add random walk indicator (#24)

src/indicator.rs

@@ -799,3 +799,30 @@ pub fn relative_vigor(
         .map(|(n, d)| n / d)
         .collect::<Vec<f64>>()
 }
+
+/// Random Walk Index
+/// https://www.technicalindicators.net/indicators-technical-analysis/168-rwi-random-walk-index
+/// https://www.investopedia.com/terms/r/random-walk-index.asp
+pub fn rwi(high: &[f64], low: &[f64], close: &[f64], window: usize) -> Vec<(f64, f64)> {
+    // looks back n number of periods *including* current. other libs may not include current.
+    izip!(
+        high[1..].windows(window),
+        low[1..].windows(window),
+        _true_range(high, low, close)
+            .collect::<Vec<f64>>()
+            .windows(window),
+    )
+    .map(|(h, l, tr)| {
+        let mut rwi_high: f64 = 0.0;
+        let mut rwi_low: f64 = 0.0;
+        let mut tr_sum = 0.0;
+        for i in 2..=window {
+            tr_sum += tr[window - i];
+            let denom = (tr_sum / (i - 1) as f64) * ((i - 1) as f64).sqrt();
+            rwi_high = rwi_high.max((h[window - 1] - l[window - i]) / denom);
+            rwi_low = rwi_low.max((h[window - i] - l[window - 1]) / denom);
+        }
+        (rwi_high, rwi_low)
+    })
+    .collect::<Vec<(f64, f64)>>()
+}

src/main.rs

@@ -16,5 +16,5 @@ 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!(smooth::dema(&stats.close, 16).count());
+    dbg!(indicator::rwi(&stats.high, &stats.low, &stats.close, 16));
 }

tests/indicator_test.rs

@@ -1260,3 +1260,32 @@ fn test_relative_vigor() {
         result
     );
 }
+
+#[test]
+fn test_rwi() {
+    let stats = common::test_data();
+    let result = indicator::rwi(&stats.high, &stats.low, &stats.close, 16);
+    assert_eq!(
+        vec![
+            (0.9498065403643551, 1.7412617466727387,),
+            (0.4556737540683345, 1.7685523890567207,),
+            (1.4057386211737706, 1.535472296106406,),
+            (1.3556485021734983, 0.9465833084480927,),
+            (0.8746671860087694, 0.9071038763955941,),
+            (1.7233013034774831, 0.754581037874933,),
+            (1.1384779666654379, 0.7193916946064202,),
+            (0.8296249568590155, 2.0526327677377094,),
+            (2.325650322092707, 0.5940724651955457,),
+            (1.8773568877196494, 0.28738638191882215,),
+            (1.1197267076507562, 1.3710140568798879,),
+            (1.3627638621436993, 0.9996428423372017,),
+            (1.5457049579330462, 0.6073614247767936,),
+            (1.1223183991371906, 0.8673129298714549,),
+            (1.4756091887717602, 0.7926835319767893,),
+            (1.1929354504792102, 0.7647051876347102,),
+            (2.6484633151147925, 0.21501740699560723,),
+            (1.111277033009784, 1.1996531008663207,),
+        ],
+        result
+    );
+}