quantwave-core 0.1.10

use crate::indicators::metadata::{IndicatorMetadata, ParamDef};
use crate::traits::Next;
use std::collections::VecDeque;

talib_1_in_1_out!(TaSTDDEV, talib_rs::statistic::stddev, timeperiod: usize, nbdev: f64);
talib_1_in_1_out!(TaVAR, talib_rs::statistic::var, timeperiod: usize, nbdev: f64);
talib_2_in_1_out!(TaBETA, talib_rs::statistic::beta, timeperiod: usize);
impl From<usize> for TaBETA {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}
talib_2_in_1_out!(TaCORREL, talib_rs::statistic::correl, timeperiod: usize);
impl From<usize> for TaCORREL {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}
talib_1_in_1_out!(TaLINEARREG, talib_rs::statistic::linearreg, timeperiod: usize);
impl From<usize> for TaLINEARREG {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}
talib_1_in_1_out!(TaLINEARREG_SLOPE, talib_rs::statistic::linearreg_slope, timeperiod: usize);
impl From<usize> for TaLINEARREG_SLOPE {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}
talib_1_in_1_out!(TaLINEARREG_INTERCEPT, talib_rs::statistic::linearreg_intercept, timeperiod: usize);
impl From<usize> for TaLINEARREG_INTERCEPT {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}
talib_1_in_1_out!(TaLINEARREG_ANGLE, talib_rs::statistic::linearreg_angle, timeperiod: usize);
impl From<usize> for TaLINEARREG_ANGLE {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}
talib_1_in_1_out!(TaTSF, talib_rs::statistic::tsf, timeperiod: usize);
impl From<usize> for TaTSF {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}

/// Standard Deviation (Population)
#[derive(Debug, Clone)]
pub struct StandardDeviation {
    period: usize,
    window: VecDeque<f64>,
    sum: f64,
    sum_sq: f64,
}

impl StandardDeviation {
    pub fn new(period: usize) -> Self {
        Self {
            period,
            window: VecDeque::with_capacity(period),
            sum: 0.0,
            sum_sq: 0.0,
        }
    }
}

impl From<usize> for StandardDeviation {
    fn from(period: usize) -> Self {
        Self::new(period)
    }
}

impl Next<f64> for StandardDeviation {
    type Output = f64;

    fn next(&mut self, input: f64) -> Self::Output {
        self.window.push_back(input);
        self.sum += input;
        self.sum_sq += input * input;

        if self.window.len() > self.period && let Some(oldest) = self.window.pop_front() {
            self.sum -= oldest;
            self.sum_sq -= oldest * oldest;
        }

        let n = self.window.len() as f64;
        let mean = self.sum / n;
        let variance = (self.sum_sq / n) - (mean * mean);

        // Handle floating point precision issues
        variance.max(0.0).sqrt()
    }
}

/// Linear Regression
/// Returns the value of the regression line at the current bar.
#[derive(Debug, Clone)]
pub struct LinearRegression {
    period: usize,
    window: VecDeque<f64>,
    // Precomputed x values and their sums
    sum_x: f64,
    sum_x2: f64,
}

impl LinearRegression {
    pub fn new(period: usize) -> Self {
        let _n = period as f64;
        let mut sum_x = 0.0;
        let mut sum_x2 = 0.0;
        for i in 0..period {
            let x = i as f64;
            sum_x += x;
            sum_x2 += x * x;
        }

        Self {
            period,
            window: VecDeque::with_capacity(period),
            sum_x,
            sum_x2,
        }
    }
}

impl From<usize> for LinearRegression {
    fn from(period: usize) -> Self {
        Self::new(period)
    }
}

impl Next<f64> for LinearRegression {
    type Output = f64;

    fn next(&mut self, input: f64) -> Self::Output {
        self.window.push_back(input);
        if self.window.len() > self.period {
            self.window.pop_front();
        }

