Envelope trend indicator and Envelope strategy are added.

README.md

@@ -27,6 +27,7 @@ The following list of indicators are currently supported by this package:
 -	[Balance of Power (BoP)](trend/README.md#type-bop)
 -	Chande Forecast Oscillator (CFO)
 -	[Community Channel Index (CCI)](trend/README.md#type-cci)
+-   [Envelope](trend/README.md#type-envelope)
 -	[Hull Moving Average (HMA)](trend/README.md#type-hma)
 -	[Double Exponential Moving Average (DEMA)](trend/README.md#type-dema)
 -	[Exponential Moving Average (EMA)](trend/README.md#type-ema)

strategy/README.md

@@ -35,7 +35,7 @@ The information provided on this project is strictly for informational purposes
 - [type Action](<#Action>)
   - [func \(a Action\) Annotation\(\) string](<#Action.Annotation>)
 - [type AndStrategy](<#AndStrategy>)
-  - [func NewAndStrategy\(name string\) \*AndStrategy](<#NewAndStrategy>)
+  - [func NewAndStrategy\(name string, strategies ...Strategy\) \*AndStrategy](<#NewAndStrategy>)
   - [func \(a \*AndStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan Action](<#AndStrategy.Compute>)
   - [func \(a \*AndStrategy\) Name\(\) string](<#AndStrategy.Name>)
   - [func \(a \*AndStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#AndStrategy.Report>)
@@ -51,7 +51,7 @@ The information provided on this project is strictly for informational purposes
   - [func \(a \*MajorityStrategy\) Name\(\) string](<#MajorityStrategy.Name>)
   - [func \(a \*MajorityStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#MajorityStrategy.Report>)
 - [type OrStrategy](<#OrStrategy>)
-  - [func NewOrStrategy\(name string\) \*OrStrategy](<#NewOrStrategy>)
+  - [func NewOrStrategy\(name string, strategies ...Strategy\) \*OrStrategy](<#NewOrStrategy>)
   - [func \(a \*OrStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan Action](<#OrStrategy.Compute>)
   - [func \(a \*OrStrategy\) Name\(\) string](<#OrStrategy.Name>)
   - [func \(a \*OrStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#OrStrategy.Report>)
@@ -194,7 +194,7 @@ type AndStrategy struct {
 ### func [NewAndStrategy](<https://github.com/cinar/indicator/blob/master/strategy/and_strategy.go#L26>)
 
 ```go
-func NewAndStrategy(name string) *AndStrategy
+func NewAndStrategy(name string, strategies ...Strategy) *AndStrategy
 ```
 
 NewAndStrategy function initializes an empty and strategies group with the given name.
@@ -347,7 +347,7 @@ type OrStrategy struct {
 ### func [NewOrStrategy](<https://github.com/cinar/indicator/blob/master/strategy/or_strategy.go#L23>)
 
 ```go
-func NewOrStrategy(name string) *OrStrategy
+func NewOrStrategy(name string, strategies ...Strategy) *OrStrategy
 ```
 
 NewOrStrategy function initializes an empty or strategies group with the given name.

strategy/testdata/x

@@ -0,0 +1 @@
+0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0

strategy/trend/README.md

@@ -51,6 +51,12 @@ The information provided on this project is strictly for informational purposes
   - [func \(d \*DemaStrategy\) Compute\(c \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#DemaStrategy.Compute>)
   - [func \(\*DemaStrategy\) Name\(\) string](<#DemaStrategy.Name>)
   - [func \(d \*DemaStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#DemaStrategy.Report>)
+- [type EnvelopeStrategy](<#EnvelopeStrategy>)
+  - [func NewEnvelopeStrategy\(\) \*EnvelopeStrategy](<#NewEnvelopeStrategy>)
+  - [func NewEnvelopeStrategyWith\(envelope \*trend.Envelope\[float64\]\) \*EnvelopeStrategy](<#NewEnvelopeStrategyWith>)
+  - [func \(e \*EnvelopeStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#EnvelopeStrategy.Compute>)
+  - [func \(e \*EnvelopeStrategy\) Name\(\) string](<#EnvelopeStrategy.Name>)
+  - [func \(e \*EnvelopeStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#EnvelopeStrategy.Report>)
 - [type GoldenCrossStrategy](<#GoldenCrossStrategy>)
   - [func NewGoldenCrossStrategy\(\) \*GoldenCrossStrategy](<#NewGoldenCrossStrategy>)
   - [func NewGoldenCrossStrategyWith\(fastPeriod, slowPeriod int\) \*GoldenCrossStrategy](<#NewGoldenCrossStrategyWith>)
@@ -436,6 +442,63 @@ func (d *DemaStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
 
 Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
 
+<a name="EnvelopeStrategy"></a>
+## type [EnvelopeStrategy](<https://github.com/cinar/indicator/blob/master/strategy/trend/envelope_strategy.go#L19-L22>)
+
+EnvelopeStrategy represents the configuration parameters for calculating the Envelope strategy. When the closing is above the upper band suggests a Sell recommendation, and when the closing is below the lower band suggests a buy recommendation.
+
+```go
+type EnvelopeStrategy struct {
+    // Envelope is the envelope indicator instance.
+    Envelope *trend.Envelope[float64]
+}
+```
+
+<a name="NewEnvelopeStrategy"></a>
+### func [NewEnvelopeStrategy](<https://github.com/cinar/indicator/blob/master/strategy/trend/envelope_strategy.go#L25>)
+
+```go
+func NewEnvelopeStrategy() *EnvelopeStrategy
+```
+
+NewEnvelopeStrategy function initializes a new Envelope strategy with the default parameters.
+
+<a name="NewEnvelopeStrategyWith"></a>
+### func [NewEnvelopeStrategyWith](<https://github.com/cinar/indicator/blob/master/strategy/trend/envelope_strategy.go#L32>)
+
+```go
+func NewEnvelopeStrategyWith(envelope *trend.Envelope[float64]) *EnvelopeStrategy
+```
+
+NewEnvelopeStrategyWith function initializes a new Envelope strategy with the given Envelope instance.
+
+<a name="EnvelopeStrategy.Compute"></a>
+### func \(\*EnvelopeStrategy\) [Compute](<https://github.com/cinar/indicator/blob/master/strategy/trend/envelope_strategy.go#L44>)
+
+```go
+func (e *EnvelopeStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action
+```
+
+Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+
+<a name="EnvelopeStrategy.Name"></a>
+### func \(\*EnvelopeStrategy\) [Name](<https://github.com/cinar/indicator/blob/master/strategy/trend/envelope_strategy.go#L39>)
+
+```go
+func (e *EnvelopeStrategy) Name() string
+```
+
+Name returns the name of the strategy.
+
+<a name="EnvelopeStrategy.Report"></a>
+### func \(\*EnvelopeStrategy\) [Report](<https://github.com/cinar/indicator/blob/master/strategy/trend/envelope_strategy.go#L76>)
+
+```go
+func (e *EnvelopeStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
+```
+
+Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+
 <a name="GoldenCrossStrategy"></a>
 ## type [GoldenCrossStrategy](<https://github.com/cinar/indicator/blob/master/strategy/trend/golden_cross_strategy.go#L27-L33>)
 

