180 lines
5.7 KiB
Rust
180 lines
5.7 KiB
Rust
/*
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* MIT License
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*
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* Copyright (c) 2026 YuYuKunKun
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*
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* Permission is hereby granted, free of charge, to any person obtaining a copy
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* of this software and associated documentation files (the "Software"), to deal
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* in the Software without restriction, including without limitation the rights
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* to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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* copies of the Software, and to permit persons to whom the Software is
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* furnished to do so, subject to the following conditions:
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*
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* The above copyright notice and this permission notice shall be included in all
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* copies or substantial portions of the Software.
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*
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* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
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* FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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* AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
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* LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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* OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
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* SOFTWARE.
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*/
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use serde::{Deserialize, Serialize};
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/// 平滑异同移动平均线 (MACD)
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///
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/// 使用 EMA 递推算法进行增量计算
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#[derive(Debug, Clone, Serialize, Deserialize)]
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#[serde(default)]
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pub struct 平滑异同移动平均线 {
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pub 时间戳: i64,
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pub 收盘价: f64,
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pub 快线周期: i64,
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pub 慢线周期: i64,
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pub 信号周期: i64,
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pub DIF: Option<f64>,
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pub DEA: Option<f64>,
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#[serde(rename = "MACD柱")]
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#[serde(default)]
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pub MACD柱: f64,
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pub 快线EMA: Option<f64>,
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pub 慢线EMA: Option<f64>,
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pub DEA_EMA: Option<f64>,
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}
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impl Default for 平滑异同移动平均线 {
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fn default() -> Self {
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Self {
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时间戳: 0,
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收盘价: 0.0,
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快线周期: 12,
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慢线周期: 26,
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信号周期: 9,
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DIF: None,
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DEA: None,
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MACD柱: 0.0,
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快线EMA: None,
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慢线EMA: None,
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DEA_EMA: None,
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}
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}
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}
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fn 平滑系数(周期: i64) -> f64 {
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2.0 / (周期 as f64 + 1.0)
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}
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impl 平滑异同移动平均线 {
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/// 首次计算 MACD 指标（无历史数据时使用）
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pub fn 首次计算(
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初始收盘价: f64,
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初始时间: i64,
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快线周期: i64,
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慢线周期: i64,
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信号周期: i64,
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) -> Self {
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let 快线EMA = 初始收盘价;
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let 慢线EMA = 初始收盘价;
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let DIF = 快线EMA - 慢线EMA;
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let DEA_EMA = DIF;
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let MACD柱 = 2.0 * (DIF - DEA_EMA);
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Self {
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时间戳: 初始时间,
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收盘价: 初始收盘价,
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快线周期,
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慢线周期,
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信号周期,
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DIF: Some(DIF),
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DEA: Some(DEA_EMA),
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MACD柱,
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快线EMA: Some(快线EMA),
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慢线EMA: Some(慢线EMA),
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DEA_EMA: Some(DEA_EMA),
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}
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}
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/// 基于前一个 MACD 指标增量计算当前 MACD
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pub fn 增量计算(前一个MACD: &Self, 当前收盘价: f64, 当前时间: i64) -> Self {
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// 快线 EMA
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let 快线EMA = match 前一个MACD.快线EMA {
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Some(prev) => {
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当前收盘价 * 平滑系数(前一个MACD.快线周期)
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+ prev * ((前一个MACD.快线周期 - 1) as f64 / (前一个MACD.快线周期 + 1) as f64)
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}
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None => 当前收盘价,
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};
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// 慢线 EMA
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let 慢线EMA = match 前一个MACD.慢线EMA {
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Some(prev) => {
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当前收盘价 * 平滑系数(前一个MACD.慢线周期)
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+ prev * ((前一个MACD.慢线周期 - 1) as f64 / (前一个MACD.慢线周期 + 1) as f64)
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}
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None => 当前收盘价,
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};
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// DIF
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let DIF = 快线EMA - 慢线EMA;
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// DEA_EMA
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let DEA_EMA = match 前一个MACD.DEA_EMA {
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Some(prev) => {
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DIF * 平滑系数(前一个MACD.信号周期)
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+ prev * ((前一个MACD.信号周期 - 1) as f64 / (前一个MACD.信号周期 + 1) as f64)
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}
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None => DIF,
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};
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// MACD 柱 (注意: Python 版没有 ×2)
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let MACD柱 = DIF - DEA_EMA;
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Self {
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时间戳: 当前时间,
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收盘价: 当前收盘价,
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快线周期: 前一个MACD.快线周期,
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慢线周期: 前一个MACD.慢线周期,
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信号周期: 前一个MACD.信号周期,
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DIF: Some(DIF),
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DEA: Some(DEA_EMA),
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MACD柱,
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快线EMA: Some(快线EMA),
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慢线EMA: Some(慢线EMA),
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DEA_EMA: Some(DEA_EMA),
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}
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}
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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#[test]
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fn test_first_calc() {
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let macd = 平滑异同移动平均线::首次计算(100.0, 1000, 12, 26, 9);
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assert_eq!(macd.DIF, Some(0.0));
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assert_eq!(macd.MACD柱, 0.0);
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assert_eq!(macd.快线EMA, Some(100.0));
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assert_eq!(macd.慢线EMA, Some(100.0));
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}
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#[test]
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fn test_incremental_calc() {
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let first = 平滑异同移动平均线::首次计算(100.0, 1000, 12, 26, 9);
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// 价格上升
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let second = 平滑异同移动平均线::增量计算(&first, 102.0, 1001);
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assert!(second.DIF.unwrap() > 0.0);
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// 快线EMA 应该比慢线EMA 变化更快
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assert!(second.快线EMA.unwrap() > second.慢线EMA.unwrap());
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// 价格下降
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let third = 平滑异同移动平均线::增量计算(&second, 98.0, 1002);
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// DIF 应该变小
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assert!(third.DIF.unwrap() < second.DIF.unwrap());
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}
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}
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