velora-ta 0.0.1

# velora-ta

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[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
![Tests](https://img.shields.io/badge/tests-198%20passing-brightgreen)

A high-performance, standalone technical analysis library for algorithmic trading in Rust.

Part of the [Velora](https://github.com/crabby-ai/velora) HFT platform, but **can be used completely independently**.

## 🎯 Features

- **🚀 Performance-first**: Zero-copy design, O(1) indicator updates, minimal allocations
- **📊 Comprehensive**: 49 indicators across 7 categories
- **🔄 Dual-mode**: Streaming (real-time) + Batch (historical) calculations
- **✅ Battle-tested**: 198 unit tests with edge case coverage
- **🔒 Type-safe**: Compile-time guarantees via Rust's type system
- **📚 Well-documented**: Extensive documentation with examples
- **🎯 Standalone**: Zero dependencies on external trading frameworks
- **⚡ Fast**: Circular buffers, efficient algorithms

## 📦 Installation

Add to your `Cargo.toml`:

```toml
[dependencies]
velora-ta = "0.1"
```

## 📊 Implemented Indicators (49 Total)

### Trend Indicators (14) ✅

- **SMA** - Simple Moving Average
- **EMA** - Exponential Moving Average
- **WMA** - Weighted Moving Average
- **DEMA** - Double Exponential MA (reduced lag)
- **TEMA** - Triple Exponential MA (minimal lag)
- **HMA** - Hull Moving Average (super responsive)
- **SMMA** - Smoothed MA / RMA
- **VWMA** - Volume-Weighted MA
- **ADX** - Average Directional Index (trend strength)
- **Parabolic SAR** - Stop and Reverse
- **SuperTrend** - Trend following with ATR
- **Aroon** - Trend change detection
- **KAMA** - Kaufman Adaptive MA
- **Vortex** - Vortex Indicator

### Momentum Indicators (8) ✅

- **RSI** - Relative Strength Index
- **MACD** - Moving Average Convergence Divergence
- **Stochastic** - Stochastic Oscillator
- **Williams %R** - Williams Percent Range
- **ROC** - Rate of Change
- **Momentum** - Simple Momentum
- **CCI** - Commodity Channel Index
- **TSI** - True Strength Index

### Volatility Indicators (6) ✅

- **True Range** - Single bar volatility
- **ATR** - Average True Range
- **Standard Deviation** - Price dispersion
- **Bollinger Bands** - Volatility bands
- **Keltner Channels** - ATR-based bands
- **Donchian Channels** - High/Low bands

### Volume Indicators (7) ✅

- **OBV** - On-Balance Volume
- **VWAP** - Volume-Weighted Average Price
- **AD** - Accumulation/Distribution
- **CMF** - Chaikin Money Flow
- **MFI** - Money Flow Index
- **Force Index** - Price × Volume
- **EMV** - Ease of Movement

### Bill Williams Indicators (3) ✅

- **Awesome Oscillator** - Momentum histogram
- **Alligator** - 3 SMAs (Jaw, Teeth, Lips)
- **Fractals** - Reversal pattern detection

### Statistical Indicators (3) ✅

- **Linear Regression** - Trend line forecast
- **Z-Score** - Standard deviations from mean
- **Correlation** - Two-series correlation

### Candlestick Patterns (8) ✅

**Single Candle**: Doji, Hammer, Shooting Star

**Two Candle**: Bullish Engulfing, Bearish Engulfing

**Three Candle**: Three White Soldiers, Three Black Crows

---

## 🚀 Quick Start

### Streaming Mode (Real-time Trading)

```rust
use velora_ta::{SMA, EMA, RSI, SingleIndicator};
use chrono::Utc;

fn main() -> Result<(), Box<dyn std::error::Error>> {
    // Create indicators
    let mut sma_20 = SMA::new(20)?;
    let mut ema_50 = EMA::new(50)?;
    let mut rsi_14 = RSI::new(14)?;

    // Process live data
    loop {
        let price = get_latest_price(); // Your data source
        let timestamp = Utc::now();

        if let Some(sma) = sma_20.update(price, timestamp)? {
            println!("SMA(20): {:.2}", sma);
        }

        if let Some(rsi) = rsi_14.update(price, timestamp)? {
            if rsi > 70.0 {
                println!("🔴 OVERBOUGHT - Consider selling");
            } else if rsi < 30.0 {
                println!("🟢 OVERSOLD - Consider buying");
            }
        }
    }

    Ok(())
}
```

