compute signal line separately (#104)

don't force signal lines to be computed by a specific smoothing fn
chungg · Sep 19, 2024 · 9a8b1f4 · 9a8b1f4
1 parent 632f90e
commit 9a8b1f4
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Showing 3 changed files with 5 additions and 36 deletions.
diff --git a/benches/traquer.rs b/benches/traquer.rs
@@ -292,7 +292,7 @@ fn criterion_benchmark(c: &mut Criterion) {
         b.iter(|| black_box(momentum::disparity(&stats.close, 16).collect::<Vec<f64>>()))
     });
     c.bench_function("sig-momentum-tsi", |b| {
-        b.iter(|| black_box(momentum::tsi(&stats.close, 6, 10, 3).collect::<Vec<_>>()))
+        b.iter(|| black_box(momentum::tsi(&stats.close, 6, 10).collect::<Vec<_>>()))
     });
     c.bench_function("sig-momentum-special_k", |b| {
         b.iter(|| black_box(momentum::special_k(&stats.close).collect::<Vec<_>>()))

diff --git a/src/momentum.rs b/src/momentum.rs
@@ -1301,15 +1301,14 @@ pub fn psych<T: ToPrimitive>(data: &[T], window: usize) -> impl Iterator<Item =
 ///
 /// momentum::tsi(
 ///     &[1.0,2.0,3.0,4.0,5.0,6.0,4.0,5.0,2.0,3.0,4.0,5.0,6.0,4.0],
-///     3, 6, 3).collect::<Vec<(f64,f64)>>();
+///     3, 6).collect::<Vec<f64>>();
 ///
 /// ```
 pub fn tsi<T: ToPrimitive>(
     data: &[T],
     short: usize,
     long: usize,
-    signal: usize,
-) -> impl Iterator<Item = (f64, f64)> + '_ {
+) -> impl Iterator<Item = f64> + '_ {
     let diffs = data
         .windows(2)
         .map(|pair| pair[1].to_f64().unwrap() - pair[0].to_f64().unwrap())
@@ -1326,15 +1325,7 @@ pub fn tsi<T: ToPrimitive>(
         .zip(abs_pcds)
         .map(|(pcd, apcd)| 100.0 * pcd / apcd)
         .collect::<Vec<f64>>();
-    let signal = iter::repeat(f64::NAN)
-        .take(short - 1)
-        .chain(smooth::ewma(&tsi[short - 1..], signal));
-    iter::repeat((f64::NAN, f64::NAN)).take(long).chain(
-        tsi.iter()
-            .zip(signal)
-            .map(|(&x, y)| (x, y))
-            .collect::<Vec<(f64, f64)>>(),
-    )
+    iter::repeat(f64::NAN).take(long).chain(tsi)
 }
 
 /// Pring's Special K

diff --git a/tests/momentum_test.rs b/tests/momentum_test.rs
@@ -1180,7 +1180,7 @@ fn test_psych() {
 #[test]
 fn test_tsi() {
     let stats = common::test_data();
-    let (tsi, tsi_sig): (Vec<f64>, Vec<f64>) = momentum::tsi(&stats.close, 6, 10, 3).unzip();
+    let tsi: Vec<f64> = momentum::tsi(&stats.close, 6, 10).collect();
     assert_eq!(stats.close.len(), tsi.len());
     assert_eq!(
         vec![
@@ -1206,28 +1206,6 @@ fn test_tsi() {
         ],
         tsi[15..]
     );
-    assert_eq!(
-        vec![
-            -11.901736158099775,
-            -12.240208722437886,
-            -12.289327166384927,
-            -10.991640654357855,
-            -8.530253464421122,
-            -5.601551181836266,
-            -3.7880858146019802,
-            1.4475747198659064,
-            7.983461323250848,
-            10.65262893880699,
-            13.50756522794859,
-            18.206767909525055,
-            20.489542773794945,
-            23.61778069502798,
-            27.76303682465747,
-            33.64024394535278,
-            33.98750951181481,
-        ],
-        tsi_sig[15 + 2..]
-    );
 }
 
 #[test]