Initial backtesting engine
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porcelaincode
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//! Trend indicators: SMA, EMA, Supertrend.
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use crate::core::error::RaptorError;
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use crate::core::Result;
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/// Simple Moving Average.
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///
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/// # Arguments
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/// * `data` - Price data
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/// * `period` - Lookback period
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///
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/// # Returns
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/// Vector of SMA values (NaN for warmup period)
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pub fn sma(data: &[f64], period: usize) -> Result<Vec<f64>> {
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if period == 0 {
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return Err(RaptorError::invalid_parameter("SMA period must be > 0"));
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}
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if data.is_empty() {
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return Ok(vec![]);
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}
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let n = data.len();
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let mut result = vec![f64::NAN; n];
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if period > n {
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return Ok(result);
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}
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// Calculate first SMA
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let mut sum: f64 = data[..period].iter().sum();
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result[period - 1] = sum / period as f64;
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// Sliding window for remaining values
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for i in period..n {
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sum = sum - data[i - period] + data[i];
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result[i] = sum / period as f64;
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}
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Ok(result)
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}
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/// Exponential Moving Average.
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///
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/// # Arguments
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/// * `data` - Price data
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/// * `period` - Lookback period (used to calculate smoothing factor)
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///
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/// # Returns
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/// Vector of EMA values (NaN for warmup period)
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pub fn ema(data: &[f64], period: usize) -> Result<Vec<f64>> {
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if period == 0 {
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return Err(RaptorError::invalid_parameter("EMA period must be > 0"));
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}
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if data.is_empty() {
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return Ok(vec![]);
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}
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let n = data.len();
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let mut result = vec![f64::NAN; n];
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if period > n {
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return Ok(result);
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}
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// Smoothing factor
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let alpha = 2.0 / (period as f64 + 1.0);
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// Initialize with SMA of first 'period' values
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let initial_sma: f64 = data[..period].iter().sum::<f64>() / period as f64;
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result[period - 1] = initial_sma;
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// Calculate EMA for remaining values
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for i in period..n {
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result[i] = alpha * data[i] + (1.0 - alpha) * result[i - 1];
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}
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Ok(result)
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}
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/// EMA with custom smoothing factor (internal use).
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#[allow(dead_code)]
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pub(crate) fn ema_with_alpha(data: &[f64], alpha: f64, initial: f64) -> Vec<f64> {
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let n = data.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] = initial;
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for i in 1..n {
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if data[i].is_nan() {
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result[i] = result[i - 1];
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} else {
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result[i] = alpha * data[i] + (1.0 - alpha) * result[i - 1];
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}
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}
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result
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}
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/// Supertrend indicator result.
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#[derive(Debug, Clone)]
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pub struct SupertrendResult {
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/// Supertrend line values.
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pub supertrend: Vec<f64>,
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/// Direction: 1 = bullish (below price), -1 = bearish (above price).
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pub direction: Vec<i8>,
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}
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/// Supertrend indicator.
