//! Keltner Channels. use crate::error::{Error, Result}; use crate::indicators::atr::Atr; use crate::indicators::ema::Ema; use crate::ohlcv::Candle; use crate::traits::Indicator; /// Keltner Channels output. #[derive(Debug, Clone, Copy, PartialEq)] pub struct KeltnerOutput { /// Upper band = middle + multiplier * ATR. pub upper: f64, /// Middle band = EMA of typical price. pub middle: f64, /// Lower band = middle - multiplier * ATR. pub lower: f64, } /// Keltner Channels: an EMA centerline with bands sized by ATR. /// /// # Example /// /// ``` /// use wickra_core::{Candle, Indicator, Keltner}; /// /// let mut indicator = Keltner::new(5, 5, 2.0).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, 10.0, i64::from(i)).unwrap(); /// last = indicator.update(candle); /// } /// assert!(last.is_some()); /// ``` #[derive(Debug, Clone)] pub struct Keltner { ema: Ema, atr: Atr, multiplier: f64, ema_period: usize, atr_period: usize, } impl Keltner { /// # Errors /// Returns [`Error::PeriodZero`] / [`Error::NonPositiveMultiplier`] on invalid inputs. pub fn new(ema_period: usize, atr_period: usize, multiplier: f64) -> Result { if !multiplier.is_finite() || multiplier <= 0.0 { return Err(Error::NonPositiveMultiplier); } Ok(Self { ema: Ema::new(ema_period)?, atr: Atr::new(atr_period)?, multiplier, ema_period, atr_period, }) } /// Classic configuration: EMA(20), ATR(10), 2.0x multiplier. pub fn classic() -> Self { Self::new(20, 10, 2.0).expect("classic Keltner parameters are valid") } /// Configured `(ema_period, atr_period, multiplier)`. pub const fn periods(&self) -> (usize, usize, f64) { (self.ema_period, self.atr_period, self.multiplier) } } impl Indicator for Keltner { type Input = Candle; type Output = KeltnerOutput; fn update(&mut self, candle: Candle) -> Option { // Feed both sub-indicators on every candle so they warm up in parallel. // Gating `atr.update` behind `ema.update(...)?` would starve the ATR of // every candle consumed during the EMA's warmup, delaying the first // emission past `warmup_period()` and seeding the ATR over the wrong // window. let mid = self.ema.update(candle.typical_price()); let atr = self.atr.update(candle); let (mid, atr) = (mid?, atr?); Some(KeltnerOutput { upper: mid + self.multiplier * atr, middle: mid, lower: mid - self.multiplier * atr, }) } fn reset(&mut self) { self.ema.reset(); self.atr.reset(); } fn warmup_period(&self) -> usize { self.ema_period.max(self.atr_period) } fn is_ready(&self) -> bool { self.ema.is_ready() && self.atr.is_ready() } fn name(&self) -> &'static str { "KeltnerChannels" } } #[cfg(test)] mod tests { use super::*; use crate::traits::BatchExt; use approx::assert_relative_eq; fn c(h: f64, l: f64, cl: f64) -> Candle { Candle::new(cl, h, l, cl, 1.0, 0).unwrap() } #[test] fn flat_market_collapses_bands() { let candles: Vec = (0..50).map(|_| c(10.0, 10.0, 10.0)).collect(); let mut k = Keltner::new(20, 10, 2.0).unwrap(); let last = k.batch(&candles).into_iter().flatten().last().unwrap(); assert_relative_eq!(last.upper, last.middle, epsilon = 1e-9); assert_relative_eq!(last.lower, last.middle, epsilon = 1e-9); } #[test] fn upper_above_middle_above_lower() { let candles: Vec = (0..100) .map(|i| { let m = 100.0 + (f64::from(i) * 0.2).sin() * 5.0; c(m + 1.0, m - 1.0, m) }) .collect(); let mut k = Keltner::classic(); for o in k.batch(&candles).into_iter().flatten() { assert!(o.upper >= o.middle); assert!(o.middle >= o.lower); } } #[test] fn batch_equals_streaming() { let candles: Vec = (0..50) .map(|i| c(f64::from(i) + 1.0, f64::from(i) - 1.0, f64::from(i))) .collect(); let mut a = Keltner::classic(); let mut b = Keltner::classic(); assert_eq!( a.batch(&candles), candles.iter().map(|x| b.update(*x)).collect::>() ); } #[test] fn rejects_invalid_input() { assert!(Keltner::new(0, 10, 2.0).is_err()); assert!(Keltner::new(20, 10, 0.0).is_err()); assert!(Keltner::new(20, 10, -1.0).is_err()); } /// Cover the const accessor `periods` (68-70) and the Indicator-impl /// `name` body (106-108). Existing tests inspect band output but /// never query the metadata. #[test] fn accessors_and_metadata() { let k = Keltner::new(20, 10, 2.0).unwrap(); let (ema, atr, mult) = k.periods(); assert_eq!(ema, 20); assert_eq!(atr, 10); assert!((mult - 2.0).abs() < 1e-12); assert_eq!(k.name(), "KeltnerChannels"); } #[test] fn reset_clears_state() { let candles: Vec = (0..50) .map(|i| c(f64::from(i) + 1.0, f64::from(i) - 1.0, f64::from(i))) .collect(); let mut k = Keltner::classic(); k.batch(&candles); assert!(k.is_ready()); k.reset(); assert!(!k.is_ready()); assert_eq!(k.update(candles[0]), None); } #[test] fn first_emission_matches_warmup_period() { let candles: Vec = (0..60) .map(|i| { let base = 100.0 + f64::from(i); c(base + 1.0, base - 1.0, base) }) .collect(); let mut k = Keltner::classic(); let out = k.batch(&candles); let warmup = k.warmup_period(); assert_eq!(warmup, 20); for (i, v) in out.iter().enumerate().take(warmup - 1) { assert!(v.is_none(), "index {i} must be None during warmup"); } assert!( out[warmup - 1].is_some(), "first KeltnerOutput must land at warmup_period - 1" ); } #[test] fn matches_independent_ema_and_atr() { // The EMA (on typical price) and the ATR (on the candle) run as // independent siblings; Keltner must equal feeding two standalone // instances and combining them once both are ready. let candles: Vec = (0..60) .map(|i| { let m = 100.0 + (f64::from(i) * 0.2).sin() * 5.0; c(m + 1.5, m - 1.5, m) }) .collect(); let mut k = Keltner::classic(); let mut ema = Ema::new(20).unwrap(); let mut atr = Atr::new(10).unwrap(); for (i, candle) in candles.iter().enumerate() { let got = k.update(*candle); let mid = ema.update(candle.typical_price()); let a = atr.update(*candle); match (mid, a) { (Some(m), Some(av)) => { let o = got.expect("Keltner emits once EMA and ATR are both ready"); assert_relative_eq!(o.middle, m, epsilon = 1e-9); assert_relative_eq!(o.upper, m + 2.0 * av, epsilon = 1e-9); assert_relative_eq!(o.lower, m - 2.0 * av, epsilon = 1e-9); } _ => assert!( got.is_none(), "Keltner must be None until both ready (i={i})" ), } } } }