F9: add Accumulation/Distribution Line and Volume-Price Trend
Completes the F9 family (Cumulative volume) end to end: - Rust core: adl.rs (Accumulation/Distribution Line — cumulative range-weighted volume) and vpt.rs (Volume-Price Trend — cumulative volume scaled by percentage price change). Each with a full Indicator impl, runnable doctest and reference / cumulative-property / warmup / reset / batch==streaming tests. - Python: PyAdl / PyVolumePriceTrend PyO3 classes + module registration + .pyi stubs (no parameters, like OBV/VWAP). - Node: explicit AdlNode and VolumePriceTrendNode; index.d.ts and index.js updated. - WASM: WasmAdl and WasmVolumePriceTrend. - Wiki: Indicator-Adl.md and Indicator-VolumePriceTrend.md plus rows in Indicators-Overview.md and entries in Home.md. cargo fmt + clippy (core/wickra/data/wasm/node) clean; 373 core tests, 25 data tests and 53 doctests green.
This commit is contained in:
@@ -0,0 +1,185 @@
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//! Accumulation/Distribution Line.
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use crate::ohlcv::Candle;
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use crate::traits::Indicator;
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/// Accumulation/Distribution Line — Marc Chaikin's cumulative volume-flow
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/// indicator.
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///
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/// Each bar contributes a *money-flow volume*: the bar's volume weighted by
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/// where the close fell within the bar's range.
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///
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/// ```text
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/// MFM_t = ((close − low) − (high − close)) / (high − low) (the money-flow multiplier, −1..+1)
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/// MFV_t = MFM_t · volume_t
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/// ADL_t = ADL_{t−1} + MFV_t
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/// ```
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///
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/// A close near the high makes the multiplier near `+1` (accumulation), near
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/// the low near `−1` (distribution). The running total is unbounded and drifts
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/// with cumulative volume — what matters is its slope and its divergence from
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/// price. A bar with `high == low` contributes `0`.
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///
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/// # Example
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///
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/// ```
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/// use wickra_core::{Candle, Indicator, Adl};
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///
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/// let mut indicator = Adl::new();
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/// let mut last = None;
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/// for i in 0..80 {
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/// let base = 100.0 + f64::from(i);
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/// let candle =
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/// Candle::new(base, base + 2.0, base - 2.0, base + 1.0, 10.0, i64::from(i)).unwrap();
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/// last = indicator.update(candle);
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/// }
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/// assert!(last.is_some());
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/// ```
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#[derive(Debug, Clone, Default)]
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pub struct Adl {
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total: f64,
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has_emitted: bool,
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}
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impl Adl {
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/// Construct a new Accumulation/Distribution Line starting at zero.
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pub const fn new() -> Self {
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Self {
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total: 0.0,
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has_emitted: false,
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}
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}
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/// Current cumulative value if at least one candle has been ingested.
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pub const fn value(&self) -> Option<f64> {
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if self.has_emitted {
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Some(self.total)
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} else {
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None
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}
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}
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}
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impl Indicator for Adl {
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type Input = Candle;
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type Output = f64;
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fn update(&mut self, candle: Candle) -> Option<f64> {
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let range = candle.high - candle.low;
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let mfv = if range == 0.0 {
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// A zero-range bar carries no positional information.
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0.0
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} else {
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let mfm = ((candle.close - candle.low) - (candle.high - candle.close)) / range;
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mfm * candle.volume
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};
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self.total += mfv;
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self.has_emitted = true;
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Some(self.total)
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}
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fn reset(&mut self) {
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self.total = 0.0;
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self.has_emitted = false;
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}
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fn warmup_period(&self) -> usize {
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1
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}
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fn is_ready(&self) -> bool {
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self.has_emitted
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}
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fn name(&self) -> &'static str {
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"ADL"
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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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use crate::traits::BatchExt;
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use approx::assert_relative_eq;
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fn candle(open: f64, high: f64, low: f64, close: f64, volume: f64, ts: i64) -> Candle {
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Candle::new(open, high, low, close, volume, ts).unwrap()
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}
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#[test]
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fn reference_values() {
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// bar 1: close at high -> MFM = +1 -> MFV = +100; ADL = 100.
