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
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
#![allow(dead_code)]

use std::fmt;

use crate::errors::*;
use crate::indicators::{ExponentialMovingAverage, TrueRange};
use crate::{Close, High, Low, Next, Reset};

use crate::{Factory};
use crate::indicators::SimpleMovingAverage;

pub struct AtrFactory {
}

impl AtrFactory {
    pub fn new() -> Self {
        Self{}
    }
}

impl Factory for AtrFactory {
    fn create() -> Box<dyn Next<f64, Output = Box<[f64]>>> {
        Box::new(SimpleMovingAverage::default())
    }
}


/// Average true range (ATR).
///
/// A technical analysis volatility indicator, originally developed by J. Welles Wilder.
/// The average true range is an N-day smoothed moving average of the true range values.
/// This implementation uses exponential moving average.
///
/// # Formula
///
/// ATR(length)<sub>t</sub> = EMA(length) of TR<sub>t</sub>
///
/// Where:
///
/// * _EMA(n)_ - [exponential moving average](struct.ExponentialMovingAverage.html) with smoothing period _length_
/// * _TR<sub>t</sub>_ - [true range](struct.TrueRange.html) for period _t_
///
/// # Parameters
///
/// * _length_ - smoothing period of EMA (integer greater than 0)
///
/// # Example
///
/// ```
/// extern crate core;
/// #[macro_use] extern crate assert_approx_eq;
///
/// use core::{Next, DataItem};
/// use core::indicators::AverageTrueRange;
///
/// fn main() {
///     let data = vec![
///         // open, high, low, close, atr
///         (9.7   , 10.0, 9.0, 9.5  , 1.0),    // tr = high - low = 10.0 - 9.0 = 1.0
///         (9.9   , 10.4, 9.8, 10.2 , 0.95),   // tr = high - prev_close = 10.4 - 9.5 = 0.9
///         (10.1  , 10.7, 9.4, 9.7  , 1.125),  // tr = high - low = 10.7 - 9.4 = 1.3
///         (9.1   , 9.2 , 8.1, 8.4  , 1.3625), // tr = prev_close - low = 9.7 - 8.1 = 1.6
///     ];
///     let mut indicator = AverageTrueRange::new(3).unwrap();
///
///     for (open, high, low, close, atr) in data {
///         let di = DataItem::builder()
///             .high(high)
///             .low(low)
///             .close(close)
///             .open(open)
///             .volume(1000.0)
///             .build().unwrap();
///         assert_approx_eq!(indicator.next(&di), atr);
///     }
/// }

#[derive(Debug, Clone)]
pub struct AverageTrueRange {
    true_range: TrueRange,
    ema: ExponentialMovingAverage,
}

impl AverageTrueRange {
    pub fn new(length: u32) -> Result<Self> {
        let indicator = Self {
            true_range: TrueRange::new(),
            ema: ExponentialMovingAverage::new(length)?,
        };
        Ok(indicator)
    }
}

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

    fn next(&mut self, input: f64) -> Self::Output {
        self.ema.next(self.true_range.next(input))
    }
}

impl<'a, T: High + Low + Close> Next<&'a T> for AverageTrueRange {
    type Output = f64;

    fn next(&mut self, input: &'a T) -> Self::Output {
        self.ema.next(self.true_range.next(input))
    }
}

impl Reset for AverageTrueRange {
    fn reset(&mut self) {
        self.true_range.reset();
        self.ema.reset();
    }
}

impl Default for AverageTrueRange {
    fn default() -> Self {
        Self::new(14).unwrap()
    }
}

impl fmt::Display for AverageTrueRange {
    fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
        write!(f, "ATR({})", self.ema.length())
    }
}

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

    // test_indicator!(AverageTrueRange);

    #[test]
    fn test_new() {
        assert!(AverageTrueRange::new(0).is_err());
        assert!(AverageTrueRange::new(1).is_ok());
    }
    #[test]
    fn test_next() {
        let mut atr = AverageTrueRange::new(3).unwrap();

        let bar1 = Bar::new().high(10).low(7.5).close(9);
        let bar2 = Bar::new().high(11).low(9).close(9.5);
        let bar3 = Bar::new().high(9).low(5).close(8);

        assert_eq!(atr.next(&bar1), 2.5);
        assert_eq!(atr.next(&bar2), 2.25);
        assert_eq!(atr.next(&bar3), 3.375);
    }

    #[test]
    fn test_reset() {
        let mut atr = AverageTrueRange::new(9).unwrap();

        let bar1 = Bar::new().high(10).low(7.5).close(9);
        let bar2 = Bar::new().high(11).low(9).close(9.5);

        atr.next(&bar1);
        atr.next(&bar2);

        atr.reset();
        let bar3 = Bar::new().high(60).low(15).close(51);
        assert_eq!(atr.next(&bar3), 45.0);
    }

    #[test]
    fn test_default() {
        AverageTrueRange::default();
    }

    #[test]
    fn test_display() {
        let indicator = AverageTrueRange::new(8).unwrap();
        assert_eq!(format!("{}", indicator), "ATR(8)");
    }
}