quantwave-core 0.1.3

use crate::indicators::metadata::{IndicatorMetadata, ParamDef};
use crate::indicators::hann::HannFilter;
use crate::traits::Next;

/// Moving Average Difference with Hann Windowing (MADH)
///
/// Based on John Ehlers' "The MADH: The MAD Indicator, Enhanced" (S&C 2021).
/// It computes the percentage difference between a short-term Hann-windowed FIR filter
/// and a long-term Hann-windowed FIR filter.
#[derive(Debug, Clone)]
pub struct MADH {
    filter1: HannFilter,
    filter2: HannFilter,
    _short_length: usize,
    _dominant_cycle: usize,
}

impl MADH {
    pub fn new(short_length: usize, dominant_cycle: usize) -> Self {
        let long_length = short_length + dominant_cycle / 2;
        Self {
            filter1: HannFilter::new(short_length),
            filter2: HannFilter::new(long_length),
            _short_length: short_length,
            _dominant_cycle: dominant_cycle,
        }
    }
}

impl Default for MADH {
    fn default() -> Self {
        Self::new(8, 27)
    }
}

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

    fn next(&mut self, input: f64) -> Self::Output {
        let f1 = self.filter1.next(input);
        let f2 = self.filter2.next(input);
        if f2.abs() > 1e-10 {
            100.0 * (f1 - f2) / f2
        } else {
            0.0
        }
    }
}

pub const MADH_METADATA: IndicatorMetadata = IndicatorMetadata {
    name: "MADH",
    description: "Moving Average Difference with Hann Windowing: 100 * (Hann(short) - Hann(long)) / Hann(long)",
    params: &[
        ParamDef {
            name: "short_length",
            default: "8",
            description: "Short-term filter length",
        },
        ParamDef {
            name: "dominant_cycle",
            default: "27",
            description: "Dominant cycle for calculating long length",
        },
    ],
    formula_source: "https://github.com/lavs9/quantwave/blob/main/references/traderstipsreference/TRADERS’ TIPS - NOVEMBER 2021.html",
    formula_latex: r#"
\[
LongLength = \lfloor ShortLength + DominantCycle / 2 \rfloor
\]
\[
Filt1 = HannWindow(Price, ShortLength)
\]
\[
Filt2 = HannWindow(Price, LongLength)
\]
\[
MADH = 100 \times \frac{Filt1 - Filt2}{Filt2}
\]
"#,
    gold_standard_file: "madh.json",
    category: "Ehlers DSP",
};

#[cfg(test)]
mod tests {
    use super::*;
    use crate::traits::Next;
    use proptest::prelude::*;
    use std::f64::consts::PI;

    #[test]
    fn test_madh_basic() {
        let mut madh = MADH::new(8, 27);
        let inputs = vec![10.0, 11.0, 12.0, 13.0, 14.0, 15.0];
        for input in inputs {
            let res = madh.next(input);
            assert!(!res.is_nan());
        }
    }

    proptest! {
        #[test]
        fn test_madh_parity(
            inputs in prop::collection::vec(1.0..100.0, 50..100),
        ) {
            let short = 8;
            let dc = 27;
            let long = short + dc / 2;
            let mut madh = MADH::new(short, dc);
            let streaming_results: Vec<f64> = inputs.iter().map(|&x| madh.next(x)).collect();

            // Reference implementation
            let mut batch_results = Vec::with_capacity(inputs.len());
            
            let mut coeffs1 = Vec::new();
            let mut sum1 = 0.0;
            for count in 1..=short {
                let c = 1.0 - (2.0 * PI * count as f64 / (short as f64 + 1.0)).cos();
                coeffs1.push(c);
                sum1 += c;
            }
            
            let mut coeffs2 = Vec::new();
            let mut sum2 = 0.0;
            for count in 1..=long {
                let c = 1.0 - (2.0 * PI * count as f64 / (long as f64 + 1.0)).cos();
                coeffs2.push(c);
                sum2 += c;
            }

            for i in 0..inputs.len() {
                let f1 = if i < short - 1 {
                    inputs[i]
                } else {
                    let mut sum = 0.0;
                    for j in 0..short {
                        sum += coeffs1[j] * inputs[i - j];
                    }
                    sum / sum1
                };

                let f2 = if i < long - 1 {
                    inputs[i]
                } else {
                    let mut sum = 0.0;
                    for j in 0..long {
                        sum += coeffs2[j] * inputs[i - j];
                    }
                    sum / sum2
                };

                let res = if f2.abs() > 1e-10 {
                    100.0 * (f1 - f2) / f2
                } 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);
            }
        }
    }
}