techan

package module
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 Go to latest Published: Nov 30, 2024 License: MIT Imports: 12 Imported by: 1

README

Techan

TechAn is a technical analysis library for Go! It provides a suite of tools and frameworks to analyze financial data and make trading decisions.

NOTE: This is my fork of the original techan library found at https://github.com/sdcoffey/techan. My fork preserves the structure of the timeseries and inidicator calculation while completely overhauling the strategy and trade simulation to make it more functional for my real use.

Features

  • Basic and advanced technical analysis indicators
  • Strategy building
  • Backtesting and account simulation

Installation

$ go get github.com/schmidthole/techan

Examples

Quickstart
series := techan.NewTimeSeries()

// fetch this from your preferred exchange
dataset := [][]string{
	// Timestamp, Open, Close, High, Low, volume
	{"1234567", "1", "2", "3", "5", "6"},
}

for _, datum := range dataset {
	start, _ := strconv.ParseInt(datum[0], 10, 64)
	period := techan.NewTimePeriod(time.Unix(start, 0), time.Hour*24)

	candle := techan.NewCandle(period)
	candle.OpenPrice = big.NewFromString(datum[1])
	candle.ClosePrice = big.NewFromString(datum[2])
	candle.MaxPrice = big.NewFromString(datum[3])
	candle.MinPrice = big.NewFromString(datum[4])

	series.AddCandle(candle)
}

closePrices := techan.NewClosePriceIndicator(series)
movingAverage := techan.NewEMAIndicator(closePrices, 10) // Create an exponential moving average with a window of 10

fmt.Println(movingAverage.Calculate(0).FormattedString(2))
Creating trading strategies

A Strategy in Techan is the application of a Rule against a particular security/asset. For ease of reference, the Strategy struct contains the original Timeseries, all Indicators used to calculate the Rule, and the rull itself.

// using the timeseries and indicators from above...

// we simply create a rule that is satisfied if the price is above the moving average.
rule := OverIndicatorRule {
    First: movingAverage,
    Second: closePrices
}

strategy := Strategy{
    Security: "TEST",
    Timeseries: series,
    Indicators: map[string]Indicator{
        "ema10": movingAverage,
    },
    Rule: rule,
}

Strategies against individual securities/assets can be combined into a more comprehensive strategy using an Allocator. An allocator is simply an interface that accepts a list of strategies and outputs a portfolio allocation. This can be as simple or as complex as needed.

// again using the strategy defined above...

// we create a naive allocator which allows a single position to be 50% of a portfolio and 100% of a portfoliio
// to be allocated.
allocator := NewNaiveAllocator(big.NewDecimal(0.5), big.NewDecimal(1.0))

allocations := allocator.Allocate(0, []Strategy{strategy})

Using the outputted portfolio Allocations, we can then create a TradePlan by combining information from an Account. The TradePlan will use the current security prices, open positions in the account, and the allocations provided to identify the orders which can be placed to achieve the desired allocation. This can be used to calculate orders to execute with a broker based on the strategy results.

account := NewAccount()
account.Deposit(big.NewDecimal(10000.00))

// create pricing data from timeseries candles above.
pricing := Pricing{
    "ONE": big.NewDecimal(2.0)
}

tradePlan, _ := CreateTradePlan(allocations, pricing, account)

Putting it all together, we can use all of the components to run a full backtest of a strategy against the historical Timeseries data. Combining multiple Strategy objects along with the Allocator allow for complex strategies to be modelled over time.

// we are still using everyting defined above...

backtest := NewBacktest([]Strategy{strategy}, allocator, account)
history, _ := backtest.Run()

Running a backtest will about an AccountHistory object, which contains all of the relevant backtest snapshots/results over time. The account history can be used to perform analysis of the strategy's performance metrics.

profit := history.TotalProfit()
Credits

Techan is heavily influenced by the great ta4j. Many of the ideas and frameworks in this library owe their genesis to the great work done over there.

License

Techan is released under the MIT license. See LICENSE for details.

Documentation

Index

Examples

Constants

View Source 
const (
	SimpleDateTimeFormat = "01/02/2006T15:04:05"
	SimpleDateFormat     = "01/02/2006"

	SimpleTimeFormat   = "15:04:05"
	SimpleDateFormatV2 = "2006-01-02"
)

Constants representing basic, human-readable and writable date formats

Variables

View Source 
var (
	SimpleTimeFomatRegex    = regexp.MustCompile(`T\d{2}:\d{2}:\d{2}`)
	SimpleDateFormatV2Regex = regexp.MustCompile(`\d{4}-\d{2}-\d{2}`)
)

