mantis_ta/indicators/momentum/
stochastic.rs

1use crate::indicators::Indicator;
2use crate::types::{Candle, StochasticOutput};
3use crate::utils::ringbuf::RingBuf;
4
5/// Stochastic Oscillator (%K and %D) over high/low/close.
6///
7/// # Examples
8/// ```rust
9/// use mantis_ta::indicators::{Indicator, Stochastic};
10/// use mantis_ta::types::Candle;
11///
12/// let candles: Vec<Candle> = [
13///     (1.0, 0.5, 0.8),
14///     (2.0, 0.5, 1.5),
15///     (3.0, 1.0, 2.5),
16///     (3.5, 1.5, 3.0),
17///     (4.0, 2.0, 3.5),
18/// ]
19/// .iter()
20/// .enumerate()
21/// .map(|(i, (h, l, c))| Candle {
22///     timestamp: i as i64,
23///     open: *c,
24///     high: *h,
25///     low: *l,
26///     close: *c,
27///     volume: 0.0,
28/// })
29/// .collect();
30///
31/// let out = Stochastic::new(3, 3).calculate(&candles);
32/// assert!(out.iter().take(4).all(|v| v.is_none()));
33/// assert!(out.iter().skip(3).any(|v| v.is_some()));
34/// ```
35#[derive(Debug, Clone)]
36pub struct Stochastic {
37    k_period: usize,
38    d_period: usize,
39    window: RingBuf<(f64, f64)>,
40    k_values: RingBuf<f64>,
41}
42
43impl Stochastic {
44    pub fn new(k_period: usize, d_period: usize) -> Self {
45        assert!(k_period > 0, "k_period must be > 0");
46        assert!(d_period > 0, "d_period must be > 0");
47        Self {
48            k_period,
49            d_period,
50            window: RingBuf::new(k_period, (0.0, 0.0)),
51            k_values: RingBuf::new(d_period, 0.0),
52        }
53    }
54
55    fn range_high_low(&self) -> Option<(f64, f64)> {
56        if self.window.len() < self.k_period {
57            return None;
58        }
59        let mut highest = f64::MIN;
60        let mut lowest = f64::MAX;
61        for (high, low) in self.window.iter() {
62            if *high > highest {
63                highest = *high;
64            }
65            if *low < lowest {
66                lowest = *low;
67            }
68        }
69        Some((highest, lowest))
70    }
71}
72
73impl Indicator for Stochastic {
74    type Output = StochasticOutput;
75
76    fn next(&mut self, candle: &Candle) -> Option<Self::Output> {
77        self.window.push((candle.high, candle.low));
78
79        let (highest, lowest) = self.range_high_low()?;
80
81        let denom = highest - lowest;
82        let k = if denom == 0.0 {
83            50.0
84        } else {
85            ((candle.close - lowest) / denom) * 100.0
86        };
87        self.k_values.push(k);
88
89        if self.k_values.len() < self.d_period {
90            return None;
91        }
92
93        let sum_d: f64 = self.k_values.iter().copied().sum();
94        let d = sum_d / self.d_period as f64;
95
96        Some(StochasticOutput { k, d })
97    }
98
99    fn reset(&mut self) {
100        self.window = RingBuf::new(self.k_period, (0.0, 0.0));
101        self.k_values = RingBuf::new(self.d_period, 0.0);
102    }
103
104    fn warmup_period(&self) -> usize {
105        self.k_period + self.d_period - 1
106    }
107
108    fn clone_boxed(&self) -> Box<dyn Indicator<Output = Self::Output>> {
109        Box::new(self.clone())
110    }
111}
112
113#[cfg(test)]
114mod tests {
115    use super::*;
116
117    #[test]
118    fn stochastic_emits_after_warmup() {
119        let mut stoch = Stochastic::new(3, 3);
120        let candles: Vec<Candle> = [
121            (1.0, 0.5, 0.8),
122            (2.0, 0.5, 1.5),
123            (3.0, 1.0, 2.5),
124            (3.5, 1.5, 3.0),
125            (4.0, 2.0, 3.5),
126        ]
127        .iter()
128        .map(|(h, l, c)| Candle {
129            timestamp: 0,
130            open: *c,
131            high: *h,
132            low: *l,
133            close: *c,
134            volume: 0.0,
135        })
136        .collect();
137
138        let outputs: Vec<_> = candles.iter().map(|c| stoch.next(c)).collect();
139        assert!(outputs
140            .iter()
141            .take(stoch.warmup_period() - 1)
142            .all(|o| o.is_none()));
143        assert!(outputs
144            .iter()
145            .skip(stoch.warmup_period() - 1)
146            .any(|o| o.is_some()));
147    }
148}
mantis_ta/indicators/momentum/stochastic.rs

mantis_ta/indicators/momentum/
stochastic.rs
