//! Detrended Price Oscillator. use std::collections::VecDeque; use crate::error::{Error, Result}; use crate::traits::Indicator; /// Detrended Price Oscillator — strips the trend out of price to expose its /// shorter cycles. /// /// Instead of comparing price to a *current* moving average, DPO compares a /// **past** price — shifted back by `period / 2 + 1` bars — to the moving /// average of the window: /// /// ```text /// shift = period / 2 + 1 /// DPO_t = price_{t − shift} − SMA(period)_t /// ``` /// /// Because the price is taken from roughly half a cycle back, the dominant /// trend cancels out and what remains oscillates around zero — making the /// peak-to-peak cycle length easy to read. DPO is **not** a momentum /// indicator and is not meant to track the latest bar. /// /// # Example /// /// ``` /// use wickra_core::{Indicator, Dpo}; /// /// let mut indicator = Dpo::new(20).unwrap(); /// let mut last = None; /// for i in 0..80 { /// last = indicator.update(100.0 + (f64::from(i) * 0.3).sin() * 10.0); /// } /// assert!(last.is_some()); /// ``` #[derive(Debug, Clone)] pub struct Dpo { period: usize, shift: usize, /// Window of the most recent `capacity` prices, oldest at the front. capacity: usize, window: VecDeque, sum: f64, last: Option, } impl Dpo { /// Construct a new DPO with the given period. /// /// # Errors /// /// Returns [`Error::PeriodZero`] if `period == 0`. pub fn new(period: usize) -> Result { if period == 0 { return Err(Error::PeriodZero); } let shift = period / 2 + 1; // The window must cover both the SMA (`period` prices) and the // look-back (`shift + 1` prices: the current bar plus `shift` history). let capacity = period.max(shift + 1); Ok(Self { period, shift, capacity, window: VecDeque::with_capacity(capacity), sum: 0.0, last: None, }) } /// Configured period. pub const fn period(&self) -> usize { self.period } /// The look-back shift `period / 2 + 1`. pub const fn shift(&self) -> usize { self.shift } /// Current value if available. pub const fn value(&self) -> Option { self.last } } impl Indicator for Dpo { type Input = f64; type Output = f64; fn update(&mut self, input: f64) -> Option { if !input.is_finite() { // Non-finite input is ignored; the window is left untouched. return self.last; } self.window.push_back(input); self.sum += input; let len = self.window.len(); if len > self.period { // The price that just left the SMA window. self.sum -= self.window[len - 1 - self.period]; } if self.window.len() > self.capacity { self.window.pop_front(); } if self.window.len() < self.capacity { return None; } let sma = self.sum / self.period as f64; // `price_{t - shift}` — index counts back from the newest bar. let shifted = self.window[self.window.len() - 1 - self.shift]; let dpo = shifted - sma; self.last = Some(dpo); Some(dpo) } fn reset(&mut self) { self.window.clear(); self.sum = 0.0; self.last = None; } fn warmup_period(&self) -> usize { self.capacity } fn is_ready(&self) -> bool { self.last.is_some() } fn name(&self) -> &'static str { "DPO" } } #[cfg(test)] mod tests { use super::*; use crate::traits::BatchExt; use approx::assert_relative_eq; #[test] fn new_rejects_zero_period() { assert!(matches!(Dpo::new(0), Err(Error::PeriodZero))); } /// Cover the const accessors `period` / `value` (73-85) and the /// Indicator-impl `name` body (132-134). `shift` is already covered /// by `shift_is_half_period_plus_one`; `warmup_period` by /// `reference_values`. #[test] fn accessors_and_metadata() { let mut dpo = Dpo::new(20).unwrap(); assert_eq!(dpo.period(), 20); assert_eq!(dpo.name(), "DPO"); assert_eq!(dpo.value(), None); for i in 1..=dpo.warmup_period() { dpo.update(f64::from(u32::try_from(i).unwrap())); } assert!(dpo.value().is_some()); } #[test] fn shift_is_half_period_plus_one() { assert_eq!(Dpo::new(20).unwrap().shift(), 11); assert_eq!(Dpo::new(4).unwrap().shift(), 3); } #[test] fn reference_values() { // DPO(4): shift = 3, capacity = max(4, 4) = 4. // At input 4: window [1,2,3,4], SMA = 2.5, price[t-3] = 1 -> 1 - 2.5 = -1.5. let mut dpo = Dpo::new(4).unwrap(); let out = dpo.batch(&[1.0, 2.0, 3.0, 4.0, 5.0, 6.0]); assert_eq!(dpo.warmup_period(), 4); assert_eq!(out[0], None); assert_eq!(out[2], None); assert_relative_eq!(out[3].unwrap(), -1.5, epsilon = 1e-12); assert_relative_eq!(out[4].unwrap(), -1.5, epsilon = 1e-12); assert_relative_eq!(out[5].unwrap(), -1.5, epsilon = 1e-12); } #[test] fn constant_series_yields_zero() { // A flat series: the shifted price equals the SMA, so DPO is 0. let mut dpo = Dpo::new(10).unwrap(); let out = dpo.batch(&[50.0; 40]); for v in out.iter().skip(dpo.warmup_period() - 1).flatten() { assert_relative_eq!(*v, 0.0, epsilon = 1e-12); } } #[test] fn ignores_non_finite_input() { let mut dpo = Dpo::new(4).unwrap(); let out = dpo.batch(&[1.0, 2.0, 3.0, 4.0, 5.0]); let last = *out.last().unwrap(); assert!(last.is_some()); assert_eq!(dpo.update(f64::NAN), last); assert_eq!(dpo.update(f64::INFINITY), last); } #[test] fn reset_clears_state() { let mut dpo = Dpo::new(4).unwrap(); dpo.batch(&[1.0, 2.0, 3.0, 4.0, 5.0, 6.0]); assert!(dpo.is_ready()); dpo.reset(); assert!(!dpo.is_ready()); assert_eq!(dpo.update(1.0), None); } #[test] fn batch_equals_streaming() { let prices: Vec = (1..=80) .map(|i| 100.0 + (f64::from(i) * 0.4).sin() * 7.0) .collect(); let batch = Dpo::new(20).unwrap().batch(&prices); let mut b = Dpo::new(20).unwrap(); let streamed: Vec<_> = prices.iter().map(|p| b.update(*p)).collect(); assert_eq!(batch, streamed); } }