quantwave_core/indicators/
oc_price_rsi.rs

1use crate::indicators::metadata::{IndicatorMetadata, ParamDef};
2use crate::indicators::momentum::RSI;
3use crate::traits::Next;
4
5/// OCPrice RSI
6///
7/// Based on John Ehlers' "Every Little Bit Helps".
8/// Uses the average of Open and Close as the input to a standard RSI
9/// to reduce Nyquist frequency noise and provide a half-bar lead.
10#[derive(Debug, Clone)]
11pub struct OCPriceRSI {
12    rsi: RSI,
13}
14
15impl OCPriceRSI {
16    pub fn new(period: usize) -> Self {
17        Self {
18            rsi: RSI::new(period),
19        }
20    }
21}
22
23impl Default for OCPriceRSI {
24    fn default() -> Self {
25        Self::new(14)
26    }
27}
28
29impl Next<(f64, f64)> for OCPriceRSI {
30    type Output = f64;
31
32    fn next(&mut self, input: (f64, f64)) -> Self::Output {
33        let (open, close) = input;
34        let oc_avg = (open + close) / 2.0;
35        self.rsi.next(oc_avg)
36    }
37}
38
39pub const OC_PRICE_RSI_METADATA: IndicatorMetadata = IndicatorMetadata {
40    name: "OCPriceRSI",
41    description: "RSI calculated using the average of Open and Close prices to reduce noise.",
42    usage: "Use to measure momentum on the open-to-close price differential rather than close-to-close, capturing intraday directional strength more directly.",
43    keywords: &["oscillator", "rsi", "ehlers", "momentum"],
44    ehlers_summary: "Ehlers computes this RSI variant on the difference between the open and close price of each bar rather than on the closing price series. The open-close differential captures the net directional pressure within each bar, producing a momentum oscillator more sensitive to intraday commitment than standard RSI.",
45    params: &[ParamDef {
46        name: "period",
47        default: "14",
48        description: "RSI period",
49    }],
50    formula_source: "https://github.com/lavs9/quantwave/blob/main/references/Ehlers%20Papers/EveryLittleBitHelps.pdf",
51    formula_latex: r#"
52\[
53Input = \frac{Open + Close}{2}
54\]
55\[
56RSI = \text{Wilder's RSI}(Input, Period)
57\]
58"#,
59    gold_standard_file: "oc_price_rsi.json",
60    category: "Ehlers DSP",
61};
62
63#[cfg(test)]
64mod tests {
65    use super::*;
66    use crate::test_utils::{assert_indicator_parity_oc, load_gold_standard_oc};
67    use crate::traits::Next;
68    use proptest::prelude::*;
69
70    #[test]
71    fn test_oc_price_rsi_gold_standard() {
72        let case = load_gold_standard_oc("oc_price_rsi");
73        let ocrsi = OCPriceRSI::new(14);
74        assert_indicator_parity_oc(ocrsi, &case.input, &case.expected);
75    }
76
77    #[test]
78    fn test_oc_price_rsi_basic() {
79        let mut ocrsi = OCPriceRSI::new(14);
80        for i in 0..50 {
81            let val = ocrsi.next((100.0 + i as f64, 101.0 + i as f64));
82            if i >= 14 {
83                assert!(!val.is_nan());
84            }
85        }
86    }
87
88    proptest! {
89        #[test]
90        fn test_oc_price_rsi_parity(
91            opens in prop::collection::vec(1.0..100.0, 50..100),
92            closes in prop::collection::vec(1.0..100.0, 50..100),
93        ) {
94            let period = 14;
95            let mut ocrsi = OCPriceRSI::new(period);
96
97            let min_len = opens.len().min(closes.len());
98            let inputs: Vec<(f64, f64)> = opens[..min_len].iter().cloned().zip(closes[..min_len].iter().cloned()).collect();
99            let streaming_results: Vec<f64> = inputs.iter().map(|&x| ocrsi.next(x)).collect();
100
101            // Batch implementation
102            let mut batch_results = Vec::with_capacity(min_len);
103            let mut rsi = RSI::new(period);
104            for &(o, c) in &inputs {
105                batch_results.push(rsi.next((o + c) / 2.0));
106            }
107
108            for (s, b) in streaming_results.iter().zip(batch_results.iter()) {
109                if s.is_nan() {
110                    assert!(b.is_nan());
111                } else {
112                    approx::assert_relative_eq!(s, b, epsilon = 1e-10);
113                }
114            }
115        }
116    }
117}
quantwave_core/indicators/oc_price_rsi.rs

quantwave_core/indicators/
oc_price_rsi.rs