Constants representing regexes for parsing datetimes

Functions

func Abs 

func Abs(b int) int

Abs returns the absolute value of the passed-in integer

func CashToShares 

func CashToShares(assetPrice big.Decimal, cash big.Decimal) big.Decimal

func Max 

func Max(i, j int) int

Max returns the larger of the two integers passed in

func Min 

func Min(i, j int) int

Min returns the smaller integer of the two integers passed in

func Pow 

func Pow(i, j int) int

Pow returns the first integer to the power of the second integer

Types

type Account 

type Account struct {
	Positions   map[string]*Position
	Cash        big.Decimal
	TradeRecord []*Order
}

Account is an object describing a trading account, including trading record, open positions and current cash on hand.

func NewAccount 

func NewAccount() (a *Account)

NewAccount returns a new Account

func (*Account) Deposit 

func (a *Account) Deposit(cash big.Decimal)

Enters a cash deposit into the account structure

func (*Account) Equity 

func (a *Account) Equity() big.Decimal

Calculates the total equity of the account including unrealized equity for open positions

func (*Account) ExecuteOrder 

func (a *Account) ExecuteOrder(order *Order) error

Execute an order against the account

func (*Account) ExportSnapshot 

func (a *Account) ExportSnapshot(period TimePeriod) *AccountSnapshot

Exports a snapshot of the current account state to be used in the account history and analysis tooling.

func (*Account) HasSufficientFunds 

func (a *Account) HasSufficientFunds(order *Order) bool

Checks whether the account has enough funds to execute an order. We assume there is always enough funds for a sell order since the system is currently long only.

func (*Account) OpenPosition 

func (a *Account) OpenPosition(security string) (*Position, bool)

CurrentPosition returns the current position in this record

func (*Account) UpdatePrices 

func (a *Account) UpdatePrices(prices Pricing)

Updates prices for all open positions. If a price is not provided for a given position its price is not updated

func (*Account) Withdraw 

func (a *Account) Withdraw(cash big.Decimal) error

Withdraws a cash sum from the account structure

type AccountHistory 

type AccountHistory struct {
	Securities []string
	Prices     []*PricingSnapshot
	Snapshots  []*AccountSnapshot
}

The AccountHistory contains a record of point in time account snapshots as well as a list of all of the Securities tracked by the account over time.

func NewAccountHistory 

func NewAccountHistory() *AccountHistory

func (*AccountHistory) AccountEquityAsIndicator added in v1.0.2 

func (ah *AccountHistory) AccountEquityAsIndicator() Indicator

Derive an Indicator from the account history equity.

func (*AccountHistory) AnnualizedReturn added in v1.0.2 

func (ah *AccountHistory) AnnualizedReturn() big.Decimal

Get the annualized return of the account equity

func (*AccountHistory) AnnualizedVolatility added in v1.0.2 

func (ah *AccountHistory) AnnualizedVolatility() big.Decimal

Calculate the annualized volatility of the account's equity.

func (*AccountHistory) ApplySnapshot 

func (ah *AccountHistory) ApplySnapshot(accountSnapshot *AccountSnapshot, pricingSnapshot *PricingSnapshot) error

Add a new account and pricing snapshot to the history.

func (*AccountHistory) ExportAnalysisSummaryYaml added in v1.0.10 

func (ah *AccountHistory) ExportAnalysisSummaryYaml(filepath string) error

Exports an analysis summary to yaml for viewing and analysis.

func (*AccountHistory) ExportMonthlyGainsYaml added in v1.0.10 

func (ah *AccountHistory) ExportMonthlyGainsYaml(filepath string) error

Exports the monthly gains to yaml for viewing and analysis.

func (*AccountHistory) ExportSnapshotsYaml added in v1.0.10 

func (ah *AccountHistory) ExportSnapshotsYaml(filepath string) error

Exports the account snapshots in a readable yaml format for viewing and analysis.

func (*AccountHistory) LastIndex 

func (ah *AccountHistory) LastIndex() int

Helper function to return the last index of snapshot data.

func (*AccountHistory) MonthlyPercentGains added in v1.0.9 

func (ah *AccountHistory) MonthlyPercentGains() []ReturnPeriod

Returns broken down by month

func (*AccountHistory) PercentGain 

func (ah *AccountHistory) PercentGain() big.Decimal

Total percent gain of the account history.

func (*AccountHistory) PriceAtIndex 

func (ah *AccountHistory) PriceAtIndex(security string, index int) (big.Decimal, bool)

Helper function to return a price at a given snapshot index.

func (*AccountHistory) TotalProfit 

func (ah *AccountHistory) TotalProfit() big.Decimal

Total profit of the account history.

type AccountSnapshot 

type AccountSnapshot struct {
	Period    TimePeriod          `yaml:"period"`
	Equity    big.Decimal         `yaml:"equity"`
	Cash      big.Decimal         `yaml:"cash"`
	Positions []*PositionSnapshot `yaml:"positions"`
}

