wickra_core/indicators/
fib_retracement.rs

1//! Fibonacci Retracement of the most recent confirmed swing leg.
2
3use crate::indicators::pattern_swing::{SwingTracker, SWING_THRESHOLD};
4use crate::ohlcv::Candle;
5use crate::traits::Indicator;
6
7/// The seven canonical retracement ratios, in ascending order. `0.0` marks the
8/// most recent swing extreme (the end of the leg) and `1.0` the swing origin
9/// (its start); the interior ratios are the classic Fibonacci pullbacks.
10const RATIOS: [f64; 7] = [0.0, 0.236, 0.382, 0.5, 0.618, 0.786, 1.0];
11
12/// Fibonacci Retracement levels for the most recent swing leg.
13///
14/// Each field is the price at the matching retracement ratio, measured from the
15/// leg's end (`level_0`, the latest confirmed extreme) back toward its start
16/// (`level_1000`, the prior pivot).
17#[derive(Debug, Clone, Copy, PartialEq)]
18pub struct FibRetracementOutput {
19    /// 0.0% — the most recent confirmed swing extreme.
20    pub level_0: f64,
21    /// 23.6% retracement.
22    pub level_236: f64,
23    /// 38.2% retracement.
24    pub level_382: f64,
25    /// 50% retracement (not a Fibonacci ratio, but conventionally drawn).
26    pub level_500: f64,
27    /// 61.8% retracement — the "golden ratio" pullback.
28    pub level_618: f64,
29    /// 78.6% retracement.
30    pub level_786: f64,
31    /// 100% — the swing origin.
32    pub level_1000: f64,
33}
34
35/// Fibonacci Retracement (`FibRetracement`).
36///
37/// Tracks confirmed swing pivots with a baked-in 5% reversal threshold (the
38/// same non-repainting logic as [`crate::indicators::ZigZag`]) and, once two
39/// pivots exist, reports the seven retracement levels of the leg between them.
40///
41/// The levels are recomputed each time a new pivot confirms; between
42/// confirmations [`Indicator::update`] returns the locked levels of the current
43/// leg. Before the first leg is complete it returns `None`.
44///
45/// Parameter-free: the threshold is a compile-time constant, mirroring the
46/// chart- and harmonic-pattern detectors, so construction is infallible.
47///
48/// See `crates/wickra-core/src/indicators/fib_retracement.rs`.
49#[derive(Debug, Clone)]
50pub struct FibRetracement {
51    swing: SwingTracker,
52}
53
54impl FibRetracement {
55    /// Construct a new Fibonacci Retracement tracker.
56    #[must_use]
57    pub const fn new() -> Self {
58        Self {
59            swing: SwingTracker::new(SWING_THRESHOLD, 2),
60        }
61    }
62
63    /// Retracement price at ratio `r` for a leg from `start` to `end`: `0.0`
64    /// sits on `end`, `1.0` on `start`.
65    fn level(start: f64, end: f64, r: f64) -> f64 {
66        end + r * (start - end)
67    }
68
69    fn levels(&self) -> Option<FibRetracementOutput> {
70        let pivots = self.swing.pivots();
71        let [start, end] = [pivots.first()?.price, pivots.get(1)?.price];
72        Some(FibRetracementOutput {
73            level_0: Self::level(start, end, RATIOS[0]),
74            level_236: Self::level(start, end, RATIOS[1]),
75            level_382: Self::level(start, end, RATIOS[2]),
76            level_500: Self::level(start, end, RATIOS[3]),
77            level_618: Self::level(start, end, RATIOS[4]),
78            level_786: Self::level(start, end, RATIOS[5]),
79            level_1000: Self::level(start, end, RATIOS[6]),
80        })
81    }
82}
83
84impl Default for FibRetracement {
85    fn default() -> Self {
86        Self::new()
87    }
88}
89
90impl Indicator for FibRetracement {
91    type Input = Candle;
92    type Output = FibRetracementOutput;
93
94    fn update(&mut self, candle: Candle) -> Option<FibRetracementOutput> {
95        self.swing.update(candle);
96        self.levels()
97    }
98
99    fn reset(&mut self) {
100        self.swing.reset();
101    }
102
103    fn warmup_period(&self) -> usize {
104        2
105    }
106
107    fn is_ready(&self) -> bool {
108        self.swing.pivots().len() >= 2
109    }
110
111    fn name(&self) -> &'static str {
112        "FibRetracement"
113    }
114}
115
116#[cfg(test)]
117mod tests {
118    use super::*;
119    use crate::indicators::pattern_swing::candles_for_pivots;
120    use crate::traits::BatchExt;
121    use approx::assert_relative_eq;
122
123    #[test]
124    fn accessors_and_metadata() {
125        let indicator = FibRetracement::new();
126        assert_eq!(indicator.name(), "FibRetracement");
127        assert_eq!(indicator.warmup_period(), 2);
128        assert!(!indicator.is_ready());
129        assert!(!FibRetracement::default().is_ready());
130    }
131
132    #[test]
133    fn no_output_before_two_pivots() {
134        let mut indicator = FibRetracement::new();
135        // A single confirmed pivot is not enough to define a leg.
