Crate quant_indicators 

Pure indicator math library for trading.

All functions are pure math - no I/O, no async, WASM-compatible.

Example

use quant_indicators::{Indicator, Sma, Ema};
use quant_primitives::Candle;
use chrono::Utc;
use rust_decimal_macros::dec;

let ts = Utc::now();
let candles: Vec<Candle> = (0..20).map(|i| {
    Candle::new(dec!(100), dec!(110), dec!(90), dec!(100) + rust_decimal::Decimal::from(i), dec!(1000), ts).unwrap()
}).collect();
let sma = Sma::new(20).unwrap();
let series = sma.compute(&candles).unwrap();

// Indicators are composable
let ema = Ema::new(20).unwrap();
let ema_series = ema.compute(&candles).unwrap();

Modules

hrp

Hierarchical Risk Parity (HRP) — pure math functions.

Structs

Atr

Average True Range indicator.

BollingerBands

Bollinger Bands indicator.

BollingerResult

Bollinger Bands result containing all three bands.

Close

Passthrough indicator that returns close prices.

DetrendedOscillator

Detrended Oscillator: (close - HMA) / ATR.

Diff

Difference between two indicators: A - B

EfficiencyRatio

Kaufman Efficiency Ratio indicator.

Ema

Exponential Moving Average indicator.

HullMa

Hull Moving Average indicator.

HurstExponent

Hurst Exponent regime classifier via R/S analysis.

KalmanFilter

Kalman filter with a Local Linear Trend state-space model.

KalmanResult

Kalman filter result containing all five output series.

Lag

Lag shifts indicator values by N periods.

Macd

MACD indicator.

Momentum

Momentum indicator.

Ratio

Ratio between two indicators: A / B

RollingZScore

Rolling z-score over a sliding window of scalar observations.

Rsi

Relative Strength Index indicator.

Scale

Scale multiplies indicator values by a constant factor.

Series

A time-indexed series of values.

Sma

Simple Moving Average indicator.

StdDev

Standard Deviation indicator.

Supertrend

Supertrend trend-direction indicator.

VarianceRatio

Variance Ratio regime classifier.

VolSignalConfig

Configuration for the VolumeSignal indicator.

VolumeSignal

Output of the VolumeSignal indicator for a single candle.

VolumeSignalIndicator

Volume anomaly indicator.

Wma

Weighted Moving Average indicator.

Enums

IndicatorError

Errors that can occur during indicator computation.

Ma

Generic moving average — dispatches to the concrete MA variant.

MaType

Moving average type selector.

RatioCandleError

Errors from ratio candle synthesis.

VolumeAnomaly

Classification of volume activity relative to rolling baseline.

Traits

ClassificationIndicator

A classification indicator that maps each candle to a typed domain outcome.

Indicator

A technical indicator that computes a continuous numeric time series.

Functions

compute_log_returns

Compute log-returns as simple percentage changes: (P[i] - P[i-1]) / P[i-1].

estimate_slope

Estimate the Hurst exponent H from the log-log slope of R/S vs subseries size.

ratio_close_series

Return only the closes of a synthetic ratio series — convenience for callers that want a (timestamp, ratio_close) series for statistical analysis (Hurst, Variance Ratio, autocorrelation).

rescaled_range_for_n

Compute the average Rescaled Range statistic for a given subseries size n.

rolling_atr_mean

Compute the simple mean of true-range values in a sliding window.

synthesize_ratio_candles

Synthesize ratio candles A/B from two aligned candle series.

true_range

Calculate True Range for a candle given previous close.