more indicators

- true range - trend intensity index - trade volume index - triple exponential average - typical price index - supertrend - linreg smooth
chungg · May 15, 2024 · 61638af · 61638af
1 parent 2842aef
commit 61638af
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Showing 5 changed files with 382 additions and 7 deletions.
diff --git a/src/indicator.rs b/src/indicator.rs
@@ -451,12 +451,7 @@ pub fn ultimate(
 /// pretty good oscillator
 /// https://library.tradingtechnologies.com/trade/chrt-ti-pretty-good-oscillator.html
 pub fn pgo(high: &[f64], low: &[f64], close: &[f64], window: u8) -> Vec<f64> {
-    let atr = smooth::ewma(
-        &izip!(&high[1..], &low[1..], &close[..close.len() - 1])
-            .map(|(h, l, prevc)| (h - l).max(f64::abs(h - prevc)).max(f64::abs(l - prevc)))
-            .collect::<Vec<f64>>(),
-        window,
-    );
+    let atr = smooth::ewma(&_true_range(high, low, close).collect::<Vec<f64>>(), window);
     let sma_close = smooth::sma(close, window);
     izip!(
         &close[close.len() - atr.len()..],
@@ -539,3 +534,132 @@ pub fn ulcer(data: &[f64], window: u8) -> Vec<f64> {
     .map(|x| x.sqrt())
     .collect::<Vec<f64>>()
 }
+
+fn _true_range<'a>(
+    high: &'a [f64],
+    low: &'a [f64],
+    close: &'a [f64],
+) -> impl Iterator<Item = f64> + 'a {
+    izip!(&high[1..], &low[1..], &close[..close.len() - 1])
+        .map(|(h, l, prevc)| (h - l).max(f64::abs(h - prevc)).max(f64::abs(l - prevc)))
+}
+
+/// true range
+/// https://www.investopedia.com/terms/a/atr.asp
+pub fn tr(high: &[f64], low: &[f64], close: &[f64]) -> Vec<f64> {
+    _true_range(high, low, close).collect::<Vec<f64>>()
+}
+
+/// typical price
+/// https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/typical-price
+pub fn hlc3(high: &[f64], low: &[f64], close: &[f64], window: u8) -> Vec<f64> {
+    smooth::sma(
+        &izip!(high, low, close)
+            .map(|(h, l, c)| (h + l + c) / 3.0)
+            .collect::<Vec<f64>>(),
+        window,
+    )
+}
+
+/// Triple Exponential Average
+/// https://www.investopedia.com/terms/t/trix.asp
+pub fn trix(close: &[f64], window: u8) -> Vec<f64> {
+    let ema3 = smooth::ewma(&smooth::ewma(&smooth::ewma(close, window), window), window);
+    ema3[..ema3.len() - 1]
+        .iter()
+        .zip(&ema3[1..])
+        .map(|(prev, curr)| 100.0 * (curr - prev) / prev)
+        .collect::<Vec<f64>>()
+}
+
+/// trend intensity index
+/// https://www.marketvolume.com/technicalanalysis/trendintensityindex.asp
+pub fn tii(data: &[f64], window: u8) -> Vec<f64> {
+    smooth::sma(data, window)
+        .iter()
+        .zip(&data[(window - 1) as usize..])