An AccountSnapshot provides the point in time state of an account and its positions.

type Allocations 

type Allocations map[string]big.Decimal

Allocations are simply a map of securities and their fraction of allocation. All item's fraction in the map should add up to 1.0.

type Allocator 

type Allocator interface {
	Allocate(index int, strategies []Strategy) Allocations
	AllocateWithAccount(index int, strategies []Strategy, account *Account) Allocations
}

An allocator is a functional component which provides a portfolio allocation across many Securities. A list of strategy structures is passed in to calculate the allocations based on rule analysis or timeseries data. All outputted allocation fractions will add up to 1.0 (big.ONE).

type Backtest 

type Backtest struct {
	// contains filtered or unexported fields
}

The Backtest is a holder struct to run a simulated trading strategy against an account.

func NewBacktest 

func NewBacktest(strategies []Strategy, allocator Allocator, account *Account) *Backtest

Create a new backtest with the provided strategies, allocator, and starting account. All strategies are assumed to be normalized and have the same length, indexes, and periods.

func (*Backtest) Run 

func (b *Backtest) Run() (*AccountHistory, error)

Run the backtest from start to finish.

type Candle 

type Candle struct {
	Period     TimePeriod
	OpenPrice  big.Decimal
	ClosePrice big.Decimal
	MaxPrice   big.Decimal
	MinPrice   big.Decimal
	Volume     big.Decimal
	TradeCount uint
}

Candle represents basic market information for a security over a given time period

func NewCandle 

func NewCandle(period TimePeriod) (c *Candle)

NewCandle returns a new *Candle for a given time period

func (*Candle) AddTrade 

func (c *Candle) AddTrade(tradeAmount, tradePrice big.Decimal)

AddTrade adds a trade to this candle. It will determine if the current price is higher or lower than the min or max price and increment the tradecount.

func (*Candle) String 

func (c *Candle) String() string

type DecreaseRule 

type DecreaseRule struct {
	Indicator
}

DecreaseRule is satisfied when the given Indicator at the given index is less than the value at the previous index.

func (DecreaseRule) IsSatisfied 

func (dr DecreaseRule) IsSatisfied(index int) bool

IsSatisfied returns true when the given Indicator at the given index is less than the value at the previous index.

type DerivativeIndicator 

type DerivativeIndicator struct {
	Indicator Indicator
}

DerivativeIndicator returns an indicator that calculates the derivative of the underlying Indicator. The derivative is defined as the difference between the value at the previous index and the value at the current index. Eg series [1, 1, 2, 3, 5, 8] -> [0, 0, 1, 1, 2, 3]

func (DerivativeIndicator) Calculate 

func (di DerivativeIndicator) Calculate(index int) big.Decimal

Calculate returns the derivative of the underlying indicator. At index 0, it will always return 0.

type IncreaseRule 

type IncreaseRule struct {
	Indicator
}

IncreaseRule is satisfied when the given Indicator at the given index is greater than the value at the previous index.

func (IncreaseRule) IsSatisfied 

func (ir IncreaseRule) IsSatisfied(index int) bool

IsSatisfied returns true when the given Indicator at the given index is greater than the value at the previous index.

type Indicator 

type Indicator interface {
	Calculate(int) big.Decimal
}

Indicator is an interface that describes a methodology by which to analyze a trading record for a specific property or trend. For example. MovingAverageIndicator implements the Indicator interface and, for a given index in the timeSeries, returns the current moving average of the prices in that series.

func NewAroonDownIndicator 

func NewAroonDownIndicator(indicator Indicator, window int) Indicator

NewAroonDownIndicator returns a derivative indicator that will return a value based on the number of ticks since the lowest price in the window https://www.investopedia.com/terms/a/aroon.asp

Note: this indicator should be constructed with a either a LowPriceIndicator or a derivative thereof

func NewAroonUpIndicator 

func NewAroonUpIndicator(indicator Indicator, window int) Indicator

NewAroonUpIndicator returns a derivative indicator that will return a value based on the number of ticks since the highest price in the window https://www.investopedia.com/terms/a/aroon.asp

Note: this indicator should be constructed with a either a HighPriceIndicator or a derivative thereof

func NewAverageGainsIndicator 

func NewAverageGainsIndicator(indicator Indicator, window int) Indicator

NewAverageGainsIndicator Returns a new average gains indicator, which returns the average gains in the given window based on the given indicator.

func NewAverageLossesIndicator 

func NewAverageLossesIndicator(indicator Indicator, window int) Indicator

NewAverageLossesIndicator Returns a new average losses indicator, which returns the average losses in the given window based on the given indicator.

