From e71b5209b9e48304f281af9fac8924bddc45f863 Mon Sep 17 00:00:00 2001 From: gord chung <5091603+chungg@users.noreply.github.com> Date: Tue, 28 May 2024 09:30:48 -0400 Subject: [PATCH] housekeeping (#36) - update readme - "benchmark" in actions --- .github/workflows/gate.yml | 15 + README.md | 33 +- benches/aapl.input | 8572 ++++++++++++++++++++++++++++++++++++ benches/traquer.rs | 82 +- src/trend.rs | 2 +- tests/trend_test.rs | 4 +- 6 files changed, 8663 insertions(+), 45 deletions(-) create mode 100644 benches/aapl.input diff --git a/.github/workflows/gate.yml b/.github/workflows/gate.yml index 023d59e..4c486f9 100644 --- a/.github/workflows/gate.yml +++ b/.github/workflows/gate.yml @@ -37,3 +37,18 @@ jobs: uses: actions-rust-lang/setup-rust-toolchain@v1 - name: run unit tests run: cargo test + + benchmark: + if: github.head_ref == 'refs/heads/main' + runs-on: ubuntu-latest + steps: + - uses: actions/checkout@v4 + - name: setup rust + uses: actions-rust-lang/setup-rust-toolchain@v1 + - name: restore cache + uses: actions/cache@v4 + with: + path: target/criterion + key: bench-${{ runner.os }} + - name: benchmark + run: cargo bench --bench traquer -- --noplot diff --git a/README.md b/README.md index 291958b..caa3fbc 100644 --- a/README.md +++ b/README.md @@ -2,7 +2,38 @@ WIP - api is not stable. -technical analysis library that gives you false hope that you can beat the market. +Technical analysis library that gives you false hope that you can beat the market. + +## installation +1. (optional) https://rustup.rs/ +2. (optional) cargo new +3. cargo add traquer + +## quick start + +```rust +use traquer::smooth; + +fn main() { + dbg!(smooth::ewma(&vec![1.0,2.0,3.0,4.0,5.0], 3).collect::>()); +} +``` + +## contributing +encouraged. + +- git clone git@github.com:chungg/traquer.git +- https://rustup.rs/ +- cargo test +- cargo bench + +## types of indicators +- momentum - indicators where crossing a threshold (zero line) may signify opportunities. +- trend - indicators where the direction (uptrend/downtrend) may signify opportunities. +- volume - indicators that factor in how much an asset has been traded in a period of time. +- smooth - moving average functions. often used to track trend, levels of support, breakouts, + etc... 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708648f..41c65fa 100644 --- a/benches/traquer.rs +++ b/benches/traquer.rs @@ -15,12 +15,12 @@ struct SecStats { } fn criterion_benchmark(c: &mut Criterion) { - let data = fs::read_to_string("./aapl.input").expect("Unable to read file"); + let data = fs::read_to_string("./benches/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| { + c.bench_function("sig-trend-adx", |b| { b.iter(|| black_box(trend::adx(&stats.high, &stats.low, &stats.close, 14, 14))) }); - c.bench_function("sig-qstick", |b| { + c.bench_function("sig-trend-qstick", |b| { b.iter(|| black_box(trend::qstick(&stats.open, &stats.close, 8))) }); c.bench_function("sig-volume-twiggs", |b| { @@ -31,7 +31,7 @@ fn criterion_benchmark(c: &mut Criterion) { ) }) }); - c.bench_function("sig-rsi", |b| { + c.bench_function("sig-momentum-rsi", |b| { b.iter(|| black_box(momentum::rsi(&stats.close, 16))) }); c.bench_function("sig-volume-kvo", |b| { @@ -42,19 +42,19 @@ fn criterion_benchmark(c: &mut Criterion) { ) }) }); - c.bench_function("sig-macd", |b| { + c.bench_function("sig-momentum-macd", |b| { b.iter(|| black_box(momentum::macd(&stats.close, 