eu.verdelhan.ta4j.indicators.trackers.ParabolicSarIndicator Maven / Gradle / Ivy
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/**
* The MIT License (MIT)
*
* Copyright (c) 2014-2015 Marc de Verdelhan & respective authors
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package eu.verdelhan.ta4j.indicators.trackers;
import eu.verdelhan.ta4j.Decimal;
import eu.verdelhan.ta4j.TimeSeries;
import eu.verdelhan.ta4j.indicators.CachedIndicator;
import eu.verdelhan.ta4j.indicators.helpers.HighestValueIndicator;
import eu.verdelhan.ta4j.indicators.helpers.LowestValueIndicator;
import eu.verdelhan.ta4j.indicators.simple.MaxPriceIndicator;
import eu.verdelhan.ta4j.indicators.simple.MinPriceIndicator;
/**
* Parabolic SAR indicator.
*
*/
public class ParabolicSarIndicator extends CachedIndicator {
private static final Decimal DEFAULT_ACCELERATION = Decimal.valueOf("0.02");
private static final Decimal ACCELERATION_THRESHOLD = Decimal.valueOf("0.19");
private static final Decimal MAX_ACCELERATION = Decimal.valueOf("0.2");
private static final Decimal ACCELERATION_INCREMENT = Decimal.valueOf("0.02");
private Decimal acceleration = DEFAULT_ACCELERATION;
private final TimeSeries series;
private Decimal extremePoint;
private final LowestValueIndicator lowestValueIndicator;
private final HighestValueIndicator highestValueIndicator;
private final int timeFrame;
public ParabolicSarIndicator(TimeSeries series, int timeFrame) {
super(series);
this.series = series;
this.lowestValueIndicator = new LowestValueIndicator(new MinPriceIndicator(series), timeFrame);
this.highestValueIndicator = new HighestValueIndicator(new MaxPriceIndicator(series), timeFrame);
this.timeFrame = timeFrame;
}
@Override
protected Decimal calculate(int index) {
if (index <= 1) {
// Warning: should the min or the max price, according to the trend
// But we don't know the trend yet, so we use the close price.
extremePoint = series.getTick(index).getClosePrice();
return extremePoint;
}
Decimal n2ClosePrice = series.getTick(index - 2).getClosePrice();
Decimal n1ClosePrice = series.getTick(index - 1).getClosePrice();
Decimal nClosePrice = series.getTick(index).getClosePrice();
Decimal sar;
if (n2ClosePrice.isGreaterThan(n1ClosePrice) && n1ClosePrice.isLessThan(nClosePrice)) {
// Trend switch: \_/
sar = extremePoint;
extremePoint = highestValueIndicator.getValue(index);
acceleration = DEFAULT_ACCELERATION;
} else if (n2ClosePrice.isLessThan(n1ClosePrice) && n1ClosePrice.isGreaterThan(nClosePrice)) {
// Trend switch: /¯\
sar = extremePoint;
extremePoint = lowestValueIndicator.getValue(index);
acceleration = DEFAULT_ACCELERATION;
} else if (nClosePrice.isLessThan(n1ClosePrice)) {
// Downtrend: falling SAR
Decimal lowestValue = lowestValueIndicator.getValue(index);
if (extremePoint.isGreaterThan(lowestValue)) {
incrementAcceleration();
extremePoint = lowestValue;
}
sar = calculateSar(index);
Decimal n2MaxPrice = series.getTick(index - 2).getMaxPrice();
Decimal n1MaxPrice = series.getTick(index - 1).getMaxPrice();
Decimal nMaxPrice = series.getTick(index).getMaxPrice();
if (n1MaxPrice.isGreaterThan(sar)) {
sar = n1MaxPrice;
} else if (n2MaxPrice.isGreaterThan(sar)) {
sar = n2MaxPrice;
}
if (nMaxPrice.isGreaterThan(sar)) {
sar = series.getTick(index).getMinPrice();
}
} else {
// Uptrend: rising SAR
Decimal highestValue = highestValueIndicator.getValue(index);
if (extremePoint.isLessThan(highestValue)) {
incrementAcceleration();
extremePoint = highestValue;
}
sar = calculateSar(index);
Decimal n2MinPrice = series.getTick(index - 2).getMinPrice();
Decimal n1MinPrice = series.getTick(index - 1).getMinPrice();
Decimal nMinPrice = series.getTick(index).getMinPrice();
if (n1MinPrice.isLessThan(sar)) {
sar = n1MinPrice;
} else if (n2MinPrice.isLessThan(sar)) {
sar = n2MinPrice;
}
if (nMinPrice.isLessThan(sar)) {
sar = series.getTick(index).getMaxPrice();
}
}
return sar;
}
/**
* Increments the acceleration factor.
*/
private void incrementAcceleration() {
if (acceleration.isGreaterThanOrEqual(ACCELERATION_THRESHOLD)) {
acceleration = MAX_ACCELERATION;
} else {
acceleration = acceleration.plus(ACCELERATION_INCREMENT);
}
}
/**
* Calculates the SAR.
* @param index the index
* @return the SAR
*/
private Decimal calculateSar(int index) {
Decimal previousSar = getValue(index - 1);
return extremePoint.multipliedBy(acceleration)
.plus(Decimal.ONE.minus(acceleration).multipliedBy(previousSar));
}
@Override
public String toString() {
return getClass().getSimpleName() + " timeFrame: " + timeFrame;
}
}