44 lines
1.4 KiB
Rust
44 lines
1.4 KiB
Rust
|
use crate::validation;
|
|||
|
|
use numpy::{IntoPyArray, PyArray1, PyReadonlyArray1};
|
|||
|
|
use pyo3::prelude::*;
|
|||
|
|
|
|||
|
|
/// Commodity Channel Index (TA-Lib–compatible): (typical_price - SMA) / (0.015 * MAD).
|
|||
|
|
#[pyfunction]
|
|||
|
|
#[pyo3(signature = (high, low, close, timeperiod = 14))]
|
|||
|
|
pub fn cci<'py>(
|
|||
|
|
py: Python<'py>,
|
|||
|
|
high: PyReadonlyArray1<'py, f64>,
|
|||
|
|
low: PyReadonlyArray1<'py, f64>,
|
|||
|
|
close: PyReadonlyArray1<'py, f64>,
|
|||
|
|
timeperiod: usize,
|
|||
|
|
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
|||
|
|
validation::validate_timeperiod(timeperiod, "timeperiod", 1)?;
|
|||
|
|
let highs = high.as_slice()?;
|
|||
|
|
let lows = low.as_slice()?;
|
|||
|
|
let closes = close.as_slice()?;
|
|||
|
|
let n = highs.len();
|
|||
|
|
validation::validate_equal_length(&[
|
|||
|
|
(n, "high"),
|
|||
|
|
(lows.len(), "low"),
|
|||
|
|
(closes.len(), "close"),
|
|||
|
|
])?;
|
|||
|
|
let tp: Vec<f64> = highs
|
|||
|
|
.iter()
|
|||
|
|
.zip(lows.iter())
|
|||
|
|
.zip(closes.iter())
|
|||
|
|
.map(|((&h, &l), &c)| (h + l + c) / 3.0)
|
|||
|
|
.collect();
|
|||
|
|
let mut result = vec![f64::NAN; n];
|
|||
|
|
for i in (timeperiod - 1)..n {
|
|||
|
|
let window = &tp[(i + 1 - timeperiod)..=i];
|
|||
|
|
let mean: f64 = window.iter().sum::<f64>() / timeperiod as f64;
|
|||
|
|
let mad: f64 = window.iter().map(|&x| (x - mean).abs()).sum::<f64>() / timeperiod as f64;
|
|||
|
|
result[i] = if mad != 0.0 {
|
|||
|
|
(tp[i] - mean) / (0.015 * mad)
|
|||
|
|
} else {
|
|||
|
|
0.0
|
|||
|
|
};
|
|||
|
|
}
|
|||
|
|
Ok(result.into_pyarray(py))
|
|||
|
|
}
|