func NewAverageTrueRangeIndicator 

func NewAverageTrueRangeIndicator(series *TimeSeries, window int) Indicator

NewAverageTrueRangeIndicator returns a base indicator that calculates the average true range of the underlying over a window https://www.investopedia.com/terms/a/atr.asp

func NewBinaryFrequencyIndicator added in v1.0.2 

func NewBinaryFrequencyIndicator(indicators []Indicator, window int, threshold float64) Indicator

Binary Frequency is a specialized indicator which returns the number of times an indicator was greater than a defined threshold over a lookback window.

func NewBollingerLowerBandIndicator 

func NewBollingerLowerBandIndicator(indicator Indicator, window int, sigma float64) Indicator

NewBollingerLowerBandIndicator returns a a derivative indicator which returns the lower bound of a bollinger band on the underlying indicator

func NewBollingerUpperBandIndicator 

func NewBollingerUpperBandIndicator(indicator Indicator, window int, sigma float64) Indicator

NewBollingerUpperBandIndicator a a derivative indicator which returns the upper bound of a bollinger band on the underlying indicator

func NewCCIIndicator 

func NewCCIIndicator(ts *TimeSeries, window int) Indicator

NewCCIIndicator Returns a new Commodity Channel Index Indicator http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:commodity_channel_index_cci

func NewClosePriceIndicator 

func NewClosePriceIndicator(series *TimeSeries) Indicator

NewClosePriceIndicator returns an Indicator which returns the close price of a candle for a given index

func NewConstantIndicator 

func NewConstantIndicator(constant float64) Indicator

NewConstantIndicator returns an indicator which always returns the same value for any index. It's useful when combined with other, fluxuating indicators to determine when an indicator has crossed a threshold.

func NewCumulativeGainsIndicator 

func NewCumulativeGainsIndicator(indicator Indicator, window int) Indicator

NewCumulativeGainsIndicator returns a derivative indicator which returns all gains made in a base indicator for a given window.

func NewCumulativeLossesIndicator 

func NewCumulativeLossesIndicator(indicator Indicator, window int) Indicator

NewCumulativeLossesIndicator returns a derivative indicator which returns all losses in a base indicator for a given window.

func NewDifferenceIndicator 

func NewDifferenceIndicator(minuend, subtrahend Indicator) Indicator

NewDifferenceIndicator returns an indicator which returns the difference between one indicator (minuend) and a second indicator (subtrahend).

func NewEMAIndicator 

func NewEMAIndicator(indicator Indicator, window int) Indicator

NewEMAIndicator returns a derivative indicator which returns the average of the current and preceding values in the given windowSize, with values closer to current index given more weight. A more in-depth explanation can be found here: http://www.investopedia.com/terms/e/ema.asp

func NewFastStochasticIndicator 

func NewFastStochasticIndicator(series *TimeSeries, timeframe int) Indicator

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 NewFixedIndicator 

func NewFixedIndicator(vals ...float64) Indicator

NewFixedIndicator returns an indicator with a fixed set of values that are returned when an index is passed in

func NewGainIndicator 

func NewGainIndicator(indicator Indicator) Indicator

NewGainIndicator returns a derivative indicator that returns the gains in the underlying indicator in the last bar, if any. If the delta is negative, zero is returned

func NewHighPriceIndicator 

func NewHighPriceIndicator(series *TimeSeries) Indicator

NewHighPriceIndicator returns an Indicator which returns the high price of a candle for a given index

func NewKeltnerChannelLowerIndicator 

func NewKeltnerChannelLowerIndicator(series *TimeSeries, window int) Indicator

func NewKeltnerChannelUpperIndicator 

func NewKeltnerChannelUpperIndicator(series *TimeSeries, window int) Indicator

func NewLocalExtremaIndicator added in v1.0.2 

func NewLocalExtremaIndicator(indicator Indicator, window int, length int) Indicator

Defines an indicator to determine local extrema (minima/maxima). This indicator is really useful for post analysis and calculating things like max drawdown. It is *NOT* good for live trading as it uses a lookback to find the local extrema when an roc switches direction.

This indicator can be useful for identification of "boxes" or "bases" in an asset/security where it is not critical that the extrema be identified immediately.

Right now, the entire extrema slice is computed during creation, so we need the total length of data to compute as a param. This is required because for a given index to be considered a local extrema, we potentially need to look both in front of and behind it.

func NewLossIndicator 

func NewLossIndicator(indicator Indicator) Indicator

NewLossIndicator returns a derivative indicator that returns the losses in the underlying indicator in the last bar, if any. If the delta is positive, zero is returned

func NewLowPriceIndicator 

func NewLowPriceIndicator(series *TimeSeries) Indicator

NewLowPriceIndicator returns an Indicator which returns the low price of a candle for a given index

func NewMACDHistogramIndicator 

func NewMACDHistogramIndicator(macdIdicator Indicator, signalLinewindow int) Indicator

