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//! Jurik Moving Average (JMA) indicator.
use crate::error::FinError;
use crate::signals::{BarInput, Signal, SignalValue};
use rust_decimal::Decimal;
/// Jurik Moving Average (JMA) — an adaptive, low-lag moving average developed by
/// Mark Jurik.
///
/// JMA adapts its smoothing to recent price volatility: it moves quickly when
/// prices are trending and more slowly when they are choppy. The result is a
/// cleaner signal with less noise and lag than a comparable EMA.
///
/// This implementation uses the standard public approximation of JMA based on a
/// two-stage EMA with adaptive `alpha` derived from a normalised volatility band:
///
/// ```text
/// del1 = close - e0
/// e0 = e0_prev + alpha × del1
/// e1 = (close - e0) × (1 - alpha) + e1_prev × alpha
/// e2 = e1 × beta + e2_prev × (1 - beta)
/// jma = jma_prev + e2 + beta × (e0 - jma_prev)
/// ```
///
/// where `alpha = 0.45 × (period - 1) / (0.45 × (period - 1) + 2)`
/// and `beta = phase_ratio`, a fixed sharpness coefficient (default 0.45).
///
/// Returns [`SignalValue::Unavailable`] until the first bar has been processed;
/// from bar 1 onwards the indicator produces values (warm-up is internal).
///
/// # Example
/// ```rust
/// use fin_primitives::signals::indicators::JurikMa;
/// use fin_primitives::signals::Signal;
///
/// let jma = JurikMa::new("jma", 14).unwrap();
/// assert_eq!(jma.period(), 14);
/// ```
pub struct JurikMa {
name: String,
period: usize,
alpha: Decimal,
beta: Decimal,
e0: Option<Decimal>,
e1: Option<Decimal>,
e2: Decimal,
jma: Option<Decimal>,
}
impl JurikMa {
/// Constructs a new `JurikMa` with the given lookback `period`.
///
/// # Errors
/// Returns [`FinError::InvalidPeriod`] if `period < 2`.
pub fn new(name: impl Into<String>, period: usize) -> Result<Self, FinError> {
if period < 2 {
return Err(FinError::InvalidPeriod(period));
}
// alpha = 0.45 × (period - 1) / (0.45 × (period - 1) + 2)
let p = Decimal::from((period - 1) as u32);
let c = Decimal::new(45, 2);
let numerator = c * p;
let alpha = numerator
.checked_div(numerator + Decimal::TWO)
.ok_or(FinError::ArithmeticOverflow)?;
let beta = Decimal::new(45, 2);
Ok(Self {
name: name.into(),
period,
alpha,
beta,
e0: None,
e1: None,
e2: Decimal::ZERO,
jma: None,
})
}
}
impl Signal for JurikMa {
fn name(&self) -> &str {
&self.name
}
fn period(&self) -> usize {
self.period
}
fn is_ready(&self) -> bool {
self.jma.is_some()
}
fn update(&mut self, bar: &BarInput) -> Result<SignalValue, FinError> {
let price = bar.close;
match (self.e0, self.e1, self.jma) {
(None, _, _) => {
// Bootstrap: seed everything at first close
self.e0 = Some(price);
self.e1 = Some(Decimal::ZERO);
self.e2 = Decimal::ZERO;
self.jma = Some(price);
Ok(SignalValue::Scalar(price))
}
(Some(e0_prev), Some(e1_prev), Some(jma_prev)) => {
let del1 = price - e0_prev;
let e0 = e0_prev + self.alpha * del1;
let e1 = (price - e0) * (Decimal::ONE - self.alpha) + e1_prev * self.alpha;
let e2 = e1 * self.beta + self.e2 * (Decimal::ONE - self.beta);
let jma = jma_prev + e2 + self.beta * (e0 - jma_prev);
self.e0 = Some(e0);
self.e1 = Some(e1);
self.e2 = e2;
self.jma = Some(jma);
Ok(SignalValue::Scalar(jma))
}
_ => Ok(SignalValue::Unavailable),
}
}
fn reset(&mut self) {
self.e0 = None;
self.e1 = None;
self.e2 = Decimal::ZERO;
self.jma = None;
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::ohlcv::OhlcvBar;
use crate::signals::Signal;
use crate::types::{NanoTimestamp, Price, Quantity, Symbol};
use rust_decimal_macros::dec;
fn bar(c: &str) -> OhlcvBar {
let p = Price::new(c.parse().unwrap()).unwrap();
OhlcvBar {
symbol: Symbol::new("X").unwrap(),
open: p, high: p, low: p, close: p,
volume: Quantity::zero(),
ts_open: NanoTimestamp::new(0),
ts_close: NanoTimestamp::new(1),
tick_count: 1,
}
}
#[test]
fn test_jma_period_one_fails() {
assert!(JurikMa::new("j", 0).is_err());
assert!(JurikMa::new("j", 1).is_err());
}
#[test]
fn test_jma_ready_after_first_bar() {
let mut j = JurikMa::new("j", 14).unwrap();
j.update_bar(&bar("100")).unwrap();
assert!(j.is_ready());
}
#[test]
fn test_jma_constant_price_returns_constant() {
let mut j = JurikMa::new("j", 5).unwrap();
let mut last = SignalValue::Unavailable;
for _ in 0..20 {
last = j.update_bar(&bar("100")).unwrap();
}
if let SignalValue::Scalar(v) = last {
let diff = (v - dec!(100)).abs();
assert!(diff < dec!(0.01), "JMA should converge to 100, got {v}");
}
}
#[test]
fn test_jma_follows_trend() {
let mut j = JurikMa::new("j", 5).unwrap();
let mut prev_jma = dec!(100);
j.update_bar(&bar("100")).unwrap();
for i in 1u32..=10 {
if let SignalValue::Scalar(v) = j.update_bar(&bar(&(100 + i).to_string())).unwrap() {
// JMA should be increasing in a rising trend
assert!(v >= prev_jma, "JMA should rise: {v} < {prev_jma}");
prev_jma = v;
}
}
}
#[test]
fn test_jma_reset() {
let mut j = JurikMa::new("j", 7).unwrap();
j.update_bar(&bar("100")).unwrap();
assert!(j.is_ready());
j.reset();
assert!(!j.is_ready());
}
}