quantwave_core/indicators/
pivot_points.rs

1use crate::indicators::metadata::IndicatorMetadata;
2use crate::traits::Next;
3
4/// Standard Pivot Points
5/// Uses the High, Low, and Close of the previous period to calculate
6/// the current period's Support and Resistance levels.
7/// Output: (P, R1, S1, R2, S2)
8#[derive(Debug, Clone, Default)]
9pub struct PivotPoints {
10    prev_high: Option<f64>,
11    prev_low: Option<f64>,
12    prev_close: Option<f64>,
13}
14
15impl PivotPoints {
16    pub fn new() -> Self {
17        Self::default()
18    }
19}
20
21impl Next<(f64, f64, f64)> for PivotPoints {
22    type Output = (f64, f64, f64, f64, f64);
23
24    fn next(&mut self, (high, low, close): (f64, f64, f64)) -> Self::Output {
25        let (p, r1, s1, r2, s2) = match (self.prev_high, self.prev_low, self.prev_close) {
26            (Some(ph), Some(pl), Some(pc)) => {
27                let p = (ph + pl + pc) / 3.0;
28                let r1 = (p * 2.0) - pl;
29                let s1 = (p * 2.0) - ph;
30                let r2 = p + (ph - pl);
31                let s2 = p - (ph - pl);
32                (p, r1, s1, r2, s2)
33            }
34            _ => (0.0, 0.0, 0.0, 0.0, 0.0), // Warmup
35        };
36
37        self.prev_high = Some(high);
38        self.prev_low = Some(low);
39        self.prev_close = Some(close);
40
41        (p, r1, s1, r2, s2)
42    }
43}
44
45#[cfg(test)]
46mod tests {
47    use super::*;
48    use proptest::prelude::*;
49    use serde::Deserialize;
50    use std::fs;
51    use std::path::Path;
52
53    #[derive(Debug, Deserialize)]
54    struct PivotCase {
55        high: Vec<f64>,
56        low: Vec<f64>,
57        close: Vec<f64>,
58        expected_p: Vec<f64>,
59        expected_r1: Vec<f64>,
60        expected_s1: Vec<f64>,
61        expected_r2: Vec<f64>,
62        expected_s2: Vec<f64>,
63    }
64
65    #[test]
66    fn test_pivot_points_gold_standard() {
67        let manifest_dir = std::env::var("CARGO_MANIFEST_DIR").unwrap();
68        let manifest_path = Path::new(&manifest_dir);
69        let path = manifest_path.join("tests/gold_standard/pivot_points.json");
70        let path = if path.exists() {
71            path
72        } else {
73            manifest_path
74                .parent()
75                .unwrap()
76                .join("tests/gold_standard/pivot_points.json")
77        };
78        let content = fs::read_to_string(path).unwrap();
79        let case: PivotCase = serde_json::from_str(&content).unwrap();
80
81        let mut pivot = PivotPoints::new();
82        for i in 0..case.high.len() {
83            let (p, r1, s1, r2, s2) = pivot.next((case.high[i], case.low[i], case.close[i]));
84            approx::assert_relative_eq!(p, case.expected_p[i], epsilon = 1e-6);
85            approx::assert_relative_eq!(r1, case.expected_r1[i], epsilon = 1e-6);
86            approx::assert_relative_eq!(s1, case.expected_s1[i], epsilon = 1e-6);
87            approx::assert_relative_eq!(r2, case.expected_r2[i], epsilon = 1e-6);
88            approx::assert_relative_eq!(s2, case.expected_s2[i], epsilon = 1e-6);
89        }
90    }
91
92    fn pivot_batch(data: Vec<(f64, f64, f64)>) -> Vec<(f64, f64, f64, f64, f64)> {
93        let mut pivot = PivotPoints::new();
94        data.into_iter().map(|x| pivot.next(x)).collect()
95    }
96
97    proptest! {
98        #[test]
99        fn test_pivot_points_parity(input in prop::collection::vec((0.0..100.0, 0.0..100.0, 0.0..100.0), 1..100)) {
100            let mut adj_input = Vec::with_capacity(input.len());
101            for (h, l, c) in input {
102                let h_f: f64 = h;
103                let l_f: f64 = l;
104                let c_f: f64 = c;
105                let high = h_f.max(l_f).max(c_f);
106                let low = l_f.min(h_f).min(c_f);
107                adj_input.push((high, low, c_f));
108            }
109
110            let mut pivot = PivotPoints::new();
111            let mut streaming_results = Vec::with_capacity(adj_input.len());
112            for &val in &adj_input {
113                streaming_results.push(pivot.next(val));
114            }
115
116            let batch_results = pivot_batch(adj_input);
117
118            for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
119                approx::assert_relative_eq!(s.0, b.0, epsilon = 1e-6);
120                approx::assert_relative_eq!(s.1, b.1, epsilon = 1e-6);
121                approx::assert_relative_eq!(s.2, b.2, epsilon = 1e-6);
122                approx::assert_relative_eq!(s.3, b.3, epsilon = 1e-6);
123                approx::assert_relative_eq!(s.4, b.4, epsilon = 1e-6);
124            }
125        }
126    }
127
128    #[test]
129    fn test_pivot_points_basic() {
130        let mut pivot = PivotPoints::new();
131        let (p0, _, _, _, _) = pivot.next((12.0, 8.0, 10.0));
132        assert_eq!(p0, 0.0);
133        let (p1, r1, s1, r2, s2) = pivot.next((14.0, 9.0, 11.0));
134        assert_eq!(p1, 10.0); // (12+8+10)/3
135        assert_eq!(r1, 12.0); // 20 - 8
136        assert_eq!(s1, 8.0); // 20 - 12
137        assert_eq!(r2, 14.0); // 10 + 4
138        assert_eq!(s2, 6.0); // 10 - 4
139    }
140}
141
142pub const PIVOT_POINTS_METADATA: IndicatorMetadata = IndicatorMetadata {
143    name: "Pivot Points",
144    description: "Pivot Points are used to determine overall trend over different time frames.",
145    usage: "Use to identify key daily, weekly, or monthly support and resistance levels calculated from the prior session OHLC. Pivot levels are widely watched by floor traders and algorithms alike.",
146    keywords: &["support-resistance", "classic", "levels", "pattern"],
147    ehlers_summary: "Traditional Pivot Points, widely used by floor traders, calculate a central pivot (P = (H+L+C)/3) plus support and resistance levels at fixed multiples of the prior session range. Because they are derived from universal OHLC data and widely published, they become self-fulfilling levels of institutional interest. — StockCharts ChartSchool",
148    params: &[],
149    formula_source: "https://www.investopedia.com/terms/p/pivotpoint.asp",
150    formula_latex: r#"
151\[
152P = \frac{H + L + C}{3}
153\]
154"#,
155    gold_standard_file: "pivot_points.json",
156    category: "Classic",
157};
quantwave_core/indicators/pivot_points.rs

quantwave_core/indicators/
pivot_points.rs