NewMACDHistogramIndicator returns a derivative Indicator based on the MACDIndicator, the result of which is the macd indicator minus it's signalLinewindow EMA. A more in-depth explanation can be found here: http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:macd-histogram

func NewMACDIndicator 

func NewMACDIndicator(baseIndicator Indicator, shortwindow, longwindow int) Indicator

NewMACDIndicator returns a derivative Indicator which returns the difference between two EMAIndicators with long and short windows. It's useful for gauging the strength of price movements. A more in-depth explanation can be found here: http://www.investopedia.com/terms/m/macd.asp

func NewMMAIndicator 

func NewMMAIndicator(indicator Indicator, window int) Indicator

NewMMAIndicator returns a derivative indciator which returns the modified moving average of the underlying indictator. An in-depth explanation can be found here: https://en.wikipedia.org/wiki/Moving_average#Modified_moving_average

func NewMaximumDrawdownIndicator 

func NewMaximumDrawdownIndicator(indicator Indicator, window int, length int) Indicator

Revamped maximum drawdown indicator which uses a local extrema calculation to find the difference between almost absolute peaks and valleys over time.

Each "peak" and "valley" are paired to introduce a single "drawdown"

func NewMaximumValueIndicator 

func NewMaximumValueIndicator(ind Indicator, window int) Indicator

NewMaximumValueIndicator returns a derivative Indicator which returns the maximum value present in a given window. Use a window value of -1 to include all values in the underlying indicator.

func NewMeanDeviationIndicator 

func NewMeanDeviationIndicator(indicator Indicator, window int) Indicator

NewMeanDeviationIndicator returns a derivative Indicator which returns the mean deviation of a base indicator in a given window. Mean deviation is an average of all values on the base indicator from the mean of that indicator.

func NewMinimumValueIndicator 

func NewMinimumValueIndicator(ind Indicator, window int) Indicator

NewMinimumValueIndicator returns a derivative Indicator which returns the minimum value present in a given window. Use a window value of -1 to include all values in the underlying indicator.

func NewOpenPriceIndicator 

func NewOpenPriceIndicator(series *TimeSeries) Indicator

NewOpenPriceIndicator returns an Indicator which returns the open price of a candle for a given index

func NewPercentChangeIndicator 

func NewPercentChangeIndicator(indicator Indicator) Indicator

NewPercentChangeIndicator returns a derivative indicator which returns the percent change (positive or negative) made in a base indicator up until the given indicator

func NewRateOfChangeIndicator added in v1.0.2 

func NewRateOfChangeIndicator(indicator Indicator, window int) Indicator

The rate of change indicator calculates the total change over a window divided by the number of candles in the window.

func NewRelativeStrengthIndexIndicator 

func NewRelativeStrengthIndexIndicator(indicator Indicator, timeframe int) Indicator

NewRelativeStrengthIndexIndicator returns a derivative Indicator which returns the relative strength index of the base indicator in a given time frame. A more in-depth explanation of relative strength index can be found here: https://www.investopedia.com/terms/r/rsi.asp

func NewRelativeStrengthIndicator 

func NewRelativeStrengthIndicator(indicator Indicator, timeframe int) Indicator

NewRelativeStrengthIndicator returns a derivative Indicator which returns the relative strength of the base indicator in a given time frame. Relative strength is the average again of up periods during the time frame divided by the average loss of down period during the same time frame

func NewRelativeVigorIndexIndicator 

func NewRelativeVigorIndexIndicator(series *TimeSeries) Indicator

NewRelativeVigorIndexIndicator returns an Indicator which returns the index of the relative vigor of the prices of a sercurity. Relative Vigor Index is simply the difference of the previous four days' close and open prices divided by the difference between the previous four days high and low prices. A more in-depth explanation of relative vigor index can be found here: https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/relative-vigor-index

func NewRelativeVigorSignalLine 

func NewRelativeVigorSignalLine(series *TimeSeries) Indicator

NewRelativeVigorSignalLine returns an Indicator intended to be used in conjunction with Relative vigor index, which returns the average value of the last 4 indices of the RVI indicator.

func NewSimpleMovingAverage 

func NewSimpleMovingAverage(indicator Indicator, window int) Indicator

NewSimpleMovingAverage returns a derivative Indicator which returns the average of the current value and preceding values in the given windowSize.

func NewSlowStochasticIndicator 

func NewSlowStochasticIndicator(k Indicator, window int) Indicator

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 NewStandardDeviationIndicator 

func NewStandardDeviationIndicator(ind Indicator) Indicator

NewStandardDeviationIndicator calculates the standard deviation of a base indicator. See https://www.investopedia.com/terms/s/standarddeviation.asp

func NewSupertrendIndicator 

func NewSupertrendIndicator(series *TimeSeries, window int, multiplier int) Indicator

NewSupertrendIndicator returns a derivative indicator which calculates the well-known supertrend indicator which is based on trend detection using a combination of the average true range (ATR) and the high/low prices of an asset over a defined window.

