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
#![feature(external_doc)] use sma_rs::SMA; use ta_common::traits::Indicator; use ta_common::fixed_queue::FixedQueue; #[doc(include = "../README.md")] pub struct LinReg { x_mean: f64, x_var_sq: f64, sma: SMA, history: FixedQueue<f64>, period: u32, } impl LinReg { pub fn new(period: u32) -> LinReg { let mean = ((period as f64 * (period as f64 + 1.0)) / 2.0)/period as f64; Self { x_mean: mean, sma: SMA::new(period), history: FixedQueue::new(period), period, x_var_sq: { let mut sum = 0.0; for i in 1..(period + 1) { sum += (i as f64 - mean).powf(2.0); } sum }, } } } impl Indicator<f64, Option<f64>> for LinReg { fn next(&mut self, input: f64) -> Option<f64> { let sma = self.sma.next(input); self.history.add(input); match sma { None => None, Some(sm) => { let mut beta = 0.0; for i in 1..(self.period + 1) { println!("{} xmean {}",i,self.x_mean); beta += ((i as f64 - self.x_mean) * (self.history.at((i-1) as i32).unwrap() - sm)) / self.x_var_sq; } let alpha = sm - beta * self.x_mean; let linreg = alpha + beta * self.period as f64; Some(linreg) } } } fn reset(&mut self) { self.sma.reset(); } } #[cfg(test)] mod tests { use crate::LinReg; use ta_common::traits::Indicator; #[test] fn it_works() { let mut linreg = LinReg::new(5); assert_eq!(linreg.next(81.59), None); assert_eq!(linreg.next(81.06), None); assert_eq!(linreg.next(82.87), None); assert_eq!(linreg.next(83.00), None); assert_eq!(linreg.next(83.61), Some(83.622)); assert_eq!(linreg.next(83.15), Some(83.72199999999998)); assert_eq!(linreg.next(82.84), Some(83.11199999999998)); assert_eq!(linreg.next(83.99), Some(83.55999999999997)); assert_eq!(linreg.next(84.55), Some(84.17199999999997)); assert_eq!(linreg.next(84.36), Some(84.60399999999998)); assert_eq!(linreg.next(85.53), Some(85.40399999999998)); assert_eq!(linreg.next(86.54), Some(86.20999999999998)); assert_eq!(linreg.next(86.89), Some(86.94599999999997)); assert_eq!(linreg.next(87.77), Some(87.85399999999996)); assert_eq!(linreg.next(87.29), Some(87.75399999999996)); } }