RustTI

A Technical Indicators library for Rust

What differentiates RustTI from other Technical Indicator packages is how configurable the functions are.

Many models were created decades ago when the work weeks were different (such as RSI, SO, Ichimoku cloud...) and the observations were made daily. For example, if one decides to study stocks the work week is 5 days, but if one studies cryptocurrencies the work week is 7 days.

RustTI allows the caller to determine their own period based on the market being studied. Everything is configurable in the RustTI functions, from period to moving average models.

A lot of online articles recommend sticking with the TI defaults as these are used by traders. I would recommend the opposite. While it is true that most day traders tend to stick to the defaults, large financial institutions such as investment banks and hedge funds have their own quantitative teams who build them custom models. This is what this package allows you to do.

Many of the functions accept parameters that allow the caller to move the technial indicators away from its default behaviour. For example, if a TI uses the mean to calculate the indicator, it can be told to use the median, or mode instead.

For this reason, RustTI is a more advanced Technical Inidcators package, and the users should have some base knowledge of the indicators they plan on using.

RustTI is split into different modules, organised by common TI areas. Each module is then split into a single and a bulk submodule.

The single submodule is used to calculate the indicator once, using the entire price slice that is passed in.

The bulk submodule is used to iterate over a slice of prices to calculate the indicator for a period.

Many of the functions accept parameters that will allow the caller to move away from the technial indicators from its default behaviour. For example, if a function normally uses the mean to calculate the indicator, it can be told to use the median, or mode instead. More information is given in the functions that allow this.

Documentation

Documentation can be found on DOCS.RS rust_ti

S&P 500 Example

An example using the Rust TI for the S&P 500 can be found in examples/main.rs

The code in examples/main.rs can be run by cloning this repo, then running the following commands:

cargo build
cargo run --example sp500

Available indicators:

Basic Indicators

basic_indicators are basic functions that are often the foundation of more complex indicators.

Bulk

• absolute_deviation - Calculates the absolute deviation
• log - Calculates the natural logrithm of slice of prices
• log_difference - Calculates the difference between the natural logarithm at t and t-1
• mean - Calculates the mean (average) of a slice of prices
• median - Calculates the median (middle value) of a slice of prices
• mode - Calculates the mode (most common price) of a slice of prices
• standard_deviation - Calculates the standard deviation of a slice of prices
• variance - Calculates the variance of slice of prices

Single

• absolute_deviation - Calculates the absolute deviation
• log_difference - Calculates the difference between the natural logarithm at t and t-1
• max - Calculates the maximum of a slice of prices
• mean - Calculates the mean (average) of a slice of prices
• median - Calculates the median (middle value) of a slice of prices
• min - Calculates the minimum of a slice of prices
• mode - Calculates the mode (most common price) of a slice of prices
• standard_deviation - Calculates the standard deviation of a slice of prices
• variance - Calculates the variance of slice of prices

Candle Indicators

candle_indicators are indicators that are used with candle charts.

Bulk

• ichimoku_cloud - Calculates the Ichimoku Cloud
• mcginley_dynamic_bands - The McGinley Dynamic version of the moving_constant_bands
• mcginley_dynamic_envelopes - The McGinley Dynamic version of the
• moving_constant_bands - Calculates the moving constant bands
• moving_constant_envelopes - Calculates the moving constant envelopes

Single

• ichimoku_cloud - Calculates the Ichimoku Cloud
• mcginley_dynamic_bands - The McGinley Dynamic version of the moving_constant_bands
• mcginley_dynamic_envelopes - The McGinley Dynamic version of the
• moving_constant_bands - Calculates the moving constant bands
• moving_constant_envelopes - Calculates the moving

Chart Trends

chart_trends shows trends on charts. Unlike the other modules it has no bulk or single.

• break_down_trends - Breaks down the chart into different price trends
• overall_trend - Calculates the overall trend for all price points
• peak_trend - Calculates the trend of the peaks
• peaks - Returns all the peaks
• valley_trend - Calculates trend of the valleys
• valleys - Returns all the valleys

Correlation indicators

correlation_indicators show how closely the prices of two different assets move together.