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// bar 2: h=12 l=8 c=9 -> MFM = ((9-8)-(12-9))/4 = -0.5 -> MFV = -100;
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// ADL = 100 - 100 = 0.
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let mut adl = Adl::new();
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let out = adl.batch(&[
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candle(8.0, 10.0, 8.0, 10.0, 100.0, 0),
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candle(10.0, 12.0, 8.0, 9.0, 200.0, 1),
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]);
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assert_relative_eq!(out[0].unwrap(), 100.0, epsilon = 1e-12);
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assert_relative_eq!(out[1].unwrap(), 0.0, epsilon = 1e-12);
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}
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#[test]
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fn emits_from_first_candle() {
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let mut adl = Adl::new();
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assert_eq!(adl.warmup_period(), 1);
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assert!(adl.update(candle(8.0, 10.0, 8.0, 9.0, 50.0, 0)).is_some());
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}
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#[test]
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fn close_at_high_accumulates_full_volume() {
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// Every bar closes at its high: MFM = +1, so ADL grows by `volume`.
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let mut adl = Adl::new();
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let mut expected = 0.0;
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for i in 0..10 {
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let c = candle(8.0, 10.0, 8.0, 10.0, 25.0, i);
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expected += 25.0;
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assert_relative_eq!(adl.update(c).unwrap(), expected, epsilon = 1e-9);
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}
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}
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#[test]
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fn zero_range_bar_contributes_nothing() {
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let mut adl = Adl::new();
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adl.update(candle(8.0, 10.0, 8.0, 10.0, 100.0, 0));
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let before = adl.value().unwrap();
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// A flat candle (high == low) adds zero.
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let after = adl.update(candle(9.0, 9.0, 9.0, 9.0, 999.0, 1)).unwrap();
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assert_relative_eq!(after, before, epsilon = 1e-12);
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}
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#[test]
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fn reset_clears_state() {
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let mut adl = Adl::new();
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adl.batch(&[
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candle(8.0, 10.0, 8.0, 9.0, 100.0, 0),
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candle(9.0, 11.0, 9.0, 10.0, 100.0, 1),
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]);
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assert!(adl.is_ready());
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adl.reset();
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assert!(!adl.is_ready());
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assert_eq!(adl.value(), None);
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}
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#[test]
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fn batch_equals_streaming() {
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let candles: Vec<Candle> = (0..60)
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.map(|i| {
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let mid = 100.0 + (i as f64 * 0.3).sin() * 8.0;
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candle(
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mid,
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mid + 2.0,
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mid - 2.0,
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mid + 0.5,
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10.0 + (i % 5) as f64,
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i,
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)
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})
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.collect();
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let batch = Adl::new().batch(&candles);
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let mut b = Adl::new();
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let streamed: Vec<_> = candles.iter().map(|c| b.update(*c)).collect();
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assert_eq!(batch, streamed);
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}
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}
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@@ -4,6 +4,7 @@
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//! volume) but every public name is also re-exported flat from this module and
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//! from the crate root for convenience.
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mod adl;
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mod adx;
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mod aroon;
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mod aroon_oscillator;
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@@ -47,12 +48,14 @@ mod tsi;
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mod ulcer_index;
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mod ultimate_oscillator;
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mod vortex;
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mod vpt;
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mod vwap;
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mod vwma;
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mod williams_r;
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mod wma;
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mod zlema;
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pub use adl::Adl;
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pub use adx::{Adx, AdxOutput};
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pub use aroon::{Aroon, AroonOutput};
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pub use aroon_oscillator::AroonOscillator;
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@@ -96,6 +99,7 @@ pub use tsi::Tsi;
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pub use ulcer_index::UlcerIndex;
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pub use ultimate_oscillator::UltimateOscillator;
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pub use vortex::{Vortex, VortexOutput};
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pub use vpt::VolumePriceTrend;
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pub use vwap::{RollingVwap, Vwap};
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pub use vwma::Vwma;
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pub use williams_r::WilliamsR;
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@@ -0,0 +1,179 @@
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//! Volume-Price Trend.
