use std::collections::HashMap;
use crate::model::Bar;
use super::divergence::SlopeDivergence;
use super::smoothing::{crossed_over, crossed_under, Ema, ExtremeWindow};
use super::{Indicator, IndicatorAlert, IndicatorOutput};
pub struct Tsi {
mid_line: f64,
oversold: f64,
overbought: f64,
require_extreme_zone: bool,
#[allow(dead_code)]
ctx_long_len: usize,
#[allow(dead_code)]
ctx_short_len: usize,
div_len: usize,
prev_close: Option<f64>,
mom_long: Ema,
mom_short: Ema,
abs_long: Ema,
abs_short: Ema,
signal_avg: Ema,
extreme_window: ExtremeWindow,
prev_tsi_line: Option<f64>,
prev_signal: Option<f64>,
bars_seen: usize,
ctx_mom_long: Ema,
ctx_mom_short: Ema,
ctx_abs_long: Ema,
ctx_abs_short: Ema,
divergence: SlopeDivergence,
alerts: TsiAlerts,
}
#[derive(Debug, Clone, Copy, PartialEq, Default)]
pub struct TsiAlerts {
pub bull_extreme: bool,
pub bear_extreme: bool,
pub bull_mid_cross: bool,
pub bear_mid_cross: bool,
pub bull_divergence: bool,
pub bear_divergence: bool,
pub extreme_strength: f64,
pub divergence_strength: f64,
}
impl Tsi {
#[allow(clippy::too_many_arguments)]
pub fn new(
long_len: usize,
short_len: usize,
sig_len: usize,
mid_line: f64,
overbought: f64,
oversold: f64,
lookback_extreme: usize,
require_extreme_zone: bool,
ctx_long_len: usize,
ctx_short_len: usize,
div_len: usize,
div_min: f64,
) -> Self {
Self {
mid_line,
oversold,
overbought,
require_extreme_zone,
ctx_long_len,
ctx_short_len,
div_len,
prev_close: None,
mom_long: Ema::new(long_len),
mom_short: Ema::new(short_len),
abs_long: Ema::new(long_len),
abs_short: Ema::new(short_len),
signal_avg: Ema::new(sig_len),
extreme_window: ExtremeWindow::new(lookback_extreme),
prev_tsi_line: None,
prev_signal: None,
bars_seen: 0,
ctx_mom_long: Ema::new(ctx_long_len),
ctx_mom_short: Ema::new(ctx_short_len),
ctx_abs_long: Ema::new(ctx_long_len),
ctx_abs_short: Ema::new(ctx_short_len),
divergence: SlopeDivergence::new(div_len, div_min),
alerts: TsiAlerts::default(),
}
}
pub fn with_defaults() -> Self {
Self::new(25, 13, 7, 0.0, 25.0, -25.0, 5, true, 50, 25, 4, 5.0)
}
}
impl Indicator for Tsi {
fn name(&self) -> &str {
"tsi"
}
fn warmup_period(&self) -> usize {
1 + self.div_len
}
fn on_bar(&mut self, bar: &Bar) -> Option<IndicatorOutput> {
self.alerts = TsiAlerts::default();
self.bars_seen += 1;
let close = bar.close;
let prev_close = match self.prev_close {
None => {
self.prev_close = Some(close);
return None;
}
Some(p) => p,
};
self.prev_close = Some(close);
let mom = close - prev_close;
let double_mom = self.mom_short.update(self.mom_long.update(mom));
let double_abs = self.abs_short.update(self.abs_long.update(mom.abs()));
let tsi_line = if double_abs != 0.0 {
100.0 * double_mom / double_abs
} else {
0.0
};
let signal = self.signal_avg.update(tsi_line);
let ctx_double_mom = self.ctx_mom_short.update(self.ctx_mom_long.update(mom));
let ctx_double_abs = self
.ctx_abs_short
.update(self.ctx_abs_long.update(mom.abs()));
let ctx_line = if ctx_double_abs != 0.0 {
100.0 * ctx_double_mom / ctx_double_abs
} else {
0.0
};
let extreme = self.extreme_window.push(tsi_line);
let was_oversold = extreme
.map(|(low, _)| low <= self.oversold)