Bulk

• correlate_asset_prices - Calculates the correlation between two assets

Single

• correlate_asset_prices - Calculates the correlation between two assets

Momentum Indicators

momentum_indicators show how much the price is rising or falling

Bulk

• chaikin_oscillator - Calculates the Chaikin Oscillator
• commodity_channel_index - Calculate the Commodity Channel Index
• macd_line - Calculates the Moving Average Convergence Divergence line mcginley_dynamic_chaikin_oscillator - Calculate the McGinley dynanic version of the Chaikin Oscillator
• mcginley_dynamic_commodity_channel_index - Calculates the McGinley dynamic version of the Commodity Channel Index
• mcginley_dynamic_macd_line - Calculates the McGinley dynamic version of the Moving Average Convergence Divergence line
• mcginley_dynamic_rsi - Calculates the McGinley dynamic version of the Relative Strength Index
• money_flow_index - Calculates the Money Flow Index
• on_balance_volume - Calculates the On-balance Volume
• rate_of_change - Calculates the Rate of Change
• relative_strength_index - Calculates the Relative Strength Index
• signal_line - Calculates the Signal line to be used with the MACD line
• slow_stochastic - Calculates the slow stochastic to be used with the stochastic oscillator
• slowest_stochastic - Calculates the slowest stochastic to be used with the stochastic oscillator
• stochastic_oscillator - Calculates the Stochastic Oscillator
• williams_percent_r - Calcualtes the Williams %R

Single

• chaikin_oscillator - Calculates the Chaikin Oscillator
• commodity_channel_index - Calculate the Commodity Channel Index
• macd_line - Calculates the Moving Average Convergence Divergence line
• mcginley_dynamic_chaikin_oscillator - Calculate the McGinley dynanic version of the Chaikin Oscillator
• mcginley_dynamic_commodity_channel_index - Calculates the McGinley dynamic version of the Commodity Channel Index
• mcginley_dynamic_macd_line - Calculates the McGinley dynamic version of the Moving Average Convergence Divergence line
• mcginley_dynamic_rsi - Calculates the McGinley dynamic version of the Relative Strength Index
• money_flow_index - Calculates the Money Flow Index
• on_balance_volume - Calculates the On-balance Volume
• rate_of_change - Calculates the Rate of Change
• relative_strength_index - Calculates the Relative Strength Index
• signal_line - Calculates the Signal line to be used with the MACD line
• slow_stochastic - Calculates the slow stochastic to be used with the stochastic oscillator
• slowest_stochastic - Calculates the slowest stochastic to be used with the stochastic oscillator
• stochastic_oscillator - Calculates the Stochastic Oscillator
• williams_percent_r - Calcualtes the Williams %R

Moving Averages

The moving_average module has functions used to calculate the moving average

Bulk

• mcginley_dynamic - Calculates the McGinley Dynamic
• moving_average - Calculates different types Moving Averages

Single

• mcginley_dynamic - Calculates the McGinley Dynamic
• moving_average - Calculates different types Moving Averages

Other Indicators

other_indicators don't really fit in anywhere else

Bulk

• return_on_investment - Calculates the return on investment

Single

• return_on_investment - Calculates the return on investment

Strength Indicators

strength_indicators show the strength of a trend

Bulk

• accumulation_distribution - Calculates the Accumulation Distribution

Single

• accumulation_distribution - Calculates the Accumulation Distribution

Trend Indicators

trend_indicators show the trend direction of an asset

Bulk

• aroon_down - Calculates the Aroon down
• aroon_indicator - Calculates the Aroon indicator
• aroon_oscillator - Calculates the Aroon Oscillator
• aroon_up - Calculates the Aroon up
• parabolic_time_price_system - Calculates the parabolic time price system

Single

• aroon_down - Calculates the Aroon down
• aroon_indicator - Calculates the Aroon indicator
• aroon_oscillator - Calculates the Aroon Oscillator
• aroon_up - Calculates the Aroon up
• long_parabolic_time_price_system - Calculates the parabolic time price system for long positions
• short_parabolic_time_price_system - Calculates the parabolic time price system for short positions

Volatility Indicators

volatility_indicators show how volatile an asset are.

Bulk

• ulcer_index - Calculates the Ulcer Index

Single

• ulcer_index - Calculates the Ulcer Index