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update benchmarks #25

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May 22, 2024
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update benchmarks #25

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1 change: 0 additions & 1 deletion Cargo.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -12,7 +12,6 @@ serde_json = "*"

[dev-dependencies]
criterion = "0.5.1"
divan = "0.1.14"

[[bench]]
name = "my_benchmark"
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268 changes: 266 additions & 2 deletions benches/my_benchmark.rs
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Expand Up @@ -14,12 +14,276 @@ struct SecStats {
volume: Vec<f64>,
}

pub fn criterion_benchmark(c: &mut Criterion) {
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("fib 20", |b| {
c.bench_function("sig-adx", |b| {
b.iter(|| {
black_box(indicator::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)))
});
c.bench_function("sig-twiggs", |b| {
b.iter(|| {
black_box(indicator::twiggs(
&stats.high,
&stats.low,
&stats.close,
&stats.volume,
16,
))
})
});
c.bench_function("sig-rsi", |b| {
b.iter(|| black_box(indicator::rsi(&stats.close, 16)))
});
c.bench_function("sig-kvo", |b| {
b.iter(|| {
black_box(indicator::kvo(
&stats.high,
&stats.low,
&stats.close,
&stats.volume,
10,
16,
))
})
});
c.bench_function("sig-macd", |b| {
b.iter(|| black_box(indicator::macd(&stats.close, 12, 26)))
});
c.bench_function("sig-cmo", |b| {
b.iter(|| black_box(indicator::cmo(&stats.close, 16)))
});
c.bench_function("sig-cog", |b| {
b.iter(|| black_box(indicator::cog(&stats.close, 16)))
});
c.bench_function("sig-shinohara", |b| {
b.iter(|| {
black_box(indicator::shinohara(
&stats.high,
&stats.low,
&stats.close,
26,
))
})
});
c.bench_function("sig-elder_ray", |b| {
b.iter(|| {
black_box(indicator::elder_ray(
&stats.high,
&stats.low,
&stats.close,
16,
))
})
});
c.bench_function("sig-elder_force", |b| {
b.iter(|| black_box(indicator::elder_force(&stats.close, &stats.volume, 16)))
});
c.bench_function("sig-mfi", |b| {
b.iter(|| {
black_box(indicator::mfi(
&stats.high,
&stats.low,
&stats.close,
&stats.volume,
16,
))
})
});
c.bench_function("sig-ad", |b| {
b.iter(|| {
black_box(indicator::ad(
&stats.high,
&stats.low,
&stats.close,
&stats.volume,
))
})
});
c.bench_function("sig-ad_yahoo", |b| {
b.iter(|| {
black_box(indicator::ad_yahoo(
&stats.high,
&stats.low,
&stats.close,
&stats.volume,
))
})
});
c.bench_function("sig-cmf", |b| {
b.iter(|| {
black_box(indicator::cmf(
&stats.high,
&stats.low,
&stats.close,
&stats.volume,
16,
))
})
});
c.bench_function("sig-cvi", |b| {
b.iter(|| black_box(indicator::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)))
});
c.bench_function("sig-vortex", |b| {
b.iter(|| black_box(indicator::vortex(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-ppo", |b| {
b.iter(|| black_box(indicator::ppo(&stats.volume, 10, 16)))
});
c.bench_function("sig-apo", |b| {
b.iter(|| black_box(indicator::apo(&stats.close, 10, 16)))
});
c.bench_function("sig-dpo", |b| {
b.iter(|| black_box(indicator::dpo(&stats.close, 16)))
});
c.bench_function("sig-vhf", |b| {
b.iter(|| black_box(indicator::vhf(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-ultimate", |b| {
b.iter(|| {
black_box(indicator::ultimate(
&stats.high,
&stats.low,
&stats.close,
6,
12,
24,
))
})
});
c.bench_function("sig-pgo", |b| {
b.iter(|| black_box(indicator::pgo(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-si", |b| {
b.iter(|| {
black_box(indicator::si(
&stats.open,
&stats.high,
&stats.low,
&stats.close,
0.5,
))
})
});
c.bench_function("sig-asi", |b| {
b.iter(|| {
black_box(indicator::asi(
&stats.open,
&stats.high,
&stats.low,
&stats.close,
0.5,
))
})
});
c.bench_function("sig-ulcer", |b| {
b.iter(|| black_box(indicator::ulcer(&stats.close, 8)))
});
c.bench_function("sig-tr", |b| {
b.iter(|| black_box(indicator::tr(&stats.high, &stats.low, &stats.close)))
});
c.bench_function("sig-hlc3", |b| {
b.iter(|| black_box(indicator::hlc3(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("sig-trix", |b| {
b.iter(|| black_box(indicator::trix(&stats.close, 7)))
});
c.bench_function("sig-tii", |b| {
b.iter(|| black_box(indicator::tii(&stats.close, 16)))
});
c.bench_function("sig-tvi", |b| {
b.iter(|| black_box(indicator::tvi(&stats.close, &stats.volume, 0.5)))
});
c.bench_function("sig-supertrend", |b| {
b.iter(|| {
black_box(indicator::supertrend(
&stats.high,
&stats.low,
&stats.close,
16,
3.0,
))
})
});
c.bench_function("sig-stochastic", |b| {
b.iter(|| {
black_box(indicator::stochastic(
&stats.high,
&stats.low,
&stats.close,
16,
))
})
});
c.bench_function("sig-stc", |b| {
b.iter(|| black_box(indicator::stc(&stats.close, 3, 6, 12)))
});
c.bench_function("sig-relative_vol", |b| {
b.iter(|| black_box(indicator::relative_vol(&stats.close, 6, 10)))
});
c.bench_function("sig-relative_vigor", |b| {
b.iter(|| {
black_box(indicator::relative_vigor(
&stats.open,
&stats.high,
&stats.low,
&stats.close,
16,
))
})
});
c.bench_function("sig-rwi", |b| {
b.iter(|| black_box(indicator::rwi(&stats.high, &stats.low, &stats.close, 16)))
});
c.bench_function("ma-ewma", |b| {
b.iter(|| black_box(smooth::ewma(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-sma", |b| {
b.iter(|| black_box(smooth::sma(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-dema", |b| {
b.iter(|| black_box(smooth::dema(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-tema", |b| {
b.iter(|| black_box(smooth::tema(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-wma", |b| {
b.iter(|| black_box(smooth::wma(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-wilder", |b| {
b.iter(|| black_box(smooth::wilder(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-hull", |b| {
b.iter(|| black_box(smooth::hull(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-vidya", |b| {
b.iter(|| black_box(smooth::vidya(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-vma", |b| {
b.iter(|| black_box(smooth::vma(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-lrf", |b| {
b.iter(|| black_box(smooth::lrf(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-trima", |b| {
b.iter(|| black_box(smooth::trima(&stats.close, 16).collect::<Vec<f64>>()))
});
c.bench_function("ma-zlma", |b| {
b.iter(|| black_box(smooth::zlma(&stats.close, 16).collect::<Vec<f64>>()))
});
}

