Crate sliding_features
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The sliding_features crate provides modular, chainable sliding windows for various signal processing function and technical indicators
Structs
ALMA - Arnaud Legoux Moving Average reference: https://forex-station.com/download/file.php?id=3326661&sid=d6b440bfbba5e1905b4c75188c2797ce
Add View a to b
Shannon entropy sliding window over values, where a positive / negative values are interpreted as true / false
John Ehlers Center of Gravity Indicator from: https://mesasoftware.com/papers/TheCGOscillator.pdf
Provides a float value to other views
John Ehlers Correlation Trend Indicator from: https://financial-hacker.com/petra-on-programming-a-unique-trend-indicator/
Cumulative Sliding Window with a chained view
John Ehlers Cyber Cycle Indicator from: https://www.mesasoftware.com/papers/TheInverseFisherTransform.pdf
Divide View a by b
EMA - Exponential Moving Average
Echo always return the last value just like an echo
John Ehlers Fisher Transform Indicator from: http://www.mesasoftware.com/papers/UsingTheFisherTransform.pdf
A sliding High - Low Normalizer
John Ehlers Laguerre Filter from: http://mesasoftware.com/papers/TimeWarp.pdf
John Ehlers LaguerreRSI from: http://mesasoftware.com/papers/TimeWarp.pdf
Multiply View a by b
John Ehlers MyRSI from: http://www.mesasoftware.com/papers/Noise%20Elimination%20Technology.pdf
John Ehlers Noise elimination technology using kendall correlation from http://www.mesasoftware.com/papers/Noise%20Elimination%20Technology.pdf
A PolarizedFractalEfficiency indicator with output range [-1.0 and 1.0] rather than [-100, 100] it is also possible to use a custom moving average instead of the default EMA in the original
Rate of Change Indicator
Relative Strength Index Indicator
John Ehlers ReFlex Indicator from: https://financial-hacker.com/petra-on-programming-a-new-zero-lag-indicator/
SMA - Simple Moving Average
Subtract View a from b
John Ehlers TrendFlex Indicators from: https://financial-hacker.com/petra-on-programming-a-new-zero-lag-indicator/
Variance Stabilizing Centering Transform Sliding Window
Variance Stabilizing Transform uses the standard deviation to normalize values
Welford online algorithm for computing mean and variance on-the-fly over a sliding window
Traits
The most important Trait, defining methods which each sliding feature needs to implement