wickra_core/indicators/
rocr.rs

1//! Rate of Change Ratio (ROCR).
2
3use std::collections::VecDeque;
4
5use crate::error::{Error, Result};
6use crate::traits::Indicator;
7
8/// Rate of Change Ratio (`ROCR`): `close / close[period]`.
9///
10/// The momentum ratio relative to the price `period` bars ago: `1.0` means no
11/// change, `> 1` an advance, `< 1` a decline. It is [`Rocp`](crate::Rocp) plus
12/// one. Where the reference price is zero the result is reported as `0`.
13///
14/// Non-finite inputs are ignored and leave the window untouched; the last
15/// computed value is returned instead, matching the SMA / EMA convention.
16///
17/// # Example
18///
19/// ```
20/// use wickra_core::{Indicator, Rocr};
21///
22/// let mut indicator = Rocr::new(3).unwrap();
23/// let mut last = None;
24/// for i in 0..80 {
25///     last = indicator.update(100.0 + f64::from(i));
26/// }
27/// assert!(last.is_some());
28/// ```
29#[derive(Debug, Clone)]
30pub struct Rocr {
31    period: usize,
32    window: VecDeque<f64>,
33    last: Option<f64>,
34}
35
36impl Rocr {
37    /// # Errors
38    /// Returns [`Error::PeriodZero`] if `period == 0`.
39    pub fn new(period: usize) -> Result<Self> {
40        if period == 0 {
41            return Err(Error::PeriodZero);
42        }
43        if period > crate::error::MAX_PERIOD {
44            return Err(Error::InvalidPeriod {
45                message: crate::error::PERIOD_ABOVE_MAX,
46            });
47        }
48        Ok(Self {
49            period,
50            window: VecDeque::with_capacity(period + 1),
51            last: None,
52        })
53    }
54
55    /// Configured period.
56    pub const fn period(&self) -> usize {
57        self.period
58    }
59}
60
61impl Indicator for Rocr {
62    type Input = f64;
63    type Output = f64;
64
65    #[inline]
66    fn update(&mut self, input: f64) -> Option<f64> {
67        if !input.is_finite() {
68            return None;
69        }
70        if self.window.len() == self.period + 1 {
71            self.window.pop_front();
72        }
73        self.window.push_back(input);
74        if self.window.len() < self.period + 1 {
75            return None;
76        }
77        let prev = *self.window.front().expect("non-empty");
78        let rocr = if prev == 0.0 { 0.0 } else { input / prev };
79        self.last = Some(rocr);
80        Some(rocr)
81    }
82
83    fn reset(&mut self) {
84        self.window.clear();
85        self.last = None;
86    }
87
88    #[inline]
89    fn warmup_period(&self) -> usize {
90        self.period + 1
91    }
92
93    #[inline]
94    fn is_ready(&self) -> bool {
95        self.window.len() == self.period + 1
96    }
97
98    #[inline]
99    fn name(&self) -> &'static str {
100        "ROCR"
101    }
102}
103
104#[cfg(test)]
105mod tests {
106    use super::*;
107    use crate::traits::BatchExt;
108    use approx::assert_relative_eq;
109
110    #[test]
111    fn rejects_zero_period() {
112        assert!(matches!(Rocr::new(0), Err(Error::PeriodZero)));
113    }
114
115    #[test]
116    fn accessors_report_config() {
117        let r = Rocr::new(3).unwrap();
118        assert_eq!(r.period(), 3);
119        assert_eq!(r.name(), "ROCR");
120        assert_eq!(r.warmup_period(), 4);
121        assert!(!r.is_ready());
122    }
123
124    #[test]
125    fn known_value_is_a_ratio() {
126        // period 1 over [10, 11]: 11 / 10 = 1.1.
127        let mut r = Rocr::new(1).unwrap();
128        let out: Vec<Option<f64>> = r.batch(&[10.0, 11.0]);
129        assert_eq!(out[0], None);
130        assert_relative_eq!(out[1].unwrap(), 1.1, epsilon = 1e-12);
131        assert!(r.is_ready());
132    }
133
134    #[test]
135    fn constant_series_yields_one() {
136        let mut r = Rocr::new(3).unwrap();
137        for v in r.batch(&[10.0_f64; 12]).iter().skip(4).flatten() {
138            assert_relative_eq!(*v, 1.0, epsilon = 1e-12);
139        }
140    }
141
142    #[test]
143    fn zero_reference_price_reports_zero() {
144        let mut r = Rocr::new(1).unwrap();
145        let out: Vec<Option<f64>> = r.batch(&[0.0, 5.0]);
146        assert_relative_eq!(out[1].unwrap(), 0.0, epsilon = 1e-12);
147    }
148
149    #[test]
150    fn non_finite_input_holds_last() {
151        let mut r = Rocr::new(1).unwrap();
152        assert_eq!(r.update(10.0), None);
153        r.update(11.0).unwrap();
154        assert_eq!(r.update(f64::INFINITY), None);
155    }
156
157    #[test]
158    fn reset_clears_state() {
159        let mut r = Rocr::new(1).unwrap();
160        let _ = r.batch(&[10.0, 11.0]);
161        assert!(r.is_ready());
162        r.reset();
163        assert!(!r.is_ready());
164        assert_eq!(r.update(10.0), None);
165    }
166}
wickra_core/indicators/rocr.rs

wickra_core/indicators/
rocr.rs
