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Williams R Strategy added. Issue 337 (#351)
# Describe Request Implements the Williams %R strategy as requested in issue #337. The Williams %R indicator already exists in the `momentum` package. This PR adds the strategy layer on top of it, following the existing patterns in `strategy/momentum`. Fixed #337 # Change Type New strategy. Co-authored-by: Onur Cinar <onur.cinar@gmail.com>
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‎strategy/momentum/momentum.go‎

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@@ -28,5 +28,6 @@ func AllStrategies() []strategy.Strategy {
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NewRsiStrategy(),
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NewStochasticRsiStrategy(),
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NewTripleRsiStrategy(),
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NewWilliamsRStrategy(),
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}
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}

‎strategy/momentum/testdata/williams_r_strategy.csv‎

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‎strategy/momentum/williams_r_strategy.go‎

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// Copyright (c) 2021-2026 Onur Cinar.
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// The source code is provided under GNU AGPLv3 License.
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// https://github.com/cinar/indicator
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package momentum
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import (
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"fmt"
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"github.com/cinar/indicator/v2/asset"
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"github.com/cinar/indicator/v2/helper"
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"github.com/cinar/indicator/v2/momentum"
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"github.com/cinar/indicator/v2/strategy"
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)
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const (
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// DefaultWilliamsRStrategyBuyAt defines the default Williams R level at which a Buy action is generated.
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DefaultWilliamsRStrategyBuyAt = -80.0
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// DefaultWilliamsRStrategySellAt defines the default Williams R level at which a Sell action is generated.
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DefaultWilliamsRStrategySellAt = -20.0
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)
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// WilliamsRStrategy represents the configuration parameters for calculating the Williams R strategy.
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type WilliamsRStrategy struct {
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// WilliamsR represents the configuration parameters for calculating the Williams %R.
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WilliamsR *momentum.WilliamsR[float64]
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// BuyAt defines the Williams R level at which a Buy action is generated.
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BuyAt float64
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// SellAt defines the Williams R level at which a Sell action is generated.
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SellAt float64
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}
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// NewWilliamsRStrategy function initializes a new Williams R strategy instance with the default parameters.
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func NewWilliamsRStrategy() *WilliamsRStrategy {
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return NewWilliamsRStrategyWith(
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DefaultWilliamsRStrategyBuyAt,
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DefaultWilliamsRStrategySellAt,
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)
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}
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// NewWilliamsRStrategyWith function initializes a new Williams R strategy instance with the given parameters.
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func NewWilliamsRStrategyWith(buyAt, sellAt float64) *WilliamsRStrategy {
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return &WilliamsRStrategy{
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WilliamsR: momentum.NewWilliamsR[float64](),
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BuyAt: buyAt,
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SellAt: sellAt,
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}
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}
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// Name returns the name of the strategy.
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func (r *WilliamsRStrategy) Name() string {
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return fmt.Sprintf("Williams R Strategy (%.0f,%.0f)", r.BuyAt, r.SellAt)
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}
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// Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
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func (r *WilliamsRStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action {
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snapshotsSplice := helper.Duplicate(snapshots, 3)
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highs := asset.SnapshotsAsHighs(snapshotsSplice[0])
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lows := asset.SnapshotsAsLows(snapshotsSplice[1])
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closings := asset.SnapshotsAsClosings(snapshotsSplice[2])
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wr := r.WilliamsR.Compute(highs, lows, closings)
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actions := helper.Map(wr, func(value float64) strategy.Action {
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if value <= r.BuyAt {
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return strategy.Buy
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}
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if value >= r.SellAt {
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return strategy.Sell
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}
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return strategy.Hold
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})
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// Williams R starts only after the idle period.
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actions = helper.Shift(actions, r.WilliamsR.IdlePeriod(), strategy.Hold)
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return actions
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}
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// Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
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func (r *WilliamsRStrategy) Report(c <-chan *asset.Snapshot) *helper.Report {
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//
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// snapshots[0] -> dates
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// snapshots[1] -> Compute -> actions -> annotations
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// snapshots[2] -> closings -> close
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// snapshots[3] -> highs -|
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// snapshots[4] -> lows -+-> WilliamsR.Compute -> wr
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// snapshots[5] -> closings-|
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//
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snapshots := helper.Duplicate(c, 6)
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dates := asset.SnapshotsAsDates(snapshots[0])
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closings := asset.SnapshotsAsClosings(snapshots[2])
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highs := asset.SnapshotsAsHighs(snapshots[3])
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lows := asset.SnapshotsAsLows(snapshots[4])
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closingsForWR := asset.SnapshotsAsClosings(snapshots[5])
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wr := helper.Shift(r.WilliamsR.Compute(highs, lows, closingsForWR), r.WilliamsR.IdlePeriod(), 0)
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actions, outcomes := strategy.ComputeWithOutcome(r, snapshots[1])
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annotations := strategy.ActionsToAnnotations(actions)
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outcomes = helper.MultiplyBy(outcomes, 100)
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report := helper.NewReport(r.Name(), dates)
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report.AddChart()
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report.AddChart()
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report.AddColumn(helper.NewNumericReportColumn("Close", closings))
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report.AddColumn(helper.NewNumericReportColumn("Williams R", wr), 1)
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report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1)
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report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 2)
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return report
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}

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