wickra_core/indicators/
breadth_thrust.rs

1//! Breadth Thrust (Zweig) — a moving average of the advancing-issues share.
2
3use crate::cross_section::CrossSection;
4use crate::error::Result;
5use crate::traits::Indicator;
6use crate::Sma;
7
8/// Breadth Thrust (Zweig) — a simple moving average of the advancing-issues
9/// share, `advancers / (advancers + decliners)`.
10///
11/// Martin Zweig's breadth thrust smooths the fraction of participating issues
12/// that are advancing over a short window (the classic period is 10). A "thrust"
13/// fires when this average climbs from below ~0.40 (oversold, washed-out breadth)
14/// to above ~0.615 within about ten sessions — historically a rare, reliable
15/// signal that a powerful new advance has begun with broad participation.
16///
17/// Each tick's share floors the participating count to one, so a tick with no
18/// advancing or declining issues contributes a defined `0.0` instead of dividing
19/// by zero. The reading is `None` until `period` ticks have been seen.
20///
21/// `Input = CrossSection`, `Output = f64` (a share in `0..=1`),
22/// `warmup_period == period`.
23///
24/// # Example
25///
26/// ```
27/// use wickra_core::{BreadthThrust, CrossSection, Indicator, Member};
28///
29/// let mut bt = BreadthThrust::new(2).unwrap();
30/// let up = CrossSection::new(vec![Member::new(1.0, 1.0, false, false)], 0).unwrap();
31/// assert_eq!(bt.update(up.clone()), None); // warming up
32/// assert_eq!(bt.update(up), Some(1.0)); // both ticks 100% advancing
33/// ```
34#[derive(Debug, Clone)]
35pub struct BreadthThrust {
36    sma: Sma,
37}
38
39impl BreadthThrust {
40    /// Construct a new Breadth Thrust over the given window length.
41    ///
42    /// # Errors
43    ///
44    /// Returns [`Error::PeriodZero`](crate::Error::PeriodZero) if `period == 0`.
45    pub fn new(period: usize) -> Result<Self> {
46        Ok(Self {
47            sma: Sma::new(period)?,
48        })
49    }
50
51    /// Configured window length.
52    #[must_use]
53    pub const fn period(&self) -> usize {
54        self.sma.period()
55    }
56}
57
58impl Indicator for BreadthThrust {
59    type Input = CrossSection;
60    type Output = f64;
61
62    fn update(&mut self, section: CrossSection) -> Option<f64> {
63        let advancers = section.advancers();
64        let decliners = section.decliners();
65        let participating = (advancers + decliners).max(1) as f64;
66        let share = advancers as f64 / participating;
67        self.sma.update(share)
68    }
69
70    fn reset(&mut self) {
71        self.sma.reset();
72    }
73
74    fn warmup_period(&self) -> usize {
75        self.sma.period()
76    }
77
78    fn is_ready(&self) -> bool {
79        self.sma.value().is_some()
80    }
81
82    fn name(&self) -> &'static str {
83        "BreadthThrust"
84    }
85}
86
87#[cfg(test)]
88mod tests {
89    use super::*;
90    use crate::cross_section::Member;
91    use crate::error::Error;
92    use crate::traits::BatchExt;
93
94    fn section(up: usize, down: usize) -> CrossSection {
95        let mut members = Vec::new();
96        for _ in 0..up {
97            members.push(Member::new(1.0, 10.0, false, false));
98        }
99        for _ in 0..down {
100            members.push(Member::new(-1.0, 10.0, false, false));
101        }
102        members.push(Member::new(0.0, 10.0, false, false));
103        CrossSection::new(members, 0).unwrap()
104    }
105
106    #[test]
107    fn accessors_and_metadata() {
108        let bt = BreadthThrust::new(10).unwrap();
109        assert_eq!(bt.name(), "BreadthThrust");
110        assert_eq!(bt.warmup_period(), 10);
111        assert_eq!(bt.period(), 10);
112        assert!(!bt.is_ready());
113    }
114
115    #[test]
116    fn rejects_zero_period() {
117        assert!(matches!(BreadthThrust::new(0), Err(Error::PeriodZero)));
118    }
119
120    #[test]
121    fn averages_the_advancing_share() {
122        let mut bt = BreadthThrust::new(2).unwrap();
123        // share = 8 / 10 = 0.8 ; window not full yet.
124        assert_eq!(bt.update(section(8, 2)), None);
125        // share = 6 / 10 = 0.6 ; SMA(2) = (0.8 + 0.6) / 2 = 0.7.
126        let value = bt.update(section(6, 4)).unwrap();
127        assert!((value - 0.7).abs() < 1e-9);
128        assert!(bt.is_ready());
129        // share = 5 / 10 = 0.5 ; SMA(2) = (0.6 + 0.5) / 2 = 0.55.
130        let value = bt.update(section(5, 5)).unwrap();
131        assert!((value - 0.55).abs() < 1e-9);
132    }
133
134    #[test]
135    fn empty_participation_floors_to_zero_share() {
136        let mut bt = BreadthThrust::new(1).unwrap();
137        // No advancers or decliners -> 0 / max(0, 1) = 0.0.
138        assert_eq!(bt.update(section(0, 0)), Some(0.0));
139    }
140
141    #[test]
142    fn reset_clears_state() {
143        let mut bt = BreadthThrust::new(2).unwrap();
144        bt.update(section(8, 2));
145        bt.update(section(6, 4));
146        assert!(bt.is_ready());
147        bt.reset();
148        assert!(!bt.is_ready());
149        assert_eq!(bt.update(section(8, 2)), None);
150    }
151
152    #[test]
153    fn batch_equals_streaming() {
154        let sections = vec![section(8, 2), section(6, 4), section(5, 5), section(0, 0)];
155        let mut a = BreadthThrust::new(2).unwrap();
156        let mut b = BreadthThrust::new(2).unwrap();
157        assert_eq!(
158            a.batch(&sections),
159            sections
160                .iter()
161                .map(|s| b.update(s.clone()))
162                .collect::<Vec<_>>()
163        );
164    }
165}
wickra_core/indicators/breadth_thrust.rs

wickra_core/indicators/
breadth_thrust.rs
