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move trend indicators to separate file (#35)
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trend indicators considered to be indicators where signals aren't based
on crossing a upper/lower/zero line. still need to adjust for whether
we want to separate volatility indicators.
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@chungg
chungg authored May 28, 2024
1 parent 617ed1b commit 1e05fc7
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Showing 8 changed files with 1,678 additions and 1,677 deletions.
102 changes: 40 additions & 62 deletions benches/traquer.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -18,18 +18,10 @@ fn criterion_benchmark(c: &mut Criterion) {
let data = fs::read_to_string("./aapl.input").expect("Unable to read file");
let stats: SecStats = serde_json::from_str(&data).expect("JSON does not have correct format.");
c.bench_function("sig-adx", |b| {
b.iter(|| {
black_box(indicator::adx(
&stats.high,
&stats.low,
&stats.close,
14,
14,
))
})
b.iter(|| black_box(trend::adx(&stats.high, &stats.low, &stats.close, 14, 14)))
});
c.bench_function("sig-qstick", |b| {
b.iter(|| black_box(indicator::qstick(&stats.open, &stats.close, 8)))
b.iter(|| black_box(trend::qstick(&stats.open, &stats.close, 8)))
});
c.bench_function("sig-volume-twiggs", |b| {
b.iter(|| {
Expand All @@ -40,7 +32,7 @@ fn criterion_benchmark(c: &mut Criterion) {
})
});
c.bench_function("sig-rsi", |b| {
b.iter(|| black_box(indicator::rsi(&stats.close, 16)))
b.iter(|| black_box(momentum::rsi(&stats.close, 16)))
});
c.bench_function("sig-volume-kvo", |b| {
b.iter(|| {
Expand All @@ -51,27 +43,20 @@ fn criterion_benchmark(c: &mut Criterion) {
})
});
c.bench_function("sig-macd", |b| {
b.iter(|| black_box(indicator::macd(&stats.close, 12, 26)))
b.iter(|| black_box(momentum::macd(&stats.close, 12, 26)))
});
c.bench_function("sig-cmo", |b| {
b.iter(|| black_box(indicator::cmo(&stats.close, 16)))
b.iter(|| black_box(momentum::cmo(&stats.close, 16)))
});
c.bench_function("sig-cog", |b| {
b.iter(|| black_box(indicator::cog(&stats.close, 16)))
b.iter(|| black_box(trend::cog(&stats.close, 16)))
});
c.bench_function("sig-shinohara", |b| {
b.iter(|| {
black_box(indicator::shinohara(
&stats.high,
&stats.low,
&stats.close,
26,
))
})
b.iter(|| black_box(trend::shinohara(&stats.high, &stats.low, &stats.close, 26)))
});
c.bench_function("sig-elder_ray", |b| {
b.iter(|| {
black_box(indicator::elder_ray(
black_box(momentum::elder_ray(
&stats.high,
&stats.low,
&stats.close,
Expand Down Expand Up @@ -123,29 +108,29 @@ fn criterion_benchmark(c: &mut Criterion) {
})
});
c.bench_function("sig-cvi", |b| {
b.iter(|| black_box(indicator::cvi(&stats.high, &stats.low, 16, 2)))
b.iter(|| black_box(momentum::cvi(&stats.high, &stats.low, 16, 2)))
});
c.bench_function("sig-wpr", |b| {
b.iter(|| black_box(indicator::wpr(&stats.high, &stats.low, &stats.close, 16)))
b.iter(|| black_box(momentum::wpr(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-vortex", |b| {
b.iter(|| black_box(indicator::vortex(&stats.high, &stats.low, &stats.close, 16)))
b.iter(|| black_box(trend::vortex(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-ppo", |b| {
b.iter(|| black_box(indicator::ppo(&stats.volume, 10, 16)))
b.iter(|| black_box(momentum::ppo(&stats.volume, 10, 16)))
});
c.bench_function("sig-apo", |b| {
b.iter(|| black_box(indicator::apo(&stats.close, 10, 16)))
b.iter(|| black_box(momentum::apo(&stats.close, 10, 16)))
});
c.bench_function("sig-dpo", |b| {
b.iter(|| black_box(indicator::dpo(&stats.close, 16)))
b.iter(|| black_box(momentum::dpo(&stats.close, 16)))
});
c.bench_function("sig-vhf", |b| {
b.iter(|| black_box(indicator::vhf(&stats.high, &stats.low, &stats.close, 16)))
b.iter(|| black_box(trend::vhf(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-ultimate", |b| {
b.iter(|| {
black_box(indicator::ultimate(
black_box(momentum::ultimate(
&stats.high,
&stats.low,
&stats.close,
Expand All @@ -156,11 +141,11 @@ fn criterion_benchmark(c: &mut Criterion) {
})
});
c.bench_function("sig-pgo", |b| {
b.iter(|| black_box(indicator::pgo(&stats.high, &stats.low, &stats.close, 16)))
b.iter(|| black_box(momentum::pgo(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-si", |b| {
b.iter(|| {
black_box(indicator::si(
black_box(momentum::si(
&stats.open,
&stats.high,
&stats.low,
Expand All @@ -171,7 +156,7 @@ fn criterion_benchmark(c: &mut Criterion) {
});
c.bench_function("sig-asi", |b| {
b.iter(|| {
black_box(indicator::asi(
black_box(trend::asi(
&stats.open,
