//! TRIX: triple-smoothed EMA percent rate of change. use crate::error::Result; use crate::indicators::ema::Ema; use crate::traits::Indicator; /// TRIX: the 1-period percent rate of change of a triple-smoothed EMA. /// /// `TRIX = 100 * (TR_t - TR_{t-1}) / TR_{t-1}` where /// `TR_t = EMA(EMA(EMA(price)))`. #[derive(Debug, Clone)] pub struct Trix { ema1: Ema, ema2: Ema, ema3: Ema, prev_tr: Option, period: usize, } impl Trix { /// # Errors /// Returns [`crate::Error::PeriodZero`] if `period == 0`. pub fn new(period: usize) -> Result { Ok(Self { ema1: Ema::new(period)?, ema2: Ema::new(period)?, ema3: Ema::new(period)?, prev_tr: None, period, }) } /// Configured period. pub const fn period(&self) -> usize { self.period } } impl Indicator for Trix { type Input = f64; type Output = f64; fn update(&mut self, input: f64) -> Option { let e1 = self.ema1.update(input)?; let e2 = self.ema2.update(e1)?; let e3 = self.ema3.update(e2)?; match self.prev_tr { Some(prev) if prev != 0.0 => { let trix = 100.0 * (e3 - prev) / prev; self.prev_tr = Some(e3); Some(trix) } Some(_) => { self.prev_tr = Some(e3); Some(0.0) } None => { self.prev_tr = Some(e3); None } } } fn reset(&mut self) { self.ema1.reset(); self.ema2.reset(); self.ema3.reset(); self.prev_tr = None; } fn warmup_period(&self) -> usize { // Triple EMA seeds at 3*period-2; plus one extra for the rate of change. 3 * self.period - 1 } fn is_ready(&self) -> bool { self.prev_tr.is_some() && self.ema3.is_ready() } fn name(&self) -> &'static str { "TRIX" } } #[cfg(test)] mod tests { use super::*; use crate::traits::BatchExt; use approx::assert_relative_eq; #[test] fn constant_series_yields_zero_trix() { let mut trix = Trix::new(5).unwrap(); let out = trix.batch(&[100.0_f64; 80]); let last = out.iter().rev().flatten().next().unwrap(); assert_relative_eq!(*last, 0.0, epsilon = 1e-9); } #[test] fn rising_series_eventually_positive_trix() { let prices: Vec = (1..=200).map(f64::from).collect(); let mut trix = Trix::new(5).unwrap(); let last = trix.batch(&prices).into_iter().flatten().last().unwrap(); assert!(last > 0.0); } #[test] fn batch_equals_streaming() { let prices: Vec = (1..=80).map(|i| f64::from(i) * 1.3).collect(); let mut a = Trix::new(7).unwrap(); let mut b = Trix::new(7).unwrap(); assert_eq!( a.batch(&prices), prices.iter().map(|p| b.update(*p)).collect::>() ); } #[test] fn reset_clears_state() { let mut trix = Trix::new(5).unwrap(); trix.batch(&(1..=80).map(f64::from).collect::>()); assert!(trix.is_ready()); trix.reset(); assert!(!trix.is_ready()); } #[test] fn rejects_zero_period() { assert!(Trix::new(0).is_err()); } }