wickra_core/indicators/
donchian.rs

1//! Donchian Channels.
2
3use std::collections::VecDeque;
4
5use crate::error::{Error, Result};
6use crate::ohlcv::Candle;
7use crate::traits::Indicator;
8
9/// Donchian Channels output.
10#[derive(Debug, Clone, Copy, PartialEq)]
11pub struct DonchianOutput {
12    /// Highest high over the lookback.
13    pub upper: f64,
14    /// Average of upper and lower.
15    pub middle: f64,
16    /// Lowest low over the lookback.
17    pub lower: f64,
18}
19
20/// Donchian Channels: rolling highest high / lowest low envelopes.
21///
22/// # Example
23///
24/// ```
25/// use wickra_core::{Candle, Indicator, Donchian};
26///
27/// let mut indicator = Donchian::new(5).unwrap();
28/// let mut last = None;
29/// for i in 0..80 {
30///     let base = 100.0 + f64::from(i);
31///     let candle =
32///         Candle::new(base, base + 2.0, base - 2.0, base + 1.0, 10.0, i64::from(i)).unwrap();
33///     last = indicator.update(candle);
34/// }
35/// assert!(last.is_some());
36/// ```
37#[derive(Debug, Clone)]
38pub struct Donchian {
39    period: usize,
40    candles: VecDeque<Candle>,
41}
42
43impl Donchian {
44    /// # Errors
45    /// Returns [`Error::PeriodZero`] if `period == 0`.
46    pub fn new(period: usize) -> Result<Self> {
47        if period == 0 {
48            return Err(Error::PeriodZero);
49        }
50        Ok(Self {
51            period,
52            candles: VecDeque::with_capacity(period),
53        })
54    }
55
56    /// Configured period.
57    pub const fn period(&self) -> usize {
58        self.period
59    }
60}
61
62impl Indicator for Donchian {
63    type Input = Candle;
64    type Output = DonchianOutput;
65
66    fn update(&mut self, candle: Candle) -> Option<DonchianOutput> {
67        if self.candles.len() == self.period {
68            self.candles.pop_front();
69        }
70        self.candles.push_back(candle);
71        if self.candles.len() < self.period {
72            return None;
73        }
74        let upper = self
75            .candles
76            .iter()
77            .map(|c| c.high)
78            .fold(f64::NEG_INFINITY, f64::max);
79        let lower = self
80            .candles
81            .iter()
82            .map(|c| c.low)
83            .fold(f64::INFINITY, f64::min);
84        Some(DonchianOutput {
85            upper,
86            middle: f64::midpoint(upper, lower),
87            lower,
88        })
89    }
90
91    fn reset(&mut self) {
92        self.candles.clear();
93    }
94
95    fn warmup_period(&self) -> usize {
96        self.period
97    }
98
99    fn is_ready(&self) -> bool {
100        self.candles.len() == self.period
101    }
102
103    fn name(&self) -> &'static str {
104        "DonchianChannels"
105    }
106}
107
108#[cfg(test)]
109mod tests {
110    use super::*;
111    use crate::traits::BatchExt;
112    use approx::assert_relative_eq;
113
114    fn c(h: f64, l: f64, cl: f64) -> Candle {
115        Candle::new(cl, h, l, cl, 1.0, 0).unwrap()
116    }
117
118    #[test]
119    fn flat_market_yields_equal_bands() {
120        let candles: Vec<Candle> = (0..20).map(|_| c(11.0, 9.0, 10.0)).collect();
121        let mut d = Donchian::new(5).unwrap();
122        let last = d.batch(&candles).into_iter().flatten().last().unwrap();
123        assert_relative_eq!(last.upper, 11.0, epsilon = 1e-12);
124        assert_relative_eq!(last.lower, 9.0, epsilon = 1e-12);
125        assert_relative_eq!(last.middle, 10.0, epsilon = 1e-12);
126    }
127
128    #[test]
129    fn batch_equals_streaming() {
130        let candles: Vec<Candle> = (0..40)
131            .map(|i| c(f64::from(i) + 2.0, f64::from(i), f64::from(i) + 1.0))
132            .collect();
133        let mut a = Donchian::new(10).unwrap();
134        let mut b = Donchian::new(10).unwrap();
135        assert_eq!(
136            a.batch(&candles),
137            candles.iter().map(|x| b.update(*x)).collect::<Vec<_>>()
138        );
139    }
140
141    #[test]
142    fn upper_above_middle_above_lower() {
143        let candles: Vec<Candle> = (0..50)
144            .map(|i| c(f64::from(i) + 1.0, f64::from(i) - 1.0, f64::from(i)))
145            .collect();
146        let mut d = Donchian::new(10).unwrap();
147        for o in d.batch(&candles).into_iter().flatten() {
148            assert!(o.upper >= o.middle);
149            assert!(o.middle >= o.lower);
150        }
151    }
152
153    #[test]
154    fn rejects_zero_period() {
155        assert!(Donchian::new(0).is_err());
156    }
157
158    /// Cover the const accessor `period` (57-59) and the Indicator-impl
159    /// `warmup_period` (95-97) + `name` (103-105). Existing tests never
160    /// inspect these metadata methods.
161    #[test]
162    fn accessors_and_metadata() {
163        let d = Donchian::new(20).unwrap();
164        assert_eq!(d.period(), 20);
165        assert_eq!(d.warmup_period(), 20);
166        assert_eq!(d.name(), "DonchianChannels");
167    }
168
169    #[test]
170    fn reset_clears_state() {
171        let candles: Vec<Candle> = (0..20)
172            .map(|i| c(f64::from(i) + 1.0, f64::from(i) - 1.0, f64::from(i)))
173            .collect();
174        let mut d = Donchian::new(5).unwrap();
175        d.batch(&candles);
176        assert!(d.is_ready());
177        d.reset();
178        assert!(!d.is_ready());
179        assert_eq!(d.update(candles[0]), None);
180    }
181}
wickra_core/indicators/donchian.rs

wickra_core/indicators/
donchian.rs
