finlib_ta/indicators/
weighted_moving_average.rs

1use alloc::boxed::Box;
2use alloc::vec;
3use core::fmt;
4
5use crate::errors::{Result, TaError};
6use crate::{Close, Next, Period, Reset};
7#[cfg(feature = "serde")]
8use serde::{Deserialize, Serialize};
9
10/// Weighted moving average (WMA).
11///
12/// A moving average that assigns weights that decrease in arithmetical progression.
13/// In an _n_-day WMA the latest day has weight _n_, the second latest _n−1_, etc., down to one.
14///
15/// # Formula
16///
17/// ![WMA formula](https://wikimedia.org/api/rest_v1/media/math/render/svg/7780333af18da7e27a1186a3d566e28da21b2840)
18///
19/// Where:
20///
21/// * _WMA<sub>M</sub>_ - is the value of the WMA at time _m_
22/// * _n_ - is the period.
23/// * _p<sub>M</sub>_ - is the input value at a time period t.
24///
25/// # Example
26///
27/// ```
28/// use finlib_ta::indicators::WeightedMovingAverage;
29/// use finlib_ta::Next;
30///
31/// let mut wma = WeightedMovingAverage::new(3).unwrap();
32/// assert_eq!(wma.next(10.0), 10.0);
33/// assert_eq!(wma.next(13.0), 12.0);
34/// assert_eq!(wma.next(16.0), 14.0);
35/// assert_eq!(wma.next(14.0), 14.5);
36/// ```
37///
38/// # Links
39///
40/// * [Weighted moving average, Wikipedia](https://en.wikipedia.org/wiki/Moving_average#Weighted_moving_average)
41///
42
43#[doc(alias = "WMA")]
44#[cfg_attr(feature = "serde", derive(Serialize, Deserialize))]
45#[derive(Debug, Clone)]
46pub struct WeightedMovingAverage {
47    period: usize,
48    index: usize,
49    count: usize,
50    weight: f64,
51    sum: f64,
52    sum_flat: f64,
53    deque: Box<[f64]>,
54}
55
56impl WeightedMovingAverage {
57    pub fn new(period: usize) -> Result<Self> {
58        match period {
59            0 => Err(TaError::InvalidParameter),
60            _ => Ok(Self {
61                period,
62                index: 0,
63                count: 0,
64                weight: 0.0,
65                sum: 0.0,
66                sum_flat: 0.0,
67                deque: vec![0.0; period].into_boxed_slice(),
68            }),
69        }
70    }
71}
72
73impl Period for WeightedMovingAverage {
74    fn period(&self) -> usize {
75        self.period
76    }
77}
78
79impl Next<f64> for WeightedMovingAverage {
80    type Output = f64;
81
82    fn next(&mut self, input: f64) -> Self::Output {
83        let old_val: f64 = self.deque[self.index];
84        self.deque[self.index] = input;
85
86        self.index = if self.index + 1 < self.period {
87            self.index + 1
88        } else {
89            0
90        };
91
92        if self.count < self.period {
93            self.count += 1;
94            self.weight = self.count as f64;
95            self.sum += input * self.weight
96        } else {
97            self.sum = self.sum - self.sum_flat + (input * self.weight);
98        }
99        self.sum_flat = self.sum_flat - old_val + input;
100        self.sum / (self.weight * (self.weight + 1.0) / 2.0)
101    }
102}
103
104impl<T: Close> Next<&T> for WeightedMovingAverage {
105    type Output = f64;
106
107    fn next(&mut self, input: &T) -> Self::Output {
108        self.next(input.close())
109    }
110}
111
112impl Reset for WeightedMovingAverage {
113    fn reset(&mut self) {
114        self.index = 0;
115        self.count = 0;
116        self.weight = 0.0;
117        self.sum = 0.0;
118        self.sum_flat = 0.0;
119        for i in 0..self.period {
120            self.deque[i] = 0.0;
121        }
122    }
123}
124
125impl Default for WeightedMovingAverage {
126    fn default() -> Self {
127        Self::new(9).unwrap()
128    }
129}
130
131impl fmt::Display for WeightedMovingAverage {
132    fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
133        write!(f, "WMA({})", self.period)
134    }
135}
136
137#[cfg(test)]
138mod tests {
139    use super::*;
140    use crate::test_helper::*;
141    use alloc::format;
142
143    test_indicator!(WeightedMovingAverage);
144
145    #[test]
146    fn test_new() {
147        assert!(WeightedMovingAverage::new(0).is_err());
148        assert!(WeightedMovingAverage::new(1).is_ok());
149    }
150
151    #[test]
152    fn test_next() {
153        let mut wma = WeightedMovingAverage::new(3).unwrap();
154
155        assert_eq!(wma.next(12.0), 12.0);
156        assert_eq!(wma.next(3.0), 6.0); // (1*12 + 2*3) / 3 = 6.0
157        assert_eq!(wma.next(3.0), 4.5); // (1*12 + 2*3 + 3*3) / 6 = 4.5
158        assert_eq!(wma.next(5.0), 4.0); // (1*3 + 2*3 + 3*5) / 6 = 4.0
159
160        let mut wma = WeightedMovingAverage::new(3).unwrap();
161        let bar1 = Bar::new().close(2);
162        let bar2 = Bar::new().close(5);
163        assert_eq!(wma.next(&bar1), 2.0);
164        assert_eq!(wma.next(&bar2), 4.0);
165    }
166
167    #[test]
168    fn test_reset() {
169        let mut wma = WeightedMovingAverage::new(5).unwrap();
170
171        assert_eq!(wma.next(4.0), 4.0);
172        wma.next(10.0);
173        wma.next(15.0);
174        wma.next(20.0);
175        assert_ne!(wma.next(4.0), 4.0);
176
177        wma.reset();
178        assert_eq!(wma.next(4.0), 4.0);
179    }
180
181    #[test]
182    fn test_default() {
183        WeightedMovingAverage::default();
184    }
185
186    #[test]
187    fn test_display() {
188        let wma = WeightedMovingAverage::new(7).unwrap();
189        assert_eq!(format!("{}", wma), "WMA(7)");
190    }
191}
finlib_ta/indicators/weighted_moving_average.rs

finlib_ta/indicators/
weighted_moving_average.rs