+        .map(|(avg, actual)| {
+            let dev: f64 = actual - avg;
+            let pos_dev = if dev > 0.0 { dev } else { 0.0 };
+            let neg_dev = if dev < 0.0 { dev.abs() } else { 0.0 };
+            (pos_dev, neg_dev)
+        })
+        .collect::<Vec<(f64, f64)>>()
+        .windows(u8::div_ceil(window, 2).into())
+        .map(|w| {
+            let mut sd_pos = 0.0;
+            let mut sd_neg = 0.0;
+            for (pos_dev, neg_dev) in w {
+                sd_pos += pos_dev;
+                sd_neg += neg_dev;
+            }
+            100.0 * sd_pos / (sd_pos + sd_neg)
+        })
+        .collect::<Vec<f64>>()
+}
+
+/// trade volume index
+/// https://www.investopedia.com/terms/t/tradevolumeindex.asp
+pub fn tvi(close: &[f64], volume: &[f64], min_tick: f64) -> Vec<f64> {
+    izip!(&close[..close.len() - 1], &close[1..], &volume[1..],)
+        .scan((1, 0.0), |state, (prev, curr, vol)| {
+            let direction = if curr - prev > min_tick {
+                1
+            } else if prev - curr > min_tick {
+                -1
+            } else {
+                state.0
+            };
+            let tvi = state.1 + direction as f64 * vol;
+            *state = (direction, tvi);
+            Some(tvi)
+        })
+        .collect::<Vec<f64>>()
+}
+
+/// supertrend
+/// https://www.tradingview.com/support/solutions/43000634738-supertrend/
+/// https://www.investopedia.com/supertrend-indicator-7976167
+pub fn supertrend(
+    high: &[f64],
+    low: &[f64],
+    close: &[f64],
+    window: u8,
+    multiplier: f64,
+) -> Vec<f64> {
+    let atr = smooth::wilder(&_true_range(high, low, close).collect::<Vec<f64>>(), window);
+    izip!(
+        &high[window.into()..],
+        &low[window.into()..],
+        &close[window.into()..],
+        &atr
+    )
+    .scan(
+        (f64::NAN, f64::NAN, f64::MIN_POSITIVE, 1),
+        |state, (h, l, c, tr)| {
+            let (prevlower, prevupper, prevc, prevdir) = state;
+            let mut lower = (h + l) / 2.0 - multiplier * tr;
+            let mut upper = (h + l) / 2.0 + multiplier * tr;
+            if prevc > prevlower && *prevlower > lower {
+                lower = *prevlower;
+            }
+            if prevc < prevupper && *prevupper < upper {
+                upper = *prevupper;
+            }
+            let dir = if c > prevupper {
+                1
+            } else if c < prevlower {
+                -1
+            } else {
+                *prevdir
+            };
+            *state = (lower, upper, *c, dir);
+            if dir > 0 {
+                Some(lower)
+            } else {
+                Some(upper)
+            }
+        },
+    )
+    .collect::<Vec<f64>>()
+}
diff --git a/src/main.rs b/src/main.rs
@@ -16,5 +16,11 @@ fn main() {
     let data = fs::read_to_string("./tests/rddt.input").expect("Unable to read file");
     let stats: SecStats = serde_json::from_str(&data).expect("JSON does not have correct format.");
 
-    dbg!(indicator::ulcer(&stats.close, 8));
+    dbg!(indicator::supertrend(
+        &stats.high,
+        &stats.low,
+        &stats.close,
+        16,
+        3.0
+    ));
 }
diff --git a/src/smooth.rs b/src/smooth.rs
@@ -126,3 +126,26 @@ pub fn vma(data: &[f64], window: u8) -> Vec<f64> {
         .skip((u8::max(9, window) - 9).into())
         .collect::<Vec<f64>>()
 }
+
+/// Linear Regression Forecast
+/// aka Time series forecast
+/// https://quantstrategy.io/blog/what-is-tsf-understanding-time-series-forecast-indicator/
+pub fn lrf(data: &[f64], window: u16) -> Vec<f64> {
+    let x_sum = (window * (window + 1)) as f64 / 2.0;
+    let x2_sum: f64 = x_sum * (2 * window + 1) as f64 / 3.0;
+    let divisor = window as f64 * x2_sum - x_sum.powi(2);
+
+    data.windows(window.into())
+        .map(|w| {
+            let mut y_sum = 0.0;
+            let mut xy_sum = 0.0;
+            for (count, val) in w.iter().enumerate() {
+                y_sum += val;
+                xy_sum += (count + 1) as f64 * val;
+            }
+            let m = (window as f64 * xy_sum - x_sum * y_sum) / divisor;
+            let b = (y_sum * x2_sum - x_sum * xy_sum) / divisor;
+            m * window as f64 + b
+        })
+        .collect::<Vec<f64>>()
+}
diff --git a/tests/indicator_test.rs b/tests/indicator_test.rs
@@ -874,3 +874,195 @@ fn test_ulcer() {
         result
     );
 }
+
+#[test]
+fn test_tr() {
+    let stats = common::test_data();
+    let result = indicator::tr(&stats.high, &stats.low, &stats.close);
+    assert_eq!(
+        vec![
+            15.939998626708984,
+            15.10000228881836,
+            9.490001678466797,
+            8.650001525878906,
+            4.924999237060547,
+            7.349998474121094,
+            4.69000244140625,
+            3.3300018310546875,
+            3.6100006103515625,
+            4.1399993896484375,
