From 48736e6222d814aee72c46ffdb25cf8923f7d1ef Mon Sep 17 00:00:00 2001
From: m5l14i11 <siarhei.melnik@proton.me>
Date: Sun, 25 Jun 2023 23:44:23 +0400
Subject: [PATCH] vama

---
 ta_lib/overlap/Cargo.toml  |  1 +
 ta_lib/overlap/src/vama.rs | 48 ++++++++++++++++++++++++++++++++++++++
 2 files changed, 49 insertions(+)
 create mode 100644 ta_lib/overlap/src/vama.rs

diff --git a/ta_lib/overlap/Cargo.toml b/ta_lib/overlap/Cargo.toml
index c336da9a..8e7511d2 100644
--- a/ta_lib/overlap/Cargo.toml
+++ b/ta_lib/overlap/Cargo.toml
@@ -7,3 +7,4 @@ edition = "2021"
 
 [dependencies]
 price = { path = "../price" }
+statistics = { path = "../statistics" }
diff --git a/ta_lib/overlap/src/vama.rs b/ta_lib/overlap/src/vama.rs
new file mode 100644
index 00000000..eafd4dd4
--- /dev/null
+++ b/ta_lib/overlap/src/vama.rs
@@ -0,0 +1,48 @@
+use statistics::stddev::std_dev;
+
+pub fn vama(
+    close: &[f64],
+    short_volatility: usize,
+    long_volatility: usize,
+    alpha_factor: f64,
+) -> Vec<Option<f64>> {
+    let short_std = std_dev(close, short_volatility);
+    let long_std = std_dev(close, long_volatility);
+
+    let mut alpha = vec![None; close.len()];
+    let mut vama = vec![None; close.len()];
+
+    for i in 0..close.len() {
+        if let (Some(ss), Some(ls)) = (short_std[i], long_std[i]) {
+            alpha[i] = Some((ss / ls) * alpha_factor);
+        }
+    }
+
+    let alpha = alpha.iter().filter_map(|&x| x).collect::<Vec<_>>();
+
+    vama = ema(&alpha, short_volatility);
+
+    vama
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn test_vama() {
+        let close = vec![100.0, 105.0, 110.0, 115.0, 120.0];
+        let short_volatility = 2;
+        let long_volatility = 3;
+        let alpha_factor = 0.5;
+        let expected = vec![
+            None,
+            Some(102.5),
+            Some(106.25),
+            Some(110.625),
+            Some(115.3125),
+        ];
+        let result = vama(&close, short_volatility, long_volatility, alpha_factor);
+        assert_eq!(result, expected);
+    }
+}