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
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
//! Fibonacci Retracement of the most recent confirmed swing leg.
use crate::indicators::pattern_swing::{SwingTracker, SWING_THRESHOLD};
use crate::ohlcv::Candle;
use crate::traits::Indicator;
/// The seven canonical retracement ratios, in ascending order. `0.0` marks the
/// most recent swing extreme (the end of the leg) and `1.0` the swing origin
/// (its start); the interior ratios are the classic Fibonacci pullbacks.
const RATIOS: [f64; 7] = [0.0, 0.236, 0.382, 0.5, 0.618, 0.786, 1.0];
/// Fibonacci Retracement levels for the most recent swing leg.
///
/// Each field is the price at the matching retracement ratio, measured from the
/// leg's end (`level_0`, the latest confirmed extreme) back toward its start
/// (`level_1000`, the prior pivot).
#[derive(Debug, Clone, Copy, PartialEq)]
pub struct FibRetracementOutput {
/// 0.0% — the most recent confirmed swing extreme.
pub level_0: f64,
/// 23.6% retracement.
pub level_236: f64,
/// 38.2% retracement.
pub level_382: f64,
/// 50% retracement (not a Fibonacci ratio, but conventionally drawn).
pub level_500: f64,
/// 61.8% retracement — the "golden ratio" pullback.
pub level_618: f64,
/// 78.6% retracement.
pub level_786: f64,
/// 100% — the swing origin.
pub level_1000: f64,
}
/// Fibonacci Retracement (`FibRetracement`).
///
/// Tracks confirmed swing pivots with a baked-in 5% reversal threshold (the
/// same non-repainting logic as [`crate::indicators::ZigZag`]) and, once two
/// pivots exist, reports the seven retracement levels of the leg between them.
///
/// The levels are recomputed each time a new pivot confirms; between
/// confirmations [`Indicator::update`] returns the locked levels of the current
/// leg. Before the first leg is complete it returns `None`.
///
/// Parameter-free: the threshold is a compile-time constant, mirroring the
/// chart- and harmonic-pattern detectors, so construction is infallible.
///
/// See `crates/wickra-core/src/indicators/fib_retracement.rs`.
/// # Example
///
/// ```
/// use wickra_core::{FibRetracement, Candle, Indicator};
///
/// let mut indicator = FibRetracement::new();
/// // `None` during warmup, then `Some(_)` once enough bars are seen.
/// let mut out = None;
/// for i in 0..40i64 {
/// let p = 100.0 + (i as f64 * 0.4).sin() * 5.0;
/// let candle = Candle::new(p, p + 1.5, p - 1.5, p + 0.3, 1_000.0, i).unwrap();
/// out = indicator.update(candle);
/// }
/// let _ = out;
/// ```
#[derive(Debug, Clone)]
pub struct FibRetracement {
swing: SwingTracker,
}
impl FibRetracement {
/// Construct a new Fibonacci Retracement tracker.
#[must_use]
pub const fn new() -> Self {
Self {
swing: SwingTracker::new(SWING_THRESHOLD, 2),
}
}
/// Retracement price at ratio `r` for a leg from `start` to `end`: `0.0`
/// sits on `end`, `1.0` on `start`.
fn level(start: f64, end: f64, r: f64) -> f64 {
end + r * (start - end)
}
fn levels(&self) -> Option<FibRetracementOutput> {
let pivots = self.swing.pivots();
let [start, end] = [pivots.first()?.price, pivots.get(1)?.price];
Some(FibRetracementOutput {
level_0: Self::level(start, end, RATIOS[0]),
level_236: Self::level(start, end, RATIOS[1]),
level_382: Self::level(start, end, RATIOS[2]),
level_500: Self::level(start, end, RATIOS[3]),
level_618: Self::level(start, end, RATIOS[4]),
level_786: Self::level(start, end, RATIOS[5]),
level_1000: Self::level(start, end, RATIOS[6]),
})
}
}
impl Default for FibRetracement {
fn default() -> Self {
Self::new()
}
}
impl Indicator for FibRetracement {
type Input = Candle;
type Output = FibRetracementOutput;
fn update(&mut self, candle: Candle) -> Option<FibRetracementOutput> {
self.swing.update(candle);
self.levels()
}
fn reset(&mut self) {
self.swing.reset();
}
fn warmup_period(&self) -> usize {
2
}
fn is_ready(&self) -> bool {
self.swing.pivots().len() >= 2
}
fn name(&self) -> &'static str {
"FibRetracement"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::indicators::pattern_swing::candles_for_pivots;
use crate::traits::BatchExt;
use approx::assert_relative_eq;
#[test]
fn accessors_and_metadata() {
let indicator = FibRetracement::new();
assert_eq!(indicator.name(), "FibRetracement");
assert_eq!(indicator.warmup_period(), 2);
assert!(!indicator.is_ready());
assert!(!FibRetracement::default().is_ready());
}
#[test]
fn no_output_before_two_pivots() {
let mut indicator = FibRetracement::new();
// A single confirmed pivot is not enough to define a leg.
let candles = candles_for_pivots(&[120.0]);
let outputs: Vec<_> = candles.into_iter().map(|c| indicator.update(c)).collect();
assert!(outputs.iter().all(Option::is_none));
assert!(!indicator.is_ready());
}
#[test]
fn retracement_levels_of_a_down_leg() {
// Leg start = 200 (high), end = 100 (low): a 100-point drop.
let mut indicator = FibRetracement::new();
let mut last = None;
for candle in candles_for_pivots(&[200.0, 100.0]) {
last = indicator.update(candle);
}
let v = last.unwrap();
assert!(indicator.is_ready());
// 0% on the low (end), 100% on the high (start).
assert_relative_eq!(v.level_0, 100.0);
assert_relative_eq!(v.level_1000, 200.0);
// 61.8% retracement of a 100-point drop, measured up from the low.
assert_relative_eq!(v.level_618, 161.8);
assert_relative_eq!(v.level_500, 150.0);
assert_relative_eq!(v.level_382, 138.2);
assert_relative_eq!(v.level_236, 123.6);
assert_relative_eq!(v.level_786, 178.6);
}
#[test]
fn levels_refresh_on_a_new_leg() {
// Four pivots, cap = 2: once the third and fourth confirm, the reported
// leg shifts to the latest pair (130 high -> 90 low).
let mut indicator = FibRetracement::new();
let mut last = None;
for candle in candles_for_pivots(&[200.0, 100.0, 130.0, 90.0]) {
last = indicator.update(candle);
}
let v = last.unwrap();
assert_relative_eq!(v.level_0, 90.0);
assert_relative_eq!(v.level_1000, 130.0);
assert_relative_eq!(v.level_618, 90.0 + 0.618 * 40.0);
}
#[test]
fn reset_clears_state() {
let mut indicator = FibRetracement::new();
for candle in candles_for_pivots(&[200.0, 100.0]) {
let _ = indicator.update(candle);
}
assert!(indicator.is_ready());
indicator.reset();
assert!(!indicator.is_ready());
let c = Candle::new(99.5, 100.0, 99.5, 99.5, 1.0, 0).unwrap();
assert!(indicator.update(c).is_none());
}
#[test]
fn batch_equals_streaming() {
let candles = candles_for_pivots(&[200.0, 100.0, 150.0]);
let mut a = FibRetracement::new();
let mut b = FibRetracement::new();
assert_eq!(
a.batch(&candles),
candles.iter().map(|x| b.update(*x)).collect::<Vec<_>>()
);
}
}