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use std::collections::VecDeque;
use std::fmt;
use crate::errors::*;
use crate::traits::{Close, Next, Reset};
pub struct EfficiencyRatio {
length: u32,
prices: VecDeque<f64>,
}
impl EfficiencyRatio {
pub fn new(length: u32) -> Result<Self> {
if length == 0 {
Err(Error::from_kind(ErrorKind::InvalidParameter))
} else {
let indicator = Self {
length: length,
prices: VecDeque::with_capacity(length as usize + 1),
};
Ok(indicator)
}
}
}
impl Next<f64> for EfficiencyRatio {
type Output = f64;
fn next(&mut self, input: f64) -> f64 {
self.prices.push_back(input);
if self.prices.len() <= 2 {
return 1.0;
}
let first = self.prices[0];
let volatility = self
.prices
.iter()
.skip(1)
.fold((first, 0.0), |(prev, sum), &val| {
(val, sum + (prev - val).abs())
})
.1;
let last_index = self.prices.len() - 1;
let direction = (first - self.prices[last_index]).abs();
if self.prices.len() > (self.length as usize) {
self.prices.pop_front();
}
direction / volatility
}
}
impl<'a, T: Close> Next<&'a T> for EfficiencyRatio {
type Output = f64;
fn next(&mut self, input: &'a T) -> f64 {
self.next(input.close())
}
}
impl Reset for EfficiencyRatio {
fn reset(&mut self) {
self.prices.clear();
}
}
impl Default for EfficiencyRatio {
fn default() -> Self {
Self::new(14).unwrap()
}
}
impl fmt::Display for EfficiencyRatio {
fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
write!(f, "ER({})", self.length)
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::test_helper::*;
macro_rules! test_indicator {
($i:tt) => {
#[test]
fn test_indicator() {
let bar = Bar::new();
let mut indicator = $i::default();
let first_output = indicator.next(12.3);
indicator.next(&bar);
indicator.reset();
assert_eq!(indicator.next(12.3), first_output);
format!("{}", indicator);
}
};
}
test_indicator!(EfficiencyRatio);
#[test]
fn test_new() {
assert!(EfficiencyRatio::new(0).is_err());
assert!(EfficiencyRatio::new(1).is_ok());
}
#[test]
fn test_next_f64() {
let mut er = EfficiencyRatio::new(3).unwrap();
assert_eq!(round(er.next(3.0)), 1.0);
assert_eq!(round(er.next(5.0)), 1.0);
assert_eq!(round(er.next(2.0)), 0.2);
assert_eq!(round(er.next(3.0)), 0.0);
assert_eq!(round(er.next(1.0)), 0.667);
assert_eq!(round(er.next(3.0)), 0.2);
assert_eq!(round(er.next(4.0)), 0.2);
assert_eq!(round(er.next(6.0)), 1.0);
er.reset();
assert_eq!(round(er.next(3.0)), 1.0);
assert_eq!(round(er.next(5.0)), 1.0);
assert_eq!(round(er.next(2.0)), 0.2);
assert_eq!(round(er.next(3.0)), 0.0);
}
#[test]
fn test_display() {
let er = EfficiencyRatio::new(17).unwrap();
assert_eq!(format!("{}", er), "ER(17)");
}
}