rsta 0.1.0

Technical analysis indicators, streaming signals, and a single-asset backtesting engine for Rust
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130

use crate::indicators::trend::Wma;
use crate::indicators::utils::{validate_data_length, validate_period};
use crate::indicators::{Candle, Indicator, IndicatorError};

/// Hull Moving Average (HMA).
///
/// `HMA = WMA(2 * WMA(price, period/2) - WMA(price, period), sqrt(period))`.
/// Designed by Alan Hull to be both smooth and reactive.
#[derive(Debug)]
pub struct Hma {
    period: usize,
    half: Wma,
    full: Wma,
    smooth: Wma,
}

impl Hma {
    /// Create a new HMA. `period >= 2` (we need a non-zero `period / 2`).
    pub fn new(period: usize) -> Result<Self, IndicatorError> {
        validate_period(period, 2)?;
        let half_p = period / 2;
        let smooth_p = (period as f64).sqrt().round() as usize;
        Ok(Self {
            period,
            half: Wma::new(half_p)?,
            full: Wma::new(period)?,
            smooth: Wma::new(smooth_p.max(1))?,
        })
    }

    /// Reset internal state.
    pub fn reset_state(&mut self) {
        self.half.reset_state();
        self.full.reset_state();
        self.smooth.reset_state();
    }

    fn step(&mut self, value: f64) -> Result<Option<f64>, IndicatorError> {
        let h = <Wma as Indicator<f64, f64>>::next(&mut self.half, value)?;
        let f = <Wma as Indicator<f64, f64>>::next(&mut self.full, value)?;
        let raw = match (h, f) {
            (Some(h), Some(f)) => 2.0 * h - f,
            _ => return Ok(None),
        };
        <Wma as Indicator<f64, f64>>::next(&mut self.smooth, raw)
    }
}

impl Indicator<f64, f64> for Hma {
    fn calculate(&mut self, data: &[f64]) -> Result<Vec<f64>, IndicatorError> {
        let smooth_p = (self.period as f64).sqrt().round() as usize;
        let needed = self.period + smooth_p.max(1) - 1;
        validate_data_length(data, needed)?;
        self.reset_state();
        let mut out = Vec::with_capacity(data.len().saturating_sub(needed - 1));
        for &v in data {
            if let Some(x) = self.step(v)? {
                out.push(x);
            }
        }
        Ok(out)
    }

    fn next(&mut self, value: f64) -> Result<Option<f64>, IndicatorError> {
        self.step(value)
    }

    fn reset(&mut self) {
        self.reset_state();
    }

    fn name(&self) -> &'static str {
        "Hma"
    }

    fn period(&self) -> Option<usize> {
        Some(self.period)
    }
}

impl Indicator<Candle, f64> for Hma {
    fn calculate(&mut self, data: &[Candle]) -> Result<Vec<f64>, IndicatorError> {
        let smooth_p = (self.period as f64).sqrt().round() as usize;
        let needed = self.period + smooth_p.max(1) - 1;
        validate_data_length(data, needed)?;
        self.reset_state();
        let mut out = Vec::with_capacity(data.len().saturating_sub(needed - 1));
        for c in data {
            if let Some(x) = self.step(c.close)? {
                out.push(x);
            }
        }
        Ok(out)
    }

    fn next(&mut self, candle: Candle) -> Result<Option<f64>, IndicatorError> {
        self.step(candle.close)
    }

    fn reset(&mut self) {
        self.reset_state();
    }

    fn name(&self) -> &'static str {
        "Hma"
    }

    fn period(&self) -> Option<usize> {
        Some(self.period)
    }
}

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

    #[test]
    fn validates_period() {
        assert!(Hma::new(1).is_err());
        assert!(Hma::new(2).is_ok());
    }

    #[test]
    fn emits_after_warmup() {
        let mut hma = Hma::new(9).unwrap();
        let prices: Vec<f64> = (1..=30).map(|i| i as f64).collect();
        let out = <Hma as Indicator<f64, f64>>::calculate(&mut hma, &prices).unwrap();
        assert!(!out.is_empty());
    }
}