wickra_core/indicators/
flag_pennant.rs

1//! Flag / Pennant continuation chart pattern.
2
3use crate::indicators::pattern_swing::{SwingTracker, SWING_THRESHOLD};
4use crate::ohlcv::Candle;
5use crate::traits::Indicator;
6
7/// Maximum size of the consolidation swing relative to the pole for a
8/// flag/pennant to qualify — the pullback must retrace less than half the pole.
9const MAX_RETRACE_FRACTION: f64 = 0.5;
10
11/// Flag / Pennant — a brief consolidation against a sharp prior move (the
12/// "pole"), resolving in the pole's direction.
13///
14/// Built on confirmed swing pivots (`SWING_THRESHOLD` = 5%); evaluated from the
15/// last three pivots `pole_start → pole_end → consolidation`:
16///
17/// ```text
18/// pole      = |pole_end − pole_start|     (the sharp impulse)
19/// pullback  = |consolidation − pole_end|  (the shallow counter-move)
20/// qualifies when pullback < 0.5 · pole
21/// bull flag : pole_end is a swing high → +1 (up-pole, continuation up)
22/// bear flag : pole_end is a swing low  → -1 (down-pole, continuation down)
23/// ```
24///
25/// The detector fires on the bar that confirms the consolidation pivot (the flag
26/// is complete; the breakout is expected to follow). Output is `+1.0` / `-1.0` /
27/// `0.0`; never `None`.
28#[derive(Debug, Clone)]
29pub struct FlagPennant {
30    swing: SwingTracker,
31    has_emitted: bool,
32}
33
34impl FlagPennant {
35    /// Construct a new Flag / Pennant detector.
36    pub const fn new() -> Self {
37        Self {
38            swing: SwingTracker::new(SWING_THRESHOLD, 3),
39            has_emitted: false,
40        }
41    }
42}
43
44impl Default for FlagPennant {
45    fn default() -> Self {
46        Self::new()
47    }
48}
49
50impl Indicator for FlagPennant {
51    type Input = Candle;
52    type Output = f64;
53
54    #[inline]
55    fn update(&mut self, candle: Candle) -> Option<f64> {
56        let advanced = self.swing.update(candle);
57        let pivots = self.swing.pivots();
58        // Too few pivots to form the shape at all: the indicator cannot
59        // judge yet, which is what `None` means.
60        if pivots.len() < 3 {
61            return None;
62        }
63        self.has_emitted = true;
64        // Armed, but this bar did not close a new pivot, so there is
65        // nothing new to match against.
66        if !advanced {
67            return Some(0.0);
68        }
69        let n = pivots.len();
70        let pole_start = pivots[n - 3];
71        let pole_end = pivots[n - 2];
72        let consolidation = pivots[n - 1];
73        let pole = (pole_end.price - pole_start.price).abs();
74        let pullback = (consolidation.price - pole_end.price).abs();
75
76        if pole > 0.0 && pullback < MAX_RETRACE_FRACTION * pole {
77            // pole_end a high → up-pole → bull flag; a low → bear flag.
78            return Some(if pole_end.direction > 0.0 { 1.0 } else { -1.0 });
79        }
80        Some(0.0)
81    }
82
83    fn reset(&mut self) {
84        self.swing.reset();
85        self.has_emitted = false;
86    }
87
88    #[inline]
89    fn warmup_period(&self) -> usize {
90        // Three confirmed pivots; the earliest confirmation of the third is bar 4.
91        4
92    }
93
94    #[inline]
95    fn is_ready(&self) -> bool {
96        self.has_emitted
97    }
98
99    #[inline]
100    fn name(&self) -> &'static str {
101        "FlagPennant"
102    }
103}
104
105#[cfg(test)]
106mod tests {
107    use super::*;
108    use crate::indicators::pattern_swing::candles_for_pivots;
109    use crate::traits::BatchExt;
110
111    fn run(pivots: &[f64]) -> Vec<f64> {
112        let mut indicator = FlagPennant::new();
113        candles_for_pivots(pivots)
114            .into_iter()
115            .filter_map(|c| indicator.update(c))
116            .collect()
117    }
118
119    #[test]
120    fn accessors_and_metadata() {
121        let indicator = FlagPennant::new();
122        assert_eq!(indicator.name(), "FlagPennant");
123        assert_eq!(indicator.warmup_period(), 4);
124        assert!(!indicator.is_ready());
125        assert!(!FlagPennant::default().is_ready());
126    }
127
128    #[test]
129    fn bull_flag_is_plus_one() {
130        // Up-pole 100 → 140 (40), shallow pullback to 130 (10 < 20) → bull flag.
131        let out = run(&[150.0, 100.0, 140.0, 130.0]);
132        assert_eq!(*out.last().unwrap(), 1.0);
133    }
134
135    #[test]
136    fn bear_flag_is_minus_one() {
137        // Down-pole 140 → 100 (40), shallow pullback to 110 (10 < 20) → bear flag.
138        let out = run(&[140.0, 100.0, 110.0]);
139        assert_eq!(*out.last().unwrap(), -1.0);
140    }
141
142    #[test]
143    fn deep_pullback_is_not_a_flag() {
144        // Pole 100 → 140 (40) but pullback to 104 (36 > 20) → not a flag.
145        let out = run(&[150.0, 100.0, 140.0, 104.0]);
146        assert_eq!(*out.last().unwrap(), 0.0);
147    }
148
149    #[test]
150    fn reset_clears_state() {
151        let mut indicator = FlagPennant::new();
152        for c in candles_for_pivots(&[150.0, 100.0, 140.0]) {
153            let _ = indicator.update(c);
154        }
155        indicator.reset();
156        assert!(!indicator.is_ready());
157        let c = Candle::new(99.5, 100.0, 99.5, 99.5, 1.0, 0).unwrap();
158        assert_eq!(indicator.update(c), None);
159    }
160
161    #[test]
162    fn batch_equals_streaming() {
163        let candles = candles_for_pivots(&[150.0, 100.0, 140.0, 130.0]);
164        let mut a = FlagPennant::new();
165        let mut b = FlagPennant::new();
166        assert_eq!(
167            a.batch(&candles),
168            candles.iter().map(|x| b.update(*x)).collect::<Vec<_>>()
169        );
170    }
171}
wickra_core/indicators/flag_pennant.rs

wickra_core/indicators/
flag_pennant.rs
