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//! Bollinger Bands indicator.
use quant_primitives::Candle;
use rust_decimal::Decimal;
use crate::error::IndicatorError;
use crate::indicator::Indicator;
use crate::series::Series;
use crate::sma::Sma;
use crate::stddev::StdDev;
/// Bollinger Bands result containing all three bands.
#[derive(Debug, Clone, PartialEq, Eq)]
pub struct BollingerResult {
/// Upper band (middle + multiplier * stddev)
pub upper: Series,
/// Middle band (SMA)
pub middle: Series,
/// Lower band (middle - multiplier * stddev)
pub lower: Series,
}
impl BollingerResult {
/// Get the number of values in the bands.
#[must_use]
pub fn len(&self) -> usize {
self.middle.len()
}
/// Check if the result is empty.
#[must_use]
pub fn is_empty(&self) -> bool {
self.middle.is_empty()
}
}
/// Bollinger Bands indicator.
///
/// Bollinger Bands consist of:
/// - Middle band: Simple Moving Average
/// - Upper band: Middle + (multiplier * standard deviation)
/// - Lower band: Middle - (multiplier * standard deviation)
///
/// # Standard Parameters
///
/// - Period: 20
/// - Multiplier: 2.0
///
/// # Example
///
/// ```
/// use quant_indicators::BollingerBands;
/// use quant_primitives::Candle;
/// use chrono::Utc;
/// use rust_decimal_macros::dec;
///
/// let ts = Utc::now();
/// let candles: Vec<Candle> = (0..20).map(|i| {
/// Candle::new(dec!(100), dec!(110), dec!(90), dec!(100) + rust_decimal::Decimal::from(i), dec!(1000), ts).unwrap()
/// }).collect();
/// let bb = BollingerBands::new(20, dec!(2)).unwrap();
/// let result = bb.compute(&candles).unwrap();
/// // result.upper, result.middle, result.lower
/// ```
#[derive(Debug, Clone)]
pub struct BollingerBands {
period: usize,
multiplier: Decimal,
name: String,
}
impl BollingerBands {
/// Create a new Bollinger Bands indicator.
///
/// # Arguments
///
/// * `period` - Period for SMA and StdDev (typically 20)
/// * `multiplier` - StdDev multiplier for bands (typically 2)
///
/// # Errors
///
/// Returns `InvalidParameter` if period is 0 or multiplier is negative.
pub fn new(period: usize, multiplier: Decimal) -> Result<Self, IndicatorError> {
if period == 0 {
return Err(IndicatorError::InvalidParameter {
message: "BollingerBands period must be > 0".to_string(),
});
}
if multiplier.is_sign_negative() {
return Err(IndicatorError::InvalidParameter {
message: "BollingerBands multiplier must be >= 0".to_string(),
});
}
Ok(Self {
period,
multiplier,
name: format!("BB({},{})", period, multiplier),
})
}
/// Create Bollinger Bands with standard parameters (20, 2).
pub fn standard() -> Result<Self, IndicatorError> {
Self::new(20, Decimal::TWO)
}
/// Get the indicator name.
pub fn name(&self) -> &str {
&self.name
}
/// Minimum number of candles required.
pub fn warmup_period(&self) -> usize {
self.period
}
/// Compute Bollinger Bands from candle data.
///
/// Returns a `BollingerResult` with upper, middle, and lower bands.
pub fn compute(&self, candles: &[Candle]) -> Result<BollingerResult, IndicatorError> {
if candles.len() < self.period {
return Err(IndicatorError::InsufficientData {
required: self.period,
actual: candles.len(),
});
}
let sma = Sma::new(self.period)?;
let stddev = StdDev::new(self.period)?;
let middle_series = sma.compute(candles)?;
let stddev_series = stddev.compute(candles)?;
let middle_values = middle_series.values();
let stddev_values = stddev_series.values();
let mut upper_values = Vec::with_capacity(middle_values.len());
let mut lower_values = Vec::with_capacity(middle_values.len());
for (i, (ts, middle)) in middle_values.iter().enumerate() {
let std = stddev_values[i].1;
let band_width = self.multiplier * std;
upper_values.push((*ts, *middle + band_width));
lower_values.push((*ts, *middle - band_width));
}
Ok(BollingerResult {
upper: Series::new(upper_values),
middle: middle_series,
lower: Series::new(lower_values),
})
}
}
#[cfg(test)]
#[path = "bollinger_tests.rs"]
mod tests;