68 lines
2.1 KiB
Rust
68 lines
2.1 KiB
Rust
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//! Volatility indicators.
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/// Average True Range — Wilder smoothed (TA-Lib compatible).
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///
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/// Seeds ATR with SMA of TR[1..=timeperiod] (bar 0 is skipped, matching TA-Lib).
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/// First valid output is at index `timeperiod`; indices 0..timeperiod are NaN.
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/// TR is computed on-the-fly (no separate tr Vec allocation).
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pub fn atr(high: &[f64], low: &[f64], close: &[f64], timeperiod: usize) -> Vec<f64> {
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let n = high.len();
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let mut result = vec![f64::NAN; n];
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if n <= timeperiod || timeperiod < 1 {
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return result;
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}
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// Seed: SMA of TR[1..=timeperiod] (TA-Lib skips TR[0]).
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// Compute TR on-the-fly to avoid a separate Vec allocation.
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let mut seed = 0.0_f64;
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for i in 1..=timeperiod {
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let hl = high[i] - low[i];
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let hpc = (high[i] - close[i - 1]).abs();
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let lpc = (low[i] - close[i - 1]).abs();
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seed += hl.max(hpc).max(lpc);
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}
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seed /= timeperiod as f64;
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result[timeperiod] = seed;
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let p = timeperiod as f64;
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for i in (timeperiod + 1)..n {
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let hl = high[i] - low[i];
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let hpc = (high[i] - close[i - 1]).abs();
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let lpc = (low[i] - close[i - 1]).abs();
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let tr = hl.max(hpc).max(lpc);
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result[i] = (result[i - 1] * (p - 1.0) + tr) / p;
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}
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result
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}
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/// True Range — max(H-L, |H-Cprev|, |L-Cprev|).
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pub fn trange(high: &[f64], low: &[f64], close: &[f64]) -> Vec<f64> {
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let n = high.len();
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let mut result = vec![f64::NAN; n];
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if n == 0 {
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return result;
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}
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result[0] = high[0] - low[0];
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for i in 1..n {
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let hl = high[i] - low[i];
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let hpc = (high[i] - close[i - 1]).abs();
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let lpc = (low[i] - close[i - 1]).abs();
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result[i] = hl.max(hpc).max(lpc);
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}
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result
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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 atr_nonnegative() {
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let h = vec![2.0, 3.0, 4.0, 5.0, 6.0];
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let l = vec![1.0, 2.0, 3.0, 4.0, 5.0];
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let c = vec![1.5, 2.5, 3.5, 4.5, 5.5];
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let result = atr(&h, &l, &c, 3);
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for v in result.iter().filter(|v| !v.is_nan()) {
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assert!(*v >= 0.0);
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}
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}
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}
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