12, 26))) }); - c.bench_function("sig-cmo", |b| { + c.bench_function("sig-momentum-cmo", |b| { b.iter(|| black_box(momentum::cmo(&stats.close, 16))) }); - c.bench_function("sig-cog", |b| { + c.bench_function("sig-trend-cog", |b| { b.iter(|| black_box(trend::cog(&stats.close, 16))) }); - c.bench_function("sig-shinohara", |b| { + c.bench_function("sig-trend-shinohara", |b| { b.iter(|| black_box(trend::shinohara(&stats.high, &stats.low, &stats.close, 26))) }); - c.bench_function("sig-elder_ray", |b| { + c.bench_function("sig-momentum-elder_ray", |b| { b.iter(|| { black_box(momentum::elder_ray( &stats.high, @@ -107,28 +107,28 @@ fn criterion_benchmark(c: &mut Criterion) { ) }) }); - c.bench_function("sig-cvi", |b| { + c.bench_function("sig-momentum-cvi", |b| { b.iter(|| black_box(momentum::cvi(&stats.high, &stats.low, 16, 2))) }); - c.bench_function("sig-wpr", |b| { + c.bench_function("sig-momentum-wpr", |b| { b.iter(|| black_box(momentum::wpr(&stats.high, &stats.low, &stats.close, 16))) }); - c.bench_function("sig-vortex", |b| { + c.bench_function("sig-trend-vortex", |b| { b.iter(|| black_box(trend::vortex(&stats.high, &stats.low, &stats.close, 16))) }); - c.bench_function("sig-ppo", |b| { + c.bench_function("sig-momentum-ppo", |b| { b.iter(|| black_box(momentum::ppo(&stats.volume, 10, 16))) }); - c.bench_function("sig-apo", |b| { + c.bench_function("sig-momentum-apo", |b| { b.iter(|| black_box(momentum::apo(&stats.close, 10, 16))) }); - c.bench_function("sig-dpo", |b| { + c.bench_function("sig-momentum-dpo", |b| { b.iter(|| black_box(momentum::dpo(&stats.close, 16))) }); - c.bench_function("sig-vhf", |b| { + c.bench_function("sig-trend-vhf", |b| { b.iter(|| black_box(trend::vhf(&stats.high, &stats.low, &stats.close, 16))) }); - c.bench_function("sig-ultimate", |b| { + c.bench_function("sig-momentum-ultimate", |b| { b.iter(|| { black_box(momentum::ultimate( &stats.high, @@ -140,10 +140,10 @@ fn criterion_benchmark(c: &mut Criterion) { )) }) }); - c.bench_function("sig-pgo", |b| { + c.bench_function("sig-momentum-pgo", |b| { b.iter(|| black_box(momentum::pgo(&stats.high, &stats.low, &stats.close, 16))) }); - c.bench_function("sig-si", |b| { + c.bench_function("sig-momentum-si", |b| { b.iter(|| { black_box(momentum::si( &stats.open, @@ -154,7 +154,7 @@ fn criterion_benchmark(c: &mut Criterion) { )) }) }); - c.bench_function("sig-asi", |b| { + c.bench_function("sig-trend-asi", |b| { b.iter(|| { black_box(trend::asi( &stats.open, @@ -165,28 +165,28 @@ fn criterion_benchmark(c: &mut Criterion) { )) }) }); - c.bench_function("sig-ulcer", |b| { + c.bench_function("sig-trend-ulcer", |b| { b.iter(|| black_box(trend::ulcer(&stats.close, 8))) }); - c.bench_function("sig-tr", |b| { + c.bench_function("sig-trend-tr", |b| { b.iter(|| black_box(trend::tr(&stats.high, &stats.low, &stats.close))) }); - c.bench_function("sig-atr", |b| { + c.bench_function("sig-trend-atr", |b| { b.iter(|| black_box(trend::atr(&stats.high, &stats.low, &stats.close, 16))) }); - c.bench_function("sig-typical", |b| { + c.bench_function("sig-trend-typical", |b| { b.iter(|| black_box(trend::typical(&stats.high, &stats.low, &stats.close, 16))) }); - c.bench_function("sig-trix", |b| { + c.bench_function("sig-momentum-trix", |b| { b.iter(|| black_box(momentum::trix(&stats.close, 7))) }); - c.bench_function("sig-tii", |b| { + c.bench_function("sig-momentum-tii", |b| { 