Implement Ichimoku Cloud Strategy #336

strategy/momentum/README.md

@@ -31,6 +31,11 @@ The information provided on this project is strictly for informational purposes
   - [func \(a \*AwesomeOscillatorStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#AwesomeOscillatorStrategy.Compute>)
   - [func \(\*AwesomeOscillatorStrategy\) Name\(\) string](<#AwesomeOscillatorStrategy.Name>)
   - [func \(a \*AwesomeOscillatorStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#AwesomeOscillatorStrategy.Report>)
+- [type IchimokuCloudStrategy](<#IchimokuCloudStrategy>)
+  - [func NewIchimokuCloudStrategy\(\) \*IchimokuCloudStrategy](<#NewIchimokuCloudStrategy>)
+  - [func \(i \*IchimokuCloudStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#IchimokuCloudStrategy.Compute>)
+  - [func \(\*IchimokuCloudStrategy\) Name\(\) string](<#IchimokuCloudStrategy.Name>)
+  - [func \(i \*IchimokuCloudStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#IchimokuCloudStrategy.Report>)
 - [type RsiStrategy](<#RsiStrategy>)
   - [func NewRsiStrategy\(\) \*RsiStrategy](<#NewRsiStrategy>)
   - [func NewRsiStrategyWith\(buyAt, sellAt float64\) \*RsiStrategy](<#NewRsiStrategyWith>)
@@ -159,6 +164,54 @@ func (a *AwesomeOscillatorStrategy) Report(c <-chan *asset.Snapshot) *helper.Rep
 
 Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
 
+<a name="IchimokuCloudStrategy"></a>
+## type [IchimokuCloudStrategy](<https://github.com/cinar/indicator/blob/master/strategy/momentum/ichimoku_cloud_strategy.go#L15-L18>)
+
+IchimokuCloudStrategy represents the configuration parameters for calculating the Ichimoku Cloud strategy.
+
+```go
+type IchimokuCloudStrategy struct {
+    // IchimokuCloud represents the configuration parameters for calculating the Ichimoku Cloud.
+    IchimokuCloud *momentum.IchimokuCloud[float64]
+}
+```
+
+<a name="NewIchimokuCloudStrategy"></a>
+### func [NewIchimokuCloudStrategy](<https://github.com/cinar/indicator/blob/master/strategy/momentum/ichimoku_cloud_strategy.go#L21>)
+
+```go
+func NewIchimokuCloudStrategy() *IchimokuCloudStrategy
+```
+
+NewIchimokuCloudStrategy function initializes a new Ichimoku Cloud strategy with the default parameters.
+
+<a name="IchimokuCloudStrategy.Compute"></a>
+### func \(\*IchimokuCloudStrategy\) [Compute](<https://github.com/cinar/indicator/blob/master/strategy/momentum/ichimoku_cloud_strategy.go#L33>)
+
+```go
+func (i *IchimokuCloudStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action
+```
+
+Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+
+<a name="IchimokuCloudStrategy.Name"></a>
+### func \(\*IchimokuCloudStrategy\) [Name](<https://github.com/cinar/indicator/blob/master/strategy/momentum/ichimoku_cloud_strategy.go#L28>)
+
+```go
+func (*IchimokuCloudStrategy) Name() string
+```
+
+Name returns the name of the strategy.
+
+<a name="IchimokuCloudStrategy.Report"></a>
+### func \(\*IchimokuCloudStrategy\) [Report](<https://github.com/cinar/indicator/blob/master/strategy/momentum/ichimoku_cloud_strategy.go#L71>)
+
+```go
+func (i *IchimokuCloudStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
+```
+
+Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+
 <a name="RsiStrategy"></a>
 ## type [RsiStrategy](<https://github.com/cinar/indicator/blob/master/strategy/momentum/rsi_strategy.go#L25-L34>)
 

