add pretty good oscillator (#13)

src/indicator.rs

@@ -422,3 +422,22 @@ pub fn ultimate(h: &[f64], l: &[f64], c: &[f64], win1: u8, win2: u8, win3: u8) -
         })
         .collect::<Vec<f64>>()
 }
+
+/// pretty good oscillator
+/// https://library.tradingtechnologies.com/trade/chrt-ti-pretty-good-oscillator.html
+pub fn pgo(h: &[f64], l: &[f64], c: &[f64], window: u8) -> Vec<f64> {
+    let atr = smooth::ewma(
+        &izip!(&h[1..], &l[1..], &c[..c.len() - 1])
+            .map(|(h, l, prevc)| (h - l).max(f64::abs(h - prevc)).max(f64::abs(l - prevc)))
+            .collect::<Vec<f64>>(),
+        window,
+    );
+    let sma_close = smooth::sma(c, window);
+    izip!(
+        &c[c.len() - atr.len()..],
+        &sma_close[sma_close.len() - atr.len()..],
+        atr
+    )
+    .map(|(c, c_ma, tr_ma)| (c - c_ma) / tr_ma)
+    .collect::<Vec<f64>>()
+}

src/main.rs

@@ -16,12 +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!(indicator::ultimate(
-        &stats.high,
-        &stats.low,
-        &stats.close,
-        6,
-        12,
-        24
-    ));
+    dbg!(indicator::pgo(&stats.high, &stats.low, &stats.close, 16,));
 }

tests/indicator_test.rs

@@ -726,3 +726,32 @@ fn test_ultimate() {
         result
     );
 }
+
+#[test]
+fn test_pgo() {
+    let stats = common::test_data();
+    let result = indicator::pgo(&stats.high, &stats.low, &stats.close, 16);
+    assert_eq!(
+        vec![
+            -1.1728195008646218,
+            -1.3831996312942632,
+            -0.669537387649706,
+            -0.6555101010723227,
+            -0.37389208904655474,
+            -0.18480884776195328,
+            -0.01324917609586888,
+            -0.11871191726864071,
+            0.6407704612678665,
+            0.8895192850294852,
+            0.4619045740578769,
+            0.8450928215439151,
+            1.234792786595683,
+            0.9512531985339747,
+            1.3179726777354788,
+            1.5016968220594469,
+            1.7570721475194715,
+            1.0410621667725752,
+        ],
+        result
+    );
+}