quantwave_core/indicators/
sine_wave.rs

1use crate::indicators::metadata::IndicatorMetadata;
2use crate::traits::Next;
3use std::collections::VecDeque;
4
5/// Sine Wave Indicator
6///
7/// Based on John Ehlers' "Rocket Science for Traders" (Chapter 9).
8/// Uses the phase of the Hilbert Transform to plot a sine wave and a lead-sine wave.
9/// Returns (Sine, LeadSine).
10#[derive(Debug, Clone)]
11pub struct SineWave {
12    price_history: VecDeque<f64>,
13    smooth_history: VecDeque<f64>,
14    detrender_history: VecDeque<f64>,
15    i1_history: VecDeque<f64>,
16    q1_history: VecDeque<f64>,
17    period_prev: f64,
18    count: usize,
19}
20
21impl SineWave {
22    pub fn new() -> Self {
23        Self {
24            price_history: VecDeque::from(vec![0.0; 4]),
25            smooth_history: VecDeque::from(vec![0.0; 7]),
26            detrender_history: VecDeque::from(vec![0.0; 7]),
27            i1_history: VecDeque::from(vec![0.0; 7]),
28            q1_history: VecDeque::from(vec![0.0; 7]),
29            period_prev: 6.0,
30            count: 0,
31        }
32    }
33}
34
35impl Default for SineWave {
36    fn default() -> Self {
37        Self::new()
38    }
39}
40
41impl Next<f64> for SineWave {
42    type Output = (f64, f64);
43
44    fn next(&mut self, price: f64) -> Self::Output {
45        self.count += 1;
46
47        self.price_history.pop_back();
48        self.price_history.push_front(price);
49
50        if self.count < 7 {
51            return (0.0, 0.0);
52        }
53
54        // Smooth = (4*Price + 3*Price[1] + 2*Price[2] + Price[3]) / 10;
55        let smooth = (4.0 * self.price_history[0]
56            + 3.0 * self.price_history[1]
57            + 2.0 * self.price_history[2]
58            + self.price_history[3])
59            / 10.0;
60
61        self.smooth_history.pop_back();
62        self.smooth_history.push_front(smooth);
63
64        // Detrender = (.0962*Smooth + .5769*Smooth[2] - .5769*Smooth[4] - .0962*Smooth[6])*(.075*Period[1] + .54);
65        let detrender = (0.0962 * self.smooth_history[0] + 0.5769 * self.smooth_history[2]
66            - 0.5769 * self.smooth_history[4]
67            - 0.0962 * self.smooth_history[6])
68            * (0.075 * self.period_prev + 0.54);
69
70        self.detrender_history.pop_back();
71        self.detrender_history.push_front(detrender);
72
73        // Q1 = (.0962*Detrender + .5769*Detrender[2] - .5769*Detrender[4] - .0962*Detrender[6])*(.075*Period[1] + .54);
74        let q1 = (0.0962 * self.detrender_history[0] + 0.5769 * self.detrender_history[2]
75            - 0.5769 * self.detrender_history[4]
76            - 0.0962 * self.detrender_history[6])
77            * (0.075 * self.period_prev + 0.54);
78
79        // I1 = Detrender[3];
80        let i1 = self.detrender_history[3];
81
82        self.i1_history.pop_back();
83        self.i1_history.push_front(i1);
84        self.q1_history.pop_back();
85        self.q1_history.push_front(q1);
86
87        // Simple Phase calculation as per Chapter 9
88        let mut phase = 0.0;
89        if i1.abs() > 0.0001 {
90            phase = (q1 / i1).atan().to_degrees();
91        }
92
93        let sine = phase.to_radians().sin();
94        let lead_sine = (phase + 45.0).to_radians().sin();
95
96        (sine, lead_sine)
97    }
98}
99
100pub const SINE_WAVE_METADATA: IndicatorMetadata = IndicatorMetadata {
101    name: "Sine Wave",
102    description: "Plots a sine wave and a lead-sine wave based on the cyclic phase of price movement.",
103    params: &[],
104    formula_source: "https://github.com/lavs9/quantwave/blob/main/references/Ehlers%20Papers/ROCKET%20SCIENCE%20FOR%20TRADER.pdf",
105    formula_latex: r#"
106\[
107\text{Sine} = \sin(\text{Phase})
108\]
109\[
110\text{LeadSine} = \sin(\text{Phase} + 45^\circ)
111\]
112"#,
113    gold_standard_file: "sine_wave.json",
114    category: "Rocket Science",
115};
116
117#[cfg(test)]
118mod tests {
119    use super::*;
120    use crate::traits::Next;
121    use proptest::prelude::*;
122
123    #[test]
124    fn test_sine_wave_basic() {
125        let mut sw = SineWave::new();
126        let prices = vec![10.0, 11.0, 12.0, 13.0, 14.0, 15.0, 16.0];
127        for p in prices {
128            let (s, l) = sw.next(p);
129            assert!(!s.is_nan());
130            assert!(!l.is_nan());
131        }
132    }
133
134    proptest! {
135        #[test]
136        fn test_sine_wave_parity(
137            inputs in prop::collection::vec(1.0..100.0, 50..100),
138        ) {
139            let mut sw = SineWave::new();
140            let streaming_results: Vec<(f64, f64)> = inputs.iter().map(|&x| sw.next(x)).collect();
141
142            let mut sw_batch = SineWave::new();
143            let batch_results: Vec<(f64, f64)> = inputs.iter().map(|&x| sw_batch.next(x)).collect();
144
145            for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
146                approx::assert_relative_eq!(s.0, b.0, epsilon = 1e-10);
147                approx::assert_relative_eq!(s.1, b.1, epsilon = 1e-10);
148            }
149        }
150    }
151}
quantwave_core/indicators/sine_wave.rs

quantwave_core/indicators/
sine_wave.rs
