Elder Ray Strategy added. Issue 343

strategy/momentum/elder_ray_strategy.go

@@ -0,0 +1,100 @@
+// Copyright (c) 2021-2026 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package momentum
+
+import (
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/momentum"
+	"github.com/cinar/indicator/v2/strategy"
+)
+
+// ElderRayStrategy represents the configuration parameters for calculating the Elder Ray strategy.
+// A positive Bull Power suggests a Buy signal, while a negative Bear Power suggests a Sell signal.
+type ElderRayStrategy struct {
+	// ElderRay represents the configuration parameters for calculating the Elder-Ray Index.
+	ElderRay *momentum.ElderRay[float64]
+}
+
+// NewElderRayStrategy function initializes a new Elder Ray strategy instance with the default parameters.
+func NewElderRayStrategy() *ElderRayStrategy {
+	return &ElderRayStrategy{
+		ElderRay: momentum.NewElderRay[float64](),
+	}
+}
+
+// Name returns the name of the strategy.
+func (*ElderRayStrategy) Name() string {
+	return "Elder Ray Strategy"
+}
+
+// Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+func (e *ElderRayStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action {
+	snapshotsSplice := helper.Duplicate(snapshots, 3)
+
+	highs := asset.SnapshotsAsHighs(snapshotsSplice[0])
+	lows := asset.SnapshotsAsLows(snapshotsSplice[1])
+	closings := asset.SnapshotsAsClosings(snapshotsSplice[2])
+
+	bullPower, bearPower := e.ElderRay.Compute(highs, lows, closings)
+
+	actions := helper.Operate(bullPower, bearPower, func(bull, bear float64) strategy.Action {
+		if bull > 0 {
+			return strategy.Buy
+		}
+
+		if bear < 0 {
+			return strategy.Sell
+		}
+
+		return strategy.Hold
+	})
+
+	// Elder Ray starts only after the idle period.
+	actions = helper.Shift(actions, e.ElderRay.IdlePeriod(), strategy.Hold)
+
+	return actions
+}
+
+// Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+func (e *ElderRayStrategy) Report(c <-chan *asset.Snapshot) *helper.Report {
+	//
+	// snapshots[0] -> dates
+	// snapshots[1] -> highs   -|
+	// snapshots[2] -> lows    -+-> ElderRay.Compute -> bullPower, bearPower
+	// snapshots[3] -> closings-|
+	// snapshots[4] -> closings -> close
+	// snapshots[5] -> actions  -> annotations
+	//              -> outcomes
+	//
+	snapshots := helper.Duplicate(c, 6)
+
+	dates := asset.SnapshotsAsDates(snapshots[0])
+	highs := asset.SnapshotsAsHighs(snapshots[1])
+	lows := asset.SnapshotsAsLows(snapshots[2])
+	closings := asset.SnapshotsAsClosings(snapshots[3])
+	closings2 := asset.SnapshotsAsClosings(snapshots[4])
+
+	bullPower, bearPower := e.ElderRay.Compute(highs, lows, closings)
+	bullPower = helper.Shift(bullPower, e.ElderRay.IdlePeriod(), 0)
+	bearPower = helper.Shift(bearPower, e.ElderRay.IdlePeriod(), 0)
+
+	actions, outcomes := strategy.ComputeWithOutcome(e, snapshots[5])
+	annotations := strategy.ActionsToAnnotations(actions)
+	outcomes = helper.MultiplyBy(outcomes, 100)
+
+	report := helper.NewReport(e.Name(), dates)
+	report.AddChart()
+	report.AddChart()
+
+	report.AddColumn(helper.NewNumericReportColumn("Close", closings2))
+	report.AddColumn(helper.NewNumericReportColumn("Bull Power", bullPower), 1)
+	report.AddColumn(helper.NewNumericReportColumn("Bear Power", bearPower), 1)
+	report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1)
+
+	report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 2)
+
+	return report
+}

strategy/momentum/elder_ray_strategy_test.go

@@ -0,0 +1,55 @@
+// Copyright (c) 2021-2026 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package momentum_test
+
+import (
+	"testing"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+	"github.com/cinar/indicator/v2/strategy/momentum"
+)
+
+func TestElderRayStrategy(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv")
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	results, err := helper.ReadFromCsvFile[strategy.Result]("testdata/elder_ray_strategy.csv")
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	expected := helper.Map(results, func(r *strategy.Result) strategy.Action { return r.Action })
+
+	er := momentum.NewElderRayStrategy()
+	actual := er.Compute(snapshots)
+
+	err = helper.CheckEquals(actual, expected)
+	if err != nil {
+		t.Fatal(err)
+	}
+}
+
+func TestElderRayStrategyReport(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv")
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	er := momentum.NewElderRayStrategy()
+
+	report := er.Report(snapshots)
+
+	fileName := "elder_ray_strategy.html"
+	defer helper.Remove(t, fileName)
+
+	err = report.WriteToFile(fileName)
+	if err != nil {
+		t.Fatal(err)
+	}
+}

strategy/momentum/momentum.go

@@ -24,6 +24,7 @@ import "github.com/cinar/indicator/v2/strategy"
 func AllStrategies() []strategy.Strategy {
 	return []strategy.Strategy{
 		NewAwesomeOscillatorStrategy(),
+		NewElderRayStrategy(),
 		NewIchimokuCloudStrategy(),
 		NewRsiStrategy(),
 		NewStochasticRsiStrategy(),