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enable ci #6

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May 9, 2024
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enable ci #6

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39 changes: 39 additions & 0 deletions .github/workflows/gate.yml
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Original file line number Diff line number Diff line change
@@ -0,0 +1,39 @@
name: gate

on:
push:
branches:
- main
pull_request:

jobs:
check-style:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: setup rust
uses: actions-rust-lang/setup-rust-toolchain@v1
with:
components: rustfmt
- name: check style
uses: actions-rust-lang/rustfmt@v1

analyze:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: setup rust
uses: actions-rust-lang/setup-rust-toolchain@v1
with:
components: clippy
- name: lint
run: cargo clippy

run-unit-tests:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: setup rust
uses: actions-rust-lang/setup-rust-toolchain@v1
- name: run unit tests
run: cargo test
54 changes: 20 additions & 34 deletions src/indicator.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -2,7 +2,7 @@ use itertools::{izip, multiunzip};

use crate::smooth;

fn vforce(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>) -> Vec<f64> {
fn vforce(h: &[f64], l: &[f64], c: &[f64], v: &[f64]) -> Vec<f64> {
izip!(&h[1..], &l[1..], &c[1..], &v[1..])
.scan(
(h[0], l[0], c[0], 99, 0.0, h[0] - l[0]),
Expand Down Expand Up @@ -31,14 +31,7 @@ fn vforce(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>) -> Vec<f64> {

/// klinger oscillator
/// https://www.investopedia.com/terms/k/klingeroscillator.asp
pub fn klinger(
h: &Vec<f64>,
l: &Vec<f64>,
c: &Vec<f64>,
v: &Vec<f64>,
short: u8,
long: u8,
) -> Vec<f64> {
pub fn klinger(h: &[f64], l: &[f64], c: &[f64], v: &[f64], short: u8, long: u8) -> Vec<f64> {
let vf = vforce(h, l, c, v);
let short_ma = smooth::ewma(&vf, short);
let long_ma = smooth::ewma(&vf, long);
Expand All @@ -49,7 +42,7 @@ pub fn klinger(
.collect::<Vec<f64>>()
}

fn vforce_simple(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>) -> Vec<f64> {
fn vforce_simple(h: &[f64], l: &[f64], c: &[f64], v: &[f64]) -> Vec<f64> {
izip!(&h[1..], &l[1..], &c[1..], &v[1..])
.scan((h[0], l[0], c[0], 99), |state, (h, l, c, v)| {
let trend: i8 = {
Expand All @@ -67,14 +60,7 @@ fn vforce_simple(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>) -> Vec<

/// klinger volume oscillator
/// designed to match yahoo
pub fn klinger_vol(
h: &Vec<f64>,
l: &Vec<f64>,
c: &Vec<f64>,
v: &Vec<f64>,
short: u8,
long: u8,
) -> Vec<f64> {
pub fn klinger_vol(h: &[f64], l: &[f64], c: &[f64], v: &[f64], short: u8, long: u8) -> Vec<f64> {
let vf = vforce_simple(h, l, c, v);
let short_ma = smooth::ewma(&vf, short);
let long_ma = smooth::ewma(&vf, long);
Expand All @@ -87,7 +73,7 @@ pub fn klinger_vol(

/// quick stick
/// https://www.investopedia.com/terms/q/qstick.asp
pub fn qstick(o: &Vec<f64>, c: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn qstick(o: &[f64], c: &[f64], window: u8) -> Vec<f64> {
let q = c
.iter()
.zip(o.iter())
Expand All @@ -99,7 +85,7 @@ pub fn qstick(o: &Vec<f64>, c: &Vec<f64>, window: u8) -> Vec<f64> {
/// twiggs money flow
/// https://www.marketvolume.com/technicalanalysis/twiggsmoneyflow.asp
/// https://www.incrediblecharts.com/indicators/twiggs_money_flow.php
pub fn twiggs(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn twiggs(h: &[f64], l: &[f64], c: &[f64], v: &[f64], window: u8) -> Vec<f64> {
let data = izip!(h, l, c, v);
let ma_range = smooth::wilder(
&data
Expand All @@ -124,7 +110,7 @@ pub fn twiggs(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>, window: u8