136        let candles = candles_for_pivots(&[120.0]);
137        let outputs: Vec<_> = candles.into_iter().map(|c| indicator.update(c)).collect();
138        assert!(outputs.iter().all(Option::is_none));
139        assert!(!indicator.is_ready());
140    }
141
142    #[test]
143    fn retracement_levels_of_a_down_leg() {
144        // Leg start = 200 (high), end = 100 (low): a 100-point drop.
145        let mut indicator = FibRetracement::new();
146        let mut last = None;
147        for candle in candles_for_pivots(&[200.0, 100.0]) {
148            last = indicator.update(candle);
149        }
150        let v = last.unwrap();
151        assert!(indicator.is_ready());
152        // 0% on the low (end), 100% on the high (start).
153        assert_relative_eq!(v.level_0, 100.0);
154        assert_relative_eq!(v.level_1000, 200.0);
155        // 61.8% retracement of a 100-point drop, measured up from the low.
156        assert_relative_eq!(v.level_618, 161.8);
157        assert_relative_eq!(v.level_500, 150.0);
158        assert_relative_eq!(v.level_382, 138.2);
159        assert_relative_eq!(v.level_236, 123.6);
160        assert_relative_eq!(v.level_786, 178.6);
161    }
162
163    #[test]
164    fn levels_refresh_on_a_new_leg() {
165        // Four pivots, cap = 2: once the third and fourth confirm, the reported
166        // leg shifts to the latest pair (130 high -> 90 low).
167        let mut indicator = FibRetracement::new();
168        let mut last = None;
169        for candle in candles_for_pivots(&[200.0, 100.0, 130.0, 90.0]) {
170            last = indicator.update(candle);
171        }
172        let v = last.unwrap();
173        assert_relative_eq!(v.level_0, 90.0);
174        assert_relative_eq!(v.level_1000, 130.0);
175        assert_relative_eq!(v.level_618, 90.0 + 0.618 * 40.0);
176    }
177
178    #[test]
179    fn reset_clears_state() {
180        let mut indicator = FibRetracement::new();
181        for candle in candles_for_pivots(&[200.0, 100.0]) {
182            let _ = indicator.update(candle);
183        }
184        assert!(indicator.is_ready());
185        indicator.reset();
186        assert!(!indicator.is_ready());
187        let c = Candle::new(99.5, 100.0, 99.5, 99.5, 1.0, 0).unwrap();
188        assert!(indicator.update(c).is_none());
189    }
190
191    #[test]
192    fn batch_equals_streaming() {
193        let candles = candles_for_pivots(&[200.0, 100.0, 150.0]);
194        let mut a = FibRetracement::new();
195        let mut b = FibRetracement::new();
196        assert_eq!(
197            a.batch(&candles),
198            candles.iter().map(|x| b.update(*x)).collect::<Vec<_>>()
199        );
200    }
201}
wickra_core/indicators/fib_retracement.rs

wickra_core/indicators/
fib_retracement.rs
