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//! Weighted Moving Average (WMA) indicator.
use quant_primitives::Candle;
use rust_decimal::Decimal;
use crate::error::IndicatorError;
use crate::indicator::Indicator;
use crate::series::Series;
/// Weighted Moving Average indicator.
///
/// Assigns linearly increasing weights to more recent prices.
/// Most recent price has weight = period, oldest has weight = 1.
///
/// # Formula
///
/// WMA = (P1*1 + P2*2 + ... + Pn*n) / (1 + 2 + ... + n)
///
/// where n = period and Pn is the most recent price.
///
/// # Example
///
/// ```
/// use quant_indicators::{Indicator, Wma};
/// 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 wma = Wma::new(20).unwrap();
/// let series = wma.compute(&candles).unwrap();
/// ```
#[derive(Debug, Clone)]
pub struct Wma {
period: usize,
weight_sum: Decimal,
name: String,
}
impl Wma {
/// Create a new WMA 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: "WMA period must be > 0".to_string(),
});
}
// Sum of weights: 1 + 2 + ... + n = n(n+1)/2
let weight_sum =
Decimal::from(period as u64) * Decimal::from(period as u64 + 1) / Decimal::TWO;
Ok(Self {
period,
weight_sum,
name: format!("WMA({})", period),
})
}
}
impl Indicator for Wma {
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);
for window in candles.windows(self.period) {
let weighted_sum: Decimal = window
.iter()
.enumerate()
.map(|(i, c)| c.close() * Decimal::from((i + 1) as u64))
.sum();
let wma = weighted_sum / self.weight_sum;
let ts = window[self.period - 1].timestamp();
values.push((ts, wma));
}
Ok(Series::new(values))
}
}
#[cfg(test)]
#[path = "wma_tests.rs"]
mod tests;