bollinger bounds

bollinger_band_series.go

@@ -0,0 +1,153 @@
+package chart
+
+import "math"
+
+// BollingerBandsSeries draws bollinger bands for an inner series.
+// Bollinger bands are defined by two lines, one at SMA+k*stddev, one at SMA-k*stdev.
+type BollingerBandsSeries struct {
+	Name  string
+	Style Style
+	YAxis YAxisType
+
+	WindowSize  int
+	K           float64
+	InnerSeries ValueProvider
+
+	valueBuffer *RingBuffer
+}
+
+// GetName returns the name of the time series.
+func (bbs BollingerBandsSeries) GetName() string {
+	return bbs.Name
+}
+
+// GetStyle returns the line style.
+func (bbs BollingerBandsSeries) GetStyle() Style {
+	return bbs.Style
+}
+
+// GetYAxis returns which YAxis the series draws on.
+func (bbs BollingerBandsSeries) GetYAxis() YAxisType {
+	return bbs.YAxis
+}
+
+// GetWindowSize returns the window size.
+func (bbs BollingerBandsSeries) GetWindowSize(defaults ...int) int {
+	if bbs.WindowSize == 0 {
+		if len(defaults) > 0 {
+			return defaults[0]
+		}
+		return DefaultMovingAverageWindowSize
+	}
+	return bbs.WindowSize
+}
+
+// Len returns the number of elements in the series.
+func (bbs *BollingerBandsSeries) Len() int {
+	return bbs.InnerSeries.Len()
+}
+
+// GetBoundedValue gets the bounded value for the series.
+func (bbs *BollingerBandsSeries) GetBoundedValue(index int) (x, y1, y2 float64) {
+	if bbs.InnerSeries == nil {
+		return
+	}
+	if bbs.valueBuffer == nil || index == 0 {
+		bbs.valueBuffer = NewRingBufferWithCapacity(bbs.GetWindowSize())
+	}
+	if bbs.valueBuffer.Len() >= bbs.GetWindowSize() {
+		bbs.valueBuffer.Dequeue()
+	}
+	px, py := bbs.InnerSeries.GetValue(index)
+	bbs.valueBuffer.Enqueue(py)
+	x = px
+
+	ay := bbs.getAverage(bbs.valueBuffer)
+	std := bbs.getStdDev(bbs.valueBuffer)
+
+	y1 = ay + (bbs.K * std)
+	y2 = ay - (bbs.K * std)
+	return
+}
+
+// Render renders the series.
+func (bbs BollingerBandsSeries) Render(r Renderer, canvasBox Box, xrange, yrange Range, defaults Style) {
+	s := bbs.Style.WithDefaultsFrom(defaults)
+
+	r.SetStrokeColor(s.GetStrokeColor())
+	r.SetStrokeDashArray(s.GetStrokeDashArray())
+	r.SetStrokeWidth(s.GetStrokeWidth())
+	r.SetFillColor(s.GetFillColor())
+
+	cb := canvasBox.Bottom
+	cl := canvasBox.Left
+
+	v0x, v0y1, v0y2 := bbs.GetBoundedValue(0)
+	x0 := cl + xrange.Translate(v0x)
+	y0 := cb - yrange.Translate(v0y1)
+
+	var vx, vy1, vy2 float64
+	var x, y int
+
+	xvalues := make([]float64, bbs.Len())
+	xvalues[0] = v0x
+	y2values := make([]float64, bbs.Len())
+	y2values[0] = v0y2
+
+	r.MoveTo(x0, y0)
+	for i := 1; i < bbs.Len(); i++ {
+		vx, vy1, vy2 = bbs.GetBoundedValue(i)
+
+		xvalues[i] = vx
+		y2values[i] = vy2
+
+		x = cl + xrange.Translate(vx)
+		y = cb - yrange.Translate(vy1)
+		if i > bbs.GetWindowSize() {
+			r.LineTo(x, y)
+		} else {
+			r.MoveTo(x, y)
+		}
+	}
+	y = cb - yrange.Translate(vy2)
+	r.LineTo(x, y)
+	for i := bbs.Len() - 1; i >= bbs.GetWindowSize(); i-- {
+		vx, vy2 = xvalues[i], y2values[i]
+		x = cl + xrange.Translate(vx)
+		y = cb - yrange.Translate(vy2)
+		r.LineTo(x, y)
+	}
+	r.Close()
+	r.FillStroke()
+}
+
+func (bbs BollingerBandsSeries) getAverage(valueBuffer *RingBuffer) float64 {
+	var accum float64
+	valueBuffer.Each(func(v interface{}) {
+		if typed, isTyped := v.(float64); isTyped {
+			accum += typed
+		}
+	})
+	return accum / float64(valueBuffer.Len())
+}
+
+func (bbs BollingerBandsSeries) getVariance(valueBuffer *RingBuffer) float64 {
+	if valueBuffer.Len() == 0 {
+		return 0
+	}
+
+	var variance float64
+	m := bbs.getAverage(valueBuffer)
+
+	valueBuffer.Each(func(v interface{}) {
+		if n, isTyped := v.(float64); isTyped {
+			variance += (float64(n) - m) * (float64(n) - m)
+		}
+	})
+
+	return variance / float64(valueBuffer.Len())
+}
+
+func (bbs BollingerBandsSeries) getStdDev(valueBuffer *RingBuffer) float64 {
+	return math.Pow(bbs.getVariance(valueBuffer), 0.5)
+}