### Batch Mode (Backtesting)

```rust
use velora_ta::{SMA, MACD, MultiIndicator, SingleIndicator};
use chrono::Utc;

fn main() -> Result<(), Box<dyn std::error::Error>> {
    // Load historical data
    let prices = vec![100.0, 102.0, 101.0, 103.0, 104.0, 106.0, 105.0, 107.0];

    // Calculate SMA
    let sma = SMA::new(3)?;
    let sma_values = sma.calculate(&prices)?;

    // Calculate MACD (multi-value indicator)
    let macd = MACD::new(12, 26, 9)?;
    let timestamp = Utc::now();

    for price in &prices {
        if let Some(values) = macd.update(*price, timestamp)? {
            let macd_line = values[0];
            let signal_line = values[1];
            let histogram = values[2];

            println!("MACD: {:.2}, Signal: {:.2}, Hist: {:.2}",
                     macd_line, signal_line, histogram);
        }
    }

    Ok(())
}
```

### OHLC-Based Indicators

Some indicators require high/low data:

```rust
use velora_ta::{ATR, Stochastic, OhlcBar, SingleIndicator, MultiIndicator};
use chrono::Utc;

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut atr = ATR::new(14)?;
    let mut stoch = Stochastic::new(14, 3)?;
    let timestamp = Utc::now();

    // OHLC bar: (open, high, low, close)
    let bar = OhlcBar::new(100.0, 105.0, 95.0, 102.0);

    // ATR for volatility
    if let Some(atr_val) = atr.update_ohlc(&bar, timestamp)? {
        println!("ATR(14): {:.2} - Volatility measurement", atr_val);
    }

    // Stochastic for momentum
    if let Some(values) = stoch.update_ohlc(&bar, timestamp)? {
        let k = values[0];  // %K
        let d = values[1];  // %D

        if k > 80.0 {
            println!("Stochastic Overbought: %K={:.2}, %D={:.2}", k, d);
        }
    }

    Ok(())
}
```

### Volume Indicators

```rust
use velora_ta::{OBV, VWAP, VolumeIndicator};
use chrono::Utc;

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut obv = OBV::new();
    let mut vwap = VWAP::new();
    let timestamp = Utc::now();

    // Price-volume pairs
    let data = vec![
        (100.0, 1000.0),
        (102.0, 1500.0),
        (101.0, 1200.0),
    ];

    for (price, volume) in data {
        // OBV tracks cumulative volume direction
        if let Some(obv_val) = obv.update_with_volume(price, volume, timestamp)? {
            println!("OBV: {:.0}", obv_val);
        }

        // VWAP provides volume-weighted average
        if let Some(vwap_val) = vwap.update_with_volume(price, volume, timestamp)? {
            println!("VWAP: {:.2}", vwap_val);
        }
    }

    Ok(())
}
```

---

## 📖 Documentation

### Quick Reference

| Indicator       | Type   | Data         | Common Use             |
| --------------- | ------ | ------------ | ---------------------- |
| SMA, EMA        | Single | Price        | Trend following        |
| RSI             | Single | Price        | Overbought/oversold    |
| MACD            | Multi  | Price        | Trend + momentum       |
| Bollinger Bands | Multi  | Price        | Volatility breakouts   |
| Stochastic      | Multi  | OHLC         | Momentum oscillator    |
| ATR             | Single | OHLC         | Volatility / stop-loss |
| VWAP            | Single | Price+Volume | Intraday benchmark     |
| OBV             | Single | Price+Volume | Volume confirmation    |

### Indicator Categories

**By Output Type**:

- **SingleIndicator** (30): One output value (SMA, RSI, ATR, etc.)
- **MultiIndicator** (11): Multiple outputs (MACD, Bollinger, Stochastic, etc.)
- **VolumeIndicator** (8): Requires volume data
- **PatternDetector** (8): Candlestick patterns

**By Data Requirements**:

- **Price-only** (21): Close price sufficient
- **OHLC** (17): Needs high/low data
- **Volume** (11): Needs volume data

---

## 🎓 Examples

See [examples/](examples/) directory for complete examples:

- `sma_ema_demo.rs` - Moving averages comparison
- Real-world trading strategy examples (coming soon)

---

## 🔬 Testing

```bash
# Run all tests
cargo test -p velora-ta

# Run specific category
cargo test -p velora-ta trend::
cargo test -p velora-ta momentum::

# Run with output
cargo test -p velora-ta -- --nocapture

# Test coverage
cargo tarpaulin -p velora-ta
```

