fin_primitives/signals/indicators/
std_dev_channel.rs

1//! Standard Deviation Channel indicator.
2
3use crate::error::FinError;
4use crate::signals::{BarInput, Signal, SignalValue};
5use rust_decimal::Decimal;
6use std::collections::VecDeque;
7
8/// Standard Deviation Channel — measures how many standard deviations the current
9/// close is from the rolling mean of closes.
10///
11/// ```text
12/// z = (close - mean(close, period)) / stddev(close, period)
13/// ```
14///
15/// Positive values mean the close is above the channel center; negative values below.
16/// The classic ±1 and ±2 levels act as dynamic support/resistance.
17///
18/// Returns [`SignalValue::Unavailable`] until `period` bars have been seen or
19/// when standard deviation is zero (flat prices).
20///
21/// # Example
22/// ```rust
23/// use fin_primitives::signals::indicators::StdDevChannel;
24/// use fin_primitives::signals::Signal;
25///
26/// let s = StdDevChannel::new("sdc", 20).unwrap();
27/// assert_eq!(s.period(), 20);
28/// ```
29pub struct StdDevChannel {
30    name: String,
31    period: usize,
32    history: VecDeque<Decimal>,
33}
34
35impl StdDevChannel {
36    /// Creates a new `StdDevChannel`.
37    ///
38    /// # Errors
39    /// Returns [`FinError::InvalidPeriod`] if `period < 2`.
40    pub fn new(name: impl Into<String>, period: usize) -> Result<Self, FinError> {
41        if period < 2 {
42            return Err(FinError::InvalidPeriod(period));
43        }
44        Ok(Self {
45            name: name.into(),
46            period,
47            history: VecDeque::with_capacity(period),
48        })
49    }
50}
51
52impl Signal for StdDevChannel {
53    fn name(&self) -> &str { &self.name }
54
55    fn update(&mut self, bar: &BarInput) -> Result<SignalValue, FinError> {
56        use rust_decimal::prelude::ToPrimitive;
57
58        self.history.push_back(bar.close);
59        if self.history.len() > self.period {
60            self.history.pop_front();
61        }
62        if self.history.len() < self.period {
63            return Ok(SignalValue::Unavailable);
64        }
65
66        let n = self.period as f64;
67        let vals: Vec<f64> = self.history.iter()
68            .filter_map(|c| c.to_f64())
69            .collect();
70        let mean = vals.iter().sum::<f64>() / n;
71        let variance = vals.iter().map(|v| (v - mean).powi(2)).sum::<f64>() / n;
72        let std = variance.sqrt();
73        if std == 0.0 {
74            return Ok(SignalValue::Unavailable);
75        }
76
77        let close_f = bar.close.to_f64().unwrap_or(0.0);
78        let z = (close_f - mean) / std;
79
80        Ok(SignalValue::Scalar(
81            Decimal::try_from(z).unwrap_or(Decimal::ZERO),
82        ))
83    }
84
85    fn is_ready(&self) -> bool {
86        self.history.len() >= self.period
87    }
88
89    fn period(&self) -> usize {
90        self.period
91    }
92
93    fn reset(&mut self) {
94        self.history.clear();
95    }
96}
97
98#[cfg(test)]
99mod tests {
100    use super::*;
101    use crate::ohlcv::OhlcvBar;
102    use crate::types::{NanoTimestamp, Price, Quantity, Symbol};
103    use rust_decimal_macros::dec;
104
105    fn bar(c: &str) -> OhlcvBar {
106        let p = Price::new(c.parse().unwrap()).unwrap();
107        OhlcvBar {
108            symbol: Symbol::new("X").unwrap(),
109            open: p, high: p, low: p, close: p,
110            volume: Quantity::zero(),
111            ts_open: NanoTimestamp::new(0),
112            ts_close: NanoTimestamp::new(1),
113            tick_count: 1,
114        }
115    }
116
117    #[test]
118    fn test_sdc_invalid_period() {
119        assert!(StdDevChannel::new("s", 0).is_err());
120        assert!(StdDevChannel::new("s", 1).is_err());
121    }
122
123    #[test]
124    fn test_sdc_unavailable_before_period() {
125        let mut s = StdDevChannel::new("s", 3).unwrap();
126        assert_eq!(s.update_bar(&bar("100")).unwrap(), SignalValue::Unavailable);
127        assert_eq!(s.update_bar(&bar("100")).unwrap(), SignalValue::Unavailable);
128    }
129
130    #[test]
131    fn test_sdc_flat_unavailable() {
132        // Flat prices → std = 0 → Unavailable
133        let mut s = StdDevChannel::new("s", 3).unwrap();
134        for _ in 0..3 { s.update_bar(&bar("100")).unwrap(); }
135        assert_eq!(s.update_bar(&bar("100")).unwrap(), SignalValue::Unavailable);
136    }
137
138    #[test]
139    fn test_sdc_above_mean_positive() {
140        let mut s = StdDevChannel::new("s", 3).unwrap();
141        s.update_bar(&bar("98")).unwrap();
142        s.update_bar(&bar("100")).unwrap();
143        s.update_bar(&bar("102")).unwrap(); // mean=100, last bar is at mean → z≈0
144        if let SignalValue::Scalar(v) = s.update_bar(&bar("104")).unwrap() {
145            // window [100,102,104], mean=102, last=104 → above mean → positive
146            assert!(v > dec!(0), "above mean should be positive: {v}");
147        } else { panic!("expected Scalar"); }
148    }
149
150    #[test]
151    fn test_sdc_below_mean_negative() {
152        let mut s = StdDevChannel::new("s", 3).unwrap();
153        s.update_bar(&bar("98")).unwrap();
154        s.update_bar(&bar("100")).unwrap();
155        s.update_bar(&bar("102")).unwrap();
156        if let SignalValue::Scalar(v) = s.update_bar(&bar("96")).unwrap() {
157            // window [100,102,96], mean=99.33, last=96 → below mean → negative
158            assert!(v < dec!(0), "below mean should be negative: {v}");
159        } else { panic!("expected Scalar"); }
160    }
161
162    #[test]
163    fn test_sdc_reset() {
164        let mut s = StdDevChannel::new("s", 3).unwrap();
165        for _ in 0..3 { s.update_bar(&bar("100")).unwrap(); }
166        assert!(s.is_ready());
167        s.reset();
168        assert!(!s.is_ready());
169        assert_eq!(s.update_bar(&bar("100")).unwrap(), SignalValue::Unavailable);
170    }
171}
fin_primitives/signals/indicators/std_dev_channel.rs

fin_primitives/signals/indicators/
std_dev_channel.rs