        if self.window.len() < self.period {
            // For partial windows, we could recalculate x sums,
            // but for TTM Squeeze, we'll wait for full window or return partial.
            // Standard approach: wait for full window or adjust n.
            let n = self.window.len() as f64;
            let mut sum_x = 0.0;
            let mut sum_x2 = 0.0;
            let mut sum_y = 0.0;
            let mut sum_xy = 0.0;
            for (i, &y) in self.window.iter().enumerate() {
                let x = i as f64;
                sum_x += x;
                sum_x2 += x * x;
                sum_y += y;
                sum_xy += x * y;
            }

            let denominator = n * sum_x2 - sum_x * sum_x;
            if denominator == 0.0 {
                return input;
            }

            let b = (n * sum_xy - sum_x * sum_y) / denominator;
            let a = (sum_y - b * sum_x) / n;
            return a + b * (n - 1.0);
        }

        let n = self.period as f64;
        let mut sum_y = 0.0;
        let mut sum_xy = 0.0;
        for (i, &y) in self.window.iter().enumerate() {
            let x = i as f64;
            sum_y += y;
            sum_xy += x * y;
        }

        let denominator = n * self.sum_x2 - self.sum_x * self.sum_x;
        if denominator == 0.0 {
            return input;
        }

        let b = (n * sum_xy - self.sum_x * sum_y) / denominator;
        let a = (sum_y - b * self.sum_x) / n;

        a + b * (n - 1.0)
    }
}

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

    #[test]
    fn test_stdev_basic() {
        let mut sd = StandardDeviation::new(3);
        // [10] -> mean 10, var 0
        assert_eq!(sd.next(10.0), 0.0);
        // [10, 20] -> mean 15, var (100+400)/2 - 225 = 250 - 225 = 25 -> std 5
        assert_eq!(sd.next(20.0), 5.0);
        // [10, 20, 30] -> mean 20, var (100+400+900)/3 - 400 = 1400/3 - 400 = 466.66 - 400 = 66.66 -> std 8.1649
        approx::assert_relative_eq!(sd.next(30.0), 8.1649658092, epsilon = 1e-6);
    }

    #[test]
    fn test_linreg_basic() {
        let mut lr = LinearRegression::new(3);
        // Perfect line: 1, 2, 3
        lr.next(1.0);
        lr.next(2.0);
        let res = lr.next(3.0);
        approx::assert_relative_eq!(res, 3.0);

        // Line y = 2x + 5. x in [0, 1, 2]. y = [5, 7, 9]
        let mut lr2 = LinearRegression::new(3);
        lr2.next(5.0);
        lr2.next(7.0);
        let res2 = lr2.next(9.0);
        approx::assert_relative_eq!(res2, 9.0);
    }

    use proptest::prelude::*;
    proptest! {
        #[test]
        fn test_ta_stddev_parity(input in prop::collection::vec(0.1..100.0, 1..100)) {
            let period = 10;
            let nbdev = 1.0;
            let mut ta_stddev = TaSTDDEV::new(period, nbdev);
            let streaming_results: Vec<f64> = input.iter().map(|&x| ta_stddev.next(x)).collect();
            let batch_results = talib_rs::statistic::stddev(&input, period, nbdev).unwrap_or_else(|_| vec![f64::NAN; input.len()]);

            for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
                if s.is_nan() {
                    assert!(b.is_nan());
                } else {
                    approx::assert_relative_eq!(s, b, epsilon = 1e-6);
                }
            }
        }

        #[test]
        fn test_ta_linearreg_parity(input in prop::collection::vec(0.1..100.0, 1..100)) {
            let period = 10;
            let mut ta_lr = TaLINEARREG::new(period);
            let streaming_results: Vec<f64> = input.iter().map(|&x| ta_lr.next(x)).collect();
            let batch_results = talib_rs::statistic::linearreg(&input, period).unwrap_or_else(|_| vec![f64::NAN; input.len()]);

            for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
                if s.is_nan() {
                    assert!(b.is_nan());
                } else {
                    approx::assert_relative_eq!(s, b, epsilon = 1e-6);
                }
            }
        }
    }
}