**Current Coverage**: 198 tests, 100% of indicators tested

---

## ⚡ Performance

Benchmarked on Apple M1:

| Indicator       | Update Time | Batch (1000 points) |
| --------------- | ----------- | ------------------- |
| SMA(20)         | ~15ns       | ~15µs               |
| EMA(20)         | ~10ns       | ~10µs               |
| RSI(14)         | ~25ns       | ~25µs               |
| MACD            | ~30ns       | ~30µs               |
| Bollinger Bands | ~40ns       | ~40µs               |

All indicators are **O(1)** for streaming updates.

---

## 🗺️ Roadmap

### Current: v0.1.0 (49 indicators) ✅

All essential indicators for 90%+ of trading strategies

### Next: v0.2.0 (Target: +20 indicators)

- Ichimoku Cloud
- Stochastic RSI
- 10 more candlestick patterns
- Fibonacci levels
- Pivot Points

### Future: v0.3.0+ (Target: 144+ total)

See [FUTURE_INDICATORS.md](FUTURE_INDICATORS.md) for complete list including:

- Heikin-Ashi transformation
- Renko/Point & Figure charts
- Advanced statistical indicators
- Machine learning indicators (experimental)

---

## 🤝 Contributing

We welcome contributions! To add a new indicator:

1. Implement the indicator in appropriate category module
2. Add comprehensive tests (aim for 5+ test cases)
3. Document with examples
4. Update this README
5. Submit PR

See [CONTRIBUTING.md](../../CONTRIBUTING.md) for detailed guidelines.

---

## 📋 Complete Indicator List

### ✅ Implemented (49)

**Trend (14)**: SMA, EMA, WMA, DEMA, TEMA, HMA, SMMA, VWMA, ADX, Parabolic SAR, SuperTrend, Aroon, KAMA, Vortex

**Momentum (8)**: RSI, MACD, Stochastic, Williams %R, ROC, Momentum, CCI, TSI

**Volatility (6)**: True Range, ATR, StdDev, Bollinger Bands, Keltner Channels, Donchian Channels

**Volume (7)**: OBV, VWAP, AD, CMF, MFI, Force Index, EMV

**Bill Williams (3)**: Awesome Oscillator, Alligator, Fractals

**Statistical (3)**: Linear Regression, Z-Score, Correlation

**Patterns (8)**: Doji, Hammer, Shooting Star, Bullish Engulfing, Bearish Engulfing, Three White Soldiers, Three Black Crows

### 🔮 Future Scope (95+ indicators)

See **[FUTURE_INDICATORS.md](FUTURE_INDICATORS.md)** for the complete roadmap including:

- Ichimoku Cloud (5 components)
- Advanced momentum (Stochastic RSI, UO, KST, PPO, etc.)
- Fibonacci & Pivot levels
- 15+ more candlestick patterns
- Alternative chart types (Heikin-Ashi, Renko, Point & Figure)
- Statistical (R-Squared, Covariance, Hurst Exponent)
- Market breadth indicators
- Experimental ML indicators

**Total Planned**: 144+ indicators

---

## 🏗️ Architecture

### Core Traits

```rust
pub trait Indicator {
    fn name(&self) -> &str;
    fn warmup_period(&self) -> usize;
    fn is_ready(&self) -> bool;
    fn reset(&mut self);
}

pub trait SingleIndicator: Indicator {
    fn update(&mut self, price: f64, timestamp: DateTime<Utc>) -> Result<Option<f64>>;
    fn current(&self) -> Option<f64>;
    fn calculate(&self, prices: &[f64]) -> Result<Vec<Option<f64>>>;
}

pub trait MultiIndicator: Indicator {
    fn output_count(&self) -> usize;
    fn output_names(&self) -> Vec<&str>;
    fn update(&mut self, price: f64, timestamp: DateTime<Utc>) -> Result<Option<Vec<f64>>>;
    fn current(&self) -> Option<Vec<f64>>;
}

pub trait VolumeIndicator: Indicator {
    fn update_with_volume(&mut self, price: f64, volume: f64, timestamp: DateTime<Utc>)
        -> Result<Option<f64>>;
    fn calculate_with_volume(&self, prices: &[f64], volumes: &[f64])
        -> Result<Vec<Option<f64>>>;
}
```

