wickra_core/indicators/
roc.rs

1//! Rate of Change (ROC).
2
3use std::collections::VecDeque;
4
5use crate::error::{Error, Result};
6use crate::traits::Indicator;
7
8/// Rate of Change as a percentage: `(close - close[period]) / close[period] * 100`.
9///
10/// Non-finite inputs are ignored and leave the window untouched; the last
11/// computed value is returned instead, matching the SMA / EMA convention.
12///
13/// # Example
14///
15/// ```
16/// use wickra_core::{Indicator, Roc};
17///
18/// let mut indicator = Roc::new(3).unwrap();
19/// let mut last = None;
20/// for i in 0..80 {
21///     last = indicator.update(100.0 + f64::from(i));
22/// }
23/// assert!(last.is_some());
24/// ```
25#[derive(Debug, Clone)]
26pub struct Roc {
27    period: usize,
28    window: VecDeque<f64>,
29    last: Option<f64>,
30}
31
32impl Roc {
33    /// # Errors
34    /// Returns [`Error::PeriodZero`] if `period == 0`.
35    pub fn new(period: usize) -> Result<Self> {
36        if period == 0 {
37            return Err(Error::PeriodZero);
38        }
39        Ok(Self {
40            period,
41            window: VecDeque::with_capacity(period + 1),
42            last: None,
43        })
44    }
45
46    /// Configured period.
47    pub const fn period(&self) -> usize {
48        self.period
49    }
50}
51
52impl Indicator for Roc {
53    type Input = f64;
54    type Output = f64;
55
56    fn update(&mut self, input: f64) -> Option<f64> {
57        // Non-finite inputs are ignored: return the last value, leave state as is.
58        if !input.is_finite() {
59            return self.last;
60        }
61        if self.window.len() == self.period + 1 {
62            self.window.pop_front();
63        }
64        self.window.push_back(input);
65        if self.window.len() < self.period + 1 {
66            return None;
67        }
68        let prev = *self.window.front().expect("non-empty");
69        let roc = if prev == 0.0 {
70            0.0
71        } else {
72            (input - prev) / prev * 100.0
73        };
74        self.last = Some(roc);
75        Some(roc)
76    }
77
78    fn reset(&mut self) {
79        self.window.clear();
80        self.last = None;
81    }
82
83    fn warmup_period(&self) -> usize {
84        self.period + 1
85    }
86
87    fn is_ready(&self) -> bool {
88        self.window.len() == self.period + 1
89    }
90
91    fn name(&self) -> &'static str {
92        "ROC"
93    }
94}
95
96#[cfg(test)]
97mod tests {
98    use super::*;
99    use crate::traits::BatchExt;
100    use approx::assert_relative_eq;
101
102    #[test]
103    fn constant_series_yields_zero() {
104        let mut roc = Roc::new(5).unwrap();
105        let out = roc.batch(&[10.0_f64; 20]);
106        for v in out.iter().skip(5).flatten() {
107            assert_relative_eq!(*v, 0.0, epsilon = 1e-12);
108        }
109    }
110
111    #[test]
112    fn known_value() {
113        // ROC(3) where prev = 100, now = 110 -> 10%
114        let mut roc = Roc::new(3).unwrap();
115        let out = roc.batch(&[100.0, 105.0, 108.0, 110.0]);
116        assert_relative_eq!(out[3].unwrap(), 10.0, epsilon = 1e-12);
117    }
118
119    #[test]
120    fn batch_equals_streaming() {
121        let prices: Vec<f64> = (1..=30).map(|i| f64::from(i) * 2.0).collect();
122        let mut a = Roc::new(5).unwrap();
123        let mut b = Roc::new(5).unwrap();
124        assert_eq!(
125            a.batch(&prices),
126            prices.iter().map(|p| b.update(*p)).collect::<Vec<_>>()
127        );
128    }
129
130    #[test]
131    fn reset_clears_state() {
132        let mut roc = Roc::new(5).unwrap();
133        roc.batch(&[1.0, 2.0, 3.0, 4.0, 5.0, 6.0]);
134        assert!(roc.is_ready());
135        roc.reset();
136        assert!(!roc.is_ready());
137    }
138
139    #[test]
140    fn rejects_zero_period() {
141        assert!(Roc::new(0).is_err());
142    }
143
144    /// Cover the const accessor `period` (47-49) and the Indicator-impl
145    /// `warmup_period` (83-85) + `name` (91-93). Existing tests never
146    /// inspect these metadata methods.
147    #[test]
148    fn accessors_and_metadata() {
149        let roc = Roc::new(5).unwrap();
150        assert_eq!(roc.period(), 5);
151        assert_eq!(roc.warmup_period(), 6);
152        assert_eq!(roc.name(), "ROC");
153    }
154
155    /// Cover the `prev == 0.0` defensive branch (line 70). All existing
156    /// tests use prices ≥ 1.0, so the divide-by-zero guard was never
157    /// triggered. Feed a leading zero followed by `period` more values
158    /// so the front of the window is exactly 0.0, then assert the next
159    /// emission is the flat-momentum fallback 0.0 (not NaN).
160    #[test]
161    fn zero_previous_price_yields_zero_roc() {
162        let mut roc = Roc::new(3).unwrap();
163        let out = roc.batch(&[0.0, 5.0, 7.0, 9.0]);
164        let v = out[3].expect("ready after period + 1 inputs");
165        assert_eq!(v, 0.0);
166    }
167
168    #[test]
169    fn ignores_non_finite_input() {
170        let mut roc = Roc::new(3).unwrap();
171        let out = roc.batch(&[100.0, 105.0, 108.0, 110.0]);
172        let ready = out[3].expect("ROC(3) ready after four inputs");
173        // Non-finite inputs return the last value without sliding the window.
174        assert_eq!(roc.update(f64::NAN), Some(ready));
175        assert_eq!(roc.update(f64::INFINITY), Some(ready));
176        // Window untouched: the next finite input still references prev = 105.
177        assert_relative_eq!(
178            roc.update(115.0).unwrap(),
179            (115.0 - 105.0) / 105.0 * 100.0,
180            epsilon = 1e-12
181        );
182    }
183}
wickra_core/indicators/roc.rs

wickra_core/indicators/
roc.rs