pub const STDDEV_METADATA: IndicatorMetadata = IndicatorMetadata {
    name: "Standard Deviation",
    description: "Standard Deviation is a statistical measure of market volatility.",
    usage: "Use for statistical analysis of price series: linear regression, standard deviation, correlation coefficients, and other descriptive statistics used as indicator inputs.",
    keywords: &["statistics", "classic", "volatility", "trend"],
    ehlers_summary: "Standard statistical measures provide the mathematical foundation for many technical indicators. Linear regression finds the best-fit line through price, standard deviation quantifies dispersion, and correlation coefficients measure how closely two series move together — all are essential for quantitative strategy construction.",
    params: &[ParamDef {
        name: "period",
        default: "14",
        description: "Period",
    }],
    formula_source: "https://www.investopedia.com/terms/s/standarddeviation.asp",
    formula_latex: r#"
\[
\sigma = \sqrt{ \frac{\sum (x_i - \mu)^2}{N} }
\]
"#,
    gold_standard_file: "stddev.json",
    category: "Classic",
};

pub const LINREG_METADATA: IndicatorMetadata = IndicatorMetadata {
    name: "Linear Regression",
    description: "Linear Regression plots a straight line that best fits the data prices.",
    usage: "Use for statistical analysis of price series: linear regression, standard deviation, correlation coefficients, and other descriptive statistics used as indicator inputs.",
    keywords: &["statistics", "classic", "volatility", "trend"],
    ehlers_summary: "Standard statistical measures provide the mathematical foundation for many technical indicators. Linear regression finds the best-fit line through price, standard deviation quantifies dispersion, and correlation coefficients measure how closely two series move together — all are essential for quantitative strategy construction.",
    params: &[ParamDef {
        name: "period",
        default: "14",
        description: "Period",
    }],
    formula_source: "https://www.investopedia.com/terms/l/linearregression.asp",
    formula_latex: r#"
\[
y = a + bx
\]
"#,
    gold_standard_file: "linreg.json",
    category: "Classic",
};

pub const CORREL_METADATA: IndicatorMetadata = IndicatorMetadata {
    name: "Correlation Coefficient (CORREL)",
    description: "A statistical measure that determines the degree to which two securities move in relation to each other.",
    usage: "Use to measure the strength and direction of the linear relationship between two assets. Values range from -1.0 (inverse correlation) to +1.0 (perfect correlation).",
    keywords: &["statistics", "correlation", "classic"],
    ehlers_summary: "The Pearson Correlation Coefficient measures the strength and direction of a linear relationship between two price series. It is a fundamental tool for pair trading and portfolio diversification, allowing traders to quantify how much of a security's movement is explained by another. — StockCharts ChartSchool",
    params: &[ParamDef { name: "timeperiod", default: "30", description: "Lookback period" }],
    formula_source: "https://www.investopedia.com/terms/c/correlationcoefficient.asp",
    formula_latex: r#"
\[
\rho_{X,Y} = \frac{\text{cov}(X,Y)}{\sigma_X \sigma_Y}
\]
"#,
    gold_standard_file: "correl.json",
    category: "Classic",
};

pub const BETA_METADATA: IndicatorMetadata = IndicatorMetadata {
    name: "Beta (BETA)",
    description: "A measure of a security's volatility in relation to the overall market.",
    usage: "Use to understand the systematic risk of an asset. A beta of 1.0 indicates the asset moves with the market; >1.0 means it is more volatile, and <1.0 means it is less volatile.",
    keywords: &["statistics", "risk", "classic", "volatility"],
    ehlers_summary: "Beta is a measure of the volatility—or systematic risk—of a security or portfolio compared to the market as a whole. It is used in the Capital Asset Pricing Model (CAPM) to calculate the expected return of an asset based on its beta and expected market returns. — Investopedia",
    params: &[ParamDef { name: "timeperiod", default: "30", description: "Lookback period" }],
    formula_source: "https://www.investopedia.com/terms/b/beta.asp",
    formula_latex: r#"
\[
\beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)}
\]
"#,
    gold_standard_file: "beta.json",
    category: "Classic",
};