wickra_core/indicators/
td_clopwin.rs

1#![allow(clippy::doc_markdown)]
2
3//! Tom DeMark TD Clopwin — a 2-bar "close/open within" inside-body pattern.
4//!
5//! TD Clopwin ("CLose/OPen WInthIN") is the inside-body cousin of TD Clop: the
6//! current bar's open **and** close both sit within the prior bar's real body,
7//! marking a compression bar whose direction hints at the next move.
8//!
9//! - **Buy signal** (`+1.0`): current `open` and `close` are both inside the prior
10//!   bar's body `[min(open,close)[-1], max(open,close)[-1]]` AND `close >= open`
11//!   (a bullish inside bar).
12//! - **Sell signal** (`-1.0`): both inside the prior body AND `close < open`
13//!   (a bearish inside bar).
14//! - Otherwise the output is `0.0`.
15//!
16//! The one-bar lookback means the first value lands on the second candle.
17
18use crate::ohlcv::Candle;
19use crate::traits::Indicator;
20
21/// TD Clopwin — 2-bar inside-body compression pattern detector.
22/// # Example
23///
24/// ```
25/// use wickra_core::{TdClopwin, Candle, Indicator};
26///
27/// let mut indicator = TdClopwin::new();
28/// // `None` during warmup, then `Some(_)` once enough bars are seen.
29/// let mut out = None;
30/// for i in 0..40i64 {
31///     let p = 100.0 + (i as f64 * 0.4).sin() * 5.0;
32///     let candle = Candle::new(p, p + 1.5, p - 1.5, p + 0.3, 1_000.0, i).unwrap();
33///     out = indicator.update(candle);
34/// }
35/// let _ = out;
36/// ```
37#[derive(Debug, Clone, Default)]
38pub struct TdClopwin {
39    prev: Option<Candle>,
40    last_value: Option<f64>,
41}
42
43impl TdClopwin {
44    /// Construct a new `TdClopwin`.
45    #[must_use]
46    pub fn new() -> Self {
47        Self::default()
48    }
49
50    /// Latest emitted signal if available.
51    pub const fn value(&self) -> Option<f64> {
52        self.last_value
53    }
54}
55
56impl Indicator for TdClopwin {
57    type Input = Candle;
58    type Output = f64;
59
60    fn update(&mut self, candle: Candle) -> Option<f64> {
61        let Some(prev) = self.prev else {
62            self.prev = Some(candle);
63            self.last_value = Some(0.0);
64            return Some(0.0);
65        };
66        let body_low = prev.open.min(prev.close);
67        let body_high = prev.open.max(prev.close);
68        let open_in = candle.open >= body_low && candle.open <= body_high;
69        let close_in = candle.close >= body_low && candle.close <= body_high;
70        let v = if open_in && close_in {
71            if candle.close >= candle.open {
72                1.0
73            } else {
74                -1.0
75            }
76        } else {
77            0.0
78        };
79        self.prev = Some(candle);
80        self.last_value = Some(v);
81        Some(v)
82    }
83
84    fn reset(&mut self) {
85        self.prev = None;
86        self.last_value = None;
87    }
88
89    fn warmup_period(&self) -> usize {
90        2
91    }
92
93    fn is_ready(&self) -> bool {
94        self.last_value.is_some()
95    }
96
97    fn name(&self) -> &'static str {
98        "TDClopwin"
99    }
100}
101
102#[cfg(test)]
103mod tests {
104    use super::*;
105    use crate::traits::BatchExt;
106
107    fn c(open: f64, close: f64) -> Candle {
108        let high = open.max(close) + 1.0;
109        let low = open.min(close) - 1.0;
110        Candle::new_unchecked(open, high, low, close, 0.0, 0)
111    }
112
113    #[test]
114    fn accessors_and_metadata() {
115        let td = TdClopwin::new();
116        assert_eq!(td.warmup_period(), 2);
117        assert_eq!(td.name(), "TDClopwin");
118        assert!(!td.is_ready());
119        assert_eq!(td.value(), None);
120    }
121
122    #[test]
123    fn first_bar_seeds_without_signal() {
124        let mut td = TdClopwin::new();
125        assert_eq!(td.update(c(10.0, 14.0)), Some(0.0));
126        assert!(td.update(c(11.0, 13.0)).is_some());
127    }
128
129    #[test]
130    fn bullish_inside_body_buy() {
131        // prev body [10, 14]. Current open 11, close 13 both inside, close>open -> +1.
132        let mut td = TdClopwin::new();
133        td.update(c(10.0, 14.0));
134        assert_eq!(td.update(c(11.0, 13.0)), Some(1.0));
135    }
136
137    #[test]
138    fn bearish_inside_body_sell() {
139        // prev body [10, 14]. Current open 13, close 11 inside, close<open -> -1.
140        let mut td = TdClopwin::new();
141        td.update(c(10.0, 14.0));
142        assert_eq!(td.update(c(13.0, 11.0)), Some(-1.0));
143    }
144
145    #[test]
146    fn outside_body_is_zero() {
147        let mut td = TdClopwin::new();
148        td.update(c(10.0, 14.0));
149        // close 16 outside the prior body -> 0.
150        assert_eq!(td.update(c(11.0, 16.0)), Some(0.0));
151    }
152
153    #[test]
154    fn reset_clears_state() {
155        let mut td = TdClopwin::new();
156        td.update(c(10.0, 14.0));
157        td.update(c(11.0, 13.0));
158        assert!(td.is_ready());
159        td.reset();
160        assert!(!td.is_ready());
161        assert_eq!(td.update(c(10.0, 14.0)), Some(0.0));
162    }
163
164    #[test]
165    fn batch_equals_streaming() {
166        let candles: Vec<Candle> = (0..40)
167            .map(|i| {
168                let b = 100.0 + (f64::from(i) * 0.4).sin() * 5.0;
169                c(b, b + 0.3)
170            })
171            .collect();
172        let batch = TdClopwin::new().batch(&candles);
173        let mut b = TdClopwin::new();
174        let streamed: Vec<_> = candles.iter().map(|x| b.update(*x)).collect();
175        assert_eq!(batch, streamed);
176    }
177}
wickra_core/indicators/td_clopwin.rs

wickra_core/indicators/
td_clopwin.rs
