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use crate::{Echo, View, EMA};
use std::collections::VecDeque;
#[derive(Clone)]
pub struct EhlersFisherTransform<V, M> {
view: V,
moving_average: M,
window_len: usize,
q_vals: VecDeque<f64>,
high: f64,
low: f64,
q_out: VecDeque<f64>,
}
impl<V, M> std::fmt::Debug for EhlersFisherTransform<V, M>
where
V: View,
M: View,
{
fn fmt(&self, fmt: &mut std::fmt::Formatter<'_>) -> Result<(), std::fmt::Error> {
write!(
fmt,
"EhlersFisherTransform(window_len: {}, q_vals: {:?}, high: {}, low: {}, q_out: {:?})",
self.window_len, self.q_vals, self.high, self.low, self.q_out
)
}
}
#[inline(always)]
pub fn new_final(window_len: usize) -> EhlersFisherTransform<Echo, EMA<Echo>> {
new_with_default_ma(Echo::new(), window_len)
}
#[inline(always)]
pub fn new_with_default_ma<V: View>(
view: V,
window_len: usize,
) -> EhlersFisherTransform<V, EMA<Echo>> {
EhlersFisherTransform::new(view, crate::ema::new_final(5), window_len)
}
impl<V, M> EhlersFisherTransform<V, M>
where
V: View,
M: View,
{
#[inline]
pub fn new(view: V, ma: M, window_len: usize) -> Self {
Self {
view,
moving_average: ma,
window_len,
q_vals: VecDeque::new(),
high: 0.0,
low: 0.0,
q_out: VecDeque::new(),
}
}
}
impl<V, M> View for EhlersFisherTransform<V, M>
where
V: View,
M: View,
{
fn update(&mut self, val: f64) {
self.view.update(val);
let val: f64 = self.view.last();
if self.q_vals.len() == 0 {
self.high = val;
self.low = val;
}
if self.q_vals.len() >= self.window_len {
let old_val = self.q_vals.pop_front().unwrap();
if old_val >= self.high {
self.high = *self
.q_vals
.iter()
.max_by(|x, y| x.partial_cmp(y).unwrap())
.unwrap();
}
if old_val <= self.low {
self.low = *self
.q_vals
.iter()
.min_by(|x, y| x.partial_cmp(y).unwrap())
.unwrap();
}
}
self.q_vals.push_back(val);
if val > self.high {
self.high = val;
} else if val < self.low {
self.low = val;
}
if self.high == self.low {
self.q_out.push_back(0.0);
return;
}
let val: f64 = 2.0 * ((val - self.low) / (self.high - self.low) - 0.5);
self.moving_average.update(val);
let mut smoothed = self.moving_average.last();
if smoothed > 0.99 {
smoothed = 0.99;
} else if smoothed < -0.99 {
smoothed = -0.99;
}
if self.q_out.len() == 0 {
self.q_out.push_back(0.0);
return;
}
let fish: f64 =
0.5 * ((1.0 + smoothed) / (1.0 - smoothed)).ln() + 0.5 * self.q_out.back().unwrap();
self.q_out.push_back(fish);
}
#[inline(always)]
fn last(&self) -> f64 {
*self.q_out.back().unwrap()
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::plot::plot_values;
use crate::test_data::TEST_DATA;
#[test]
fn ehlers_fisher_transform_plot() {
let mut eft = new_final(16);
let mut out: Vec<f64> = vec![];
for v in &TEST_DATA {
eft.update(*v);
out.push(eft.last());
}
println!("out: {:?}", out);
let filename = "img/ehlers_fisher_transform.png";
plot_values(out, filename).unwrap();
}
}