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::error::IndicatorError;
21use crate::functions::{self};
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}
63
64impl Default for Macd {
65    fn default() -> Self {
66        Self::new(MacdParams::default())
67    }
68}
69
70impl Indicator for Macd {
71    fn name(&self) -> &'static str {
72        "MACD"
73    }
74
75    fn required_len(&self) -> usize {
76        // need enough bars for the slow EMA to warm up plus signal line
77        self.params.slow_period + self.params.signal_period
78    }
79
80    fn required_columns(&self) -> &[&'static str] {
81        &["close"]
82    }
83
84    /// Delegates to the existing `crate::functions::macd()`.
85    ///
86    /// TODO: verify output key naming matches Python (`MACD_line` etc.)
87    fn calculate(&self, candles: &[Candle]) -> Result<IndicatorOutput, IndicatorError> {
88        self.check_len(candles)?;
89
90        let prices = self.params.column.extract(candles);
91        let (macd_line, signal_line, histogram) = functions::macd(
92            &prices,
93            self.params.fast_period,
94            self.params.slow_period,
95            self.params.signal_period,
96        )?;
97
98        Ok(IndicatorOutput::from_pairs([
99            ("MACD_line".to_string(), macd_line),
100            ("MACD_signal".to_string(), signal_line),
101            ("MACD_histogram".to_string(), histogram),
102        ]))
103    }
104}
105
106// ── Registry factory ──────────────────────────────────────────────────────────
107
108pub fn factory<S: ::std::hash::BuildHasher>(params: &HashMap<String, String, S>) -> Result<Box<dyn Indicator>, IndicatorError> {
109    Ok(Box::new(Macd::new(MacdParams {
110        fast_period: crate::registry::param_usize(params, "fast_period", 12)?,
111        slow_period: crate::registry::param_usize(params, "slow_period", 26)?,
112        signal_period: crate::registry::param_usize(params, "signal_period", 9)?,
113        column: PriceColumn::Close,
114    })))
115}
116
117// ── Tests ─────────────────────────────────────────────────────────────────────
118
119#[cfg(test)]
120mod tests {
121    use super::*;
122
123    fn candles(closes: &[f64]) -> Vec<Candle> {
124        closes
125            .iter()
126            .enumerate()
127            .map(|(i, &c)| Candle {
128                time: i64::try_from(i).expect("time index fits i64"),
129                open: c,
130                high: c,
131                low: c,
132                close: c,
133                volume: 1.0,
134            })
135            .collect()
136    }
137
138    #[test]
139    fn macd_insufficient_data() {
140        let macd = Macd::default();
141        assert!(macd.calculate(&candles(&[1.0; 10])).is_err());
142    }
143
144    #[test]
145    fn macd_output_has_three_columns() {
146        let macd = Macd::default();
147        let closes: Vec<f64> = (1..=50).map(|x| x as f64).collect();
148        let out = macd.calculate(&candles(&closes)).unwrap();
149        assert!(out.get("MACD_line").is_some(), "missing MACD_line");
150        assert!(out.get("MACD_signal").is_some(), "missing MACD_signal");
151        assert!(
152            out.get("MACD_histogram").is_some(),
153            "missing MACD_histogram"
154        );
155    }
156
157    #[test]
158    fn macd_histogram_is_line_minus_signal() {
159        let macd = Macd::default();
160        let closes: Vec<f64> = (1..=50).map(|x| x as f64).collect();
161        let out = macd.calculate(&candles(&closes)).unwrap();
162        let line = out.get("MACD_line").unwrap();
163        let signal = out.get("MACD_signal").unwrap();
164        let hist = out.get("MACD_histogram").unwrap();
165        for i in 0..line.len() {
166            if !line[i].is_nan() && !signal[i].is_nan() {
167                assert!((hist[i] - (line[i] - signal[i])).abs() < 1e-9);
168            }
169        }
170    }
171
172    #[test]
173    fn factory_creates_macd() {
174        let params = HashMap::new();
175        let ind = factory(&params).unwrap();
176        assert_eq!(ind.name(), "MACD");
177    }
178}
indicators/trend/macd.rs

indicators/trend/
macd.rs