The typical accepted multipler value is 3.

https://www.investopedia.com/supertrend-indicator-7976167

func NewTrendlineIndicator 

func NewTrendlineIndicator(indicator Indicator, window int) Indicator

NewTrendlineIndicator returns an indicator whose output is the slope of the trend line given by the values in the window.

func NewTrueRangeIndicator 

func NewTrueRangeIndicator(series *TimeSeries) Indicator

NewTrueRangeIndicator returns a base indicator which calculates the true range at the current point in time for a series https://www.investopedia.com/terms/a/atr.asp

func NewTypicalPriceIndicator 

func NewTypicalPriceIndicator(series *TimeSeries) Indicator

NewTypicalPriceIndicator returns an Indicator which returns the typical price of a candle for a given index. The typical price is an average of the high, low, and close prices for a given candle.

func NewVarianceIndicator 

func NewVarianceIndicator(ind Indicator) Indicator

NewVarianceIndicator provides a way to find the variance in a base indicator, where variances is the sum of squared deviations from the mean at any given index in the time series.

func NewVolumeIndicator 

func NewVolumeIndicator(series *TimeSeries) Indicator

NewVolumeIndicator returns an indicator which returns the volume of a candle for a given index

func NewWindowedPercentChangeIndicator added in v1.0.2 

func NewWindowedPercentChangeIndicator(indicator Indicator, window int) Indicator

The window percent change indicator calculates the change percentage over a fixed lookback window.

func NewWindowedStandardDeviationIndicator 

func NewWindowedStandardDeviationIndicator(ind Indicator, window int) Indicator

NewWindowedStandardDeviationIndicator returns a indicator which calculates the standard deviation of the underlying indicator over a window

type MarketSnapshot added in v1.0.3 

type MarketSnapshot struct {
	Pricing      Pricing
	TradingState map[string]TradingState
}

MarketSnapshot encompasses useful market state info such as pricing and trading state, which is needed for decision making when using techan with a broker during live trading

type NaiveAllocator 

type NaiveAllocator struct {
	// contains filtered or unexported fields
}

The naive allocator will proportionally allocate to all strategies which are triggered. A maximum position and total allocation can be provided in order to limit single position size and how much of a given portfolio is allocated.

func NewNaiveAllocator 

func NewNaiveAllocator(maxSinglePositionFraction big.Decimal, maxTotalPositionFraction big.Decimal) *NaiveAllocator

Sets up a new naive allocator. if any of the maximum fractions exceed 1.0, then 1.0 will be used. If the max single fraction exceeds the total fraction, then it will be set at the total fraction.

func (*NaiveAllocator) Allocate 

func (na *NaiveAllocator) Allocate(index int, strategies []Strategy) Allocations

Perform a naive allocation which simply gives an equal portion of allocation to all strategies whose rules are satisfied.

func (*NaiveAllocator) AllocateWithAccount added in v1.0.6 

func (na *NaiveAllocator) AllocateWithAccount(index int, strategies []Strategy, account *Account) Allocations

Perform a naive allocation, but take into account which positions are currently open with an account. This will also only include an allocation for a new position if the strategy has an entry on this index. This avoids allocating a trade at a sub-optimal entrypoint.

type Order 

type Order struct {
	ID            string
	Side          OrderSide
	Security      string
	ContractID    int
	Price         big.Decimal
	Type          OrderType
	FilledAmount  big.Decimal
	Amount        big.Decimal
	TimeInForce   TimeInForce
	ExecutionTime time.Time
	Status        OrderStatus
}

Order represents a trade execution (buy or sell) with associated metadata.

func (*Order) CostBasis 

func (o *Order) CostBasis() big.Decimal

Return the total cost to execute the order.

type OrderSide 

type OrderSide string

OrderSide is a simple enumeration representing the side of an Order (buy or sell) 

const (
	BUY  OrderSide = "BUY"
	SELL OrderSide = "SELL"
)

BUY and SELL enumerations

type OrderStatus added in v1.0.6 

type OrderStatus string

OrderStatus defines the state of an order with a broker 

const (
	PENDING   OrderStatus = "Pending"
	FILLED    OrderStatus = "Filled"
	CANCELLED OrderStatus = "Cancelled"
	OTHER     OrderStatus = "Other"
)

type OrderType added in v1.0.3 

type OrderType string

OrderType defines common order types accepted by brokers 

const (
	MARKET OrderType = "MKT"
	LIMIT  OrderType = "LMT"
	STOP   OrderType = "STP"
)