/// shinohara intensity ratio
/// https://www.sevendata.co.jp/shihyou/technical/shinohara.html
pub fn shinohara(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, period: u8) -> (Vec<f64>, Vec<f64>) {
pub fn shinohara(h: &[f64], l: &[f64], c: &[f64], period: u8) -> (Vec<f64>, Vec<f64>) {
// yahoo uses close rather than open for weak ratio described above
let high = h
.windows(period.into())
Expand All @@ -150,9 +136,9 @@ pub fn shinohara(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, period: u8) -> (Vec<f
/// average directional index
/// https://www.investopedia.com/terms/a/adx.asp
pub fn adx(
h: &Vec<f64>,
l: &Vec<f64>,
c: &Vec<f64>,
h: &[f64],
l: &[f64],
c: &[f64],
period: u8,
smoothing: u8,
) -> (Vec<f64>, Vec<f64>, Vec<f64>) {
Expand Down Expand Up @@ -194,7 +180,7 @@ pub fn adx(

/// relative strength index
/// https://www.investopedia.com/terms/r/rsi.asp
pub fn rsi(values: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn rsi(values: &[f64], window: u8) -> Vec<f64> {
let (gain, loss): (Vec<f64>, Vec<f64>) = values[1..]
.iter()
.zip(values[..values.len() - 1].iter())
Expand All @@ -209,7 +195,7 @@ pub fn rsi(values: &Vec<f64>, window: u8) -> Vec<f64> {

/// moving average convergence/divergence
/// https://www.investopedia.com/terms/m/macd.asp
pub fn macd(close: &Vec<f64>, fast: u8, slow: u8) -> Vec<f64> {
pub fn macd(close: &[f64], fast: u8, slow: u8) -> Vec<f64> {
let fast_ma = smooth::ewma(close, fast);
let slow_ma = smooth::ewma(close, slow);
fast_ma[fast_ma.len() - slow_ma.len()..]
Expand All @@ -221,7 +207,7 @@ pub fn macd(close: &Vec<f64>, fast: u8, slow: u8) -> Vec<f64> {

/// chande momentum oscillator
/// https://www.investopedia.com/terms/c/chandemomentumoscillator.asp
pub fn cmo(data: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn cmo(data: &[f64], window: u8) -> Vec<f64> {
smooth::_cmo(data, window)
.iter()
.map(|x| x * 100.0)
Expand All @@ -230,7 +216,7 @@ pub fn cmo(data: &Vec<f64>, window: u8) -> Vec<f64> {

/// centre of gravity
/// https://www.stockmaniacs.net/center-of-gravity-indicator/
pub fn cog(data: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn cog(data: &[f64], window: u8) -> Vec<f64> {
data.windows(window.into())
.map(|w| {
-w.iter()
Expand All @@ -245,7 +231,7 @@ pub fn cog(data: &Vec<f64>, window: u8) -> Vec<f64> {

/// accumulation/distribution
/// https://www.investopedia.com/terms/a/accumulationdistribution.asp
pub fn acc_dist(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>) -> Vec<f64> {
pub fn acc_dist(h: &[f64], l: &[f64], c: &[f64], v: &[f64]) -> Vec<f64> {
izip!(h, l, c, v)
.scan(0.0, |state, (high, low, close, vol)| {
let mfm = ((close - low) - (high - close)) / (high - low);
Expand All @@ -259,7 +245,7 @@ pub fn acc_dist(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>) -> Vec<f

/// accumulation/distribution
/// like yahoo
pub fn acc_dist_yahoo(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>) -> Vec<f64> {
pub fn acc_dist_yahoo(h: &[f64], l: &[f64], c: &[f64], v: &[f64]) -> Vec<f64> {
izip!(&h[1..], &l[1..], &c[1..], &v[1..])
.scan((c[0], 0.0), |state, (high, low, close, vol)| {
let mfm = if *close > state.0 {
Expand All @@ -277,7 +263,7 @@ pub fn acc_dist_yahoo(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>) ->

/// elder ray
/// https://www.investopedia.com/articles/trading/03/022603.asp
pub fn elder_ray(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, window: u8) -> (Vec<f64>, Vec<f64>) {
pub fn elder_ray(h: &[f64], l: &[f64], c: &[f64], window: u8) -> (Vec<f64>, Vec<f64>) {
let close_ma = smooth::ewma(c, window);
izip!(
&h[h.len() - close_ma.len()..],
Expand All @@ -290,7 +276,7 @@ pub fn elder_ray(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, window: u8) -> (Vec<f

