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use std::fmt;
use crate::errors::*;
use crate::{Close, Next, Reset, Update};
use std::f64::INFINITY;
#[derive(Debug, Clone)]
pub struct ExponentialMovingAverage {
length: u32,
k: f64,
current: f64,
is_new: bool,
pub cached: Vec<f64>
}
impl ExponentialMovingAverage {
pub fn new(length: u32) -> Result<Self> {
match length {
0 => Err(Error::from_kind(ErrorKind::InvalidParameter)),
_ => {
let k = 2f64 / (length as f64 + 1f64);
let indicator = Self {
length,
k,
current: 0f64,
is_new: true,
cached: vec![-INFINITY; length as usize]
};
Ok(indicator)
}
}
}
pub fn length(&self) -> u32 {
self.length
}
}
impl Next<f64> for ExponentialMovingAverage {
type Output = f64;
fn next(&mut self, input: f64) -> Self::Output {
if self.is_new {
self.is_new = false;
self.current = input;
} else {
self.current = self.k * input + (1.0 - self.k) * self.current;
}
self.cached.push(self.current.clone());
self.cached.remove(0);
self.current
}
}
impl Update<f64> for ExponentialMovingAverage {
type Output = f64;
fn update(&mut self, input: f64) -> Self::Output {
if self.is_new {
self.is_new = false;
self.current = input;
} else {
self.current = self.k * input + (1.0 - self.k) * self.cached[(self.length -2) as usize];
}
self.cached.remove((self.length - 1) as usize);
self.cached.push(self.current.clone());
self.current
}
}
impl<'a, T: Close> Next<&'a T> for ExponentialMovingAverage {
type Output = f64;
fn next(&mut self, input: &'a T) -> Self::Output {
self.next(input.close())
}
}
impl<'a, T: Close> Update<&'a T> for ExponentialMovingAverage {
type Output = f64;
fn update(&mut self, input: &'a T) -> Self::Output {
self.update(input.close())
}
}
impl Reset for ExponentialMovingAverage {
fn reset(&mut self) {
self.current = 0.0;
self.is_new = true;
}
}
impl Default for ExponentialMovingAverage {
fn default() -> Self {
Self::new(9).unwrap()
}
}
impl fmt::Display for ExponentialMovingAverage {
fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
write!(f, "EMA({})", 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!(ExponentialMovingAverage);
#[test]
fn test_new() {
assert!(ExponentialMovingAverage::new(0).is_err());
assert!(ExponentialMovingAverage::new(1).is_ok());
}
#[test]
fn test_next() {
let mut ema = ExponentialMovingAverage::new(2).unwrap();
assert_eq!(ema.next(2.0), 2.0);
assert_eq!(ema.next(5.0), 4.0);
let mut ema = ExponentialMovingAverage::new(3).unwrap();
let bar1 = Bar::new().close(2);
let bar2 = Bar::new().close(5);
assert_eq!(ema.next(&bar1), 2.0);
assert_eq!(ema.next(&bar2), 3.5);
}
#[test]
fn test_update() {
let mut ema = ExponentialMovingAverage::new(3).unwrap();
assert_eq!(ema.next(2.0), 2.0);
assert_eq!(ema.next(5.0), 3.5);
assert_eq!(ema.next(1.0), 2.25);
assert_eq!(ema.update(6.25), 4.875);
}
#[test]
fn test_reset() {
let mut ema = ExponentialMovingAverage::new(5).unwrap();
assert_eq!(ema.next(4.0), 4.0);
ema.next(10.0);
ema.next(15.0);
ema.next(20.0);
assert_ne!(ema.next(4.0), 4.0);
ema.reset();
assert_eq!(ema.next(4.0), 4.0);
}
#[test]
fn test_default() {
ExponentialMovingAverage::default();
}
#[test]
fn test_display() {
let ema = ExponentialMovingAverage::new(7).unwrap();
assert_eq!(format!("{}", ema), "EMA(7)");
}
}