quantwave-core 0.1.11

// Math Transform
talib_1_in_1_out_no_result!(ACOS, talib_rs::math_transform::acos);
impl Default for ACOS {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(ASIN, talib_rs::math_transform::asin);
impl Default for ASIN {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(ATAN, talib_rs::math_transform::atan);
impl Default for ATAN {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(CEIL, talib_rs::math_transform::ceil);
impl Default for CEIL {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(COS, talib_rs::math_transform::cos);
impl Default for COS {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(COSH, talib_rs::math_transform::cosh);
impl Default for COSH {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(EXP, talib_rs::math_transform::exp);
impl Default for EXP {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(FLOOR, talib_rs::math_transform::floor);
impl Default for FLOOR {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(LN, talib_rs::math_transform::ln);
impl Default for LN {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(LOG10, talib_rs::math_transform::log10);
impl Default for LOG10 {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(SIN, talib_rs::math_transform::sin);
impl Default for SIN {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(SINH, talib_rs::math_transform::sinh);
impl Default for SINH {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(SQRT, talib_rs::math_transform::sqrt);
impl Default for SQRT {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(TAN, talib_rs::math_transform::tan);
impl Default for TAN {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out_no_result!(TANH, talib_rs::math_transform::tanh);
impl Default for TANH {
    fn default() -> Self {
        Self::new()
    }
}

/// Root Mean Square (RMS)
#[derive(Debug, Clone)]
pub struct RMS {
    period: usize,
    history: std::collections::VecDeque<f64>,
    sum_sq: f64,
}

impl RMS {
    pub fn new(period: usize) -> Self {
        Self {
            period,
            history: std::collections::VecDeque::with_capacity(period),
            sum_sq: 0.0,
        }
    }
}

impl crate::traits::Next<f64> for RMS {
    type Output = f64;

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

        if self.history.len() > self.period && let Some(old) = self.history.pop_front() {
            self.sum_sq -= old;
        }

        if self.history.is_empty() {
            0.0
        } else {
            (self.sum_sq / self.history.len() as f64).sqrt()
        }
    }
}

/// Automatic Gain Control (AGC)
///
/// Normalizes a signal based on its decaying peak value.
/// Commonly used in John Ehlers' oscillators to keep the signal within [-1, 1].
#[derive(Debug, Clone)]
pub struct AGC {
    peak: f64,
    decay: f64,
}

impl AGC {
    pub fn new(decay: f64) -> Self {
        Self {
            peak: 0.0000001,
            decay,
        }
    }
}

impl crate::traits::Next<f64> for AGC {
    type Output = f64;

    fn next(&mut self, input: f64) -> Self::Output {
        self.peak *= self.decay;
        let abs_input = input.abs();
        if abs_input > self.peak {
            self.peak = abs_input;
        }

        if self.peak != 0.0 {
            input / self.peak
        } else {
            0.0
        }
    }
}

// Math Operators
talib_2_in_1_out!(ADD, talib_rs::math_operator::add);
impl Default for ADD {
    fn default() -> Self {
        Self::new()
    }
}
talib_2_in_1_out!(SUB, talib_rs::math_operator::sub);
impl Default for SUB {
    fn default() -> Self {
        Self::new()
    }
}
talib_2_in_1_out!(MULT, talib_rs::math_operator::mult);
impl Default for MULT {
    fn default() -> Self {
        Self::new()
    }
}
talib_2_in_1_out!(DIV, talib_rs::math_operator::div);
impl Default for DIV {
    fn default() -> Self {
        Self::new()
    }
}
talib_1_in_1_out!(MAX, talib_rs::math_operator::max, timeperiod: usize);
impl From<usize> for MAX {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}

talib_1_in_1_out!(MAXINDEX, talib_rs::math_operator::maxindex, timeperiod: usize);
impl From<usize> for MAXINDEX {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}

talib_1_in_1_out!(MIN, talib_rs::math_operator::min, timeperiod: usize);
impl From<usize> for MIN {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}

talib_1_in_1_out!(MININDEX, talib_rs::math_operator::minindex, timeperiod: usize);
impl From<usize> for MININDEX {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}

talib_1_in_1_out!(SUM, talib_rs::math_operator::sum, timeperiod: usize);
impl From<usize> for SUM {
    fn from(p: usize) -> Self {
        Self::new(p)
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::traits::Next;
    use proptest::prelude::*;

    proptest! {
        #[test]
        fn test_sqrt_parity(input in prop::collection::vec(0.1..100.0, 1..100)) {
            let mut sqrt = SQRT::new();
            let streaming_results: Vec<f64> = input.iter().map(|&x| sqrt.next(x)).collect();
            let batch_results = talib_rs::math_transform::sqrt(&input);

            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_add_parity(
            in1 in prop::collection::vec(0.1..100.0, 1..100),
            in2 in prop::collection::vec(0.1..100.0, 1..100)
        ) {
            let len = in1.len().min(in2.len());
            if len == 0 { return Ok(()); }

            let mut add = ADD::new();
            let streaming_results: Vec<f64> = (0..len).map(|i| add.next((in1[i], in2[i]))).collect();
            let batch_results = talib_rs::math_operator::add(&in1[..len], &in2[..len]).unwrap_or_else(|_| vec![f64::NAN; 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_rms_parity(input in prop::collection::vec(0.1..100.0, 10..100)) {
            let period = 10;
            let mut rms = RMS::new(period);
            let streaming_results: Vec<f64> = input.iter().map(|&x| rms.next(x)).collect();

            let mut batch_results = Vec::with_capacity(input.len());
            for i in 0..input.len() {
                let start = if i + 1 > period { i + 1 - period } else { 0 };
                let window = &input[start..i+1];
                let sum_sq: f64 = window.iter().map(|&x| x*x).sum();
                batch_results.push((sum_sq / window.len() as f64).sqrt());
            }

            for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
                approx::assert_relative_eq!(s, b, epsilon = 1e-10);
            }
        }
    }
}