add price oscillator indicators and zero lag ma (#22)

chungg · May 18, 2024 · c7c9990 · c7c9990
1 parent 38ea0b5
commit c7c9990
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Showing 5 changed files with 126 additions and 11 deletions.
diff --git a/src/indicator.rs b/src/indicator.rs
@@ -372,9 +372,9 @@ pub fn vortex(high: &[f64], low: &[f64], close: &[f64], window: usize) -> (Vec<f
     .unzip()
 }
 
-/// percent oscillator
+/// percent price oscillator
 /// pass in any data (close, high, low, etc...), and two window ranges
-pub fn po(data: &[f64], short: usize, long: usize) -> Vec<f64> {
+pub fn ppo(data: &[f64], short: usize, long: usize) -> Vec<f64> {
     let short_ma = smooth::ewma(data, short);
     let long_ma = smooth::ewma(data, long);
     short_ma[short_ma.len() - long_ma.len()..]
@@ -384,6 +384,30 @@ pub fn po(data: &[f64], short: usize, long: usize) -> Vec<f64> {
         .collect::<Vec<f64>>()
 }
 
+/// Absolute Price Oscillator
+/// https://www.fidelity.com/learning-center/trading-investing/technical-analysis/technical-indicator-guide/apo
+pub fn apo(data: &[f64], short: usize, long: usize) -> Vec<f64> {
+    let short_ma = smooth::ewma(data, short);
+    let long_ma = smooth::ewma(data, long);
+    short_ma[short_ma.len() - long_ma.len()..]
+        .iter()
+        .zip(long_ma)
+        .map(|(x, y)| x - y)
+        .collect::<Vec<f64>>()
+}
+
+/// Detrended Price Oscillator
+pub fn dpo(data: &[f64], window: usize) -> Vec<f64> {
+    let ma = smooth::sma(data, window);
+    let lag = window / 2 + 1;
+    dbg!(&ma);
+    data[window - lag - 1..]
+        .iter()
+        .zip(ma)
+        .map(|(x, y)| x - y)
+        .collect::<Vec<f64>>()
+}
+
 /// vertical horizontal filter
 /// https://www.upcomingtrader.com/blog/the-vertical-horizontal-filter-a-traders-guide-to-market-phases/
 pub fn vhf(high: &[f64], low: &[f64], close: &[f64], window: usize) -> Vec<f64> {

diff --git a/src/main.rs b/src/main.rs
@@ -16,11 +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::relative_vigor(
-        &stats.open,
-        &stats.high,
-        &stats.low,
-        &stats.close,
-        16
-    ));
+    dbg!(indicator::dpo(&stats.close, 16));
 }
diff --git a/src/smooth.rs b/src/smooth.rs
@@ -172,3 +172,17 @@ pub fn trima(data: &[f64], window: usize) -> Vec<f64> {
     let win2 = if window & 2 == 0 { win1 + 1 } else { win1 };
     sma(&sma(data, win1), win2)
 }
+
+/// Zero Lag Moving Average
+/// https://en.wikipedia.org/wiki/Zero_lag_exponential_moving_average
+pub fn zlma(data: &[f64], window: usize) -> Vec<f64> {
+    let lag = (window - 1) / 2;
+    ewma(
+        &data
+            .iter()
+            .zip(data[lag..].iter())
+            .map(|(prev, curr)| 2.0 * curr - prev)
+            .collect::<Vec<f64>>(),
+        window,
+    )
+}
diff --git a/tests/indicator_test.rs b/tests/indicator_test.rs
@@ -648,9 +648,9 @@ fn test_vortex() {
 }
 
 #[test]
-fn test_po() {
+fn test_ppo() {
     let stats = common::test_data();
-    let result = indicator::po(&stats.volume, 10, 16);
+    let result = indicator::ppo(&stats.volume, 10, 16);
     assert_eq!(
         vec![
             -35.378723807894985,
@@ -677,6 +677,66 @@ fn test_po() {
     );
 }
 
+#[test]
+fn test_apo() {
+    let stats = common::test_data();
+    let result = indicator::apo(&stats.close, 10, 16);
+    assert_eq!(
+        vec![
+            -3.066861454520314,
+            -2.976616647434078,
+            -2.974212899316754,
+            -2.745221486406585,
+            -2.5750892679175763,
+            -2.3227459270799784,
+            -2.040835124550796,
+            -1.7724858153941057,
+            -1.5857634044718836,
+            -1.2258138130321825,
+            -0.885191183160849,
+            -0.7384274508922886,
+            -0.5242732104821357,
+            -0.24166405735277152,
+            -0.1004936005485888,
+            0.10816949510991947,
+            0.3290082798737828,
+            0.6097419848129704,
+            0.6642876636596782,
+        ],
+        result
+    );
+}
+
+#[test]
+fn test_dpo() {
+    let stats = common::test_data();
+    let result = indicator::dpo(&stats.close, 16);
+    assert_eq!(
+        vec![
+            2.0268754959106445,
+            -1.129373550415039,
+            -1.0500013828277588,
+            2.191876173019409,
+            1.8362512588500977,
+            1.141249656677246,
+            -1.5718750953674316,
+            1.324373483657837,
+            -0.6518747806549072,
+            -2.9000003337860107,
+            -1.6800007820129395,
+            -3.5431268215179443,
+            -1.048123836517334,
+            -2.2387490272521973,
+            -1.2106242179870605,
+            -0.8056254386901855,
+            -1.0631237030029297,
+            -2.404374599456787,
+            -0.057187557220458984,
+        ],
+        result
+    );
+}
+
 #[test]
 fn test_vhf() {
     let stats = common::test_data();

diff --git a/tests/ma_test.rs b/tests/ma_test.rs
@@ -622,3 +622,26 @@ fn test_trima_odd() {
         result
     );
 }
+
+#[test]
+fn test_zlma() {
+    let stats = common::test_data();
+    let result = smooth::zlma(&stats.close, 16);
+    assert_eq!(
+        vec![
+            37.98812532424927,
+            38.66716965507059,
+            40.19926762993361,
+            41.45111806616384,
+            42.2215743154743,
+            43.10374218667769,
+            44.21859626248675,
+            44.91405520259631,
+            45.993578137889436,
+            46.861392797735625,
+            47.99770003005625,
+            48.72149975724747,
+        ],
+        result
+    );
+}