shape-runtime 0.3.0

Bytecode compiler, builtins, and runtime infrastructure for Shape
Documentation 
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/// @module std::finance::indicators::moving_averages
/// Moving Averages - Optimized with Vector Intrinsics
/// High-performance moving average implementations using SIMD vector operations

from std::core::utils::rolling use { rolling_mean, rolling_sum, linear_recurrence }

/// Compute the simple moving average over `period`.
///
/// @see std::core::utils::rolling::rolling_mean
pub @warmup(period) fn sma(series, period) {
    rolling_mean(series, period)
}

/// Compute the exponential moving average over `period`.
///
/// Implemented as the linear recurrence
/// `EMA[t] = (1 - alpha) * EMA[t-1] + alpha * series[t]`.
///
/// @see std::core::utils::rolling::linear_recurrence
pub @warmup(period * 3) fn ema(series, period) {
    let alpha = 2.0 / (period + 1);
    let decay = 1.0 - alpha;
    
    // Scale input by alpha
    let input = __intrinsic_vec_mul(series, alpha);
    
    // Use first value of series as initial value for recurrence
    let init = series[0];
    
    linear_recurrence(input, decay, init)
}

/// Compute the double exponential moving average.
///
/// @see std::finance::indicators::moving_averages::ema
pub @warmup(period * 3) fn dema(series, period) {
    let ema1 = ema(series, period);
    let ema2 = ema(ema1, period);
    2 * ema1 - ema2
}

/// Compute the triple exponential moving average.
///
/// @see std::finance::indicators::moving_averages::ema
pub @warmup(period * 3) fn tema(series, period) {
    let ema1 = ema(series, period);
    let ema2 = ema(ema1, period);
    let ema3 = ema(ema2, period);
    3 * ema1 - 3 * ema2 + ema3
}

/// Compute the linearly weighted moving average over `period`.
pub @warmup(period) fn wma(series, period) {
    let len = series.length();
    let result = [];
    let denom = period * (period + 1) / 2;

    // Loop implementation for correctness
    for i in 0..len {
        if i < period - 1 {
            result.push(NaN);
        } else {
            let sum = 0.0;
            for j in 0..period {
                // Weight: period, period-1, ... 1
                let weight = period - j;
                let val = series[i - j];
                sum = sum + val * weight;
            }
            result.push(sum / denom);
        }
    }
    
    result
}

/// Compute the volume-weighted moving average.
pub @warmup(period) fn vwma(price, volume, period) {
    let pv = price * volume;
    let pv_sum = rolling_sum(pv, period);
    let v_sum = rolling_sum(volume, period);
    pv_sum / v_sum
}

/// Compute the Hull moving average.
///
/// @see std::finance::indicators::moving_averages::wma
pub @warmup(period) fn hma(series, period) {
    let half_period = floor(period / 2);
    let sqrt_period = floor(sqrt(period));

    let wma_half = wma(series, half_period);
    let wma_full = wma(series, period);
    let raw_hma = 2 * wma_half - wma_full;

    wma(raw_hma, sqrt_period)
}

/// Compute MACD, signal, and histogram series.
///
/// @see std::finance::indicators::moving_averages::ema
pub @warmup(slow_period + signal_period) fn macd(series, fast_period = 12, slow_period = 26, signal_period = 9) {
    let fast_ema = ema(series, fast_period);
    let slow_ema = ema(series, slow_period);

    let macd_line = fast_ema - slow_ema;
    let signal_line = ema(macd_line, signal_period);
    let histogram = macd_line - signal_line;

    {
        macd: macd_line,
        signal: signal_line,
        histogram: histogram
    }
}