OrderType enumerations, we only support the basics at this time there are more complex types such as "stop limit" "trail" etc. that may be added later

type OverIndicatorRule 

type OverIndicatorRule struct {
	First  Indicator
	Second Indicator
}

OverIndicatorRule is a rule where the First Indicator must be greater than the Second Indicator to be Satisfied

func (OverIndicatorRule) IsSatisfied 

func (oir OverIndicatorRule) IsSatisfied(index int) bool

IsSatisfied returns true when the First Indicator is greater than the Second Indicator

type Position 

type Position struct {
	Security      string
	Side          OrderSide
	Amount        big.Decimal
	AvgEntryPrice big.Decimal
	Price         big.Decimal
}

Positions holds iformation about an open position

func NewPosition 

func NewPosition(order *Order) *Position

NewPosition returns a new Position with the passed-in order as the open order

func (*Position) ExecuteOrder 

func (p *Position) ExecuteOrder(order *Order) error

ExecuteOrder takes a new order to apply to the position and inceases/deducts the amount from the current position. If a buy order is placed, it will also recalculate the average entry price for the position. In all cases, if the order results in a difference to the cash value of the account placing the order a positive (for sells) or negative (for buys) big.Decimal is returned to denote how the account's cash should be modified.

This function will also update the price of the position to that of the order. Prices can always be synced outside of this function using UpdatePrice.

Only long positions are supported currently.

func (*Position) ExportSnapshot 

func (p *Position) ExportSnapshot() *PositionSnapshot

export a snapshot of this position at the current state.

func (*Position) IsClosed 

func (p *Position) IsClosed() bool

Returns if the position is closed, meaning there is currently a zero amount.

func (*Position) UnrealizedEquity 

func (p *Position) UnrealizedEquity() big.Decimal

Calculate the unrealized equity of an open position

func (*Position) UnrealizedGain 

func (p *Position) UnrealizedGain() big.Decimal

Computes the unrealized gain since the posiion was entered.

func (*Position) UpdatePrice 

func (p *Position) UpdatePrice(newPrice big.Decimal)

Update the current price to reflect realtime values and to calculate unrealized gains/equity

type PositionSnapshot 

type PositionSnapshot struct {
	Security       string      `yaml:"security"`
	Side           OrderSide   `yaml:"side"`
	Amount         big.Decimal `yaml:"amount"`
	Price          big.Decimal `yaml:"price"`
	UnrealizedGain big.Decimal `yaml:"unrealized_gain"`
}

Snapshot of position used to document account history

type Pricing 

type Pricing map[string]big.Decimal

The Pricing type is a simple alias for a map of the security symbol to a price.

type PricingSnapshot 

type PricingSnapshot struct {
	Period TimePeriod
	Prices Pricing
}

The PricingSnapshot provides point in time pricing information for all tracked securities, including the bechmark if used. The period for each snapshot should match a period supplied in an account snapshot.

type ReturnPeriod added in v1.0.9 

type ReturnPeriod struct {
	Period      TimePeriod  `yaml:"period"`
	PercentGain big.Decimal `yaml:"percent_gain"`
	TotalProfit big.Decimal `yaml:"total_profit"`
}

Measures the return for a given period (such as a year, month etc) for analysis.

type Rule 

type Rule interface {
	IsSatisfied(index int) bool
}

Rule is an interface describing an algorithm by which a set of criteria may be satisfied

func And 

func And(r1, r2 Rule) Rule

And returns a new rule whereby BOTH of the passed-in rules must be satisfied for the rule to be satisfied

func NewCrossDownIndicatorRule 

func NewCrossDownIndicatorRule(upper, lower Indicator) Rule

NewCrossDownIndicatorRule returns a new rule that is satisfied when the upper indicator has crossed below the lower indicator.

func NewCrossUpIndicatorRule 

func NewCrossUpIndicatorRule(upper, lower Indicator) Rule

NewCrossUpIndicatorRule returns a new rule that is satisfied when the lower indicator has crossed above the upper indicator.

func NewPercentChangeRule 

func NewPercentChangeRule(indicator Indicator, percent float64) Rule

NewPercentChangeRule returns a rule whereby the given Indicator must have changed by a given percentage to be satisfied. You should specify percent as a float value between -1 and 1

func Or 

func Or(r1, r2 Rule) Rule

Or returns a new rule whereby ONE OF the passed-in rules must be satisfied for the rule to be satisfied

type Strategy 

type Strategy struct {
	Security   string
	Timeseries TimeSeries
	Indicators map[string]Indicator
	Rule       Rule
}

A strategy is a holder struct which bundles the raw timeseries data, indicators, and rules used to make trading decisions for a given security. The strategy can be used to calculate allocations and map algo trading triggers over time.

func (*Strategy) LastIndex 

func (s *Strategy) LastIndex() int

Helper function to get the last index of the strategy's data.