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::>())) }); - c.bench_function("sig-supertrend", |b| { + c.bench_function("sig-trend-supertrend", |b| { b.iter(|| { black_box(trend::supertrend( &stats.high, @@ -197,7 +197,7 @@ fn criterion_benchmark(c: &mut Criterion) { )) }) }); - c.bench_function("sig-stochastic", |b| { + c.bench_function("sig-momentum-stochastic", |b| { b.iter(|| { black_box(momentum::stochastic( &stats.high, @@ -207,13 +207,13 @@ fn criterion_benchmark(c: &mut Criterion) { )) }) }); - c.bench_function("sig-stc", |b| { + c.bench_function("sig-momentum-stc", |b| { b.iter(|| black_box(momentum::stc(&stats.close, 3, 6, 12))) }); - c.bench_function("sig-relative_vol", |b| { + c.bench_function("sig-momentum-relative_vol", |b| { b.iter(|| black_box(momentum::relative_vol(&stats.close, 6, 10))) }); - c.bench_function("sig-relative_vigor", |b| { + c.bench_function("sig-momentum-relative_vigor", |b| { b.iter(|| { black_box(momentum::relative_vigor( &stats.open, @@ -224,31 +224,31 @@ fn criterion_benchmark(c: &mut Criterion) { )) }) }); - c.bench_function("sig-rwi", |b| { + c.bench_function("sig-trend-rwi", |b| { b.iter(|| black_box(trend::rwi(&stats.high, &stats.low, &stats.close, 16))) }); - c.bench_function("sig-fisher", |b| { + c.bench_function("sig-momentum-fisher", |b| { b.iter(|| black_box(momentum::fisher(&stats.high, &stats.low, 16))) }); - c.bench_function("sig-rainbow", |b| { + c.bench_function("sig-momentum-rainbow", |b| { b.iter(|| black_box(momentum::rainbow(&stats.close, 3, 16))) }); - c.bench_function("sig-coppock", |b| { + c.bench_function("sig-momentum-coppock", |b| { b.iter(|| black_box(momentum::coppock(&stats.close, 10, 11, 14))) }); - c.bench_function("sig-psy", |b| { - b.iter(|| black_box(trend::psy(&stats.close, 16))) + c.bench_function("sig-trend-psych", |b| { + b.iter(|| black_box(trend::psych(&stats.close, 16))) }); - c.bench_function("sig-mass", |b| { + c.bench_function("sig-trend-mass", |b| { b.iter(|| black_box(trend::mass(&stats.high, &stats.low, 9, 16))) }); - c.bench_function("sig-roc", |b| { + c.bench_function("sig-momentum-roc", |b| { b.iter(|| black_box(momentum::roc(&stats.low, 16))) }); - c.bench_function("sig-keltner", |b| { + c.bench_function("sig-trend-keltner", |b| { b.iter(|| black_box(trend::keltner(&stats.high, &stats.low, &stats.close, 16))) }); - c.bench_function("sig-gri", |b| { + c.bench_function("sig-trend-gri", |b| { b.iter(|| black_box(trend::gri(&stats.high, &stats.low, 16))) }); c.bench_function("sig-volume-bw_mfi", |b| { diff --git a/src/trend.rs b/src/trend.rs index fd6ff36..94c8b46 100644 --- a/src/trend.rs +++ b/src/trend.rs @@ -266,7 +266,7 @@ pub fn rwi(high: &[f64], low: &[f64], close: &[f64], window: usize) -> Vec<(f64, /// Psychological Line /// https://tradingliteracy.com/psychological-line-indicator/ -pub fn psy(data: &[f64], window: usize) -> Vec { +pub fn psych(data: &[f64], window: usize) -> Vec { data.windows(2) .map(|pair| (pair[1] - pair[0]).signum().max(0.0)) .collect::>() diff --git a/tests/trend_test.rs b/tests/trend_test.rs index 9af70cb..06b8218 100644 --- a/tests/trend_test.rs +++ b/tests/trend_test.rs @@ -386,9 +386,9 @@ fn test_rwi() { } #[test] -fn test_psy() { +fn test_psych() { let stats = common::test_data(); - let result = trend::psy(&stats.close, 16); + let result = trend::psych(&stats.close, 16); assert_eq!( vec![ 37.5, 31.25, 31.25, 31.25, 37.5, 43.75, 43.75, 43.75, 50.0, 50.0, 50.0, 56.25, 62.5,