tsuz/go-pine

package pine

import (
    "fmt"
)

// RMA generates a ValueSeries of the exponentially weighted moving average with alpha = 1 / length.
// This is equivalent to J. Welles Wilder's smoothed moving average.
func RMA(p ValueSeries, l int64) ValueSeries {
    key := fmt.Sprintf("rma:%s:%d", p.ID(), l)
    rma := getCache(key)
    if rma == nil {
        rma = NewValueSeries()
    }

    if p == nil || p.GetCurrent() == nil {
        return rma
    }

    // current available value
    stop := p.GetCurrent()

    rma = getRMA(stop, p, rma, l)

    setCache(key, rma)

    rma.SetCurrent(stop.t)

    return rma
}

func getRMA(stop *Value, vs ValueSeries, rma ValueSeries, l int64) ValueSeries {

    var mul float64 = 1.0 / float64(l)
    firstVal := rma.GetLast()

    if firstVal == nil {
        firstVal = vs.GetFirst()
    }

    if firstVal == nil {
        // if nothing is available, then nothing can be done
        return rma
    }

    itervt := firstVal.t

    var fseek int64
    var ftot float64

    for {
        v := vs.Get(itervt)
        if v == nil {
            break
        }
        e := rma.Get(itervt)
        if e != nil && v.next == nil {
            break
        }
        if e != nil {
            itervt = v.next.t
            continue
        }

        // get previous rma
        if v.prev != nil {
            prevv := vs.Get(v.prev.t)
            preve := rma.Get(prevv.t)
            // previous ema exists, just do multiplication to that
            if preve != nil {
                nextRMA := (preve.v)*(1-mul) + v.v*mul
                rma.Set(v.t, nextRMA)
                continue
            }
        }

        // previous value does not exist. just keep adding until multplication is required
        fseek++
        ftot = ftot + v.v

        if fseek == l {
            avg := ftot / float64(fseek)
            rma.Set(v.t, avg)
        }

        if v.next == nil {
            break
        }
        if v.t.Equal(stop.t) {
            break
        }
        itervt = v.next.t
    }

    return rma
}