first commit

strategies/indicators/LRC.js

@@ -0,0 +1,115 @@
+/*
+ * Linear regression curve
+ */
+var log = require('../../core/log');
+
+var Indicator = function(settings) {
+  this.input = 'price';
+  this.depth = settings;
+  this.result = false;
+  this.age = 0;
+  this.history = [];
+  this.x = [];
+  /*
+   * Do not use array(depth) as it might not be implemented
+   */
+  for (var i = 0; i < this.depth; i++) {
+      this.history.push(0.0);
+      this.x.push(i);
+  }
+
+  // log.debug("Created LRC indicator with h: ", this.depth);
+}
+
+Indicator.prototype.update = function(price) {
+  
+  // We need sufficient history to get the right result. 
+  if(this.result === false && this.age < this.depth) {
+
+    this.history[this.age] = price;
+    this.age++;
+    this.result = false;
+     // log.debug("Waiting for sufficient age: ", this.age, " out of ", this.depth); 
+    //
+    return;
+  }
+
+  this.age++;
+  // shift history
+  for (var i = 0; i < (this.depth - 1); i++) {
+      this.history[i] = this.history[i+1];
+  }
+  this.history[this.depth-1] = price;
+
+  this.calculate(price);
+
+
+  // log.debug("Checking LRC: ", this.result.toFixed(8), "\tH: ", this.age);
+  return;
+}
+
+/*
+ * Least squares linear regression fitting.
+ */
+function linreg(values_x, values_y) {
+    var sum_x = 0;
+    var sum_y = 0;
+    var sum_xy = 0;
+    var sum_xx = 0;
+    var count = 0;
+
+    /*
+     * We'll use those variables for faster read/write access.
+     */
+    var x = 0;
+    var y = 0;
+    var values_length = values_x.length;
+
+    if (values_length != values_y.length) {
+        throw new Error('The parameters values_x and values_y need to have same size!');
+    }
+
+    /*
+     * Nothing to do.
+     */
+    if (values_length === 0) {
+        return [ [], [] ];
+    }
+
+    /*
+     * Calculate the sum for each of the parts necessary.
+     */
+    for (var v = 0; v < values_length; v++) {
+        x = values_x[v];
+        y = values_y[v];
+        sum_x += x;
+        sum_y += y;
+        sum_xx += x*x;
+        sum_xy += x*y;
+        count++;
+    }
+
+    /*
+     * Calculate m and b for the formular:
+     * y = x * m + b
+     */
+    var m = (count*sum_xy - sum_x*sum_y) / (count*sum_xx - sum_x*sum_x);
+    var b = (sum_y/count) - (m*sum_x)/count;
+
+    return [m, b];
+}
+
+
+/*
+ * Handle calculations
+ */
+Indicator.prototype.calculate = function(price) {
+
+    // get the reg
+    var reg = linreg(this.x, this.history);
+
+    // y = a * x + b
+    this.result = ((this.depth-1) * reg[0]) + reg[1];
+}
+
+module.exports = Indicator;