wickra_core/indicators/
fibonacci_pivots.rs

1//! Fibonacci Pivot Points.
2
3use crate::ohlcv::Candle;
4use crate::traits::Indicator;
5
6/// Fibonacci Pivot Points output: pivot plus three Fib-spaced resistances and
7/// supports.
8#[derive(Debug, Clone, Copy, PartialEq)]
9pub struct FibonacciPivotsOutput {
10    /// Pivot Point: `(H + L + C) / 3`.
11    pub pp: f64,
12    /// Resistance 1: `PP + 0.382·(H − L)`.
13    pub r1: f64,
14    /// Resistance 2: `PP + 0.618·(H − L)`.
15    pub r2: f64,
16    /// Resistance 3: `PP + 1.000·(H − L)`.
17    pub r3: f64,
18    /// Support 1: `PP − 0.382·(H − L)`.
19    pub s1: f64,
20    /// Support 2: `PP − 0.618·(H − L)`.
21    pub s2: f64,
22    /// Support 3: `PP − 1.000·(H − L)`.
23    pub s3: f64,
24}
25
26/// Fibonacci Pivot Points — the classic pivot plus three resistances and
27/// supports spaced by the Fibonacci ratios 0.382 / 0.618 / 1.000 applied to
28/// the prior bar's range.
29///
30/// ```text
31/// PP = (H + L + C) / 3
32/// R1 = PP + 0.382·(H − L)   S1 = PP − 0.382·(H − L)
33/// R2 = PP + 0.618·(H − L)   S2 = PP − 0.618·(H − L)
34/// R3 = PP + 1.000·(H − L)   S3 = PP − 1.000·(H − L)
35/// ```
36///
37/// As with [`crate::ClassicPivots`], levels are typically built from the
38/// previous session's bar. There are no parameters and no warmup.
39///
40/// # Example
41///
42/// ```
43/// use wickra_core::{Candle, FibonacciPivots, Indicator};
44///
45/// let prev = Candle::new(100.0, 110.0, 90.0, 105.0, 1.0, 0).unwrap();
46/// let levels = FibonacciPivots::new().update(prev).unwrap();
47/// assert!(levels.r3 > levels.r2);
48/// assert!(levels.r2 > levels.r1);
49/// assert!(levels.s1 > levels.s2);
50/// ```
51#[derive(Debug, Clone, Default)]
52pub struct FibonacciPivots {
53    ready: bool,
54}
55
56impl FibonacciPivots {
57    /// Construct a new Fibonacci Pivot Points indicator.
58    pub const fn new() -> Self {
59        Self { ready: false }
60    }
61}
62
63const FIB1: f64 = 0.382;
64const FIB2: f64 = 0.618;
65const FIB3: f64 = 1.000;
66
67impl Indicator for FibonacciPivots {
68    type Input = Candle;
69    type Output = FibonacciPivotsOutput;
70
71    fn update(&mut self, candle: Candle) -> Option<FibonacciPivotsOutput> {
72        let (h, l, c) = (candle.high, candle.low, candle.close);
73        let pp = (h + l + c) / 3.0;
74        let range = h - l;
75        let out = FibonacciPivotsOutput {
76            pp,
77            r1: pp + FIB1 * range,
78            r2: pp + FIB2 * range,
79            r3: pp + FIB3 * range,
80            s1: pp - FIB1 * range,
81            s2: pp - FIB2 * range,
82            s3: pp - FIB3 * range,
83        };
84        self.ready = true;
85        Some(out)
86    }
87
88    fn reset(&mut self) {
89        self.ready = false;
90    }
91
92    fn warmup_period(&self) -> usize {
93        1
94    }
95
96    fn is_ready(&self) -> bool {
97        self.ready
98    }
99
100    fn name(&self) -> &'static str {
101        "FibonacciPivots"
102    }
103}
104
105#[cfg(test)]
106mod tests {
107    use super::*;
108    use crate::traits::BatchExt;
109
110    fn c(h: f64, l: f64, close: f64, ts: i64) -> Candle {
111        Candle::new(close, h, l, close, 1.0, ts).unwrap()
112    }
113
114    #[test]
115    fn formula_reference_values() {
116        // H=110, L=90, range=20, PP = (110+90+100)/3 = 100.
117        let levels = FibonacciPivots::new()
118            .update(c(110.0, 90.0, 100.0, 0))
119            .unwrap();
120        assert!((levels.pp - 100.0).abs() < 1e-12);
121        assert!((levels.r1 - (100.0 + 0.382 * 20.0)).abs() < 1e-12);
122        assert!((levels.r2 - (100.0 + 0.618 * 20.0)).abs() < 1e-12);
123        assert!((levels.r3 - (100.0 + 20.0)).abs() < 1e-12);
124        assert!((levels.s1 - (100.0 - 0.382 * 20.0)).abs() < 1e-12);
125        assert!((levels.s2 - (100.0 - 0.618 * 20.0)).abs() < 1e-12);
126        assert!((levels.s3 - (100.0 - 20.0)).abs() < 1e-12);
127    }
128
129    #[test]
130    fn resistances_strictly_above_pp_supports_strictly_below() {
131        let levels = FibonacciPivots::new()
132            .update(c(120.0, 80.0, 110.0, 0))
133            .unwrap();
134        assert!(levels.r3 > levels.r2);
135        assert!(levels.r2 > levels.r1);
136        assert!(levels.r1 > levels.pp);
137        assert!(levels.pp > levels.s1);
138        assert!(levels.s1 > levels.s2);
139        assert!(levels.s2 > levels.s3);
140    }
141
142    #[test]
143    fn constant_series_collapses_levels() {
144        let levels = FibonacciPivots::new()
145            .update(c(50.0, 50.0, 50.0, 0))
146            .unwrap();
147        assert_eq!(levels.pp, 50.0);
148        assert_eq!(levels.r1, 50.0);
149        assert_eq!(levels.s3, 50.0);
150    }
151
152    #[test]
153    fn warmup_and_ready() {
154        let mut p = FibonacciPivots::new();
155        assert!(!p.is_ready());
156        assert_eq!(p.warmup_period(), 1);
157        p.update(c(11.0, 9.0, 10.0, 0));
158        assert!(p.is_ready());
159    }
160
161    #[test]
162    fn reset_clears_state() {
163        let mut p = FibonacciPivots::new();
164        p.update(c(11.0, 9.0, 10.0, 0));
165        p.reset();
166        assert!(!p.is_ready());
167    }
168
169    #[test]
170    fn batch_equals_streaming() {
171        let candles: Vec<Candle> = (0_i32..40)
172            .map(|i| {
173                c(
174                    f64::from(i) + 2.0,
175                    f64::from(i),
176                    f64::from(i) + 1.0,
177                    i.into(),
178                )
179            })
180            .collect();
181        let mut a = FibonacciPivots::new();
182        let mut b = FibonacciPivots::new();
183        assert_eq!(
184            a.batch(&candles),
185            candles.iter().map(|x| b.update(*x)).collect::<Vec<_>>()
186        );
187    }
188
189    #[test]
190    fn accessors_and_metadata() {
191        let p = FibonacciPivots::new();
192        assert_eq!(p.warmup_period(), 1);
193        assert_eq!(p.name(), "FibonacciPivots");
194    }
195}
wickra_core/indicators/fibonacci_pivots.rs

wickra_core/indicators/
fibonacci_pivots.rs