&stats.high,
&stats.low,
Expand All @@ -181,29 +166,29 @@ fn criterion_benchmark(c: &mut Criterion) {
})
});
c.bench_function("sig-ulcer", |b| {
b.iter(|| black_box(indicator::ulcer(&stats.close, 8)))
b.iter(|| black_box(trend::ulcer(&stats.close, 8)))
});
c.bench_function("sig-tr", |b| {
b.iter(|| black_box(indicator::tr(&stats.high, &stats.low, &stats.close)))
b.iter(|| black_box(trend::tr(&stats.high, &stats.low, &stats.close)))
});
c.bench_function("sig-atr", |b| {
b.iter(|| black_box(indicator::atr(&stats.high, &stats.low, &stats.close, 16)))
b.iter(|| black_box(trend::atr(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-hlc3", |b| {
b.iter(|| black_box(indicator::hlc3(&stats.high, &stats.low, &stats.close, 16)))
c.bench_function("sig-typical", |b| {
b.iter(|| black_box(trend::typical(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-trix", |b| {
b.iter(|| black_box(indicator::trix(&stats.close, 7)))
b.iter(|| black_box(momentum::trix(&stats.close, 7)))
});
c.bench_function("sig-tii", |b| {
b.iter(|| black_box(indicator::tii(&stats.close, 16)))
b.iter(|| black_box(momentum::tii(&stats.close, 16)))
});
c.bench_function("sig-volume-tvi", |b| {
b.iter(|| black_box(volume::tvi(&stats.close, &stats.volume, 0.5).collect::<Vec<f64>>()))
});
c.bench_function("sig-supertrend", |b| {
b.iter(|| {
black_box(indicator::supertrend(
black_box(trend::supertrend(
&stats.high,
&stats.low,
&stats.close,
Expand All @@ -214,7 +199,7 @@ fn criterion_benchmark(c: &mut Criterion) {
});
c.bench_function("sig-stochastic", |b| {
b.iter(|| {
black_box(indicator::stochastic(
black_box(momentum::stochastic(
&stats.high,
&stats.low,
&stats.close,
Expand All @@ -223,14 +208,14 @@ fn criterion_benchmark(c: &mut Criterion) {
})
});
c.bench_function("sig-stc", |b| {
b.iter(|| black_box(indicator::stc(&stats.close, 3, 6, 12)))
b.iter(|| black_box(momentum::stc(&stats.close, 3, 6, 12)))
});
c.bench_function("sig-relative_vol", |b| {
b.iter(|| black_box(indicator::relative_vol(&stats.close, 6, 10)))
b.iter(|| black_box(momentum::relative_vol(&stats.close, 6, 10)))
});
c.bench_function("sig-relative_vigor", |b| {
b.iter(|| {
black_box(indicator::relative_vigor(
black_box(momentum::relative_vigor(
&stats.open,
&stats.high,
&stats.low,
Expand All @@ -240,38 +225,31 @@ fn criterion_benchmark(c: &mut Criterion) {
})
});
c.bench_function("sig-rwi", |b| {
b.iter(|| black_box(indicator::rwi(&stats.high, &stats.low, &stats.close, 16)))
b.iter(|| black_box(trend::rwi(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-fisher", |b| {
b.iter(|| black_box(indicator::fisher(&stats.high, &stats.low, 16)))
b.iter(|| black_box(momentum::fisher(&stats.high, &stats.low, 16)))
});
c.bench_function("sig-rainbow", |b| {
b.iter(|| black_box(indicator::rainbow(&stats.close, 3, 16)))
b.iter(|| black_box(momentum::rainbow(&stats.close, 3, 16)))
});
c.bench_function("sig-coppock", |b| {
b.iter(|| black_box(indicator::coppock(&stats.close, 10, 11, 14)))
b.iter(|| black_box(momentum::coppock(&stats.close, 10, 11, 14)))
});
c.bench_function("sig-psy", |b| {
b.iter(|| black_box(indicator::psy(&stats.close, 16)))
b.iter(|| black_box(trend::psy(&stats.close, 16)))
});
c.bench_function("sig-mass", |b| {
b.iter(|| black_box(indicator::mass(&stats.high, &stats.low, 9, 16)))
b.iter(|| black_box(trend::mass(&stats.high, &stats.low, 9, 16)))
});
c.bench_function("sig-roc", |b| {
b.iter(|| black_box(indicator::roc(&stats.low, 16)))
b.iter(|| black_box(momentum::roc(&stats.low, 16)))
});
c.bench_function("sig-keltner", |b| {
b.iter(|| {
black_box(indicator::keltner(
&stats.high,
&stats.low,
&stats.close,
16,
))
})
b.iter(|| black_box(trend::keltner(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-gri", |b| {
b.iter(|| black_box(indicator::gri(&stats.high, &stats.low, 16)))
b.iter(|| black_box(trend::gri(&stats.high, &stats.low, 16)))
});
c.bench_function("sig-volume-bw_mfi", |b| {
b.iter(|| {
Expand Down
3 changes: 2 additions & 1 deletion src/lib.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -2,6 +2,7 @@
//!
//! a set of functions to derive signals from financial(-like) data
pub mod indicator;
pub mod momentum;
pub mod smooth;
pub mod trend;
pub mod volume;
2 changes: 1 addition & 1 deletion src/main.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,6 @@ 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::gri(&stats.high, &stats.low, 16));
dbg!(momentum::pgo(&stats.high, &stats.low, &stats.close, 16));
//dbg!(smooth::sma(&stats.close, 16).collect::<Vec<f64>>());
}
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