mantis-ta 0.6.7

Composable technical analysis and strategy engine for Rust
Documentation 
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
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132

use crate::indicators::Indicator;
use crate::types::{BollingerOutput, Candle};
use crate::utils::ringbuf::RingBuf;

/// Bollinger Bands over closing prices.
///
/// # Examples
/// ```rust
/// use mantis_ta::indicators::{Indicator, BollingerBands};
/// use mantis_ta::types::Candle;
///
/// let prices = [1.0, 2.0, 3.0, 4.0];
/// let candles: Vec<Candle> = prices
///     .iter()
///     .enumerate()
///     .map(|(i, p)| Candle {
///         timestamp: i as i64,
///         open: *p,
///         high: *p,
///         low: *p,
///         close: *p,
///         volume: 0.0,
///     })
///     .collect();
///
/// let out = BollingerBands::new(3, 2.0).calculate(&candles);
/// assert!(out.iter().take(2).all(|v| v.is_none()));
/// assert!(out[2].is_some());
/// ```
#[derive(Debug, Clone)]
pub struct BollingerBands {
    period: usize,
    std_mult: f64,
    window: RingBuf<f64>,
    sum: f64,
    sum_sq: f64,
}

impl BollingerBands {
    pub fn new(period: usize, std_mult: f64) -> Self {
        assert!(period > 0, "period must be > 0");
        assert!(std_mult >= 0.0, "std_mult must be >= 0");
        Self {
            period,
            std_mult,
            window: RingBuf::new(period, 0.0),
            sum: 0.0,
            sum_sq: 0.0,
        }
    }

    #[inline]
    fn update(&mut self, close: f64) -> Option<BollingerOutput> {
        if let Some(old) = self.window.push(close) {
            self.sum -= old;
            self.sum_sq -= old * old;
        }
        self.sum += close;
        self.sum_sq += close * close;

        if self.window.len() < self.period {
            return None;
        }

        let mean = self.sum / self.period as f64;
        let variance = (self.sum_sq / self.period as f64) - mean * mean;
        let std = variance.max(0.0).sqrt();
        Some(BollingerOutput {
            upper: mean + self.std_mult * std,
            middle: mean,
            lower: mean - self.std_mult * std,
        })
    }
}

impl Indicator for BollingerBands {
    type Output = BollingerOutput;

    fn next(&mut self, candle: &Candle) -> Option<Self::Output> {
        self.update(candle.close)
    }

    fn reset(&mut self) {
        self.window = RingBuf::new(self.period, 0.0);
        self.sum = 0.0;
        self.sum_sq = 0.0;
    }

    fn warmup_period(&self) -> usize {
        self.period
    }

    fn clone_boxed(&self) -> Box<dyn Indicator<Output = Self::Output>> {
        Box::new(self.clone())
    }
}

#[cfg(test)]
mod tests {
    use super::*;

    #[test]
    fn bollinger_emits_after_warmup() {
        let mut bb = BollingerBands::new(3, 2.0);
        let prices = [1.0, 2.0, 3.0, 4.0];
        let candles: Vec<Candle> = prices
            .iter()
            .map(|p| Candle {
                timestamp: 0,
                open: *p,
                high: *p,
                low: *p,
                close: *p,
                volume: 0.0,
            })
            .collect();

        let outputs: Vec<_> = candles.iter().map(|c| bb.next(c)).collect();
        assert!(
            outputs
                .iter()
                .take(bb.warmup_period() - 1)
                .all(|o| o.is_none())
        );
        assert!(
            outputs
                .iter()
                .skip(bb.warmup_period() - 1)
                .any(|o| o.is_some())
        );
    }
}