F1: add SMMA and TRIMA moving averages (core)
First step of the indicator-family expansion (see the F section of todo-detailed.md). Family F1 — Simple & Weighted MAs — gains two members alongside the existing Sma/Ema/Wma: - Smma — Wilder's smoothed moving average (RMA): SMA-seeded, then the (prev*(n-1)+x)/n recurrence. The average underlying RSI and ATR. - Trima — triangular moving average: two stacked SMAs (n1/n2 split by parity) that triangular-weight the window. Genuine stacking — the outer SMA consumes the inner SMA's output. Both implement the full Indicator trait with reference-value, warmup, reset, batch==streaming and non-finite-input tests, a runnable doctest, and are re-exported from the crate root. 208 core tests + 30 doctests pass; clippy and fmt clean.
This commit is contained in:
@@ -23,8 +23,10 @@ mod psar;
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mod roc;
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mod roc;
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mod rsi;
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mod rsi;
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mod sma;
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mod sma;
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mod smma;
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mod stochastic;
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mod stochastic;
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mod tema;
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mod tema;
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mod trima;
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mod trix;
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mod trix;
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mod vwap;
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mod vwap;
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mod williams_r;
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mod williams_r;
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@@ -49,8 +51,10 @@ pub use psar::Psar;
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pub use roc::Roc;
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pub use roc::Roc;
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pub use rsi::Rsi;
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pub use rsi::Rsi;
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pub use sma::Sma;
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pub use sma::Sma;
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pub use smma::Smma;
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pub use stochastic::{Stochastic, StochasticOutput};
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pub use stochastic::{Stochastic, StochasticOutput};
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pub use tema::Tema;
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pub use tema::Tema;
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pub use trima::Trima;
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pub use trix::Trix;
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pub use trix::Trix;
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pub use vwap::{RollingVwap, Vwap};
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pub use vwap::{RollingVwap, Vwap};
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pub use williams_r::WilliamsR;
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pub use williams_r::WilliamsR;
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@@ -0,0 +1,180 @@
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//! Smoothed Moving Average (Wilder's RMA).
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use std::collections::VecDeque;
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use crate::error::{Error, Result};
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use crate::traits::Indicator;
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/// Smoothed Moving Average — Wilder's running moving average, also known as
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/// RMA.
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///
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/// Seeded with the simple average of the first `period` inputs, then advanced
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/// by `SMMA_t = (SMMA_{t-1} * (period - 1) + price_t) / period`. This is an
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/// exponential average with a slow `1 / period` smoothing factor and is the
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/// average underlying Wilder's RSI and ATR. The first output lands after
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/// exactly `period` inputs.
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///
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/// # Example
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///
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/// ```
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/// use wickra_core::{Indicator, Smma};
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///
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/// let mut indicator = Smma::new(3).unwrap();
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/// let mut last = None;
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/// for i in 0..80 {
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/// last = indicator.update(100.0 + f64::from(i));
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/// }
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/// assert!(last.is_some());
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/// ```
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#[derive(Debug, Clone)]
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pub struct Smma {
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period: usize,
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/// Inputs collected while seeding (before the first value is produced).
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seed: VecDeque<f64>,
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seed_sum: f64,
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current: Option<f64>,
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}
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impl Smma {
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/// Construct a new SMMA with the given period.
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///
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/// # Errors
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///
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/// Returns [`Error::PeriodZero`] if `period == 0`.
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pub fn new(period: usize) -> Result<Self> {
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if period == 0 {
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return Err(Error::PeriodZero);
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}
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Ok(Self {
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period,
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seed: VecDeque::with_capacity(period),
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seed_sum: 0.0,
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current: None,
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})
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}
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/// Configured period.
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pub const fn period(&self) -> usize {
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self.period
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}
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/// Current value if available.
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pub const fn value(&self) -> Option<f64> {
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self.current
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}
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}
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impl Indicator for Smma {
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type Input = f64;
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type Output = f64;
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fn update(&mut self, input: f64) -> Option<f64> {
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if !input.is_finite() {
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// Non-finite input is ignored, leaving state untouched.
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return self.current;
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}
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if let Some(prev) = self.current {
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let period = self.period as f64;
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self.current = Some((prev * (period - 1.0) + input) / period);
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} else {
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self.seed.push_back(input);
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self.seed_sum += input;
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if self.seed.len() == self.period {
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self.current = Some(self.seed_sum / self.period as f64);
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}
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}
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self.current
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}
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fn reset(&mut self) {
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self.seed.clear();
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self.seed_sum = 0.0;
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self.current = None;
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}
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fn warmup_period(&self) -> usize {
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self.period
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}
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fn is_ready(&self) -> bool {
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self.current.is_some()
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}
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fn name(&self) -> &'static str {
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"SMMA"
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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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#[test]
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fn new_rejects_zero_period() {
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assert!(matches!(Smma::new(0), Err(Error::PeriodZero)));
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}
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#[test]
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fn warmup_then_recurrence() {
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// SMMA(3): seed = SMA(1,2,3) = 2.0; then (prev*2 + x) / 3.
