add tema and trima moving averages (#21)

chungg · May 17, 2024 · 38ea0b5 · 38ea0b5
1 parent 8bbfe98
commit 38ea0b5
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Showing 2 changed files with 137 additions and 2 deletions.
diff --git a/src/smooth.rs b/src/smooth.rs
@@ -21,6 +21,7 @@ pub fn sma(data: &[f64], window: usize) -> Vec<f64> {
 }
 
 /// double exponential moving average
+/// https://www.investopedia.com/terms/d/double-exponential-moving-average.asp
 pub fn dema(data: &[f64], window: usize) -> Vec<f64> {
     let ma = ewma(data, window);
     let mama = ewma(&ma, window);
@@ -31,6 +32,21 @@ pub fn dema(data: &[f64], window: usize) -> Vec<f64> {
         .collect::<Vec<f64>>()
 }
 
+/// triple exponential moving average
+/// https://www.investopedia.com/terms/t/triple-exponential-moving-average.asp
+pub fn tema(data: &[f64], window: usize) -> Vec<f64> {
+    let ma = ewma(data, window);
+    let ma2 = ewma(&ma, window);
+    let ma3 = ewma(&ma2, window);
+    izip!(
+        &ma[ma.len() - ma3.len()..],
+        &ma2[ma2.len() - ma3.len()..],
+        &ma3
+    )
+    .map(|(ma1, ma2, ma3)| 3.0 * ma1 - 3.0 * ma2 + ma3)
+    .collect::<Vec<f64>>()
+}
+
 /// weighted moving average
 pub fn wma(data: &[f64], window: usize) -> Vec<f64> {
     let denom = (u64::pow(window as u64, 2) + window as u64) as f64 / 2.0;
@@ -127,8 +143,7 @@ pub fn vma(data: &[f64], window: usize) -> Vec<f64> {
         .collect::<Vec<f64>>()
 }
 
-/// Linear Regression Forecast
-/// aka Time series forecast
+/// 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: usize) -> Vec<f64> {
     let x_sum = (window * (window + 1)) as f64 / 2.0;
@@ -149,3 +164,11 @@ pub fn lrf(data: &[f64], window: usize) -> Vec<f64> {
         })
         .collect::<Vec<f64>>()
 }
+
+/// triangular moving average
+/// computes sma(N/2) and then sma(N/2) again.
+pub fn trima(data: &[f64], window: usize) -> Vec<f64> {
+    let win1 = window.div_ceil(2);
+    let win2 = if window & 2 == 0 { win1 + 1 } else { win1 };
+    sma(&sma(data, win1), win2)
+}
diff --git a/tests/ma_test.rs b/tests/ma_test.rs
@@ -420,6 +420,57 @@ fn test_dema_odd() {
     );
 }
 
+#[test]
+fn test_tema_even() {
+    let stats = common::test_data();
+    let results = smooth::tema(&stats.close, 8);
+    assert_eq!(
+        vec![
+            41.85245710750277,
+            42.65215910237417,
+            42.76254104206679,
+            44.39142477599313,
+            45.78886401297522,
+            45.58937539753736,
+            46.155610612438615,
+            47.3905754872981,
+            47.49247104352258,
+            48.329598253168975,
+            49.34731815107276,
+            50.92541420046855,
+            50.65205563565898,
+        ],
+        results
+    );
+}
+
+#[test]
+fn test_tema_odd() {
+    let stats = common::test_data();
+    let results = smooth::tema(&stats.close, 7);
+    assert_eq!(
+        vec![
+            40.30171911199053,
+            40.4845463271717,
+            41.32284194234779,
+            42.27944706651046,
+            43.00666092250643,
+            42.981805405622296,
+            44.653369906246084,
+            46.02578255948713,
+            45.63917998399449,
+            46.16091377840394,
+            47.42462810599313,
+            47.42758713990865,
+            48.27542907351973,
+            49.312771023085006,
+            50.948867388256396,
+            50.52826712062671,
+        ],
+        results
+    );
+}
+
 #[test]
 fn test_wilder_even() {
     let stats = common::test_data();
@@ -510,3 +561,64 @@ fn test_lrf() {
         result
     );
 }
+
+#[test]
+fn test_trima_even() {
+    let stats = common::test_data();
+    let result = smooth::trima(&stats.close, 16);
+    assert_eq!(
+        vec![
+            48.20791710747613,
+            47.198889308505585,
+            46.07638925976224,
+            45.06236139933268,
+            44.254444652133515,
+            43.622916804419624,
+            43.068055629730225,
+            42.5454167260064,
+            42.1704167260064,
+            41.95208342870077,
+            41.89694457583957,
+            41.99611128701104,
+            42.22625022464328,
+            42.59222247865465,
+            43.011944717831085,
+            43.52652804056803,
+            44.12541691462199,
+            44.77319468392266,
+            45.403264098697235,
+        ],
+        result
+    );
+}
+
+#[test]
+fn test_trima_odd() {
+    let stats = common::test_data();
+    let result = smooth::trima(&stats.close, 15);
+    assert_eq!(
+        vec![
+            48.712344229221344,
+            47.64968794584274,
+            46.51796919107437,
+            45.4464066028595,
+            44.60187524557114,
+            43.892187654972076,
+            43.29468756914139,
+            42.69296878576279,
+            42.23281252384186,
+            41.9201563000679,
+            41.74703133106232,
+            41.81609392166138,
+            41.99687522649765,
+            42.32015651464462,
+            42.73265653848648,
+            43.23156279325485,
+            43.79671901464462,
+            44.43218773603439,
+            45.093906462192535,
+            45.69164079427719,
+        ],
+        result
+    );
+}