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Williams R Strategy added. Issue 337 #351

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1 change: 1 addition & 0 deletions strategy/momentum/momentum.go
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Original file line number Diff line number Diff line change
Expand Up @@ -28,5 +28,6 @@ func AllStrategies() []strategy.Strategy {
NewRsiStrategy(),
NewStochasticRsiStrategy(),
NewTripleRsiStrategy(),
NewWilliamsRStrategy(),
}
}
252 changes: 252 additions & 0 deletions strategy/momentum/testdata/williams_r_strategy.csv
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121 changes: 121 additions & 0 deletions strategy/momentum/williams_r_strategy.go
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// Copyright (c) 2021-2026 Onur Cinar.
// The source code is provided under GNU AGPLv3 License.
// https://github.com/cinar/indicator

package momentum

import (
"fmt"

"github.com/cinar/indicator/v2/asset"
"github.com/cinar/indicator/v2/helper"
"github.com/cinar/indicator/v2/momentum"
"github.com/cinar/indicator/v2/strategy"
)

const (
// DefaultWilliamsRStrategyBuyAt defines the default Williams R level at which a Buy action is generated.
DefaultWilliamsRStrategyBuyAt = -80.0

// DefaultWilliamsRStrategySellAt defines the default Williams R level at which a Sell action is generated.
DefaultWilliamsRStrategySellAt = -20.0
)

// WilliamsRStrategy represents the configuration parameters for calculating the Williams R strategy.
type WilliamsRStrategy struct {
// WilliamsR represents the configuration parameters for calculating the Williams %R.
WilliamsR *momentum.WilliamsR[float64]

// BuyAt defines the Williams R level at which a Buy action is generated.
BuyAt float64

// SellAt defines the Williams R level at which a Sell action is generated.
SellAt float64
}

// NewWilliamsRStrategy function initializes a new Williams R strategy instance with the default parameters.
func NewWilliamsRStrategy() *WilliamsRStrategy {
return NewWilliamsRStrategyWith(
DefaultWilliamsRStrategyBuyAt,
DefaultWilliamsRStrategySellAt,
)
}

// NewWilliamsRStrategyWith function initializes a new Williams R strategy instance with the given parameters.
func NewWilliamsRStrategyWith(buyAt, sellAt float64) *WilliamsRStrategy {
return &WilliamsRStrategy{
WilliamsR: momentum.NewWilliamsR[float64](),
BuyAt: buyAt,
SellAt: sellAt,
}
}

// Name returns the name of the strategy.
func (r *WilliamsRStrategy) Name() string {
return fmt.Sprintf("Williams R Strategy (%.0f,%.0f)", r.BuyAt, r.SellAt)
}

// Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
func (r *WilliamsRStrategy) 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])

wr := r.WilliamsR.Compute(highs, lows, closings)

actions := helper.Map(wr, func(value float64) strategy.Action {
if value <= r.BuyAt {
return strategy.Buy
}

if value >= r.SellAt {
return strategy.Sell
}

return strategy.Hold
})

// Williams R starts only after the idle period.
actions = helper.Shift(actions, r.WilliamsR.IdlePeriod(), strategy.Hold)

return actions
}

// Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
func (r *WilliamsRStrategy) Report(c <-chan *asset.Snapshot) *helper.Report {
//
// snapshots[0] -> dates
// snapshots[1] -> Compute -> actions -> annotations
// snapshots[2] -> closings -> close
// snapshots[3] -> highs -|
// snapshots[4] -> lows -+-> WilliamsR.Compute -> wr
// snapshots[5] -> closings-|
//
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])
closingsForWR := asset.SnapshotsAsClosings(snapshots[5])

wr := helper.Shift(r.WilliamsR.Compute(highs, lows, closingsForWR), r.WilliamsR.IdlePeriod(), 0)

actions, outcomes := strategy.ComputeWithOutcome(r, snapshots[1])
annotations := strategy.ActionsToAnnotations(actions)
outcomes = helper.MultiplyBy(outcomes, 100)

report := helper.NewReport(r.Name(), dates)
report.AddChart()
report.AddChart()

report.AddColumn(helper.NewNumericReportColumn("Close", closings))
report.AddColumn(helper.NewNumericReportColumn("Williams R", wr), 1)
report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1)

report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 2)

return report
}
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