indicators/trend/
macd.rs

1//! Moving Average Convergence Divergence (MACD).
2//!
3//! Python source: `indicators/trend/macd.py :: class MACD`
4//!
5//! # Python algorithm (to port)
6//! ```python
7//! fast_ema = data[self.column].ewm(span=self.fast_period, adjust=False).mean()
8//! slow_ema = data[self.column].ewm(span=self.slow_period, adjust=False).mean()
9//! macd_line = fast_ema - slow_ema
10//! signal_line = macd_line.ewm(span=self.signal_period, adjust=False).mean()
11//! histogram = macd_line - signal_line
12//! ```
13//!
14//! Output columns: `"MACD_line"`, `"MACD_signal"`, `"MACD_histogram"`.
15//!
16//! See also: `crate::functions::macd()` — already implemented for batch use.
17
18use std::collections::HashMap;
19
20use crate::functions::{self};
21use crate::error::IndicatorError;
22use crate::indicator::{Indicator, IndicatorOutput, PriceColumn};
23use crate::types::Candle;
24
25// ── Params ────────────────────────────────────────────────────────────────────
26
27#[derive(Debug, Clone)]
28pub struct MacdParams {
29    /// Fast EMA period.  Python default: 12.
30    pub fast_period: usize,
31    /// Slow EMA period.  Python default: 26.
32    pub slow_period: usize,
33    /// Signal line period.  Python default: 9.
34    pub signal_period: usize,
35    /// Price field.  Python default: `"close"`.
36    pub column: PriceColumn,
37}
38
39impl Default for MacdParams {
40    fn default() -> Self {
41        Self {
42            fast_period: 12,
43            slow_period: 26,
44            signal_period: 9,
45            column: PriceColumn::Close,
46        }
47    }
48}
49
50// ── Indicator struct ──────────────────────────────────────────────────────────
51
52#[derive(Debug, Clone)]
53pub struct Macd {
54    pub params: MacdParams,
55}
56
57impl Macd {
58    pub fn new(params: MacdParams) -> Self {
59        Self { params }
60    }
61
62    pub fn default() -> Self {
63        Self::new(MacdParams::default())
64    }
65}
66
67impl Indicator for Macd {
68    fn name(&self) -> &str { "MACD" }
69
70    fn required_len(&self) -> usize {
71        // need enough bars for the slow EMA to warm up plus signal line
72        self.params.slow_period + self.params.signal_period
73    }
74
75    fn required_columns(&self) -> &[&'static str] { &["close"] }
76
77    /// Delegates to the existing `crate::functions::macd()`.
78    ///
79    /// TODO: verify output key naming matches Python (`MACD_line` etc.)
80    fn calculate(&self, candles: &[Candle]) -> Result<IndicatorOutput, IndicatorError> {
81        self.check_len(candles)?;
82
83        let prices = self.params.column.extract(candles);
84        let (macd_line, signal_line, histogram) = functions::macd(
85            &prices,
86            self.params.fast_period,
87            self.params.slow_period,
88            self.params.signal_period,
89        )?;
90
91        Ok(IndicatorOutput::from_pairs([
92            ("MACD_line".to_string(), macd_line),
93            ("MACD_signal".to_string(), signal_line),
94            ("MACD_histogram".to_string(), histogram),
95        ]))
96    }
97}
98
99// ── Registry factory ──────────────────────────────────────────────────────────
100
101pub fn factory(params: &HashMap<String, String>) -> Result<Box<dyn Indicator>, IndicatorError> {
102    Ok(Box::new(Macd::new(MacdParams {
103        fast_period: crate::registry::param_usize(params, "fast_period", 12)?,
104        slow_period: crate::registry::param_usize(params, "slow_period", 26)?,
105        signal_period: crate::registry::param_usize(params, "signal_period", 9)?,
106        column: PriceColumn::Close,
107    })))
108}
109
110// ── Tests ─────────────────────────────────────────────────────────────────────
111
112#[cfg(test)]
113mod tests {
114    use super::*;
115
116    fn candles(closes: &[f64]) -> Vec<Candle> {
117        closes.iter().enumerate().map(|(i, &c)| Candle {
118            time: i as i64, open: c, high: c, low: c, close: c, volume: 1.0,
119        }).collect()
120    }
121
122    #[test]
123    fn macd_insufficient_data() {
124        let macd = Macd::default();
125        assert!(macd.calculate(&candles(&[1.0; 10])).is_err());
126    }
127
128    #[test]
129    fn macd_output_has_three_columns() {
130        let macd = Macd::default();
131        let closes: Vec<f64> = (1..=50).map(|x| x as f64).collect();
132        let out = macd.calculate(&candles(&closes)).unwrap();
133        assert!(out.get("MACD_line").is_some(), "missing MACD_line");
134        assert!(out.get("MACD_signal").is_some(), "missing MACD_signal");
135        assert!(out.get("MACD_histogram").is_some(), "missing MACD_histogram");
136    }
137
138    #[test]
139    fn macd_histogram_is_line_minus_signal() {
140        let macd = Macd::default();
141        let closes: Vec<f64> = (1..=50).map(|x| x as f64).collect();
142        let out = macd.calculate(&candles(&closes)).unwrap();
143        let line = out.get("MACD_line").unwrap();
144        let signal = out.get("MACD_signal").unwrap();
145        let hist = out.get("MACD_histogram").unwrap();
146        for i in 0..line.len() {
147            if !line[i].is_nan() && !signal[i].is_nan() {
148                assert!((hist[i] - (line[i] - signal[i])).abs() < 1e-9);
149            }
150        }
151    }
152
153    #[test]
154    fn factory_creates_macd() {
155        let params = HashMap::new();
156        let ind = factory(&params).unwrap();
157        assert_eq!(ind.name(), "MACD");
158    }
159}
indicators/trend/macd.rs

indicators/trend/
macd.rs
