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//! Exponential Moving Average (EMA) indicator.
use quant_primitives::Candle;
use rust_decimal::Decimal;
use crate::error::IndicatorError;
use crate::indicator::Indicator;
use crate::series::Series;
/// Exponential Moving Average indicator.
///
/// Computes a weighted moving average that gives more weight to recent prices.
/// The weighting decreases exponentially for older prices.
///
/// # Formula
///
/// multiplier = 2 / (period + 1)
/// EMA_today = (Close - EMA_yesterday) * multiplier + EMA_yesterday
///
/// The first EMA value is the SMA of the first `period` candles.
///
/// # Example
///
/// ```
/// use quant_indicators::{Indicator, Ema};
/// 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 ema = Ema::new(20).unwrap();
/// let series = ema.compute(&candles).unwrap();
/// ```
#[derive(Debug, Clone)]
pub struct Ema {
period: usize,
multiplier: Decimal,
name: String,
}
impl Ema {
/// Create a new EMA indicator with the specified period.
///
/// # Errors
///
/// Returns `InvalidParameter` if period is 0.
pub fn new(period: usize) -> Result<Self, IndicatorError> {
if period == 0 {
return Err(IndicatorError::InvalidParameter {
message: "EMA period must be > 0".to_string(),
});
}
// multiplier = 2 / (period + 1)
let multiplier = Decimal::TWO / Decimal::from(period as u64 + 1);
Ok(Self {
period,
multiplier,
name: format!("EMA({})", period),
})
}
/// Get the smoothing multiplier.
pub fn multiplier(&self) -> Decimal {
self.multiplier
}
}
impl Indicator for Ema {
fn name(&self) -> &str {
&self.name
}
fn warmup_period(&self) -> usize {
self.period
}
fn compute(&self, candles: &[Candle]) -> Result<Series, IndicatorError> {
if candles.len() < self.period {
return Err(IndicatorError::InsufficientData {
required: self.period,
actual: candles.len(),
});
}
let mut values = Vec::with_capacity(candles.len() - self.period + 1);
let period_dec = Decimal::from(self.period as u64);
// First EMA is SMA of first `period` candles
let initial_sum: Decimal = candles[..self.period].iter().map(|c| c.close()).sum();
let mut ema = initial_sum / period_dec;
let ts = candles[self.period - 1].timestamp();
values.push((ts, ema));
// Subsequent EMAs use the recursive formula
for candle in candles.iter().skip(self.period) {
let close = candle.close();
// EMA = (Close - EMA_prev) * multiplier + EMA_prev
ema = (close - ema) * self.multiplier + ema;
values.push((candle.timestamp(), ema));
}
Ok(Series::new(values))
}
}
#[cfg(test)]
#[path = "ema_tests.rs"]
mod tests;