strategy/momentum/ichimoku_cloud_strategy.go

@@ -0,0 +1,107 @@
+// 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"
+)
+
+// IchimokuCloudStrategy represents the configuration parameters for calculating the Ichimoku Cloud strategy.
+type IchimokuCloudStrategy struct {
+	// IchimokuCloud represents the configuration parameters for calculating the Ichimoku Cloud.
+	IchimokuCloud *momentum.IchimokuCloud[float64]
+}
+
+// NewIchimokuCloudStrategy function initializes a new Ichimoku Cloud strategy with the default parameters.
+func NewIchimokuCloudStrategy() *IchimokuCloudStrategy {
+	return &IchimokuCloudStrategy{
+		IchimokuCloud: momentum.NewIchimokuCloud[float64](),
+	}
+}
+
+// Name returns the name of the strategy.
+func (*IchimokuCloudStrategy) Name() string {
+	return "Ichimoku Cloud Strategy"
+}
+
+// Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+func (i *IchimokuCloudStrategy) 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])
+
+	closingsSplice := helper.Duplicate(closings, 2)
+
+	cl, bl, lsa, lsb, ll := i.IchimokuCloud.Compute(highs, lows, closingsSplice[0])
+
+	// Lagging line is not used in the core logic, drain it to prevent blocking
+	go helper.Drain(ll)
+
+	actions := helper.Operate5(
+		helper.Skip(closingsSplice[1], i.IchimokuCloud.IdlePeriod()),
+		cl,
+		bl,
+		lsa,
+		lsb,
+		func(c, conversion, base, spanA, spanB float64) strategy.Action {
+			if c > spanA && c > spanB && conversion > base && spanA > spanB {
+				return strategy.Buy
+			}
+
+			if c < spanA && c < spanB && conversion < base && spanA < spanB {
+				return strategy.Sell
+			}
+
+			return strategy.Hold
+		},
+	)
+
+	// Shift the actions to account for the idle period
+	return helper.Shift(actions, i.IchimokuCloud.IdlePeriod(), strategy.Hold)
+}
+
+// Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+func (i *IchimokuCloudStrategy) Report(c <-chan *asset.Snapshot) *helper.Report {
+	snapshots := helper.Duplicate(c, 6)
+
+	dates := asset.SnapshotsAsDates(snapshots[0])
+	closings := asset.SnapshotsAsClosings(snapshots[2])
+	highs := asset.SnapshotsAsHighs(snapshots[3])
+	lows := asset.SnapshotsAsLows(snapshots[4])
+	closingsForCloud := asset.SnapshotsAsClosings(snapshots[5])
+
+	cl, bl, lsa, lsb, ll := i.IchimokuCloud.Compute(highs, lows, closingsForCloud)
+
+	// Lagging line is not used in the report right now, drain it.
+	go helper.Drain(ll)
+
+	clShifted := helper.Shift(cl, i.IchimokuCloud.IdlePeriod(), 0)
+	blShifted := helper.Shift(bl, i.IchimokuCloud.IdlePeriod(), 0)
+	lsaShifted := helper.Shift(lsa, i.IchimokuCloud.IdlePeriod(), 0)
+	lsbShifted := helper.Shift(lsb, i.IchimokuCloud.IdlePeriod(), 0)
+
+	actions, outcomes := strategy.ComputeWithOutcome(i, snapshots[1])
+	annotations := strategy.ActionsToAnnotations(actions)
+	outcomes = helper.MultiplyBy(outcomes, 100)
+
+	report := helper.NewReport(i.Name(), dates)
+	report.AddChart()
+
+	report.AddColumn(helper.NewNumericReportColumn("Close", closings))
+	report.AddColumn(helper.NewNumericReportColumn("Conversion Line", clShifted))
+	report.AddColumn(helper.NewNumericReportColumn("Base Line", blShifted))
+	report.AddColumn(helper.NewNumericReportColumn("Leading Span A", lsaShifted))
+	report.AddColumn(helper.NewNumericReportColumn("Leading Span B", lsbShifted))
+	report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1)
+
+	report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 1)
+
+	return report
+}

strategy/momentum/ichimoku_cloud_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 TestIchimokuCloudStrategy(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/ichimoku_cloud_strategy.csv")
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	expected := helper.Map(results, func(r *strategy.Result) strategy.Action { return r.Action })
+
+	ic := momentum.NewIchimokuCloudStrategy()
+	actual := ic.Compute(snapshots)
+
+	err = helper.CheckEquals(actual, expected)
+	if err != nil {
+		t.Fatal(err)
+	}
+}
+
+func TestIchimokuCloudStrategyReport(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv")
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	ic := momentum.NewIchimokuCloudStrategy()
+
+	report := ic.Report(snapshots)
+
+	fileName := "ichimoku_cloud_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(),
+		NewIchimokuCloudStrategy(),
 		NewRsiStrategy(),
 		NewStochasticRsiStrategy(),
 		NewTripleRsiStrategy(),