+            2.5900001525878906,
+            3.279998779296875,
+            4.340000152587891,
+            2.3699989318847656,
+            2.5900001525878906,
+            2.8199996948242188,
+            2.4399986267089844,
+            4.780002593994141,
+            3.660003662109375,
+            2.0600013732910156,
+            2.2380027770996094,
+            1.5200004577636719,
+            2.3000030517578125,
+            3.7490005493164063,
+            3.450000762939453,
+            2.604999542236328,
+            3.2600021362304688,
+            3.918998718261726,
+            2.4599990844726563,
+            3.229999542236328,
+            2.9300003051757813,
+            5.759998321533203,
+            3.1500015258789063,
+        ],
+        result
+    );
+}
+
+#[test]
+fn test_hlc3() {
+    let stats = common::test_data();
+    let result = indicator::hlc3(&stats.high, &stats.low, &stats.close, 16);
+    assert_eq!(
+        vec![
+            48.82131250699361,
+            48.41006247202555,
+            47.38204161326091,
+            45.67329160372416,
+            44.58475001653036,
+            43.98891671498617,
+            43.760937531789146,
+            43.422812620798744,
+            43.03031253814698,
+            42.92550015449524,
+            42.935500065485634,
+            42.83081253369649,
+            42.84727080663045,
+            43.15249999364217,
+            43.33354179064433,
+            43.67937509218853,
+            44.2075002193451,
+            44.90875029563905,
+            45.53729192415874,
+        ],
+        result
+    );
+}
+
+#[test]
+fn test_trix() {
+    let stats = common::test_data();
+    let result = indicator::trix(&stats.close, 7);
+    assert_eq!(
+        vec![
+            -1.7609812348121436,
+            -1.58700358125189,
+            -1.3595873824994853,
+            -1.1099628496419054,
+            -0.8955729429209658,
+            -0.6091528694171965,
+            -0.2949587326281726,
+            -0.07920030554104754,
+            0.1135712345224751,
+            0.32952700679764474,
+            0.4769166955410566,
+            0.6219613185170387,
+            0.7718438325710452,
+            0.9560958810856369,
+            1.0335513961870586,
+        ],
+        result
+    );
+}
+
+#[test]
+fn test_tii_even() {
+    let stats = common::test_data();
+    let result = indicator::tii(&stats.close, 16);
+    assert_eq!(
+        vec![
+            0.0,
+            0.0,
+            12.365592243625398,
+            36.838871014658466,
+            53.81832516603384,
+            77.25510120423154,
+            91.83894521268712,
+            97.2706485470137,
+            98.02691957272636,
+            100.0,
+            100.0,
+            100.0,
+        ],
+        result
+    );
+}
+
+#[test]
+fn test_tii_odd() {
+    let stats = common::test_data();
+    let result = indicator::tii(&stats.close, 15);
+    assert_eq!(
+        vec![
+            0.0,
+            0.6686354433953655,
+            0.9316341618307428,
+            17.111743788068527,
+            44.82345282880815,
+            61.21209452789354,
+            83.24057181663895,
+            96.05752982533481,
+            98.58952713255982,
+            98.83515680783523,
+            100.0,
+            100.0,
+            100.0,
+        ],
+        result
+    );
+}
+
+#[test]
+fn test_tvi() {
+    let stats = common::test_data();
+    let result = indicator::tvi(&stats.close, &stats.volume, 0.5);
+    assert_eq!(
+        vec![
+            24398800.0, 59729800.0, 40971500.0, 28363400.0, 15375500.0, 24818400.0, 19995500.0,
+            15377100.0, 18304100.0, 15642600.0, 13365300.0, 9015200.0, 13278200.0, 11264800.0,
+            7816300.0, 9515300.0, 7361500.0, 9645600.0, 7117500.0, 8603900.0, 10560400.0,
+            11944400.0, 10458600.0, 13222800.0, 15901100.0, 14148200.0, 15746300.0, 18111300.0,
+            16923000.0, 19039700.0, 25281400.0, 38772900.0, 36090498.0,
+        ],
+        result
+    );
+}
+
+#[test]
+fn test_supertrend() {
+    let stats = common::test_data();
+    let result = indicator::supertrend(&stats.high, &stats.low, &stats.close, 16, 3.0);
+    assert_eq!(
+        vec![
+            22.87718629837036,
+            22.87718629837036,
+            22.87718629837036,
+            25.36115028045606,
+            25.5548271386142,
+            27.535275836318306,
+            28.482134516844127,
+            28.482134516844127,
+            30.372852510605856,
+            33.54470377638434,
+            33.54470377638434,
+            33.54470377638434,
+            34.55477737989572,
+            34.70432339242238,
+            35.73655158775987,
+            36.52801923545023,
+            39.78407957956028,
+            39.78407957956028,
+        ],
+        result
+    );
+}