feat(apo): add Absolute Price Oscillator
EMA(close, fast) - EMA(close, slow). Like MACD without the signal EMA. Defaults to (fast = 12, slow = 26); fast must be strictly less than slow. Touchpoints: apo.rs + mod.rs + lib.rs re-export, PyApo + __init__.py + test_new_indicators SCALAR + test_known_values flat reference, ApoNode + index.d.ts/index.js + indicators.test.js factory + reference, WasmApo via scalar macro, scalar-fuzz target, README + CHANGELOG.
This commit is contained in:
@@ -0,0 +1,183 @@
|
||||
//! Absolute Price Oscillator (APO).
|
||||
|
||||
use crate::error::{Error, Result};
|
||||
use crate::indicators::ema::Ema;
|
||||
use crate::traits::Indicator;
|
||||
|
||||
/// Absolute Price Oscillator — the raw difference between a fast and a slow
|
||||
/// `EMA`. This is MACD's line without the signal-EMA — useful when only the
|
||||
/// momentum-direction reading is needed.
|
||||
///
|
||||
/// ```text
|
||||
/// APO_t = EMA(close, fast)_t − EMA(close, slow)_t
|
||||
/// ```
|
||||
///
|
||||
/// Default parameters mirror MACD: `(fast = 12, slow = 26)`. `fast` must be
|
||||
/// strictly less than `slow`.
|
||||
///
|
||||
/// # Example
|
||||
///
|
||||
/// ```
|
||||
/// use wickra_core::{Apo, Indicator};
|
||||
///
|
||||
/// let mut apo = Apo::new(12, 26).unwrap();
|
||||
/// let mut last = None;
|
||||
/// for i in 0..80 {
|
||||
/// last = apo.update(100.0 + f64::from(i));
|
||||
/// }
|
||||
/// assert!(last.is_some());
|
||||
/// ```
|
||||
#[derive(Debug, Clone)]
|
||||
pub struct Apo {
|
||||
fast_period: usize,
|
||||
slow_period: usize,
|
||||
fast: Ema,
|
||||
slow: Ema,
|
||||
}
|
||||
|
||||
impl Apo {
|
||||
/// # Errors
|
||||
/// - [`Error::PeriodZero`] if either period is zero.
|
||||
/// - [`Error::InvalidPeriod`] if `fast >= slow`.
|
||||
pub fn new(fast: usize, slow: usize) -> Result<Self> {
|
||||
if fast == 0 || slow == 0 {
|
||||
return Err(Error::PeriodZero);
|
||||
}
|
||||
if fast >= slow {
|
||||
return Err(Error::InvalidPeriod {
|
||||
message: "APO fast period must be strictly less than slow",
|
||||
});
|
||||
}
|
||||
Ok(Self {
|
||||
fast_period: fast,
|
||||
slow_period: slow,
|
||||
fast: Ema::new(fast)?,
|
||||
slow: Ema::new(slow)?,
|
||||
})
|
||||
}
|
||||
|
||||
/// MACD-style defaults: `(fast = 12, slow = 26)`.
|
||||
pub fn classic() -> Self {
|
||||
Self::new(12, 26).expect("classic APO parameters are valid")
|
||||
}
|
||||
|
||||
/// Configured `(fast, slow)`.
|
||||
pub const fn periods(&self) -> (usize, usize) {
|
||||
(self.fast_period, self.slow_period)
|
||||
}
|
||||
}
|
||||
|
||||
impl Indicator for Apo {
|
||||
type Input = f64;
|
||||
type Output = f64;
|
||||
|
||||
fn update(&mut self, input: f64) -> Option<f64> {
|
||||
// Feed both EMAs on every input so the slow one warms in parallel.
|
||||
let f = self.fast.update(input);
|
||||
let s = self.slow.update(input);
|
||||
Some(f? - s?)
|
||||
}
|
||||
|
||||
fn reset(&mut self) {
|
||||
self.fast.reset();
|
||||
self.slow.reset();
|
||||
}
|
||||
|
||||
fn warmup_period(&self) -> usize {
|
||||
// Slow EMA dominates; both EMAs emit at their `period` th input.
