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
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
#![allow(dead_code)]

use std::collections::VecDeque;
use std::fmt;

use crate::errors::*;
use crate::traits::{Close, Next, Reset};

use crate::{Factory};
use crate::indicators::SimpleMovingAverage;

pub struct RocFactory {
}

impl RocFactory {
    pub fn new() -> Self {
        Self{}
    }
}

impl Factory for RocFactory {
    fn create() -> Box<dyn Next<f64, Output = Box<[f64]>>> {
        Box::new(SimpleMovingAverage::default())
    }
}

/// Rate of Change (ROC)
///
/// # Formula
///
/// ROC = (Price<sub>t</sub> - Price<sub>t-n</sub>) / Price<sub>t-n</sub> * 100
///
/// Where:
///
/// * ROC - current value of Rate of Change indicator
/// * P<sub>t</sub> - price at the moment
/// * P<sub>t-n</sub> - price _n_ periods ago
///
/// # Parameters
///
/// * _length_ - number of periods (_n_), integer greater than 0
///
/// # Example
///
/// ```
/// use core::indicators::RateOfChange;
/// use core::Next;
///
/// let mut roc = RateOfChange::new(2).unwrap();
/// assert_eq!(roc.next(10.0), 0.0);            //  0
/// assert_eq!(roc.next(9.7).round(), -3.0);    //  (9.7 - 10) / 10  * 100 = -3
/// assert_eq!(roc.next(20.0).round(), 100.0);  //  (20 - 10)  / 10  * 100 = 100
/// assert_eq!(roc.next(20.0).round(), 106.0);  //  (20 - 9.7) / 9.7 * 100 = 106
/// ```
///
/// # Links
///
/// * [Rate of Change, Wikipedia](https://en.wikipedia.org/wiki/Momentum_(technical_analysis))
///

#[derive(Debug, Clone)]
pub struct RateOfChange {
    length: u32,
    prices: VecDeque<f64>,
}

impl RateOfChange {
    pub fn new(length: u32) -> Result<Self> {
        match length {
            0 => Err(Error::from_kind(ErrorKind::InvalidParameter)),
            _ => {
                let indicator = Self {
                    length: length,
                    prices: VecDeque::with_capacity(length as usize + 1),
                };
                Ok(indicator)
            }
        }
    }
}

impl Next<f64> for RateOfChange {
    type Output = f64;

    fn next(&mut self, input: f64) -> f64 {
        self.prices.push_back(input);

        if self.prices.len() == 1 {
            return 0.0;
        }

        let initial_price = if self.prices.len() > (self.length as usize) {
            // unwrap is safe, because the check above.
            // At this moment there must be at least 2 items in self.prices
            self.prices.pop_front().unwrap()
        } else {
            self.prices[0]
        };

        (input - initial_price) / initial_price * 100.0
    }
}

impl<'a, T: Close> Next<&'a T> for RateOfChange {
    type Output = f64;

    fn next(&mut self, input: &'a T) -> f64 {
        self.next(input.close())
    }
}

impl Default for RateOfChange {
    fn default() -> Self {
        Self::new(9).unwrap()
    }
}

impl fmt::Display for RateOfChange {
    fn fmt(&self, f: &mut fmt::Formatter) -> fmt::Result {
        write!(f, "ROC({})", self.length)
    }
}

impl Reset for RateOfChange {
    fn reset(&mut self) {
        self.prices.clear();
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use crate::test_helper::*;

    // test_indicator!(RateOfChange);

    #[test]
    fn test_new() {
        assert!(RateOfChange::new(0).is_err());
        assert!(RateOfChange::new(1).is_ok());
        assert!(RateOfChange::new(100_000).is_ok());
    }

    #[test]
    fn test_next_f64() {
        let mut roc = RateOfChange::new(3).unwrap();

        assert_eq!(round(roc.next(10.0)), 0.0);
        assert_eq!(round(roc.next(10.4)), 4.0);
        assert_eq!(round(roc.next(10.57)), 5.7);
        assert_eq!(round(roc.next(10.8)), 8.0);
        assert_eq!(round(roc.next(10.9)), 4.808);
        assert_eq!(round(roc.next(10.0)), -5.393);
    }

    #[test]
    fn test_next_bar() {
        fn bar(close: f64) -> Bar {
            Bar::new().close(close)
        }

        let mut roc = RateOfChange::new(3).unwrap();

        assert_eq!(round(roc.next(&bar(10.0))), 0.0);
        assert_eq!(round(roc.next(&bar(10.4))), 4.0);
        assert_eq!(round(roc.next(&bar(10.57))), 5.7);
    }

    #[test]
    fn test_reset() {
        let mut roc = RateOfChange::new(3).unwrap();

        roc.next(12.3);
        roc.next(15.0);

        roc.reset();

        assert_eq!(round(roc.next(10.0)), 0.0);
        assert_eq!(round(roc.next(10.4)), 4.0);
        assert_eq!(round(roc.next(10.57)), 5.7);
    }
}