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use crate::ohlcv::Candle;
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use crate::traits::Indicator;
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/// Volume-Price Trend — a cumulative volume line weighted by percentage price
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/// change.
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///
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/// VPT is a close relative of [`Obv`](crate::Obv), but instead of adding the
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/// full bar volume on every up-close it adds volume scaled by the *size* of
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/// the move:
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///
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/// ```text
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/// VPT_t = VPT_{t−1} + volume_t · (close_t − close_{t−1}) / close_{t−1}
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/// ```
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///
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/// A big move on heavy volume moves the line far; a small move on the same
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/// volume barely nudges it. The running total is unbounded — its slope and its
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/// divergence from price are what carry the signal. The first bar establishes
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/// the baseline at `0`.
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///
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/// # Example
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///
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/// ```
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/// use wickra_core::{Candle, Indicator, VolumePriceTrend};
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///
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/// let mut indicator = VolumePriceTrend::new();
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/// let mut last = None;
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/// for i in 0..80 {
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/// let base = 100.0 + f64::from(i);
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/// let candle =
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/// Candle::new(base, base + 2.0, base - 2.0, base + 1.0, 10.0, i64::from(i)).unwrap();
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/// last = indicator.update(candle);
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/// }
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/// assert!(last.is_some());
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/// ```
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#[derive(Debug, Clone, Default)]
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pub struct VolumePriceTrend {
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prev_close: Option<f64>,
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total: f64,
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has_emitted: bool,
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}
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impl VolumePriceTrend {
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/// Construct a new Volume-Price Trend starting at zero.
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pub const fn new() -> Self {
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Self {
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prev_close: None,
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total: 0.0,
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has_emitted: false,
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}
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}
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/// Current cumulative value if at least one candle has been ingested.
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pub const fn value(&self) -> Option<f64> {
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if self.has_emitted {
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Some(self.total)
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} else {
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None
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}
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}
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}
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impl Indicator for VolumePriceTrend {
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type Input = Candle;
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type Output = f64;
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fn update(&mut self, candle: Candle) -> Option<f64> {
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self.has_emitted = true;
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let Some(prev) = self.prev_close else {
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// The first candle establishes the baseline at 0.
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self.prev_close = Some(candle.close);
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return Some(self.total);
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};
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let roc = if prev == 0.0 {
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// Undefined ratio against a zero previous close.
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0.0
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} else {
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(candle.close - prev) / prev
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};
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self.total += candle.volume * roc;
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self.prev_close = Some(candle.close);
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Some(self.total)
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}
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fn reset(&mut self) {
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self.prev_close = None;
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self.total = 0.0;
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self.has_emitted = false;
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}
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fn warmup_period(&self) -> usize {
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1
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}
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fn is_ready(&self) -> bool {
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self.has_emitted
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}
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fn name(&self) -> &'static str {
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"VPT"
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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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use crate::traits::BatchExt;
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use approx::assert_relative_eq;
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fn candle(close: f64, volume: f64, ts: i64) -> Candle {
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Candle::new(close, close, close, close, volume, ts).unwrap()
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}
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#[test]
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fn reference_values() {
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// closes [10, 11, 9], volumes [100, 200, 300]:
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// bar 1: baseline 0.
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// bar 2: VPT += 200 · (11-10)/10 = 20 -> 20.
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// bar 3: VPT += 300 · (9-11)/11 = -600/11 -> 20 - 600/11.
