indicators/momentum/
schaff_trend_cycle.rs

1//! Schaff Trend Cycle (STC).
2//!
3//! Python source: `indicators/other/schaff_trend_cycle.py :: class SchaffTrendCycle`
4//!
5//! # Python algorithm (to port)
6//! ```python
7//! short_ema  = df["Close"].ewm(span=self.short_ema).mean()
8//! long_ema   = df["Close"].ewm(span=self.long_ema).mean()
9//! macd       = short_ema - long_ema
10//! macd_sig   = macd.ewm(span=9).mean()
11//! macd_diff  = macd - macd_sig
12//!
13//! lowest  = macd_diff.rolling(self.stoch_period).min()
14//! highest = macd_diff.rolling(self.stoch_period).max()
15//! stc     = 100 * (macd_diff - lowest) / (highest - lowest)
16//!
17//! if self.signal_period > 0:
18//!     stc = stc.ewm(span=self.signal_period).mean()
19//! ```
20//!
21//! Readings above 75 → overbought; below 25 → oversold.
22//! Oscillates 0–100.
23//!
24//! Output column: `"STC"`.
25
26use std::collections::HashMap;
27
28use crate::error::IndicatorError;
29use crate::functions::{self};
30use crate::indicator::{Indicator, IndicatorOutput};
31use crate::registry::param_usize;
32use crate::types::Candle;
33
34#[derive(Debug, Clone)]
35pub struct StcParams {
36    pub short_ema: usize,
37    pub long_ema: usize,
38    pub stoch_period: usize,
39    pub signal_period: usize,
40}
41impl Default for StcParams {
42    fn default() -> Self {
43        Self {
44            short_ema: 12,
45            long_ema: 26,
46            stoch_period: 10,
47            signal_period: 3,
48        }
49    }
50}
51
52#[derive(Debug, Clone)]
53pub struct SchaffTrendCycle {
54    pub params: StcParams,
55}
56
57impl SchaffTrendCycle {
58    pub fn new(params: StcParams) -> Self {
59        Self { params }
60    }
61    pub fn default() -> Self {
62        Self::new(StcParams::default())
63    }
64}
65
66impl Indicator for SchaffTrendCycle {
67    fn name(&self) -> &str {
68        "SchaffTrendCycle"
69    }
70
71    fn required_len(&self) -> usize {
72        self.params.long_ema + self.params.stoch_period + self.params.signal_period
73    }
74
75    fn required_columns(&self) -> &[&'static str] {
76        &["close"]
77    }
78
79    /// TODO: port Python MACD-then-Stochastic-then-EMA pipeline.
80    fn calculate(&self, candles: &[Candle]) -> Result<IndicatorOutput, IndicatorError> {
81        self.check_len(candles)?;
82
83        let close: Vec<f64> = candles.iter().map(|c| c.close).collect();
84        let n = close.len();
85
86        // Step 1: MACD components.
87        let short_e = functions::ema(&close, self.params.short_ema)?;
88        let long_e = functions::ema(&close, self.params.long_ema)?;
89        let macd_line: Vec<f64> = (0..n).map(|i| {
90            if short_e[i].is_nan() || long_e[i].is_nan() { f64::NAN }
91            else { short_e[i] - long_e[i] }
92        }).collect();
93
94        // Signal of MACD (span=9).
95        let macd_sig = functions::ema(&macd_line, 9)?;
96        let macd_diff: Vec<f64> = (0..n).map(|i| {
97            if macd_line[i].is_nan() || macd_sig[i].is_nan() { f64::NAN }
98            else { macd_line[i] - macd_sig[i] }
99        }).collect();
100
101        // Step 2: Stochastic of MACD diff.
102        let sp = self.params.stoch_period;
103        let mut stc = vec![f64::NAN; n];
104        for i in (sp - 1)..n {
105            let window = &macd_diff[(i + 1 - sp)..=i];
106            let min_d = window.iter().cloned().fold(f64::INFINITY, f64::min);
107            let max_d = window.iter().cloned().fold(f64::NEG_INFINITY, f64::max);
108            let range = max_d - min_d;
109            if macd_diff[i].is_nan() || range == 0.0 {
110                stc[i] = f64::NAN;
111            } else {
112                stc[i] = 100.0 * (macd_diff[i] - min_d) / range;
113            }
114        }
115
116        // Step 3: optional EMA smoothing.
117        let values = if self.params.signal_period > 0 {
118            functions::ema(&stc, self.params.signal_period)?
119        } else {
120            stc
121        };
122
123        Ok(IndicatorOutput::from_pairs([("STC".to_string(), values)]))
124    }
125}
126
127pub fn factory(params: &HashMap<String, String>) -> Result<Box<dyn Indicator>, IndicatorError> {
128    Ok(Box::new(SchaffTrendCycle::new(StcParams {
129        short_ema: param_usize(params, "short_ema", 12)?,
130        long_ema: param_usize(params, "long_ema", 26)?,
131        stoch_period: param_usize(params, "stoch_period", 10)?,
132        signal_period: param_usize(params, "signal_period", 3)?,
133    })))
134}
135
136#[cfg(test)]
137mod tests {
138    use super::*;
139
140    fn candles(n: usize) -> Vec<Candle> {
141        (0..n).map(|i| Candle {
142            time: i as i64, open: 10.0, high: 10.0 + (i % 5) as f64,
143            low: 10.0 - (i % 3) as f64, close: 10.0 + (i as f64).sin(),
144            volume: 100.0,
145        }).collect()
146    }
147
148    #[test]
149    fn stc_output_column() {
150        let p = StcParams::default();
151        let needed = p.long_ema + p.stoch_period + p.signal_period + 5;
152        let out = SchaffTrendCycle::default().calculate(&candles(needed)).unwrap();
153        assert!(out.get("STC").is_some());
154    }
155
156    #[test]
157    fn factory_creates_stc() {
158        assert_eq!(factory(&HashMap::new()).unwrap().name(), "SchaffTrendCycle");
159    }
160}
indicators/momentum/schaff_trend_cycle.rs

indicators/momentum/
schaff_trend_cycle.rs
