quantaxis_rs/indicators/

exponential_moving_average.rs

use std::fmt;

use crate::errors::*;
use crate::{Close, Next, Reset, Update};
use std::f64::INFINITY;

/// An exponential moving average (EMA), also known as an exponentially weighted moving average
/// (EWMA).
///
/// It is a type of infinite impulse response filter that applies weighting factors which decrease exponentially.
/// The weighting for each older datum decreases exponentially, never reaching zero.
///
/// # Formula
///
/// ![EMA formula](https://wikimedia.org/api/rest_v1/media/math/render/svg/05d06bdbee2c14031fd91ead6f5f772aec1ec964)
///
/// Where:
///
/// * _EMA<sub>t</sub>_ - is the value of the EMA at any time period _t_.
/// * _EMA<sub>t-1</sub>_ - is the value of the EMA at the previous period _t-1_.
/// * _p<sub>t</sub>_ - is the input value at a time period t.
/// * _α_ - is the coefficient that represents the degree of weighting decrease, a constant smoothing factor between 0 and 1.
///
/// _α_ is calculated with the following formula:
///
/// ![alpha formula](https://wikimedia.org/api/rest_v1/media/math/render/svg/d9f6258e152db0644af548972bd6c50a8becf7ee)
///
/// Where:
///
/// * _length_ - number of periods
///
/// # Parameters
///
/// * _length_ - number of periods (integer greater than 0)
///
/// # Example
///
/// ```
/// use quantaxis_rs::indicators::ExponentialMovingAverage;
/// use quantaxis_rs::Next;
///
/// 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.next(6.25), 4.25);
/// ```
///
/// # Links
///
/// * [Exponential moving average, Wikipedia](https://en.wikipedia.org/wiki/Moving_average#Exponential_moving_average)
///

#[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();

                // ensure Default trait is implemented
                let mut indicator = $i::default();

                // ensure Next<f64> is implemented
                let first_output = indicator.next(12.3);

                // ensure next accepts &DataItem as well
                indicator.next(&bar);

                // ensure Reset is implemented and works correctly
                indicator.reset();
                assert_eq!(indicator.next(12.3), first_output);

                // ensure Display is implemented
                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);
        // assert_eq!(ema.next(1.0), 2.25);
        // assert_eq!(ema.next(6.25), 4.875);

        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);

        // 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_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)");
    }
}