.unwrap_or(false);
let was_overbought = extreme
.map(|(_, high)| high >= self.overbought)
.unwrap_or(false);
if let (Some(prev_tsi), Some(prev_sig)) = (self.prev_tsi_line, self.prev_signal) {
let bull_cross = crossed_over(prev_tsi, prev_sig, tsi_line, signal);
let bear_cross = crossed_under(prev_tsi, prev_sig, tsi_line, signal);
self.alerts.bull_extreme = bull_cross && (!self.require_extreme_zone || was_oversold);
self.alerts.bear_extreme = bear_cross && (!self.require_extreme_zone || was_overbought);
self.alerts.bull_mid_cross =
crossed_over(prev_tsi, self.mid_line, tsi_line, self.mid_line);
self.alerts.bear_mid_cross =
crossed_under(prev_tsi, self.mid_line, tsi_line, self.mid_line);
self.alerts.extreme_strength = if self.alerts.bull_extreme {
let (lowest, _) = extreme.unwrap_or((self.oversold, self.overbought));
((self.oversold - lowest) / self.oversold.abs()).clamp(0.0, 1.0)
} else if self.alerts.bear_extreme {
let (_, highest) = extreme.unwrap_or((self.oversold, self.overbought));
((highest - self.overbought) / self.overbought.abs()).clamp(0.0, 1.0)
} else {
0.0
};
}
self.prev_tsi_line = Some(tsi_line);
self.prev_signal = Some(signal);
let div = self.divergence.update(tsi_line, ctx_line);
self.alerts.bull_divergence = div.bull;
self.alerts.bear_divergence = div.bear;
self.alerts.divergence_strength = if div.bull || div.bear {
((div.fast_dir.abs() - self.divergence.div_min()) / self.divergence.div_min())
.clamp(0.0, 1.0)
} else {
0.0
};
let mut extra = HashMap::new();
extra.insert("signal".to_string(), signal);
extra.insert("ctx".to_string(), ctx_line);
Some(IndicatorOutput::with_extra(tsi_line, extra))
}
fn reset(&mut self) {
self.prev_close = None;
self.mom_long.reset();
self.mom_short.reset();
self.abs_long.reset();
self.abs_short.reset();
self.signal_avg.reset();
self.extreme_window.reset();
self.prev_tsi_line = None;
self.prev_signal = None;
self.bars_seen = 0;
self.ctx_mom_long.reset();
self.ctx_mom_short.reset();
self.ctx_abs_long.reset();
self.ctx_abs_short.reset();
self.divergence.reset();
self.alerts = TsiAlerts::default();
}
fn alerts(&self) -> Vec<IndicatorAlert> {
let a = self.alerts;
let mut out = Vec::new();
if a.bull_extreme {
out.push(IndicatorAlert {
kind: "bull_extreme".to_string(),
note: "TSI · BULL CROSS OVERSOLD".to_string(),
strength: a.extreme_strength,
});
}
if a.bear_extreme {
out.push(IndicatorAlert {
kind: "bear_extreme".to_string(),
note: "TSI · BEAR CROSS OVERBOUGHT".to_string(),
strength: a.extreme_strength,
});
}
if a.bull_mid_cross {
out.push(IndicatorAlert {
kind: "bull_mid_cross".to_string(),
note: "TSI · CROSS ABOVE ZERO".to_string(),
strength: 1.0,
});
}
if a.bear_mid_cross {
out.push(IndicatorAlert {
kind: "bear_mid_cross".to_string(),
note: "TSI · CROSS BELOW ZERO".to_string(),
strength: 1.0,
});
}
if a.bull_divergence {
out.push(IndicatorAlert {
kind: "bull_divergence".to_string(),
note: "TSI · BULL DIVERGENCE".to_string(),
strength: a.divergence_strength,
});
}
if a.bear_divergence {
out.push(IndicatorAlert {
kind: "bear_divergence".to_string(),
note: "TSI · BEAR DIVERGENCE".to_string(),
strength: a.divergence_strength,
});
}
out
}
}