cxmr_ta_core/indicators/
efficiency_ratio.rs

1use std::collections::VecDeque;
2use std::fmt;
3
4use crate::errors::*;
5use crate::traits::{Calculate, Close, Next, Reset};
6
7/// Kaufman's Efficiency Ratio (ER).
8///
9/// It is calculated by dividing the price change over a period by the absolute sum of the price movements that occurred to achieve that change.
10/// The resulting ratio ranges between 0.0 and 1.0 with higher values representing a more efficient or trending market.
11///
12/// # Parameters
13///
14/// * _length_ - number of periods (integer greater than 0)
15///
16/// # Example
17///
18/// ```
19/// use ta::indicators::EfficiencyRatio;
20/// use ta::{Calculate, Next};
21///
22/// let mut er = EfficiencyRatio::new(4).unwrap();
23/// assert_eq!(er.calc(10.0), 1.0);
24/// assert_eq!(er.calc(13.0), 1.0);
25/// assert_eq!(er.calc(12.0), 0.5);
26/// assert_eq!(er.calc(13.0), 0.6);
27/// assert_eq!(er.calc(18.0), 0.8);
28/// assert_eq!(er.calc(19.0), 0.75);
29/// ```
30
31pub struct EfficiencyRatio {
32    length: u32,
33    prices: VecDeque<f64>,
34}
35
36impl EfficiencyRatio {
37    pub fn new(length: u32) -> Result<Self> {
38        if length == 0 {
39            Err(Error::from_kind(ErrorKind::InvalidParameter))
40        } else {
41            let indicator = Self {
42                length: length,
43                prices: VecDeque::with_capacity(length as usize + 1),
44            };
45            Ok(indicator)
46        }
47    }
48}
49
50impl Calculate for EfficiencyRatio {
51    fn calc(&mut self, input: f64) -> f64 {
52        self.prices.push_back(input);
53
54        if self.prices.len() <= 2 {
55            return 1.0;
56        }
57
58        let first = self.prices[0];
59
60        // Calculate volatility
61        let volatility = self
62            .prices
63            .iter()
64            .skip(1)
65            .fold((first, 0.0), |(prev, sum), &val| {
66                (val, sum + (prev - val).abs())
67            })
68            .1;
69
70        // Calculate direction
71        let last_index = self.prices.len() - 1;
72        let direction = (first - self.prices[last_index]).abs();
73
74        // Get rid of the first element
75        if self.prices.len() > (self.length as usize) {
76            self.prices.pop_front();
77        }
78
79        // Return actual efficiency ratio
80        direction / volatility
81    }
82}
83
84impl<T: Close> Next<T> for EfficiencyRatio {
85    fn next(&mut self, input: &T) -> f64 {
86        self.calc(input.close())
87    }
88}
89
90impl Reset for EfficiencyRatio {
91    fn reset(&mut self) {
92        self.prices.clear();
93    }
94}
95
96impl Default for EfficiencyRatio {
97    fn default() -> Self {
98        Self::new(14).unwrap()
99    }
100}
101
102impl fmt::Display for EfficiencyRatio {
103    fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
104        write!(f, "ER({})", self.length)
105    }
106}
107
108#[cfg(test)]
109mod tests {
110    use super::*;
111    use crate::test_helper::*;
112
113    test_indicator!(EfficiencyRatio);
114
115    #[test]
116    fn test_new() {
117        assert!(EfficiencyRatio::new(0).is_err());
118        assert!(EfficiencyRatio::new(1).is_ok());
119    }
120
121    #[test]
122    fn test_next_f64() {
123        let mut er = EfficiencyRatio::new(3).unwrap();
124
125        assert_eq!(round(er.calc(3.0)), 1.0);
126        assert_eq!(round(er.calc(5.0)), 1.0);
127        assert_eq!(round(er.calc(2.0)), 0.2);
128        assert_eq!(round(er.calc(3.0)), 0.0);
129        assert_eq!(round(er.calc(1.0)), 0.667);
130        assert_eq!(round(er.calc(3.0)), 0.2);
131        assert_eq!(round(er.calc(4.0)), 0.2);
132        assert_eq!(round(er.calc(6.0)), 1.0);
133
134        er.reset();
135        assert_eq!(round(er.calc(3.0)), 1.0);
136        assert_eq!(round(er.calc(5.0)), 1.0);
137        assert_eq!(round(er.calc(2.0)), 0.2);
138        assert_eq!(round(er.calc(3.0)), 0.0);
139    }
140
141    #[test]
142    fn test_display() {
143        let er = EfficiencyRatio::new(17).unwrap();
144        assert_eq!(format!("{}", er), "ER(17)");
145    }
146}
cxmr_ta_core/indicators/efficiency_ratio.rs

cxmr_ta_core/indicators/
efficiency_ratio.rs
