quantwave-core 0.1.2

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

/// Ehlers Ultimate Oscillator
///
/// Based on John Ehlers' "The Ultimate Oscillator" (April 2025).
/// This oscillator uses the difference of two highpass filters to remove lag
/// and normalizes the result by its RMS value.
#[derive(Debug, Clone)]
pub struct EhlersUltimateOscillator {
    hp1: HighPass,
    hp2: HighPass,
    window: VecDeque<f64>,
    sum_sq: f64,
}

impl EhlersUltimateOscillator {
    pub fn new(band_edge: usize, bandwidth: f64) -> Self {
        Self {
            hp1: HighPass::new((band_edge as f64 * bandwidth) as usize),
            hp2: HighPass::new(band_edge),
            window: VecDeque::with_capacity(100),
            sum_sq: 0.0,
        }
    }
}

impl Default for EhlersUltimateOscillator {
    fn default() -> Self {
        Self::new(20, 2.0)
    }
}

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

    fn next(&mut self, input: f64) -> Self::Output {
        let h1 = self.hp1.next(input);
        let h2 = self.hp2.next(input);
        let signal = h1 - h2;

        self.window.push_back(signal);
        self.sum_sq += signal * signal;
        if self.window.len() > 100 {
            if let Some(old) = self.window.pop_front() {
                self.sum_sq -= old * old;
            }
        }

        let rms = (self.sum_sq / self.window.len() as f64).sqrt();
        if rms > 1e-10 {
            signal / rms
        } else {
            0.0
        }
    }
}

pub const EHLERS_ULTIMATE_OSCILLATOR_METADATA: IndicatorMetadata = IndicatorMetadata {
    name: "EhlersUltimateOscillator",
    description: "A highly responsive oscillator created from the difference of two highpass filters, normalized by RMS.",
    params: &[
        ParamDef { name: "band_edge", default: "20", description: "Critical period (shorter period)" },
        ParamDef { name: "bandwidth", default: "2.0", description: "Multiplier for the longer period" },
    ],
    formula_source: "https://github.com/lavs9/quantwave/blob/main/references/traderstipsreference/TRADERS’%20TIPS%20-%20APRIL%202025.html",
    formula_latex: r#"
\[
HP_1 = \text{HighPass}(Price, BandEdge \cdot Bandwidth)
\]
\[
HP_2 = \text{HighPass}(Price, BandEdge)
\]
\[
Signal = HP_1 - HP_2
\]
\[
UO = \frac{Signal}{RMS(Signal, 100)}
\]
"#,
    gold_standard_file: "ehlers_ultimate_oscillator.json",
    category: "Ehlers DSP",
};

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

    #[test]
    fn test_ehlers_uo_basic() {
        let mut uo = EhlersUltimateOscillator::default();
        let inputs = vec![10.0, 11.0, 12.0, 13.0, 14.0, 15.0];
        for input in inputs {
            let res = uo.next(input);
            assert!(!res.is_nan());
        }
    }

    proptest! {
        #[test]
        fn test_ehlers_uo_parity(
            inputs in prop::collection::vec(1.0..100.0, 150..250),
        ) {
            let band_edge = 20;
            let bandwidth = 2.0;
            let mut uo = EhlersUltimateOscillator::new(band_edge, bandwidth);
            let streaming_results: Vec<f64> = inputs.iter().map(|&x| uo.next(x)).collect();

            // Batch implementation
            let mut batch_results = Vec::with_capacity(inputs.len());
            let mut hp1 = HighPass::new((band_edge as f64 * bandwidth) as usize);
            let mut hp2 = HighPass::new(band_edge);
            let mut win = VecDeque::new();
            let mut sum_sq = 0.0;

            for &input in &inputs {
                let h1 = hp1.next(input);
                let h2 = hp2.next(input);
                let signal = h1 - h2;
                
                win.push_back(signal);
                sum_sq += signal * signal;
                if win.len() > 100 {
                    let old = win.pop_front().unwrap();
                    sum_sq -= old * old;
                }
                
                let rms = (sum_sq / win.len() as f64).sqrt();
                let res = if rms > 1e-10 { signal / rms } else { 0.0 };
                batch_results.push(res);
            }

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