strategy/trend/envelope_strategy.go

@@ -0,0 +1,117 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package trend
+
+import (
+	"fmt"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+	"github.com/cinar/indicator/v2/trend"
+)
+
+// EnvelopeStrategy represents the configuration parameters for calculating the Envelope strategy. When the closing
+// is above the upper band suggests a Sell recommendation, and when the closing is below the lower band suggests a
+// buy recommendation.
+type EnvelopeStrategy struct {
+	// Envelope is the envelope indicator instance.
+	Envelope *trend.Envelope[float64]
+}
+
+// NewEnvelopeStrategy function initializes a new Envelope strategy with the default parameters.
+func NewEnvelopeStrategy() *EnvelopeStrategy {
+	return NewEnvelopeStrategyWith(
+		trend.NewEnvelopeWithSma[float64](),
+	)
+}
+
+// NewEnvelopeStrategyWith function initializes a new Envelope strategy with the given Envelope instance.
+func NewEnvelopeStrategyWith(envelope *trend.Envelope[float64]) *EnvelopeStrategy {
+	return &EnvelopeStrategy{
+		Envelope: envelope,
+	}
+}
+
+// Name returns the name of the strategy.
+func (e *EnvelopeStrategy) Name() string {
+	return fmt.Sprintf("Envelope Strategy (%s)", e.Envelope.String())
+}
+
+// Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+func (e *EnvelopeStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action {
+	closingsSplice := helper.Duplicate(
+		asset.SnapshotsAsClosings(snapshots),
+		2,
+	)
+
+	closingsSplice[1] = helper.Skip(closingsSplice[1], e.Envelope.IdlePeriod())
+
+	uppers, middles, lowers := e.Envelope.Compute(closingsSplice[0])
+	go helper.Drain(middles)
+
+	actions := helper.Operate3(uppers, lowers, closingsSplice[1], func(upper, lower, closing float64) strategy.Action {
+		// When the closing is below the lower band suggests a buy recommendation.
+		if closing < lower {
+			return strategy.Buy
+		}
+
+		// When the closing is above the upper band suggests a Sell recommendation.
+		if closing > upper {
+			return strategy.Sell
+		}
+
+		return strategy.Hold
+	})
+
+	// Envelope start only after a full period.
+	actions = helper.Shift(actions, e.Envelope.IdlePeriod(), strategy.Hold)
+
+	return actions
+}
+
+// Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+func (e *EnvelopeStrategy) Report(c <-chan *asset.Snapshot) *helper.Report {
+	//
+	// snapshots[0] -> dates
+	// snapshots[1] -> closings[0] -> closings
+	//                 closings[1] -> envelope -> upper
+	//                                         -> middle
+	//                                         -> lower
+	// snapshots[2] -> actions     -> annotations
+	//              -> outcomes
+	//
+	snapshotsSplice := helper.Duplicate(c, 3)
+
+	dates := helper.Skip(
+		asset.SnapshotsAsDates(snapshotsSplice[0]),
+		e.Envelope.IdlePeriod(),
+	)
+
+	closingsSplice := helper.Duplicate(asset.SnapshotsAsClosings(snapshotsSplice[1]), 2)
+	closingsSplice[0] = helper.Skip(closingsSplice[0], e.Envelope.IdlePeriod())
+
+	uppers, middles, lowers := e.Envelope.Compute(closingsSplice[1])
+
+	actions, outcomes := strategy.ComputeWithOutcome(e, snapshotsSplice[2])
+	actions = helper.Skip(actions, e.Envelope.IdlePeriod())
+	outcomes = helper.Skip(outcomes, e.Envelope.IdlePeriod())
+
+	annotations := strategy.ActionsToAnnotations(actions)
+	outcomes = helper.MultiplyBy(outcomes, 100)
+
+	report := helper.NewReport(e.Name(), dates)
+	report.AddChart()
+
+	report.AddColumn(helper.NewNumericReportColumn("Close", closingsSplice[0]))
+	report.AddColumn(helper.NewNumericReportColumn("Upper", uppers))
+	report.AddColumn(helper.NewNumericReportColumn("Middle", middles))
+	report.AddColumn(helper.NewNumericReportColumn("Lower", lowers))
+	report.AddColumn(helper.NewAnnotationReportColumn(annotations))
+
+	report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 1)
+
+	return report
+}

strategy/trend/envelope_strategy_test.go

@@ -0,0 +1,55 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package trend_test
+
+import (
+	"os"
+	"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/trend"
+)
+
+func TestEnvelopeStrategy(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	results, err := helper.ReadFromCsvFile[strategy.Result]("testdata/envelope_strategy.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	expected := helper.Map(results, func(r *strategy.Result) strategy.Action { return r.Action })
+
+	envelope := trend.NewEnvelopeStrategy()
+	actual := envelope.Compute(snapshots)
+
+	err = helper.CheckEquals(actual, expected)
+	if err != nil {
+		t.Fatal(err)
+	}
+}
+
+func TestEnvelopeStrategyReport(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	envelope := trend.NewEnvelopeStrategy()
+	report := envelope.Report(snapshots)
+
+	fileName := "envelope_strategy.html"
+	defer os.Remove(fileName)
+
+	err = report.WriteToFile(fileName)
+	if err != nil {
+		t.Fatal(err)
+	}
+}