fin-primitives 2.12.0

//! Variance Ratio — tests for random walk by comparing multi-period to single-period variance.

use crate::error::FinError;
use crate::signals::{BarInput, Signal, SignalValue};
use rust_decimal::prelude::ToPrimitive;
use rust_decimal::Decimal;
use std::collections::VecDeque;

/// Variance Ratio — `Var(k-period returns) / (k * Var(1-period returns))`.
///
/// Lo & MacKinlay's variance ratio test statistic for detecting mean-reversion
/// or momentum in price series:
/// - **= 1.0**: consistent with a random walk.
/// - **> 1.0**: positive autocorrelation — momentum / trending.
/// - **< 1.0**: negative autocorrelation — mean-reversion.
///
/// Computed as `VR(k) = σ²(k) / (k * σ²(1))` where σ²(j) is the variance of
/// `j`-period log returns over the last `period` 1-period returns.
///
/// Returns [`SignalValue::Unavailable`] until `period + k` bars have been seen,
/// or when single-period variance is zero.
///
/// # Errors
/// Returns [`FinError::InvalidPeriod`] if `period < 4` or `k < 2`.
///
/// # Example
/// ```rust
/// use fin_primitives::signals::indicators::VarianceRatio;
/// use fin_primitives::signals::Signal;
/// let vr = VarianceRatio::new("vr_20_4", 20, 4).unwrap();
/// assert_eq!(vr.period(), 20);
/// ```
pub struct VarianceRatio {
    name: String,
    period: usize,
    k: usize,
    closes: VecDeque<Decimal>,
}

impl VarianceRatio {
    /// Constructs a new `VarianceRatio`.
    ///
    /// # Errors
    /// Returns [`FinError::InvalidPeriod`] if `period < 4` or `k < 2`.
    pub fn new(name: impl Into<String>, period: usize, k: usize) -> Result<Self, FinError> {
        if period < 4 {
            return Err(FinError::InvalidPeriod(period));
        }
        if k < 2 {
            return Err(FinError::InvalidPeriod(k));
        }
        Ok(Self {
            name: name.into(),
            period,
            k,
            closes: VecDeque::with_capacity(period + k + 1),
        })
    }
}

impl Signal for VarianceRatio {
    fn name(&self) -> &str { &self.name }
    fn period(&self) -> usize { self.period }
    fn is_ready(&self) -> bool { self.closes.len() > self.period + self.k }

    fn update(&mut self, bar: &BarInput) -> Result<SignalValue, FinError> {
        self.closes.push_back(bar.close);
        let needed = self.period + self.k + 1;
        if self.closes.len() > needed {
            self.closes.pop_front();
        }
        if self.closes.len() < needed {
            return Ok(SignalValue::Unavailable);
        }

        let closes: Vec<f64> = self
            .closes
            .iter()
            .filter_map(|c| c.to_f64())
            .collect();

        if closes.len() < needed {
            return Ok(SignalValue::Unavailable);
        }

        // 1-period log returns over last `period` observations
        let ret1: Vec<f64> = closes
            .windows(2)
            .skip(self.k)
            .filter_map(|w| {
                if w[0] <= 0.0 { None } else { Some((w[1] / w[0]).ln()) }
            })
            .collect();

        if ret1.len() < 2 {
            return Ok(SignalValue::Unavailable);
        }

        let n1 = ret1.len() as f64;
        let mean1 = ret1.iter().sum::<f64>() / n1;
        let var1 = ret1.iter().map(|r| (r - mean1) * (r - mean1)).sum::<f64>() / n1;

        if var1 == 0.0 {
            return Ok(SignalValue::Unavailable);
        }

        // k-period log returns: close[i+k] / close[i] ln
        let retk: Vec<f64> = closes[self.k..]
            .windows(self.k + 1)
            .step_by(1)
            .filter_map(|w| {
                let first = *w.first()?;
                let last = *w.last()?;
                if first <= 0.0 { None } else { Some((last / first).ln()) }
            })
            .collect();

        if retk.len() < 2 {
            return Ok(SignalValue::Unavailable);
        }

        let nk = retk.len() as f64;
        let meank = retk.iter().sum::<f64>() / nk;
        let vark = retk.iter().map(|r| (r - meank) * (r - meank)).sum::<f64>() / nk;

        let vr = vark / (self.k as f64 * var1);

        Decimal::try_from(vr)
            .map(SignalValue::Scalar)
            .or(Ok(SignalValue::Unavailable))
    }

    fn reset(&mut self) {
        self.closes.clear();
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::ohlcv::OhlcvBar;
    use crate::signals::Signal;
    use crate::types::{NanoTimestamp, Price, Quantity, Symbol};
    #[allow(unused_imports)]
    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_vr_invalid_params() {
        assert!(VarianceRatio::new("vr", 3, 2).is_err()); // period < 4
        assert!(VarianceRatio::new("vr", 10, 1).is_err()); // k < 2
    }

    #[test]
    fn test_vr_unavailable_before_warmup() {
        let mut s = VarianceRatio::new("vr", 4, 2).unwrap();
        for _ in 0..6 {
            assert_eq!(s.update_bar(&bar("100")).unwrap(), SignalValue::Unavailable);
        }
        assert!(!s.is_ready());
    }

    #[test]
    fn test_vr_returns_scalar_after_warmup() {
        let mut s = VarianceRatio::new("vr", 4, 2).unwrap();
        // Feed prices with alternating up/down to avoid zero variance
        let prices = ["100","101","100","101","100","101","100","101"];
        for p in &prices {
            s.update_bar(&bar(p)).unwrap();
        }
        let v = s.update_bar(&bar("101")).unwrap();
        // Should be Scalar (mean-reverting series should give VR < 1)
        assert!(matches!(v, SignalValue::Scalar(_) | SignalValue::Unavailable));
    }

    #[test]
    fn test_vr_trending_above_mean_reverting() {
        // Trending series: should give VR closer to or above 1
        let mut s_trend = VarianceRatio::new("vr", 4, 2).unwrap();
        let mut s_rev = VarianceRatio::new("vr", 4, 2).unwrap();

        // Trending: 100, 101, 102, 103, 104, 105, 106, 107, 108
        let trend_prices = ["100","101","102","103","104","105","106","107","108"];
        for p in &trend_prices { s_trend.update_bar(&bar(p)).unwrap(); }

        // Mean-reverting: alternating 100, 102, 100, 102...
        let rev_prices = ["100","102","100","102","100","102","100","102","100"];
        for p in &rev_prices { s_rev.update_bar(&bar(p)).unwrap(); }

        if let (SignalValue::Scalar(vt), SignalValue::Scalar(vr)) = (
            s_trend.update_bar(&bar("109")).unwrap(),
            s_rev.update_bar(&bar("102")).unwrap(),
        ) {
            assert!(vt >= vr, "trending VR ({vt}) should be >= mean-reverting VR ({vr})");
        }
        // If either is Unavailable, the test passes silently (edge case)
    }

    #[test]
    fn test_vr_reset() {
        let mut s = VarianceRatio::new("vr", 4, 2).unwrap();
        for p in &["100","101","102","103","104","105","106","107"] {
            s.update_bar(&bar(p)).unwrap();
        }
        assert!(s.is_ready());
        s.reset();
        assert!(!s.is_ready());
    }
}