fix

YieldsLabs · Apr 18, 2024 · 0dc0433 · 0dc0433
1 parent d4b83e0
commit 0dc0433
Showing 1 changed file with 14 additions and 45 deletions.
diff --git a/ta_lib/indicators/trend/src/supertrend.rs b/ta_lib/indicators/trend/src/supertrend.rs
@@ -12,15 +12,15 @@ pub fn supertrend(
     let mut dn = hl2 + &atr_mul;
 
     let len = hl2.len();
-    let prev_close = close.shift(1);
 
-    for _ in 0..len {
-        let mut prev_up = up.shift(1);
-        let mut prev_dn = dn.shift(1);
-
-        prev_up = iff!(prev_up.na(), up, prev_up);
-        prev_dn = iff!(prev_dn.na(), dn, prev_dn);
+    let mut prev_up = up.shift(1);
+    let mut prev_dn = dn.shift(1);
+
+    prev_up = iff!(prev_up.na(), up, prev_up);
+    prev_dn = iff!(prev_dn.na(), dn, prev_dn);
 
+    for _ in 0..len {
+        let prev_close = close.shift(1);
         up = iff!(prev_close.sgt(&prev_up), up.max(&prev_up), up);
         dn = iff!(prev_close.slt(&prev_dn), dn.min(&prev_dn), dn);
     }
@@ -29,9 +29,6 @@ pub fn supertrend(
     let trend_bull = Series::one(len);
     let trend_bear = trend_bull.negate();
 
-    let prev_up = up.shift(1);
-    let prev_dn = dn.shift(1);
-
     for _ in 0..len {
         let prev_direction = direction.shift(1);
 
@@ -49,11 +46,8 @@ pub fn supertrend(
         );
     }
 
-    let supertrend = iff!(
-        direction.seq(&ONE),
-        up,
-        iff!(direction.seq(&MINUS_ONE), dn, Series::zero(len))
-    );
+    let mut supertrend = iff!(direction.seq(&MINUS_ONE), dn, Series::zero(len));
+    supertrend = iff!(direction.seq(&ONE), up, supertrend);
 
     (direction, supertrend)
 }
@@ -66,44 +60,19 @@ mod tests {
 
     #[test]
     fn test_supertrend() {
-        let high = Series::from([
-            7.1135, 7.1135, 7.116, 7.1225, 7.121, 7.136, 7.142, 7.1405, 7.1125, 7.1360, 7.1350,
-            7.1550, 7.1590, 7.1505, 7.1460, 7.1505, 7.1555, 7.1575, 7.1550, 7.1445, 7.1540, 7.1525,
-            7.1495, 7.1390, 7.1375, 7.1395, 7.1290, 7.1280, 7.1280, 7.1355, 7.1280, 7.1310, 7.1275,
-            7.1250, 7.1270, 7.1230, 7.1210, 7.1325, 7.1355, 7.142, 7.14, 7.1260, 7.1870, 7.1670,
-            7.1580,
-        ]);
-        let low = Series::from([
-            7.0935, 7.088, 7.088, 7.1075, 7.1135, 7.1185, 7.119, 7.112, 7.1, 7.1055, 7.1160,
-            7.1285, 7.1480, 7.1375, 7.1370, 7.1405, 7.1440, 7.1460, 7.1375, 7.1355, 7.1440, 7.1420,
-            7.1365, 7.1280, 7.1305, 7.1250, 7.1145, 7.1035, 7.1135, 7.1175, 7.1220, 7.1225, 7.1180,
-            7.1180, 7.1125, 7.1055, 7.1115, 7.12, 7.126, 7.1295, 7.114, 7.1160, 7.1235, 7.1565,
-            7.1510,
-        ]);
-        let close = Series::from([
-            7.1135, 7.088, 7.112, 7.1205, 7.1195, 7.136, 7.1405, 7.112, 7.1095, 7.1220, 7.1310,
-            7.1550, 7.1480, 7.1435, 7.1405, 7.1440, 7.1495, 7.1515, 7.1415, 7.1445, 7.1525, 7.1440,
-            7.1370, 7.1305, 7.1375, 7.1250, 7.1190, 7.1135, 7.1280, 7.1220, 7.1230, 7.1225, 7.1180,
-            7.1250, 7.1230, 7.1130, 7.1210, 7.13, 7.134, 7.132, 7.116, 7.1235, 7.1645, 7.1565,
-            7.1560,
-        ]);
+        let high = Series::from([6.5600, 6.6049, 6.5942, 6.5541, 6.5300, 6.5700, 6.5630]);
+        let low = Series::from([6.5418, 6.5394, 6.5301, 6.4782, 6.4882, 6.5131, 6.5126]);
+        let close = Series::from([6.5541, 6.5942, 6.5348, 6.4950, 6.5298, 6.5616, 6.5223]);
         let hl2 = median_price(&high, &low);
         let atr_period = 2;
         let atr = atr(&high, &low, &close, Smooth::SMMA, atr_period);
 
         let factor = 3.0;
         let expected_supertrend = vec![
-            7.0435004, 7.0435004, 7.0435004, 7.054437, 7.075719, 7.080235, 7.080235, 7.080235,
-            7.080235, 7.080235, 7.080235, 7.080235, 7.1008663, 7.1008663, 7.105092, 7.1122966,
-            7.115898, 7.1175737, 7.1175737, 7.1175737, 7.1175737, 7.1175737, 7.1175737, 7.1175737,
-            7.1175737, 7.1175737, 7.1175737, 7.158781, 7.158781, 7.158781, 7.158781, 7.157001,
-            7.152126, 7.1466875, 7.1466875, 7.1466875, 7.1466875, 7.1466875, 7.1466875, 7.1466875,
-            7.1466875, 7.1466875, 7.1074786, 7.1074786, 7.1074786,
+            6.4963, 6.4963, 6.446601, 6.403225, 6.3497434, 6.376522, 6.3796854,
         ];
         let expected_direction = vec![
-            1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0,
-            1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0,
-            -1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0, -1.0, 1.0, 1.0, 1.0,
+            1.0, 1.0, 1.0, 1.0, 1.0, 1.0, 1.0,
         ];
 
         let (direction, supertrend) = supertrend(&hl2, &close, &atr, factor);