criterion_group!(benches, criterion_benchmark);
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26 changes: 11 additions & 15 deletions src/indicator.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -49,16 +49,13 @@ pub fn qstick(open: &[f64], close: &[f64], window: usize) -> Vec<f64> {
smooth::ewma(&q, window).collect::<Vec<f64>>()
}

fn wilder_sum(data: &[f64], window: usize) -> Vec<f64> {
fn wilder_sum(data: &[f64], window: usize) -> impl Iterator<Item = f64> + '_ {
let initial = data[..(window - 1)].iter().sum::<f64>();
data[(window - 1)..]
.iter()
.scan(initial, |state, x| {
let ma = *state * (window - 1) as f64 / window as f64 + x;
*state = ma;
Some(ma)
})
.collect::<Vec<f64>>()
data[(window - 1)..].iter().scan(initial, move |state, x| {
let ma = *state * (window - 1) as f64 / window as f64 + x;
*state = ma;
Some(ma)
})
}

/// twiggs money flow
Expand All @@ -67,7 +64,7 @@ fn wilder_sum(data: &[f64], window: usize) -> Vec<f64> {
pub fn twiggs(high: &[f64], low: &[f64], close: &[f64], volume: &[f64], window: usize) -> Vec<f64> {
let data = izip!(&high[1..], &low[1..], &close[1..], &volume[1..]);
// not using wilder moving average to minimise drift caused by floating point math
let ad = wilder_sum(
wilder_sum(
&data
.scan(close[0], |state, (h, l, c, vol)| {
let range_vol = vol
Expand All @@ -78,11 +75,10 @@ pub fn twiggs(high: &[f64], low: &[f64], close: &[f64], volume: &[f64], window:
})
.collect::<Vec<f64>>(),
window,
);
ad.iter()
.zip(wilder_sum(&volume[1..], window).iter())
.map(|(range, vol)| range / vol)
.collect()
)
.zip(wilder_sum(&volume[1..], window))
.map(|(range, vol)| range / vol)
.collect()
}

/// shinohara intensity ratio
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3 changes: 2 additions & 1 deletion src/main.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -16,5 +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::rwi(&stats.high, &stats.low, &stats.close, 16));
//dbg!(indicator::rwi(&stats.high, &stats.low, &stats.close, 16));
dbg!(smooth::sma(&stats.close, 16).collect::<Vec<f64>>());
}