|
||||
self.slow_period
|
||||
}
|
||||
|
||||
fn is_ready(&self) -> bool {
|
||||
self.slow.is_ready()
|
||||
}
|
||||
|
||||
fn name(&self) -> &'static str {
|
||||
"APO"
|
||||
}
|
||||
}
|
||||
|
||||
#[cfg(test)]
|
||||
mod tests {
|
||||
use super::*;
|
||||
use crate::traits::BatchExt;
|
||||
use approx::assert_relative_eq;
|
||||
|
||||
#[test]
|
||||
fn rejects_zero_period() {
|
||||
assert!(matches!(Apo::new(0, 26), Err(Error::PeriodZero)));
|
||||
assert!(matches!(Apo::new(12, 0), Err(Error::PeriodZero)));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn rejects_fast_geq_slow() {
|
||||
assert!(matches!(Apo::new(26, 12), Err(Error::InvalidPeriod { .. })));
|
||||
assert!(matches!(Apo::new(12, 12), Err(Error::InvalidPeriod { .. })));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn accessors_and_metadata() {
|
||||
let apo = Apo::classic();
|
||||
assert_eq!(apo.periods(), (12, 26));
|
||||
assert_eq!(apo.warmup_period(), 26);
|
||||
assert_eq!(apo.name(), "APO");
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn classic_factory() {
|
||||
assert_eq!(Apo::classic().periods(), (12, 26));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn constant_series_converges_to_zero() {
|
||||
// Both EMAs reproduce the constant exactly, so APO is 0.
|
||||
let mut apo = Apo::new(3, 5).unwrap();
|
||||
let out = apo.batch(&[42.0_f64; 30]);
|
||||
for v in out.iter().skip(4).flatten() {
|
||||
assert_relative_eq!(*v, 0.0, epsilon = 1e-12);
|
||||
}
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn warmup_emits_first_value_at_slow_period() {
|
||||
let mut apo = Apo::new(2, 4).unwrap();
|
||||
assert_eq!(apo.warmup_period(), 4);
|
||||
for i in 1..=3 {
|
||||
assert_eq!(apo.update(f64::from(i)), None);
|
||||
}
|
||||
assert!(apo.update(4.0).is_some());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn pure_uptrend_is_positive() {
|
||||
// Fast EMA leads the slow EMA on an uptrend, so APO > 0.
|
||||
let mut apo = Apo::classic();
|
||||
let prices: Vec<f64> = (1..=200).map(f64::from).collect();
|
||||
let out = apo.batch(&prices);
|
||||
let last = out.iter().rev().flatten().next().unwrap();
|
||||
assert!(*last > 0.0, "APO on uptrend should be positive: {last}");
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn batch_equals_streaming() {
|
||||
let prices: Vec<f64> = (1..=120)
|
||||
.map(|i| 100.0 + (f64::from(i) * 0.2).sin() * 5.0)
|
||||
.collect();
|
||||
let mut a = Apo::classic();
|
||||
let mut b = Apo::classic();
|
||||
assert_eq!(
|
||||
a.batch(&prices),
|
||||
prices.iter().map(|p| b.update(*p)).collect::<Vec<_>>()
|
||||
);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn reset_clears_state() {
|
||||
let mut apo = Apo::classic();
|
||||
apo.batch(&(1..=80).map(f64::from).collect::<Vec<_>>());
|
||||
assert!(apo.is_ready());
|
||||
apo.reset();
|
||||
assert!(!apo.is_ready());
|
||||
assert_eq!(apo.update(1.0), None);
|
||||
}
|
||||
}
|
||||
@@ -7,6 +7,7 @@
|
||||
mod accelerator_oscillator;
|
||||
mod adl;
|
||||
mod adx;
|
||||
mod apo;
|
||||
mod aroon;
|
||||
mod aroon_oscillator;
|
||||
mod atr;
|
||||
@@ -79,6 +80,7 @@ mod zlema;
|
||||
pub use accelerator_oscillator::AcceleratorOscillator;
|
||||
pub use adl::Adl;
|
||||
pub use adx::{Adx, AdxOutput};
|
||||
pub use apo::Apo;
|
||||
pub use aroon::{Aroon, AroonOutput};
|
||||
pub use aroon_oscillator::AroonOscillator;
|
||||
pub use atr::Atr;
|
||||
|
||||
@@ -44,7 +44,7 @@ pub mod indicators;
|
||||
|
||||
pub use error::{Error, Result};
|
||||
pub use indicators::{
|
||||
AcceleratorOscillator, Adl, Adx, AdxOutput, Aroon, AroonOscillator, AroonOutput, Atr,
|
||||
AcceleratorOscillator, Adl, Adx, AdxOutput, Apo, Aroon, AroonOscillator, AroonOutput, Atr,
|
||||
AtrTrailingStop, AwesomeOscillator, BalanceOfPower, BollingerBands, BollingerBandwidth,
|
||||
BollingerOutput, Cci, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop,
|
||||
ChandeKrollStopOutput, ChandelierExit, ChandelierExitOutput, ChoppinessIndex, Cmo, Coppock,
|
||||
|
||||
Reference in New Issue
Block a user