sliding_features/sliding_windows/
cyber_cycle.rs

1//! John Ehlers Cyber Cycle Indicator
2//! from: <https://www.mesasoftware.com/papers/TheInverseFisherTransform.pdf>
3
4use getset::CopyGetters;
5use num::Float;
6use std::{collections::VecDeque, num::NonZeroUsize};
7
8use crate::View;
9
10/// John Ehlers Cyber Cycle Indicator
11/// from: <https://www.mesasoftware.com/papers/TheInverseFisherTransform.pdf>
12#[derive(Clone, Debug, CopyGetters)]
13pub struct CyberCycle<T, V> {
14    view: V,
15    /// The sliding window length
16    #[getset(get_copy = "pub")]
17    window_len: NonZeroUsize,
18    alpha: T,
19    vals: VecDeque<T>,
20    out: VecDeque<T>,
21    // avoid allocation in `update` step by re-using this buffer.
22    smooth: Vec<T>,
23}
24
25impl<T, V> CyberCycle<T, V>
26where
27    V: View<T>,
28    T: Float,
29{
30    /// Create a new Cyber Cycle Indicator with a chained View
31    /// and a given window length
32    #[inline]
33    pub fn new(view: V, window_len: NonZeroUsize) -> Self {
34        CyberCycle {
35            view,
36            window_len,
37            alpha: T::from(2.0).expect("can convert")
38                / (T::from(window_len.get()).expect("can convert") + T::one()),
39            vals: VecDeque::with_capacity(window_len.get()),
40            out: VecDeque::with_capacity(window_len.get()),
41            smooth: vec![T::zero(); window_len.get()],
42        }
43    }
44}
45
46impl<T, V> View<T> for CyberCycle<T, V>
47where
48    V: View<T>,
49    T: Float,
50{
51    fn update(&mut self, val: T) {
52        debug_assert!(val.is_finite(), "value must be finite");
53        self.view.update(val);
54        let Some(val) = self.view.last() else { return };
55        debug_assert!(val.is_finite(), "value must be finite");
56
57        if self.vals.len() >= self.window_len.get() {
58            self.vals.pop_front();
59            self.out.pop_front();
60        }
61        self.vals.push_back(val);
62
63        if self.vals.len() < self.window_len.get() {
64            self.out.push_back(T::zero());
65            return;
66        }
67        let last = self.vals.len() - 1;
68        let two = T::from(2.0).expect("can convert");
69        for (i, v) in self
70            .smooth
71            .iter_mut()
72            .enumerate()
73            .take(self.vals.len())
74            .skip(3)
75        {
76            *v = (val
77                + two * *self.vals.get(i - 1).unwrap()
78                + two * *self.vals.get(i - 2).unwrap()
79                + *self.vals.get(i - 3).unwrap())
80                / T::from(6.0).expect("can convert")
81        }
82        let cc = (T::one() - T::from(0.5).expect("can convert") * self.alpha).powi(2)
83            * (self.smooth[last] - two * self.smooth[last - 1] + self.smooth[last - 2])
84            + two * (T::one() - self.alpha) * *self.out.get(last - 1).unwrap()
85            - (T::one() - self.alpha).powi(2) * *self.out.get(last - 2).unwrap();
86        debug_assert!(cc.is_finite(), "value must be finite");
87        self.out.push_back(cc);
88    }
89
90    #[inline(always)]
91    fn last(&self) -> Option<T> {
92        self.out.back().copied()
93    }
94}
95
96#[cfg(test)]
97mod tests {
98    use super::*;
99    use crate::plot::plot_values;
100    use crate::pure_functions::Echo;
101    use crate::test_data::TEST_DATA;
102
103    #[test]
104    fn cyber_cycle_plot() {
105        let mut cc = CyberCycle::new(Echo::new(), NonZeroUsize::new(16).unwrap());
106        let mut out: Vec<f64> = Vec::new();
107        for v in &TEST_DATA {
108            cc.update(*v);
109            out.push(cc.last().unwrap());
110        }
111        let filename = "img/cyber_cycle.png";
112        plot_values(out, filename).unwrap();
113    }
114}
sliding_features/sliding_windows/cyber_cycle.rs

sliding_features/sliding_windows/
cyber_cycle.rs
