wickra_core/indicators/
auto_fib.rs

1//! Auto-Fibonacci — retracement of the most significant recent swing leg.
2
3use crate::indicators::pattern_swing::{SwingTracker, SWING_THRESHOLD};
4use crate::ohlcv::Candle;
5use crate::traits::Indicator;
6
7/// How many recent pivots to consider when picking the dominant leg.
8const PIVOT_HISTORY: usize = 6;
9
10/// The seven canonical retracement ratios, in ascending order.
11const RATIOS: [f64; 7] = [0.0, 0.236, 0.382, 0.5, 0.618, 0.786, 1.0];
12
13/// Auto-Fibonacci retracement levels for the dominant recent swing leg.
14#[derive(Debug, Clone, Copy, PartialEq)]
15pub struct AutoFibOutput {
16    /// 0.0% — the dominant leg's end.
17    pub level_0: f64,
18    /// 23.6% retracement.
19    pub level_236: f64,
20    /// 38.2% retracement.
21    pub level_382: f64,
22    /// 50% retracement.
23    pub level_500: f64,
24    /// 61.8% retracement.
25    pub level_618: f64,
26    /// 78.6% retracement.
27    pub level_786: f64,
28    /// 100% — the dominant leg's start.
29    pub level_1000: f64,
30}
31
32/// Auto-Fibonacci (`AutoFib`).
33///
34/// Like [`crate::indicators::FibRetracement`], but instead of always using the
35/// immediate last leg it scans the last six confirmed pivots and anchors the
36/// retracement on the single largest-magnitude leg among them — the dominant
37/// swing the market is most likely respecting.
38///
39/// Parameter-free; construction is infallible. Returns `None` until two pivots
40/// have confirmed.
41///
42/// See `crates/wickra-core/src/indicators/auto_fib.rs`.
43#[derive(Debug, Clone)]
44pub struct AutoFib {
45    swing: SwingTracker,
46}
47
48impl AutoFib {
49    /// Construct a new Auto-Fibonacci tracker.
50    #[must_use]
51    pub const fn new() -> Self {
52        Self {
53            swing: SwingTracker::new(SWING_THRESHOLD, PIVOT_HISTORY),
54        }
55    }
56
57    fn levels(&self) -> Option<AutoFibOutput> {
58        let dominant = self.swing.pivots().windows(2).max_by(|x, y| {
59            (x[0].price - x[1].price)
60                .abs()
61                .total_cmp(&(y[0].price - y[1].price).abs())
62        })?;
63        let (start, end) = (dominant[0].price, dominant[1].price);
64        let level = |r: f64| end + r * (start - end);
65        Some(AutoFibOutput {
66            level_0: level(RATIOS[0]),
67            level_236: level(RATIOS[1]),
68            level_382: level(RATIOS[2]),
69            level_500: level(RATIOS[3]),
70            level_618: level(RATIOS[4]),
71            level_786: level(RATIOS[5]),
72            level_1000: level(RATIOS[6]),
73        })
74    }
75}
76
77impl Default for AutoFib {
78    fn default() -> Self {
79        Self::new()
80    }
81}
82
83impl Indicator for AutoFib {
84    type Input = Candle;
85    type Output = AutoFibOutput;
86
87    fn update(&mut self, candle: Candle) -> Option<AutoFibOutput> {
88        self.swing.update(candle);
89        self.levels()
90    }
91
92    fn reset(&mut self) {
93        self.swing.reset();
94    }
95
96    fn warmup_period(&self) -> usize {
97        2
98    }
99
100    fn is_ready(&self) -> bool {
101        self.swing.pivots().len() >= 2
102    }
103
104    fn name(&self) -> &'static str {
105        "AutoFib"
106    }
107}
108
109#[cfg(test)]
110mod tests {
111    use super::*;
112    use crate::indicators::pattern_swing::candles_for_pivots;
113    use crate::traits::BatchExt;
114    use approx::assert_relative_eq;
115
116    #[test]
117    fn accessors_and_metadata() {
118        let indicator = AutoFib::new();
119        assert_eq!(indicator.name(), "AutoFib");
120        assert_eq!(indicator.warmup_period(), 2);
121        assert!(!indicator.is_ready());
122        assert!(!AutoFib::default().is_ready());
123    }
124
125    #[test]
126    fn no_output_before_two_pivots() {
127        let mut indicator = AutoFib::new();
128        let outputs: Vec<_> = candles_for_pivots(&[120.0])
129            .into_iter()
130            .map(|c| indicator.update(c))
131            .collect();
132        assert!(outputs.iter().all(Option::is_none));
133    }
134
135    #[test]
136    fn anchors_on_the_largest_leg() {
137        // Pivots: 130 -> 120 (small, 10) -> 220 (large, 100) -> 200 (small, 20).
138        // The dominant leg is 120 -> 220; its retracement spans [120, 220].
139        let mut indicator = AutoFib::new();
140        let mut last = None;
141        for candle in candles_for_pivots(&[130.0, 120.0, 220.0, 200.0]) {
142            last = indicator.update(candle);
143        }
144        let v = last.unwrap();
145        assert!(indicator.is_ready());
146        // Largest leg 120 -> 220: 0% on 220 (end), 100% on 120 (start).
147        assert_relative_eq!(v.level_0, 220.0);
148        assert_relative_eq!(v.level_1000, 120.0);
149        assert_relative_eq!(v.level_500, 170.0);
150        assert_relative_eq!(v.level_618, 220.0 + 0.618 * (120.0 - 220.0));
151    }
152
153    #[test]
154    fn reset_clears_state() {
155        let mut indicator = AutoFib::new();
156        for candle in candles_for_pivots(&[200.0, 100.0]) {
157            let _ = indicator.update(candle);
158        }
159        assert!(indicator.is_ready());
160        indicator.reset();
161        assert!(!indicator.is_ready());
162        let c = Candle::new(99.5, 100.0, 99.5, 99.5, 1.0, 0).unwrap();
163        assert!(indicator.update(c).is_none());
164    }
165
166    #[test]
167    fn batch_equals_streaming() {
168        let candles = candles_for_pivots(&[130.0, 120.0, 220.0, 200.0]);
169        let mut a = AutoFib::new();
170        let mut b = AutoFib::new();
171        assert_eq!(
172            a.batch(&candles),
173            candles.iter().map(|x| b.update(*x)).collect::<Vec<_>>()
174        );
175    }
176}
wickra_core/indicators/auto_fib.rs

wickra_core/indicators/
auto_fib.rs
