Add trend indicator DPO

helper/skip_last.go

@@ -0,0 +1,32 @@
+package helper
+
+// SkipLast skips the specified number of elements
+// from the end of the given channel.
+//
+// Example:
+//
+//	c := helper.SliceToChan([]int{2, 4, 6, 8})
+//	actual := helper.SkipLast(c, 2)
+//	fmt.Println(helper.ChanToSlice(actual)) // [2, 4]
+func SkipLast[T any](c <-chan T, count int) <-chan T {
+	result := make(chan T, cap(c))
+
+	go func() {
+		defer close(result)
+
+		// Buffer to hold the last "count" elements
+		buf := make([]T, 0, count)
+
+		for v := range c {
+			buf = append(buf, v)
+			if len(buf) > count {
+				// send the oldest value
+				result <- buf[0]
+				buf = buf[1:]
+			}
+		}
+		// drop the last `count` elements automatically
+	}()
+
+	return result
+}

helper/skip_last_test.go

@@ -0,0 +1,23 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package helper_test
+
+import (
+    "testing"
+
+    "github.com/cinar/indicator/v2/helper"
+)
+
+func TestSkipLast(t *testing.T) {
+    input := helper.SliceToChan([]int{2, 4, 6, 8})
+    expected := helper.SliceToChan([]int{2, 4})
+
+    actual := helper.SkipLast(input, 2)
+
+    err := helper.CheckEquals(actual, expected)
+    if err != nil {
+        t.Fatal(err)
+    }
+}

trend/dpo.go

@@ -0,0 +1,75 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package trend
+
+import (
+	"fmt"
+
+	"github.com/cinar/indicator/v2/helper"
+)
+
+// DefaultDpoPeriod is the default period for DPO calculation.
+const DefaultDpoPeriod = 20
+
+// Dpo computes the Detrended Price Oscillator.
+//
+// Formula (common approximation):
+//
+//	k = period/2 + 1
+//	DPO = Price - SMA(Price shifted by k)
+//
+// Example:
+//
+//	dpo := trend.NewDpo[float64]()
+//	dpo.Period = 20
+//	out := dpo.Compute(c)
+type Dpo[T helper.Number] struct {
+	Period int
+}
+
+// NewDpo creates a new DPO instance with default parameters.
+func NewDpo[T helper.Number]() *Dpo[T] {
+	return &Dpo[T]{
+		Period: DefaultDpoPeriod,
+	}
+}
+
+// NewDpoWithPeriod function initializes a new DPO instance with the given period.
+func NewDpoWithPeriod[T helper.Number](period int) *Dpo[T] {
+	dpo := NewDpo[T]()
+	dpo.Period = period
+
+	return dpo
+
+}
+
+// Compute calculates the DPO indicator over the input price channel.
+func (d *Dpo[T]) Compute(closing <-chan T) <-chan T {
+	closingSplice := helper.Duplicate(closing, 2)
+
+	// compute SMA on the first duplicated stream
+	sma := NewSma[T]()
+	sma.Period = d.Period
+	smaOut := sma.Compute(closingSplice[0])
+
+	// align the original price stream and the SMA stream according to DPO formula
+	skippedClosing := helper.Skip(closingSplice[1], d.IdlePeriod())
+	smaDelayed := helper.SkipLast(smaOut, d.Period/2+1)
+
+	// DPO = Price - shifted SMA
+	return helper.Operate(skippedClosing, smaDelayed, func(price, shiftedSma T) T {
+		return price - shiftedSma
+	})
+}
+
+// IdlePeriod is the initial period that DPO yield any results.
+func (d *Dpo[T]) IdlePeriod() int {
+	return (d.Period - 1) + (d.Period/2 + 1)
+}
+
+// String is the string representation of the DPO.
+func (d *Dpo[T]) String() string {
+	return fmt.Sprintf("DPO(%d)", d.Period)
+}

trend/dpo_test.go

@@ -0,0 +1,42 @@
+package trend_test
+
+import (
+	"testing"
+
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/trend"
+)
+
+func TestDpo(t *testing.T) {
+	type DpoData struct {
+		Close float64
+		Dpo   float64
+	}
+
+	input, err := helper.ReadFromCsvFile[DpoData]("testdata/dpo.csv")
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	inputs := helper.Duplicate(input, 2)
+	closing := helper.Map(inputs[0], func(d *DpoData) float64 { return d.Close })
+	expected := helper.Map(inputs[1], func(d *DpoData) float64 { return d.Dpo })
+
+	dpo := trend.NewDpo[float64]()
+	actual := helper.RoundDigits(dpo.Compute(closing), 2)
+	expected = helper.Skip(expected, dpo.IdlePeriod())
+
+	err = helper.CheckEquals(actual, expected)
+	if err != nil {
+		t.Fatal(err)
+	}
+}
+
+func TestDpoString(t *testing.T) {
+	expected := "DPO(10)"
+	actual := trend.NewDpoWithPeriod[float64](10).String()
+
+	if actual != expected {
+		t.Fatalf("actual %v expected %v", actual, expected)
+	}
+}

trend/testdata/dpo.csv

@@ -0,0 +1,128 @@
+Close,Dpo
+1111.55,00.0
+1062.70,00.0
+1082.90,00.0
+1085.15,00.0
+1082.85,00.0
+1111.70,00.0
+1083.25,00.0
+1070.40,00.0
+1080.35,00.0
+1078.95,00.0
+1069.40,00.0
+1053.05,00.0
+1057.95,00.0
+1112.70,00.0
+1136.20,00.0
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+1135.00,00.0
+1128.30,00.0
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+1174.75,77.30
+1195.45,96.72
+1199.90,97.45
+1148.35,41.37
+1110.65,-0.95
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+1456.40,106.56
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+1405.00,34.32
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+1392.30,7.09
+1372.60,-18.18
+1338.00,-57.68
+1349.30,-52.56
+1354.80,-55.33
+1389.50,-25.88
+1393.10,-27.51
+1429.30,4.46
+1440.20,13.38
+1450.20,23.50
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+1424.40,-0.53
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