use crate::error::FinError;
use crate::signals::{BarInput, Signal, SignalValue};
use rust_decimal::Decimal;
pub struct KickingPattern {
name: String,
min_body_pct: Decimal,
prev: Option<BarInput>,
}
impl KickingPattern {
pub fn new(name: impl Into<String>, min_body_pct: u32) -> Result<Self, FinError> {
if min_body_pct > 100 {
return Err(FinError::InvalidInput("min_body_pct out of range".into()));
}
Ok(Self {
name: name.into(),
min_body_pct: Decimal::from(min_body_pct),
prev: None,
})
}
fn is_marubozu(&self, bar: &BarInput) -> Result<bool, FinError> {
let range = bar.high - bar.low;
if range.is_zero() {
return Ok(false);
}
let body = (bar.close - bar.open).abs();
let pct = body
.checked_div(range)
.ok_or(FinError::ArithmeticOverflow)?
.checked_mul(Decimal::from(100u32))
.ok_or(FinError::ArithmeticOverflow)?;
Ok(pct >= self.min_body_pct)
}
}
impl Signal for KickingPattern {
fn name(&self) -> &str {
&self.name
}
fn update(&mut self, bar: &BarInput) -> Result<SignalValue, FinError> {
let result = if let Some(ref prev) = self.prev {
if !self.is_marubozu(prev)? || !self.is_marubozu(bar)? {
SignalValue::Scalar(Decimal::ZERO)
} else {
let prev_bearish = prev.close < prev.open;
let cur_bullish = bar.close > bar.open;
if prev_bearish && cur_bullish && bar.open > prev.open {
SignalValue::Scalar(Decimal::ONE)
} else if !prev_bearish && !cur_bullish && bar.open < prev.open {
SignalValue::Scalar(Decimal::NEGATIVE_ONE)
} else {
SignalValue::Scalar(Decimal::ZERO)
}
}
} else {
SignalValue::Unavailable
};
self.prev = Some(*bar);
Ok(result)
}
fn is_ready(&self) -> bool {
self.prev.is_some()
}
fn period(&self) -> usize {
2
}
fn reset(&mut self) {
self.prev = 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(o: &str, h: &str, l: &str, c: &str) -> OhlcvBar {
OhlcvBar {
symbol: Symbol::new("X").unwrap(),
open: Price::new(o.parse().unwrap()).unwrap(),
high: Price::new(h.parse().unwrap()).unwrap(),
low: Price::new(l.parse().unwrap()).unwrap(),
close: Price::new(c.parse().unwrap()).unwrap(),
volume: Quantity::zero(),
ts_open: NanoTimestamp::new(0),
ts_close: NanoTimestamp::new(1),
tick_count: 1,
}
}
#[test]
fn test_invalid_pct() { assert!(KickingPattern::new("kp", 101).is_err()); }
#[test]
fn test_first_bar_unavailable() {
let mut kp = KickingPattern::new("kp", 80).unwrap();
assert_eq!(kp.update_bar(&bar("20", "20", "10", "10")).unwrap(), SignalValue::Unavailable);
}
#[test]
fn test_bullish_kicking() {
let mut kp = KickingPattern::new("kp", 80).unwrap();
kp.update_bar(&bar("20", "20", "10", "10")).unwrap();
let v = kp.update_bar(&bar("25", "35", "25", "35")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(1)));
}
#[test]
fn test_bearish_kicking() {
let mut kp = KickingPattern::new("kp", 80).unwrap();
kp.update_bar(&bar("10", "20", "10", "20")).unwrap();
let v = kp.update_bar(&bar("5", "5", "1", "1")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(-1)));
}
#[test]
fn test_no_pattern_no_gap() {
let mut kp = KickingPattern::new("kp", 80).unwrap();
kp.update_bar(&bar("20", "20", "10", "10")).unwrap();
let v = kp.update_bar(&bar("15", "25", "15", "25")).unwrap();
assert_eq!(v, SignalValue::Scalar(dec!(0)));
}
#[test]
fn test_reset() {
let mut kp = KickingPattern::new("kp", 80).unwrap();
kp.update_bar(&bar("20", "20", "10", "10")).unwrap();
kp.reset();
assert!(!kp.is_ready());
}
}