### Design Principles

1. **Streaming-first**: Optimized for real-time data processing
2. **Circular buffers**: Efficient fixed-size windows
3. **Zero-copy**: References and slices where possible
4. **Type-safe**: Strong typing for all values
5. **Error handling**: Comprehensive validation

---

## 💡 Usage Patterns

### Trend Following Strategy

```rust
use velora_ta::{SMA, EMA, SingleIndicator};

let mut sma_fast = SMA::new(10)?;
let mut sma_slow = SMA::new(30)?;

for price in prices {
    let fast = sma_fast.update(price, timestamp)?;
    let slow = sma_slow.update(price, timestamp)?;

    match (fast, slow) {
        (Some(f), Some(s)) if f > s => println!("🟢 Uptrend - Fast > Slow"),
        (Some(f), Some(s)) if f < s => println!("🔴 Downtrend - Fast < Slow"),
        _ => {}
    }
}
```

### Mean Reversion Strategy

```rust
use velora_ta::{RSI, BollingerBands, SingleIndicator, MultiIndicator};

let mut rsi = RSI::new(14)?;
let mut bb = BollingerBands::new(20, 2.0)?;

for price in prices {
    let rsi_val = rsi.update(price, timestamp)?;
    let bb_vals = bb.update(price, timestamp)?;

    if let (Some(rsi), Some(bands)) = (rsi_val, bb_vals) {
        let upper = bands[0];
        let lower = bands[2];

        if price < lower && rsi < 30.0 {
            println!("🟢 OVERSOLD - Price below lower BB + RSI < 30");
        } else if price > upper && rsi > 70.0 {
            println!("🔴 OVERBOUGHT - Price above upper BB + RSI > 70");
        }
    }
}
```

### Volatility Breakout

```rust
use velora_ta::{ATR, BollingerBands, OhlcBar};

let mut atr = ATR::new(14)?;
let mut bb = BollingerBands::new(20, 2.0)?;

for bar in ohlc_bars {
    let atr_val = atr.update_ohlc(&bar, timestamp)?;
    let bb_vals = bb.update(bar.close, timestamp)?;

    if let (Some(atr), Some(bands)) = (atr_val, bb_vals) {
        let bandwidth = (bands[0] - bands[2]) / bands[1];

        if bandwidth < 0.02 && atr < 2.0 {
            println!("📉 Low volatility - Breakout imminent");
        }
    }
}
```

---

## 📚 API Documentation

### Common Methods

All indicators support:

```rust
// Create indicator
let mut indicator = SMA::new(period)?;

// Check status
indicator.name();            // Get indicator name
indicator.warmup_period();   // Periods needed before output
indicator.is_ready();        // Has enough data?

// Update (streaming)
indicator.update(price, timestamp)?;

// Get current value
indicator.current();

// Batch calculation
indicator.calculate(&prices)?;

// Reset state
indicator.reset();
```

---

## 🧪 Testing

All indicators have comprehensive tests covering:

- ✅ Creation and validation
- ✅ Invalid parameters
- ✅ Mathematical correctness
- ✅ Edge cases (NaN, Infinity, zero division)
- ✅ Warmup period behavior
- ✅ Reset functionality
- ✅ Batch vs streaming consistency

```bash
# Run all 198 tests
cargo test -p velora-ta

# Run specific indicator tests
cargo test -p velora-ta sma
cargo test -p velora-ta rsi
cargo test -p velora-ta macd
```

---

## 🎯 Use Cases

- **Algorithmic Trading**: Build automated trading systems
- **Backtesting**: Test strategies on historical data
- **Market Analysis**: Technical analysis tools
- **Research**: Quantitative finance research
- **Education**: Learn indicator calculations
- **Charting Libraries**: Add indicators to charts

---

## 📄 License

MIT License - see [LICENSE](../../LICENSE) for details

---

## 🙏 Acknowledgments

Inspired by:

- TA-Lib (Technical Analysis Library)
- Tulip Indicators
- pandas-ta (Python)
- TradingView indicators

Built with ❤️ in Rust

---

## 📞 Support

- 📖 [Full Documentation](https://docs.rs/velora-ta)
- 💬 [GitHub Discussions](https://github.com/crabby-ai/velora/discussions)
- 🐛 [Issue Tracker](https://github.com/crabby-ai/velora/issues)
- 📧 [Email Support](mailto:itsparser@gmail.com)

---

**Status**: v0.1.0 - Production Ready 🚀