1
  2
  3
  4
  5
  6
  7
  8
  9
 10
 11
 12
 13
 14
 15
 16
 17
 18
 19
 20
 21
 22
 23
 24
 25
 26
 27
 28
 29
 30
 31
 32
 33
 34
 35
 36
 37
 38
 39
 40
 41
 42
 43
 44
 45
 46
 47
 48
 49
 50
 51
 52
 53
 54
 55
 56
 57
 58
 59
 60
 61
 62
 63
 64
 65
 66
 67
 68
 69
 70
 71
 72
 73
 74
 75
 76
 77
 78
 79
 80
 81
 82
 83
 84
 85
 86
 87
 88
 89
 90
 91
 92
 93
 94
 95
 96
 97
 98
 99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132

use tr_rs::TrueRange;
use ta_common::traits::Indicator;
#[doc(include = "../docs/dx.md")]
pub struct DX {
    period: u32,
    tr: TrueRange,
    k: f64,
    index: u32,
    sum_atr: f64,
    sum_up: f64,
    sum_down: f64,

    prev: [f64; 3],
    init: bool,
}

impl DX {
    pub fn new(period: u32) -> DX {
        Self {
            period,
            tr: TrueRange::new(),
            k: (period - 1) as f64 / period as f64,
            index: 0,
            sum_atr: 0.0,
            sum_up: 0.0,
            sum_down: 0.0,

            prev: [0.0, 0.0, 0.0],
            init: false,
        }
    }

    pub fn calc_direction(high: f64, p_high: f64, low: f64, p_low: f64) -> [f64; 2] {
        let mut up = high - p_high;
        let mut down = p_low - low;
        if up < 0.0 || up < down {
            up = 0.0;
        }
        if down < 0.0 || down < up {
            down = 0.0;
        }
        return [up, down];
    }
    fn get_direction(&self, input: [f64; 3]) -> [f64; 2] {
        let high = input[0];
        let p_high = self.prev[0];
        let low = input[1];
        let p_low = self.prev[1];
        let dir = DX::calc_direction(high, p_high, low, p_low);
        return dir;
    }
}

impl Indicator<[f64; 3], Option<f64>> for DX {
    fn next(&mut self, input: [f64; 3]) -> Option<f64> {
        self.index = self.index + 1;


        if !self.init {
            self.prev = input;
            self.sum_atr = self.sum_atr + self.tr.next(input);
            self.init = true;
            return None;
        }

        if self.index < self.period {
            self.sum_atr = self.sum_atr + self.tr.next(input);
            let dir = self.get_direction(input);
            self.sum_up = self.sum_up + dir[0];
            self.sum_down = self.sum_down + dir[1];
            self.prev = input;
            None
        } else {
            let tr = self.tr.next(input);
            self.sum_atr = self.sum_atr * self.k + tr;

            let dir = self.get_direction(input);
            self.sum_up = self.sum_up * self.k + dir[0];
            self.sum_down = self.sum_down * self.k + dir[1];


            let norm_up = 100_f64*(self.sum_up / self.sum_atr);
            let norm_down = 100_f64*(self.sum_down / self.sum_atr);
            let norm_diff = (norm_up - norm_down).abs();
            let norm_sum = norm_up + norm_down;

            let dx = (norm_diff / norm_sum)*100_f64;

            self.prev = input;
            Some(dx)
        }
    }

    fn reset(&mut self) {
        self.index = 0;
        self.sum_atr = 0.0;
        self.sum_up = 0.0;
        self.sum_down = 0.0;

        self.prev = [0.0, 0.0, 0.0];
        self.init = false;
        self.tr.reset();
    }
}


#[cfg(test)]
mod tests {

    use ta_common::traits::Indicator;
    use crate::dx::DX;

    #[test]
    fn it_works() {
        let mut dmi = DX::new(5);
        assert_eq!(dmi.next([82.15, 81.29, 81.59, ]), None);
        assert_eq!(dmi.next([81.89, 80.64, 81.06, ]), None);
        assert_eq!(dmi.next([83.03, 81.31, 82.87, ]), None);
        assert_eq!(dmi.next([83.30, 82.65, 83.00, ]), None);
        assert_eq!(dmi.next([83.85, 83.07, 83.61, ]), Some(52.68425841674205));
        assert_eq!(dmi.next([83.90, 83.11, 83.15, ]), Some(53.99247953992465));
        assert_eq!(dmi.next([83.33, 82.49, 82.84, ]), Some(7.795927847023168));
        assert_eq!(dmi.next([84.30, 82.30, 83.99, ]), Some(41.88861985472129));
        assert_eq!(dmi.next([84.84, 84.15, 84.55, ]), Some(53.78089095967214));
        assert_eq!(dmi.next([85.00, 84.11, 84.36, ]), Some(57.03724746193731));
        assert_eq!(dmi.next([85.90, 84.03, 85.53, ]), Some(71.26977302069074));
        assert_eq!(dmi.next([86.58, 85.39, 86.54, ]), Some(78.11650076605797));
        assert_eq!(dmi.next([86.98, 85.76, 86.89, ]), Some(81.37936868971823));
        assert_eq!(dmi.next([88.00, 87.17, 87.77, ]), Some(87.37808356842487));
        assert_eq!(dmi.next([87.87, 87.01, 87.29, ]), Some(76.24512106323728));
    }
}