SMA seed
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}
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func newEMACore(period uint) *emaCore {
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if period == 0 {
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panic("EMA period must be > 0")
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}
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return &emaCore{
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period: period,
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alpha: alphaFromPeriod(period),
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}
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}
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// Push 僅供單 writer 呼叫
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// 回傳 (當前 EMA, ready)
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func (e *emaCore) Push(x decimal.Decimal) (decimal.Decimal, bool) {
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e.count++
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// Warm-up：用 SMA 作為 seed
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if !e.ready {
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e.sum = e.sum.Add(x)
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if e.count == e.period {
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e.value = e.sum.Div(decimal.NewFromInt(int64(e.period)))
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e.ready = true
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}
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return e.value, e.ready
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}
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oneMinus := decimal.NewFromInt(1).Sub(e.alpha)
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e.value = e.value.Mul(oneMinus).Add(x.Mul(e.alpha))
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return e.value, true
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}
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// ===== 快照發布（多讀零鎖） =====
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type EMASnapshot struct {
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Period uint
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Alpha string // 十進位字串，方便落盤或序列化
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Value decimal.Decimal // 目前 EMA
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Ready bool
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LastInput decimal.Decimal // 最近一次輸入值
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Count uint // 已處理資料點
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}
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type EMA struct {
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core *emaCore
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last decimal.Decimal
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snap atomic.Value // holds EMASnapshot
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}
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func NewEMA(period uint) *EMA {
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c := newEMACore(period)
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e := &EMA{core: c}
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e.snap.Store(EMASnapshot{
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Period: period,
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Alpha: c.alpha.String(),
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})
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return e
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}
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// Update 單 writer 呼叫
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func (e *EMA) Update(x decimal.Decimal) EMASnapshot {
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val, ready := e.core.Push(x)
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e.last = x
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snap := EMASnapshot{
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Period: e.core.period,
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Alpha: e.core.alpha.String(),
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Value: val,
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Ready: ready,
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LastInput: x,
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Count: e.core.count,
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}
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e.snap.Store(snap)
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return snap
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}
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// Load 多 reader 零鎖讀
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func (e *EMA) Load() EMASnapshot {
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return e.snap.Load().(EMASnapshot)
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}
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