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let mut smma = Smma::new(3).unwrap();
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assert_eq!(smma.update(1.0), None);
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assert_eq!(smma.update(2.0), None);
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assert_eq!(smma.update(3.0), Some(2.0));
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assert_relative_eq!(
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smma.update(4.0).unwrap(),
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(2.0 * 2.0 + 4.0) / 3.0,
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epsilon = 1e-12
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);
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assert_relative_eq!(
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smma.update(5.0).unwrap(),
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((2.0 * 2.0 + 4.0) / 3.0 * 2.0 + 5.0) / 3.0,
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epsilon = 1e-12
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);
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}
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#[test]
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fn period_one_is_pass_through() {
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let mut smma = Smma::new(1).unwrap();
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assert_eq!(smma.update(5.0), Some(5.0));
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assert_eq!(smma.update(10.0), Some(10.0));
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}
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#[test]
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fn constant_series_yields_the_constant() {
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let mut smma = Smma::new(5).unwrap();
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let out = smma.batch(&[7.0; 20]);
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for x in out.iter().skip(4) {
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assert_relative_eq!(x.unwrap(), 7.0, epsilon = 1e-12);
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}
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}
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#[test]
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fn ignores_non_finite_input() {
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let mut smma = Smma::new(3).unwrap();
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smma.batch(&[1.0, 2.0, 3.0]);
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assert_eq!(smma.update(f64::NAN), Some(2.0));
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assert_eq!(smma.update(f64::INFINITY), Some(2.0));
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}
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#[test]
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fn reset_clears_state() {
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let mut smma = Smma::new(3).unwrap();
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smma.batch(&[1.0, 2.0, 3.0, 4.0]);
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assert!(smma.is_ready());
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smma.reset();
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assert!(!smma.is_ready());
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assert_eq!(smma.update(10.0), None);
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}
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#[test]
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fn batch_equals_streaming() {
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let prices: Vec<f64> = (1..=30).map(f64::from).collect();
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let batch = Smma::new(7).unwrap().batch(&prices);
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let mut b = Smma::new(7).unwrap();
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let streamed: Vec<_> = prices.iter().map(|p| b.update(*p)).collect();
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assert_eq!(batch, streamed);
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}
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}
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@@ -0,0 +1,176 @@
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//! Triangular Moving Average.
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use crate::error::{Error, Result};
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use crate::traits::Indicator;
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use super::Sma;
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/// Triangular Moving Average — a simple moving average applied twice, which
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/// triangular-weights the window so the middle bars carry the most weight and
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/// the edges the least.
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///
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/// For period `n` the two stacked SMAs use lengths `n1` and `n2`:
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/// an odd `n` uses `n1 = n2 = (n + 1) / 2`; an even `n` uses `n1 = n / 2` and
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/// `n2 = n / 2 + 1`. Either way the first output lands after exactly `n`
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/// inputs.
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///
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/// # Example
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///
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/// ```
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/// use wickra_core::{Indicator, Trima};
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///
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/// let mut indicator = Trima::new(5).unwrap();
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/// let mut last = None;
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/// for i in 0..80 {
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/// last = indicator.update(100.0 + f64::from(i));
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/// }
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/// assert!(last.is_some());
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/// ```
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#[derive(Debug, Clone)]
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pub struct Trima {
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period: usize,
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inner: Sma,
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outer: Sma,
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}
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impl Trima {
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/// Construct a new TRIMA with the given period.
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///
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/// # Errors
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///
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/// Returns [`Error::PeriodZero`] if `period == 0`.
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pub fn new(period: usize) -> Result<Self> {
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if period == 0 {
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return Err(Error::PeriodZero);
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}
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let (n1, n2) = if period % 2 == 1 {
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(period.div_ceil(2), period.div_ceil(2))
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} else {
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(period / 2, period / 2 + 1)
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};
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Ok(Self {
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period,
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inner: Sma::new(n1)?,
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outer: Sma::new(n2)?,
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})
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}
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/// Configured period.
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pub const fn period(&self) -> usize {
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self.period
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}
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/// Current value if available.
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pub fn value(&self) -> Option<f64> {
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self.outer.value()
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}
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}
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impl Indicator for Trima {
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type Input = f64;
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type Output = f64;
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fn update(&mut self, input: f64) -> Option<f64> {
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if !input.is_finite() {
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// Non-finite input is ignored; do not double-feed the inner SMA's
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// stale value into the outer SMA.
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return self.outer.value();
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}
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// Genuine stacking: the outer SMA consumes the inner SMA's output.
