1
  2
  3
  4
  5
  6
  7
  8
  9
 10
 11
 12
 13
 14
 15
 16
 17
 18
 19
 20
 21
 22
 23
 24
 25
 26
 27
 28
 29
 30
 31
 32
 33
 34
 35
 36
 37
 38
 39
 40
 41
 42
 43
 44
 45
 46
 47
 48
 49
 50
 51
 52
 53
 54
 55
 56
 57
 58
 59
 60
 61
 62
 63
 64
 65
 66
 67
 68
 69
 70
 71
 72
 73
 74
 75
 76
 77
 78
 79
 80
 81
 82
 83
 84
 85
 86
 87
 88
 89
 90
 91
 92
 93
 94
 95
 96
 97
 98
 99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136

use std::collections::VecDeque;

use super::sliding_window::View;
use crate::Echo;

/// John Ehlers LaguerreRSI
/// from: http://mesasoftware.com/papers/TimeWarp.pdf
#[derive(Clone)]
pub struct LaguerreRSI {
    view: Box<dyn View>,
    value: f64,
    gamma: f64,
    l0s: VecDeque<f64>,
    l1s: VecDeque<f64>,
    l2s: VecDeque<f64>,
    l3s: VecDeque<f64>,
}

impl LaguerreRSI {
    /// Create a new LaguerreRSI with a chained View
    /// and a given sliding window length
    pub fn new(view: Box<dyn View>, window_len: usize) -> Box<Self> {
        Box::new(LaguerreRSI {
            view,
            value: 0.0,
            gamma: 2.0 / (window_len as f64 + 1.0),
            l0s: VecDeque::new(),
            l1s: VecDeque::new(),
            l2s: VecDeque::new(),
            l3s: VecDeque::new(),
        })
    }

    /// Create a new LaguerreRSI with a given window length
    pub fn new_final(window_len: usize) -> Box<Self> {
        Self::new(Echo::new(), window_len)
    }
}

impl View for LaguerreRSI {
    fn update(&mut self, val: f64) {
        self.view.update(val);
        let val = self.view.last();

        if self.l0s.len() >= 3 {
            self.l0s.pop_front();
            self.l1s.pop_front();
            self.l2s.pop_front();
            self.l3s.pop_front();
        }

        if self.l0s.len() < 2 {
            self.l0s.push_back(0.0);
            self.l1s.push_back(0.0);
            self.l2s.push_back(0.0);
            self.l3s.push_back(0.0);
            return;
        } else {
            let last = self.l0s.len() - 1;
            self.l0s
                .push_back((1.0 - self.gamma) * val + self.gamma * self.l0s.get(last - 1).unwrap());
            self.l1s.push_back(
                -self.gamma * self.l0s.get(last).unwrap()
                    + self.l0s.get(last - 1).unwrap()
                    + self.gamma * self.l1s.get(last - 1).unwrap(),
            );
            self.l2s.push_back(
                -self.gamma * self.l1s.get(last).unwrap()
                    + self.l1s.get(last - 1).unwrap()
                    + self.gamma * self.l2s.get(last - 1).unwrap(),
            );
            self.l3s.push_back(
                -self.gamma * self.l2s.get(last).unwrap()
                    + self.l2s.get(last - 1).unwrap()
                    + self.gamma * self.l3s.get(last - 1).unwrap(),
            );
        }
        let last = self.l0s.len() - 1;

        let mut cu: f64 = 0.0;
        let mut cd: f64 = 0.0;
        if self.l0s.get(last) >= self.l1s.get(last) {
            cu = self.l0s.get(last).unwrap() - self.l1s.get(last).unwrap();
        } else {
            cd = self.l1s.get(last).unwrap() - self.l0s.get(last).unwrap();
        }
        if self.l1s.get(last) >= self.l2s.get(last) {
            cu += self.l1s.get(last).unwrap() - self.l2s.get(last).unwrap();
        } else {
            cd += self.l2s.get(last).unwrap() - self.l1s.get(last).unwrap();
        }
        if self.l2s.get(last) >= self.l3s.get(last) {
            cu += self.l2s.get(last).unwrap() - self.l3s.get(last).unwrap();
        } else {
            cd += self.l3s.get(last).unwrap() - self.l2s.get(last).unwrap();
        }

        if cu + cd != 0.0 {
            self.value = cu / (cu + cd);
        }
    }
    fn last(&self) -> f64 {
        return self.value;
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::plot::plot_values;
    use crate::test_data::TEST_DATA;

    #[test]
    fn laguerre_rsi() {
        let mut lrsi = LaguerreRSI::new_final(16);
        for v in &TEST_DATA {
            lrsi.update(*v);
            let last = lrsi.last();
            assert!(last <= 1.0);
            assert!(last >= -1.0);
        }
    }

    #[test]
    fn laguerre_rsi_plot() {
        let mut lrsi = LaguerreRSI::new_final(16);
        let mut out: Vec<f64> = Vec::new();
        for v in &TEST_DATA {
            lrsi.update(*v);
            out.push(lrsi.last());
        }
        // graph the results
        let filename = "img/laguerre_rsi.png";
        plot_values(out, filename).unwrap();
    }
}