implement SMA, EMA in addition to WMA

algorithm/__init__.py

@@ -1,2 +1,2 @@
-from algorithm.wma    import WMA
+from algorithm.ma     import SMA, WMA, EMA, MA_Cross
 from algorithm.status import Status

algorithm/ma.py

@@ -0,0 +1,64 @@
+class SMA:
+  def __init__(self):
+    return
+
+  def calc(self, cands, period):
+    sum = 0
+    n   = min(period, len(cands))
+    for i in range(n):
+      sum += cands[i][3]
+    return sum / n
+
+class EMA:
+  def __init__(self):
+    return
+
+  def calc(self, cands, period):
+    n   = min(period, len(cands))
+    ret = 0
+    for i in range(n):
+      ret += cands[i][3]
+    ret /= n
+    for i in range(n):
+      ret = (2/(1+n))*(cands[n-i-1][3] - ret) + ret
+    return ret
+
+class WMA:
+  def __init__(self):
+    return
+
+  def calc(self, cands, period):
+    sum = 0
+    den = 0
+    for i in range(min(period, len(cands))):
+      sum += cands[i][3] * (i+1)
+      den += i+1
+    return sum / den
+
+
+class MA_Cross:
+  def __init__(self, ma, unit, width):
+    self._ma    = ma
+    self._unit  = unit
+    self._width = width
+
+    self._period_short = 5
+    self._period_mid   = 21
+    self._period_long  = 55
+
+    self._posi_amp = 0.1
+
+  def judge(self, status):
+    cands = status.candles[self._unit]
+    short = self._ma.calc(cands, self._period_short)
+    mid   = self._ma.calc(cands, self._period_mid)
+    long  = self._ma.calc(cands, self._period_long)
+
+    width = mid * self._width
+    posi  = max(-1, min((short-long)/(2.5*width), 1)) * self._posi_amp
+
+    diff  = short - mid
+    if diff < 0:
+      return max(-1, diff/width+posi)  # sell
+    else:
+      return min(1, diff/width+posi)  # buy

algorithm/wma.py

@@ -1,33 +0,0 @@
-class WMA:
-  def __init__(self, unit, width):
-    self._unit         = unit
-    self._width        = width
-
-    self._period_short = 7
-    self._period_mid   = 15
-    self._period_long  = 60
-
-    self._posi_amp = 0.1
-
-  def judge(self, status):
-    cands = status.candles[self._unit]
-    short = self._wma(cands, self._period_short)
-    mid   = self._wma(cands, self._period_mid)
-    long  = self._wma(cands, self._period_long)
-
-    width = mid * self._width
-    posi  = max(-1, min((short-long)/width, 1)) * self._posi_amp
-
-    diff  = short - mid
-    if diff < 0:
-      return max(-1, diff/width+posi)  # sell
-    else:
-      return min(1, diff/width+posi)  # buy
-
-  def _wma(self, cands, period):
-    sum = 0
-    den = 0
-    for i in range(min(period, len(cands))):
-      sum += cands[i][3] * (i+1)
-      den += i+1
-    return sum / den