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///
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/// # Arguments
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/// * `high` - High prices
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/// * `low` - Low prices
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/// * `close` - Close prices
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/// * `period` - ATR period
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/// * `multiplier` - ATR multiplier
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///
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/// # Returns
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/// SupertrendResult with supertrend line and direction
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pub fn supertrend(
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high: &[f64],
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low: &[f64],
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close: &[f64],
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period: usize,
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multiplier: f64,
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) -> Result<SupertrendResult> {
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let n = close.len();
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if n != high.len() || n != low.len() {
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return Err(RaptorError::length_mismatch(n, high.len()));
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}
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if period == 0 {
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return Err(RaptorError::invalid_parameter(
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"Supertrend period must be > 0",
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));
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}
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let mut supertrend = vec![f64::NAN; n];
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let mut direction = vec![0i8; n];
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if period >= n {
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return Ok(SupertrendResult {
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supertrend,
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direction,
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});
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}
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// Calculate ATR
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let atr_values = super::volatility::atr(high, low, close, period)?;
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// Calculate basic upper and lower bands
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let mut upper_band = vec![f64::NAN; n];
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let mut lower_band = vec![f64::NAN; n];
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for i in (period - 1)..n {
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let hl2 = (high[i] + low[i]) / 2.0;
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let atr_val = atr_values[i];
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if !atr_val.is_nan() {
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upper_band[i] = hl2 + multiplier * atr_val;
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lower_band[i] = hl2 - multiplier * atr_val;
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}
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}
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// Calculate final bands with carryover logic
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let mut final_upper = vec![f64::NAN; n];
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let mut final_lower = vec![f64::NAN; n];
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for i in (period - 1)..n {
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if i == period - 1 {
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final_upper[i] = upper_band[i];
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final_lower[i] = lower_band[i];
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} else {
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// Final upper band: use lower of current upper or previous final upper
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// if previous close was below previous final upper
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if !upper_band[i].is_nan() && !final_upper[i - 1].is_nan() {
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if close[i - 1] <= final_upper[i - 1] {
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final_upper[i] = upper_band[i].min(final_upper[i - 1]);
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} else {
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final_upper[i] = upper_band[i];
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}
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} else {
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final_upper[i] = upper_band[i];
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}
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// Final lower band: use higher of current lower or previous final lower
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// if previous close was above previous final lower
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if !lower_band[i].is_nan() && !final_lower[i - 1].is_nan() {
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if close[i - 1] >= final_lower[i - 1] {
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final_lower[i] = lower_band[i].max(final_lower[i - 1]);
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} else {
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final_lower[i] = lower_band[i];
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}
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} else {
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final_lower[i] = lower_band[i];
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}
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}
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}
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// Calculate supertrend and direction
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for i in (period - 1)..n {
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if i == period - 1 {
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// Initial direction based on price vs bands
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if close[i] <= final_upper[i] {
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supertrend[i] = final_upper[i];
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direction[i] = -1; // bearish
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} else {
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supertrend[i] = final_lower[i];
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direction[i] = 1; // bullish
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}
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} else {
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let _prev_st = supertrend[i - 1];
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let prev_dir = direction[i - 1];
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if prev_dir == 1 {
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// Was bullish
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if close[i] < final_lower[i] {
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// Switch to bearish
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supertrend[i] = final_upper[i];
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direction[i] = -1;
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} else {
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// Stay bullish
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supertrend[i] = final_lower[i];
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direction[i] = 1;
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}
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} else {
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// Was bearish
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if close[i] > final_upper[i] {
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// Switch to bullish
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supertrend[i] = final_lower[i];
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direction[i] = 1;
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} else {
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// Stay bearish
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supertrend[i] = final_upper[i];
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direction[i] = -1;
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}
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}
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}
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}
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Ok(SupertrendResult {
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supertrend,
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direction,
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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_sma() {
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let data = vec![1.0, 2.0, 3.0, 4.0, 5.0];
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let result = sma(&data, 3).unwrap();
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assert!(result[0].is_nan());
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assert!(result[1].is_nan());
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assert!((result[2] - 2.0).abs() < 1e-10);
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assert!((result[3] - 3.0).abs() < 1e-10);
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assert!((result[4] - 4.0).abs() < 1e-10);
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}
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#[test]
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fn test_ema() {
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let data = vec![1.0, 2.0, 3.0, 4.0, 5.0];
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let result = ema(&data, 3).unwrap();
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assert!(result[0].is_nan());
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assert!(result[1].is_nan());
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assert!(!result[2].is_nan());
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assert!(!result[3].is_nan());
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assert!(!result[4].is_nan());
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// EMA should be between min and max of data
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assert!(result[4] >= 1.0 && result[4] <= 5.0);
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}
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#[test]
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fn test_sma_invalid_period() {
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let data = vec![1.0, 2.0, 3.0];
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let result = sma(&data, 0);
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assert!(result.is_err());
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}
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#[test]
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fn test_ema_period_larger_than_data() {
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let data = vec![1.0, 2.0, 3.0];
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let result = ema(&data, 10).unwrap();
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assert!(result.iter().all(|v| v.is_nan()));
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}
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}
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