use crate::core::Method;
use crate::core::{Error, PeriodType, ValueType, Window};
use crate::helpers::Peekable;
#[cfg(feature = "serde")]
use serde::{Deserialize, Serialize};
#[derive(Debug, Clone)]
#[cfg_attr(feature = "serde", derive(Serialize, Deserialize))]
pub struct LinearVolatility {
window: Window<ValueType>,
prev_value: ValueType,
volatility: ValueType,
}
impl Method for LinearVolatility {
type Params = PeriodType;
type Input = ValueType;
type Output = Self::Input;
fn new(length: Self::Params, &value: &Self::Input) -> Result<Self, Error> {
match length {
0 => Err(Error::WrongMethodParameters),
length => Ok(Self {
window: Window::new(length, 0.),
prev_value: value,
volatility: 0.,
}),
}
}
#[inline]
fn next(&mut self, &value: &Self::Input) -> Self::Output {
let derivative = (value - self.prev_value).abs();
self.prev_value = value;
let past_derivative = self.window.push(derivative);
self.volatility += derivative - past_derivative;
self.volatility
}
}
impl Peekable<<Self as Method>::Output> for LinearVolatility {
fn peek(&self) -> <Self as Method>::Output {
self.volatility
}
}
#[cfg(test)]
mod tests {
use super::{LinearVolatility as TestingMethod, Method};
use crate::core::ValueType;
use crate::helpers::{assert_eq_float, RandomCandles};
use crate::methods::tests::test_const;
use crate::methods::Derivative;
#[test]
fn test_volatility_const() {
for i in 1..255 {
let input = (i as ValueType + 56.0) / 16.3251;
let mut method = TestingMethod::new(i, &input).unwrap();
test_const(&mut method, &input, &0.0);
}
}
#[test]
fn test_volatility1() {
let mut candles = RandomCandles::default();
let mut ma = TestingMethod::new(1, &candles.first().close).unwrap();
let mut der = Derivative::new(1, &candles.first().close).unwrap();
candles.take(100).for_each(|x| {
let v1 = der.next(&x.close).abs();
let v2 = ma.next(&x.close);
assert_eq_float(v1, v2);
});
}
#[test]
fn test_linear_volatility() {
let candles = RandomCandles::default();
let src: Vec<ValueType> = candles.take(300).map(|x| x.close).collect();
(1..255).for_each(|ma_length| {
let mut ma = TestingMethod::new(ma_length, &src[0]).unwrap();
let ma_length = ma_length as usize;
src.iter().enumerate().for_each(|(i, x)| {
let mut s = 0.;
for j in 0..ma_length {
let d = src[i.saturating_sub(j)] - src[i.saturating_sub(j + 1)];
s += d.abs();
}
let value = ma.next(x);
let value2 = s;
assert_eq_float(value2, value);
});
});
}
}