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match self.inner.update(input) {
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Some(v) => self.outer.update(v),
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None => None,
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}
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}
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fn reset(&mut self) {
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self.inner.reset();
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self.outer.reset();
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}
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fn warmup_period(&self) -> usize {
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self.period
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}
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fn is_ready(&self) -> bool {
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self.outer.is_ready()
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}
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fn name(&self) -> &'static str {
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"TRIMA"
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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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#[test]
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fn new_rejects_zero_period() {
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assert!(matches!(Trima::new(0), Err(Error::PeriodZero)));
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}
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#[test]
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fn odd_period_reference_values() {
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// TRIMA(5) is SMA(3) of SMA(3).
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// SMA(3) of 1..=7 -> [_,_,2,3,4,5,6]; SMA(3) of that -> [_,_,_,_,3,4,5].
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let mut trima = Trima::new(5).unwrap();
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let out = trima.batch(&[1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0]);
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assert_eq!(out[0], None);
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assert_eq!(out[3], None);
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assert_relative_eq!(out[4].unwrap(), 3.0, epsilon = 1e-12);
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assert_relative_eq!(out[5].unwrap(), 4.0, epsilon = 1e-12);
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assert_relative_eq!(out[6].unwrap(), 5.0, epsilon = 1e-12);
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}
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#[test]
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fn first_emission_at_warmup_period() {
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// Even period: TRIMA(6) -> SMA(3) of SMA(4); first value at input 6.
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let mut trima = Trima::new(6).unwrap();
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let out = trima.batch(&(1..=10).map(f64::from).collect::<Vec<_>>());
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assert_eq!(trima.warmup_period(), 6);
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for v in out.iter().take(5) {
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assert!(v.is_none());
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}
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assert!(out[5].is_some());
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}
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#[test]
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fn constant_series_yields_the_constant() {
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let mut trima = Trima::new(7).unwrap();
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let out = trima.batch(&[42.0; 20]);
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for x in out.iter().skip(6) {
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assert_relative_eq!(x.unwrap(), 42.0, epsilon = 1e-12);
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}
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}
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#[test]
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fn ignores_non_finite_input() {
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let mut trima = Trima::new(5).unwrap();
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let ready = trima.batch(&[1.0, 2.0, 3.0, 4.0, 5.0]);
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let last = ready[4];
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assert!(last.is_some());
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assert_eq!(trima.update(f64::NAN), last);
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}
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#[test]
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fn reset_clears_state() {
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let mut trima = Trima::new(5).unwrap();
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trima.batch(&(1..=10).map(f64::from).collect::<Vec<_>>());
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assert!(trima.is_ready());
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trima.reset();
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assert!(!trima.is_ready());
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assert_eq!(trima.update(1.0), None);
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}
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#[test]
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fn batch_equals_streaming() {
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let prices: Vec<f64> = (1..=40).map(f64::from).collect();
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let batch = Trima::new(8).unwrap().batch(&prices);
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|
let mut b = Trima::new(8).unwrap();
|
||||||
|
let streamed: Vec<_> = prices.iter().map(|p| b.update(*p)).collect();
|
||||||
|
assert_eq!(batch, streamed);
|
||||||
|
}
|
||||||
|
}
|
||||||
@@ -46,8 +46,8 @@ pub use error::{Error, Result};
|
|||||||
pub use indicators::{
|
pub use indicators::{
|
||||||
Adx, AdxOutput, Aroon, AroonOutput, Atr, AwesomeOscillator, BollingerBands, BollingerOutput,
|
Adx, AdxOutput, Aroon, AroonOutput, Atr, AwesomeOscillator, BollingerBands, BollingerOutput,
|
||||||
Cci, Dema, Donchian, DonchianOutput, Ema, Hma, Kama, Keltner, KeltnerOutput, MacdIndicator,
|
Cci, Dema, Donchian, DonchianOutput, Ema, Hma, Kama, Keltner, KeltnerOutput, MacdIndicator,
|
||||||
MacdOutput, Mfi, Obv, Psar, Roc, RollingVwap, Rsi, Sma, Stochastic, StochasticOutput, Tema,
|
MacdOutput, Mfi, Obv, Psar, Roc, RollingVwap, Rsi, Sma, Smma, Stochastic, StochasticOutput,
|
||||||
Trix, Vwap, WilliamsR, Wma,
|
Tema, Trima, Trix, Vwap, WilliamsR, Wma,
|
||||||
};
|
};
|
||||||
pub use ohlcv::{Candle, Tick};
|
pub use ohlcv::{Candle, Tick};
|
||||||
pub use traits::{BatchExt, Chain, Indicator};
|
pub use traits::{BatchExt, Chain, Indicator};
|
||||||
|
|||||||
Reference in New Issue
Block a user