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

use crate::core::Method;
use crate::core::{PeriodType, ValueType, Window};

#[cfg(feature = "serde")]
use serde::{Deserialize, Serialize};

/// [Simple Moving Average](https://en.wikipedia.org/wiki/Moving_average#Simple_moving_average) of specified `length` for timeseries of type [`ValueType`]
///
/// # Parameters
///
/// Has a single parameter `length`: [`PeriodType`]
///
/// `length` should be > 0
///
/// # Input type
///
/// Input type is [`ValueType`]
///
/// # Output type
///
/// Output type is [`ValueType`]
///
/// # Examples
///
/// ```
/// use yata::prelude::*;
/// use yata::methods::SMA;
///
/// // SMA of length=3
/// let mut sma = SMA::new(3, 1.0);
///
/// sma.next(1.0);
/// sma.next(2.0);
///
/// assert_eq!(sma.next(3.0), 2.0);
/// assert_eq!(sma.next(4.0), 3.0);
/// ```
///
/// # Perfomance
///
/// O(1)
///
/// [`ValueType`]: crate::core::ValueType
/// [`PeriodType`]: crate::core::PeriodType

#[derive(Debug, Clone)]
#[cfg_attr(feature = "serde", derive(Serialize, Deserialize))]
pub struct SMA {
	divider: ValueType,
	value: ValueType,
	window: Window<ValueType>,
}

impl Method for SMA {
	type Params = PeriodType;
	type Input = ValueType;
	type Output = Self::Input;

	fn new(length: Self::Params, value: Self::Input) -> Self {
		debug_assert!(length > 0, "SMA: length should be > 0");

		Self {
			divider: (length as ValueType).recip(),
			value,
			window: Window::new(length, value),
		}
	}

	#[inline]
	fn next(&mut self, value: Self::Input) -> Self::Output {
		let prev_value = self.window.push(value);
		self.value += (value - prev_value) * self.divider;

		self.value
	}
}

#[cfg(test)]
mod tests {
	#![allow(unused_imports)]
	use super::{Method, SMA as TestingMethod};
	use crate::core::ValueType;
	use crate::helpers::RandomCandles;

	#[allow(dead_code)]
	const SIGMA: ValueType = 1e-8;

	#[test]
	fn test_sma_const() {
		use super::*;
		use crate::core::{Candle, Method};
		use crate::methods::tests::test_const;

		for i in 1..30 {
			let input = (i as ValueType + 56.0) / 16.3251;
			let mut method = TestingMethod::new(i, input);

			let output = method.next(input);
			test_const(&mut method, input, output);
		}
	}

	#[test]
	fn test_sma1() {
		let mut candles = RandomCandles::default();

		let mut ma = TestingMethod::new(1, candles.first().close);

		candles.take(100).for_each(|x| {
			assert!((x.close - ma.next(x.close)).abs() < SIGMA);
		});
	}

	#[test]
	fn test_sma() {
		let candles = RandomCandles::default();

		let src: Vec<ValueType> = candles.take(100).map(|x| x.close).collect();

		(1..20).for_each(|sma_length| {
			let mut sma = TestingMethod::new(sma_length, src[0]);

			src.iter().enumerate().for_each(|(i, &x)| {
				let value = sma.next(x);
				let slice_from = i.saturating_sub((sma_length - 1) as usize);
				let slice_to = i;
				let slice = &src[slice_from..=slice_to];
				let mut sum: ValueType = slice.iter().sum();
				if slice.len() < sma_length as usize {
					sum += (sma_length as usize - slice.len()) as ValueType * src.first().unwrap();
				}

				assert!((sum / sma_length as ValueType - value).abs() < SIGMA);
			});
		});
	}
}