/// elder force index
/// https://www.investopedia.com/articles/trading/03/031203.asp
pub fn elder_force(c: &Vec<f64>, v: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn elder_force(c: &[f64], v: &[f64], window: u8) -> Vec<f64> {
smooth::ewma(
&izip!(&c[..c.len() - 1], &c[1..], &v[1..])
.map(|(prev, curr, vol)| (curr - prev) * vol)
Expand All @@ -301,11 +287,11 @@ pub fn elder_force(c: &Vec<f64>, v: &Vec<f64>, window: u8) -> Vec<f64> {

/// williams alligator
/// https://www.investopedia.com/articles/trading/072115/exploring-williams-alligator-indicator.asp
pub fn alligator(data: &Vec<f64>) {}
pub fn alligator(_data: &[f64]) {}

/// money flow index
/// https://www.investopedia.com/terms/m/mfi.asp
pub fn mfi(h: &Vec<f64>, l: &Vec<f64>, c: &Vec<f64>, v: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn mfi(h: &[f64], l: &[f64], c: &[f64], v: &[f64], window: u8) -> Vec<f64> {
let (pos_mf, neg_mf): (Vec<f64>, Vec<f64>) = izip!(&h[1..], &l[1..], &c[1..], &v[1..])
.scan(
(h[0] + l[0] + c[0]) / 3.0,
Expand Down
16 changes: 8 additions & 8 deletions src/smooth.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -47,7 +47,7 @@ pub fn wma(data: &[f64], window: u8) -> Vec<f64> {
}

/// welles wilder's moving average
pub fn wilder(data: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn wilder(data: &[f64], window: u8) -> Vec<f64> {
data[window as usize..]
.iter()
.scan(
Expand All @@ -62,9 +62,9 @@ pub fn wilder(data: &Vec<f64>, window: u8) -> Vec<f64> {
}

/// hull's moving average
pub fn hull(data: &Vec<f64>, window: u8) -> Vec<f64> {
let ma = wma(&data, window);
let ma2 = wma(&data, u8::div_ceil(window, 2));
pub fn hull(data: &[f64], window: u8) -> Vec<f64> {
let ma = wma(data, window);
let ma2 = wma(data, u8::div_ceil(window, 2));
wma(
&ma2[(ma2.len() - ma.len())..]
.iter()
Expand All @@ -76,7 +76,7 @@ pub fn hull(data: &Vec<f64>, window: u8) -> Vec<f64> {
}

/// standard deviation
fn std_dev(data: &Vec<f64>, window: u8) -> Vec<f64> {
fn std_dev(data: &[f64], window: u8) -> Vec<f64> {
data.windows(window.into())
.map(|w| {
let mean = w.iter().sum::<f64>() / window as f64;
Expand All @@ -86,7 +86,7 @@ fn std_dev(data: &Vec<f64>, window: u8) -> Vec<f64> {
}

/// volatility index dynamic average (vidya)
pub fn vidya(data: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn vidya(data: &[f64], window: u8) -> Vec<f64> {
let alpha = 2.0 / (window + 1) as f64;
let std5 = std_dev(data, 5);
let std20 = sma(&std5, 20);
Expand All @@ -103,7 +103,7 @@ pub fn vidya(data: &Vec<f64>, window: u8) -> Vec<f64> {
}

/// chande momentum oscillator
pub(crate) fn _cmo(data: &Vec<f64>, window: u8) -> Vec<f64> {
pub(crate) fn _cmo(data: &[f64], window: u8) -> Vec<f64> {
let (gain, loss): (Vec<f64>, Vec<f64>) = data[..data.len() - 1]
.iter()
.zip(data[1..].iter())
Expand All @@ -120,7 +120,7 @@ pub(crate) fn _cmo(data: &Vec<f64>, window: u8) -> Vec<f64> {
}

/// variable moving average (vma)
pub fn vma(data: &Vec<f64>, window: u8) -> Vec<f64> {
pub fn vma(data: &[f64], window: u8) -> Vec<f64> {
let alpha = 2.0 / (window + 1) as f64;
let vi = _cmo(data, 9); // maybe make this configurable?
izip!(&vi, &data[data.len() - vi.len()..])
Expand Down