chart.go

@@ -136,7 +136,27 @@ func (c Chart) getRanges() (xrange, yrange, yrangeAlt Range) {
 	for _, s := range c.Series {
 		if s.GetStyle().IsZero() || s.GetStyle().Show {
 			seriesAxis := s.GetYAxis()
-			if vp, isValueProvider := s.(ValueProvider); isValueProvider {
+			if bvp, isBoundedValueProvider := s.(BoundedValueProvider); isBoundedValueProvider {
+				seriesLength := bvp.Len()
+				for index := 0; index < seriesLength; index++ {
+					vx, vy1, vy2 := bvp.GetBoundedValue(index)
+
+					minx = math.Min(minx, vx)
+					maxx = math.Max(maxx, vx)
+
+					if seriesAxis == YAxisPrimary {
+						miny = math.Min(miny, vy1)
+						miny = math.Min(miny, vy2)
+						maxy = math.Max(maxy, vy1)
+						maxy = math.Max(maxy, vy2)
+					} else if seriesAxis == YAxisSecondary {
+						minya = math.Min(minya, vy1)
+						minya = math.Min(minya, vy2)
+						maxya = math.Max(maxya, vy1)
+						maxya = math.Max(maxya, vy2)
+					}
+				}
+			} else if vp, isValueProvider := s.(ValueProvider); isValueProvider {
 				seriesLength := vp.Len()
 				for index := 0; index < seriesLength; index++ {
 					vx, vy := vp.GetValue(index)

testserver/main.go

@@ -40,8 +40,8 @@ func chartHandler(rc *web.RequestContext) web.ControllerResult {
 		XValues: s1x,
 		YValues: s1y,
 		Style: chart.Style{
-			Show:      true,
+			Show: true,
-			FillColor: chart.GetDefaultSeriesStrokeColor(0).WithAlpha(64),
+			//FillColor: chart.GetDefaultSeriesStrokeColor(0).WithAlpha(64),
 		},
 	}
 
@@ -60,32 +60,16 @@ func chartHandler(rc *web.RequestContext) web.ControllerResult {
 		},
 	}
 
-	s1ma := &chart.MovingAverageSeries{
+	s1ma := &chart.BollingerBandsSeries{
-		Name: "Average",
+		Name: "BBS",
-		Style: chart.Style{
-			Show:            true,
-			StrokeColor:     drawing.ColorRed,
-			StrokeDashArray: []float64{5, 1, 1},
-		},
-		WindowSize:  10,
-		InnerSeries: s1,
-	}
-
-	s1malx, s1maly := s1ma.GetLastValue()
-
-	s1malv := chart.AnnotationSeries{
-		Name: fmt.Sprintf("Last Value"),
 		Style: chart.Style{
 			Show:        true,
-			StrokeColor: drawing.ColorRed,
+			StrokeColor: chart.DefaultAxisColor,
-		},
+			FillColor:   chart.DefaultAxisColor.WithAlpha(64),
-		Annotations: []chart.Annotation{
-			chart.Annotation{
-				X:     s1malx,
-				Y:     s1maly,
-				Label: fmt.Sprintf("%s - %s", "test", chart.FloatValueFormatter(s1maly)),
-			},
 		},
+		K:           2.0,
+		WindowSize:  10,
+		InnerSeries: s1,
 	}
 
 	c := chart.Chart{
@@ -121,7 +105,6 @@ func chartHandler(rc *web.RequestContext) web.ControllerResult {
 			s1,
 			s1ma,
 			s1lv,
-			s1malv,
 		},
 	}
 

value_provider.go

@@ -5,3 +5,9 @@ type ValueProvider interface {
 	Len() int
 	GetValue(index int) (float64, float64)
 }
+
+// BoundedValueProvider allows series to return a range.
+type BoundedValueProvider interface {
+	Len() int
+	GetBoundedValue(index int) (x, y1, y2 float64)
+}