//! Volume Zone Oscillator (Walid Khalil). use crate::error::{Error, Result}; use crate::indicators::ema::Ema; use crate::ohlcv::Candle; use crate::traits::Indicator; /// Walid Khalil's Volume Zone Oscillator — a normalised version of OBV-style /// volume flow that swings within `[−100, 100]`. /// /// Each bar contributes a *signed volume*: `+volume` on an up day, `−volume` on /// a down day, `0` on an unchanged close. The VZO is the ratio of an EMA of /// that signed volume to an EMA of the absolute volume, scaled by `100`: /// /// ```text /// R_t = sign(close_t − close_{t−1}) · volume_t /// VP_t = EMA(R, period)_t (smoothed signed volume) /// TV_t = EMA(volume, period)_t (smoothed absolute volume) /// VZO_t = 100 · VP_t / TV_t /// ``` /// /// Khalil's interpretation: `VZO > +60` overbought, `< −60` oversold, with the /// zero line acting as a trend filter. The first bar only seeds the previous /// close; both EMAs then need `period` samples to seed, so the first emission /// lands at bar `period + 1`. A `TV_t == 0` (every bar had zero volume) /// collapses the output to `0` instead of NaN. /// /// # Example /// /// ``` /// use wickra_core::{Candle, Indicator, Vzo}; /// /// let mut indicator = Vzo::new(14).unwrap(); /// let mut last = None; /// for i in 0..80 { /// let base = 100.0 + f64::from(i); /// let candle = /// Candle::new(base, base + 2.0, base - 2.0, base + 1.0, 50.0, i64::from(i)).unwrap(); /// last = indicator.update(candle); /// } /// assert!(last.is_some()); /// ``` #[derive(Debug, Clone)] pub struct Vzo { period: usize, vp: Ema, tv: Ema, prev_close: Option, } impl Vzo { /// Construct a new VZO with the given EMA smoothing period. /// /// # Errors /// Returns [`Error::PeriodZero`] if `period == 0`. pub fn new(period: usize) -> Result { if period == 0 { return Err(Error::PeriodZero); } Ok(Self { period, vp: Ema::new(period)?, tv: Ema::new(period)?, prev_close: None, }) } /// Configured EMA smoothing period. pub const fn period(&self) -> usize { self.period } } impl Indicator for Vzo { type Input = Candle; type Output = f64; fn update(&mut self, candle: Candle) -> Option { let signed_volume = match self.prev_close { None => { self.prev_close = Some(candle.close); return None; } Some(prev) => { if candle.close > prev { candle.volume } else if candle.close < prev { -candle.volume } else { 0.0 } } }; self.prev_close = Some(candle.close); let vp = self.vp.update(signed_volume); let tv = self.tv.update(candle.volume); let (vp_v, tv_v) = (vp?, tv?); if tv_v == 0.0 { // No volume in the smoothing window -> ratio undefined; report 0. return Some(0.0); } Some(100.0 * vp_v / tv_v) } fn reset(&mut self) { self.vp.reset(); self.tv.reset(); self.prev_close = None; } fn warmup_period(&self) -> usize { // One seed bar plus the EMA seed. self.period + 1 } fn is_ready(&self) -> bool { self.vp.is_ready() && self.tv.is_ready() } fn name(&self) -> &'static str { "VZO" } } #[cfg(test)] mod tests { use super::*; use crate::traits::BatchExt; use approx::assert_relative_eq; fn c(close: f64, volume: f64, ts: i64) -> Candle { Candle::new(close, close, close, close, volume, ts).unwrap() } #[test] fn rejects_zero_period() { assert!(matches!(Vzo::new(0), Err(Error::PeriodZero))); } #[test] fn accessors_and_metadata() { let v = Vzo::new(14).unwrap(); assert_eq!(v.period(), 14); assert_eq!(v.name(), "VZO"); assert_eq!(v.warmup_period(), 15); } #[test] fn strictly_rising_series_saturates_to_plus_100() { // Every bar is an up-day with identical volume -> signed_volume == volume // on every bar -> VP and TV EMAs are equal -> ratio = 1 -> VZO = +100. let candles: Vec = (0..60i64).map(|i| c(10.0 + i as f64, 100.0, i)).collect(); let mut v = Vzo::new(5).unwrap(); let out = v.batch(&candles); let last = out.iter().filter_map(|x| *x).next_back().unwrap(); assert_relative_eq!(last, 100.0, epsilon = 1e-9); } #[test] fn strictly_falling_series_saturates_to_minus_100() { let candles: Vec = (0..60i64).map(|i| c(200.0 - i as f64, 100.0, i)).collect(); let mut v = Vzo::new(5).unwrap(); let out = v.batch(&candles); let last = out.iter().filter_map(|x| *x).next_back().unwrap(); assert_relative_eq!(last, -100.0, epsilon = 1e-9); } #[test] fn flat_close_yields_zero() { // signed_volume = 0 forever -> VP_EMA stays at 0 -> ratio = 0. let candles: Vec = (0..40).map(|i| c(10.0, 100.0, i)).collect(); let mut v = Vzo::new(5).unwrap(); for x in v.batch(&candles).into_iter().flatten() { assert_relative_eq!(x, 0.0, epsilon = 1e-9); } } #[test] fn zero_volume_window_yields_zero() { // All bars carry zero volume -> tv_v == 0 -> defensive branch fires. let candles: Vec = (0..20i64).map(|i| c(10.0 + i as f64, 0.0, i)).collect(); let mut v = Vzo::new(3).unwrap(); let out = v.batch(&candles); let last = out.iter().filter_map(|x| *x).next_back().unwrap(); assert_relative_eq!(last, 0.0, epsilon = 1e-12); } #[test] fn batch_equals_streaming() { let candles: Vec = (0..100i64) .map(|i| { let f = i as f64; c( 100.0 + (f * 0.3).sin() * 5.0, 50.0 + (i % 7) as f64 * 10.0, i, ) }) .collect(); let mut a = Vzo::new(14).unwrap(); let mut b = Vzo::new(14).unwrap(); assert_eq!( a.batch(&candles), candles.iter().map(|x| b.update(*x)).collect::>() ); } #[test] fn reset_clears_state() { let candles: Vec = (0..40i64).map(|i| c(10.0 + i as f64, 100.0, i)).collect(); let mut v = Vzo::new(5).unwrap(); v.batch(&candles); assert!(v.is_ready()); v.reset(); assert!(!v.is_ready()); assert_eq!(v.update(candles[0]), None); } }