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let mut vpt = VolumePriceTrend::new();
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let out = vpt.batch(&[
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candle(10.0, 100.0, 0),
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candle(11.0, 200.0, 1),
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candle(9.0, 300.0, 2),
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]);
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assert_relative_eq!(out[0].unwrap(), 0.0, epsilon = 1e-12);
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assert_relative_eq!(out[1].unwrap(), 20.0, epsilon = 1e-12);
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assert_relative_eq!(out[2].unwrap(), 20.0 - 600.0 / 11.0, epsilon = 1e-12);
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}
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#[test]
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fn emits_from_first_candle_at_zero() {
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let mut vpt = VolumePriceTrend::new();
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assert_eq!(vpt.warmup_period(), 1);
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assert_eq!(vpt.update(candle(100.0, 50.0, 0)), Some(0.0));
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}
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#[test]
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fn constant_close_keeps_line_flat() {
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// No price change -> no contribution regardless of volume.
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let mut vpt = VolumePriceTrend::new();
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let candles: Vec<Candle> = (0..20).map(|i| candle(100.0, 500.0, i)).collect();
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for v in vpt.batch(&candles).into_iter().flatten() {
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assert_relative_eq!(v, 0.0, epsilon = 1e-12);
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}
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}
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#[test]
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fn reset_clears_state() {
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let mut vpt = VolumePriceTrend::new();
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vpt.batch(&[
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candle(10.0, 100.0, 0),
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candle(11.0, 100.0, 1),
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candle(12.0, 100.0, 2),
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]);
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assert!(vpt.is_ready());
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vpt.reset();
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assert!(!vpt.is_ready());
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assert_eq!(vpt.value(), None);
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}
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#[test]
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fn batch_equals_streaming() {
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let candles: Vec<Candle> = (0..60)
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.map(|i| {
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candle(
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100.0 + (i as f64 * 0.3).sin() * 8.0,
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10.0 + (i % 5) as f64,
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i,
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)
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})
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.collect();
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let batch = VolumePriceTrend::new().batch(&candles);
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let mut b = VolumePriceTrend::new();
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let streamed: Vec<_> = candles.iter().map(|c| b.update(*c)).collect();
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assert_eq!(batch, streamed);
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}
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}
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@@ -44,12 +44,13 @@ pub mod indicators;
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pub use error::{Error, Result};
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pub use indicators::{
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Adx, AdxOutput, Aroon, AroonOscillator, AroonOutput, Atr, AwesomeOscillator, BollingerBands,
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BollingerBandwidth, BollingerOutput, Cci, Cmo, Coppock, Dema, Donchian, DonchianOutput, Dpo,
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Ema, HistoricalVolatility, Hma, Kama, Keltner, KeltnerOutput, MacdIndicator, MacdOutput,
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MassIndex, Mfi, Mom, Natr, Obv, PercentB, Pmo, Ppo, Psar, Roc, RollingVwap, Rsi, Sma, Smma,
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StdDev, StochRsi, Stochastic, StochasticOutput, Tema, Trima, Trix, Tsi, UlcerIndex,
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UltimateOscillator, Vortex, VortexOutput, Vwap, Vwma, WilliamsR, Wma, Zlema, T3,
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Adl, Adx, AdxOutput, Aroon, AroonOscillator, AroonOutput, Atr, AwesomeOscillator,
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BollingerBands, BollingerBandwidth, BollingerOutput, Cci, Cmo, Coppock, Dema, Donchian,
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DonchianOutput, Dpo, Ema, HistoricalVolatility, Hma, Kama, Keltner, KeltnerOutput,
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MacdIndicator, MacdOutput, MassIndex, Mfi, Mom, Natr, Obv, PercentB, Pmo, Ppo, Psar, Roc,
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RollingVwap, Rsi, Sma, Smma, StdDev, StochRsi, Stochastic, StochasticOutput, Tema, Trima, Trix,
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Tsi, UlcerIndex, UltimateOscillator, VolumePriceTrend, Vortex, VortexOutput, Vwap, Vwma,
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WilliamsR, Wma, Zlema, T3,
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};
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pub use ohlcv::{Candle, Tick};
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pub use traits::{BatchExt, Chain, Indicator};
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