type TimeInForce added in v1.0.3 

type TimeInForce string

TimeInForce defines how long an order is good for before it is auto cancelled 

const (
	GTC TimeInForce = "GTC"
	OPG TimeInForce = "OPG"
	DAY TimeInForce = "DAY"
	IOC TimeInForce = "IOC"
)

TimeInForce option enumerations

type TimePeriod 

type TimePeriod struct {
	Start time.Time `yaml:"start"`
	End   time.Time `yaml:"end"`
}

TimePeriod is a simple struct that describes a period of time with a Start and End time

func NewTimePeriod 

func NewTimePeriod(start time.Time, period time.Duration) TimePeriod

NewTimePeriod returns a TimePeriod starting at the given time and ending at the given time plus the given duration

func Parse deprecated 

func Parse(timerange string) (tr TimePeriod, err error)

Parse takes a string in one of the following formats and returns a new TimePeriod, and optionally, an error

Deprecated: Please use ParseTimePeriod instead

func ParseTimePeriod 

func ParseTimePeriod(period string) (TimePeriod, error)

ParseTimePeriod parses two datetimes as one string and returns it as a TimePeriod.

Note that if you were previously using Parse, the date format has changed to something more rfc3339-like (yyyy-mm-dd) Will accept any combination of date and time for either side. Omitting the right hand side will result in a time period ending in time.Now()

Example 
// Any separator between two times is valid
parseable := "2009-01-20T12:00:00 -- 2017-01-20T12:00:00"
timePeriod, err := ParseTimePeriod(parseable)
if err != nil {
	return
}

fmt.Println(timePeriod.Start.Year(), timePeriod.End.Year())

Output:

2009 2017

func (TimePeriod) Advance 

func (tp TimePeriod) Advance(iterations int) TimePeriod

Advance will return a new TimePeriod with the start and end periods moved forwards or backwards in time in accordance with the number of iterations given.

Example: A timePeriod that is one hour long, starting at unix time 0 and ending at unix time 3600, and advanced by one, will return a time period starting at unix time 3600 and ending at unix time 7200

func (TimePeriod) Format 

func (tp TimePeriod) Format(layout string) string

Format returns the string representation of this timePeriod in the given format

func (TimePeriod) In 

func (tp TimePeriod) In(location *time.Location) TimePeriod

In returns a copy of TimePeriod tp with both start and end times' location set to the specified location

func (TimePeriod) Length 

func (tp TimePeriod) Length() time.Duration

Length returns the length of the period as a time.Duration value

func (TimePeriod) Since 

func (tp TimePeriod) Since(other TimePeriod) time.Duration

Since returns the amount of time elapsed since the end of another TimePeriod as a time.Duration value

func (TimePeriod) String 

func (tp TimePeriod) String() string

func (TimePeriod) UTC 

func (tp TimePeriod) UTC() TimePeriod

UTC returns a copy of TimePeriod tp with both start and end times' location set to UTC

type TimeSeries 

type TimeSeries struct {
	Candles []*Candle
}

TimeSeries represents an array of candles

func NewTimeSeries 

func NewTimeSeries() (t *TimeSeries)

NewTimeSeries returns a new, empty, TimeSeries

func (*TimeSeries) AddCandle 

func (ts *TimeSeries) AddCandle(candle *Candle) bool

AddCandle adds the given candle to this TimeSeries if it is not nil and after the last candle in this timeseries. If the candle is added, AddCandle will return true, otherwise it will return false.

func (*TimeSeries) LastCandle 

func (ts *TimeSeries) LastCandle() *Candle

LastCandle will return the lastCandle in this series, or nil if this series is empty

func (*TimeSeries) LastIndex 

func (ts *TimeSeries) LastIndex() int

LastIndex will return the index of the last candle in this series

type TradePlan 

type TradePlan []Order

A trade plan is a list of orders to be executed in the order they appear.

func CreateTradePlan 

func CreateTradePlan(allocations Allocations, pricing Pricing, account *Account) (*TradePlan, error)

A trade plan is created by calculating the diff between the current account positions and the desired allocations provided.

type TradingState added in v1.0.3 

type TradingState int

TradingState is used in the MarketSnapshot to convey whether the market for each Security is open, closed, or halted 

const (
	OPEN TradingState = iota
	CLOSED
	HALTED
)

Possible trading states

type UnderIndicatorRule 

type UnderIndicatorRule struct {
	First  Indicator
	Second Indicator
}

UnderIndicatorRule is a rule where the First Indicator must be less than the Second Indicator to be Satisfied

func (UnderIndicatorRule) IsSatisfied 

func (uir UnderIndicatorRule) IsSatisfied(index int) bool

IsSatisfied returns true when the First Indicator is less than the Second Indicator

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