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YieldsLabs · Apr 28, 2024 · 4bd53ba · 4bd53ba
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commit 4bd53ba
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Showing 65 changed files with 241 additions and 207 deletions.
diff --git a/ta_lib/strategies/base/src/model.rs b/ta_lib/strategies/base/src/model.rs
@@ -13,11 +13,11 @@ pub struct OHLCV {
 
 #[derive(Debug, Clone)]
 pub struct OHLCVSeries {
-    pub open: Series<f32>,
-    pub high: Series<f32>,
-    pub low: Series<f32>,
-    pub close: Series<f32>,
-    pub volume: Series<f32>,
+    open: Series<f32>,
+    high: Series<f32>,
+    low: Series<f32>,
+    close: Series<f32>,
+    volume: Series<f32>,
 }
 
 impl OHLCVSeries {
@@ -55,4 +55,34 @@ impl OHLCVSeries {
             volume: Series::from(volume),
         }
     }
+
+    #[inline]
+    pub fn len(&self) -> usize {
+        self.close.len()
+    }
+
+    #[inline]
+    pub fn open(&self) -> &Series<f32> {
+        &self.open
+    }
+
+    #[inline]
+    pub fn high(&self) -> &Series<f32> {
+        &self.high
+    }
+
+    #[inline]
+    pub fn low(&self) -> &Series<f32> {
+        &self.low
+    }
+
+    #[inline]
+    pub fn close(&self) -> &Series<f32> {
+        &self.close
+    }
+
+    #[inline]
+    pub fn volume(&self) -> &Series<f32> {
+        &self.volume
+    }
 }
diff --git a/ta_lib/strategies/base/src/source.rs b/ta_lib/strategies/base/src/source.rs
@@ -3,36 +3,30 @@ use core::prelude::*;
 use price::prelude::*;
 
 pub trait Source {
-    fn close(&self) -> Series<f32>;
     fn hl2(&self) -> Series<f32>;
     fn hlc3(&self) -> Series<f32>;
     fn hlcc4(&self) -> Series<f32>;
     fn ohlc4(&self) -> Series<f32>;
 }
 
 impl Source for OHLCVSeries {
-    #[inline]
-    fn close(&self) -> Series<f32> {
-        self.close.clone()
-    }
-
     #[inline]
     fn hl2(&self) -> Series<f32> {
-        median_price(&self.high, &self.low)
+        median_price(self.high(), self.low())
     }
 
     #[inline]
     fn hlc3(&self) -> Series<f32> {
-        typical_price(&self.high, &self.low, &self.close)
+        typical_price(self.high(), self.low(), self.close())
     }
 
     #[inline]
     fn hlcc4(&self) -> Series<f32> {
-        wcl(&self.high, &self.low, &self.close)
+        wcl(&self.high(), self.low(), self.close())
     }
 
     #[inline]
     fn ohlc4(&self) -> Series<f32> {
-        average_price(&self.open, &self.high, &self.low, &self.close)
+        average_price(self.open(), self.high(), self.low(), self.close())
     }
 }
diff --git a/ta_lib/strategies/base/src/strategy.rs b/ta_lib/strategies/base/src/strategy.rs
@@ -98,8 +98,8 @@ impl Strategy for BaseStrategy {
         match self.trade_signals() {
             (true, false, false, false) => TradeAction::GoLong(theo_price),
             (false, true, false, false) => TradeAction::GoShort(theo_price),
-            (false, false, true, false) => TradeAction::ExitLong(data.close),
-            (false, false, false, true) => TradeAction::ExitShort(data.close),
+            (false, false, true, false) => TradeAction::ExitLong(theo_price),
+            (false, false, false, true) => TradeAction::ExitShort(theo_price),
             _ => TradeAction::DoNothing,
         }
     }
@@ -187,7 +187,7 @@ mod tests {
         }
 
         fn generate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-            let len = data.close.len();
+            let len = data.len();
             (Series::one(len).into(), Series::zero(len).into())
         }
     }
@@ -202,7 +202,7 @@ mod tests {
         }
 
         fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-            let len = data.close.len();
+            let len = data.len();
             (Series::one(len).into(), Series::zero(len).into())
         }
     }
@@ -217,7 +217,7 @@ mod tests {
         }
 
         fn assess(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-            let len = data.close.len();
+            let len = data.len();
             (Series::one(len).into(), Series::one(len).into())
         }
     }
@@ -232,12 +232,12 @@ mod tests {
         }
 
         fn generate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-            let len = data.close.len();
+            let len = data.len();
             (Series::one(len).into(), Series::zero(len).into())
         }
 
         fn filter(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-            let len = data.close.len();
+            let len = data.len();
             (Series::one(len).into(), Series::zero(len).into())
         }
     }
@@ -253,7 +253,7 @@ mod tests {
         }
 
         fn find(&self, data: &OHLCVSeries) -> (Series<f32>, Series<f32>) {
-            let len = data.close.len();
+            let len = data.len();
             (
                 Series::from(vec![5.0; len]) * self.multi,
                 Series::from(vec![6.0; len]) * self.multi,
@@ -269,7 +269,7 @@ mod tests {
         }
 
         fn evaluate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-            let len = data.close.len();
+            let len = data.len();
             (Series::one(len).into(), Series::zero(len).into())
         }
     }
@@ -322,10 +322,10 @@ mod tests {
 
         let series = OHLCVSeries::from_data(&strategy.data);
 
-        let hl2: Vec<f32> = series.hl2().into();
-        let hlc3: Vec<f32> = series.hlc3().into();
-        let hlcc4: Vec<f32> = series.hlcc4().into();
-        let ohlc4: Vec<f32> = series.ohlc4().into();
+        let hl2: Vec<f32> = series.hl2().clone().into();
+        let hlc3: Vec<f32> = series.hlc3().clone().into();
+        let hlcc4: Vec<f32> = series.hlcc4().clone().into();
+        let ohlc4: Vec<f32> = series.ohlc4().clone().into();
 
         assert_eq!(hl2, vec![1.25]);
         assert_eq!(hlc3, vec![1.333_333_4]);

diff --git a/ta_lib/strategies/base/src/volatility.rs b/ta_lib/strategies/base/src/volatility.rs
@@ -10,11 +10,11 @@ pub trait Volatility {
 impl Volatility for OHLCVSeries {
     #[inline]
     fn atr(&self, period: usize, smooth_type: Smooth) -> Series<f32> {
-        atr(&self.high, &self.low, &self.close, smooth_type, period)
+        atr(self.high(), self.low(), self.close(), smooth_type, period)
     }
 
     #[inline]
     fn tr(&self) -> Series<f32> {
-        tr(&self.high, &self.low, &self.close)
+        tr(self.high(), self.low(), self.close())
     }
 }
diff --git a/ta_lib/strategies/baseline/src/ma.rs b/ta_lib/strategies/baseline/src/ma.rs
@@ -19,7 +19,7 @@ impl MaBaseLine {
             period: period as usize,
             signal: vec![
                 Box::new(MaSurpassSignal::new(ma, period)),
-                // Box::new(MaQuadrupleSignal::new(ma, period)),
+                Box::new(MaQuadrupleSignal::new(ma, period)),
             ],
         }
     }
@@ -40,7 +40,7 @@ impl BaseLine for MaBaseLine {
         let ma = ma_indicator(&self.ma, data, self.period);
         let prev_ma = ma.shift(1);
 
-        let dist = (&ma - &data.close).abs();
+        let dist = (&ma - data.close()).abs();
         let atr = data.atr(DEFAULT_ATR_LOOKBACK, Smooth::SMMA) * DEFAULT_ATR_FACTOR;
 
         (

diff --git a/ta_lib/strategies/confirm/src/dpo.rs b/ta_lib/strategies/confirm/src/dpo.rs
@@ -22,7 +22,7 @@ impl Confirm for DpoConfirm {
     }
 
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-        let dpo = dpo(&data.close, self.smooth_type, self.period);
+        let dpo = dpo(data.close(), self.smooth_type, self.period);
 
         (dpo.sgt(&ZERO_LINE), dpo.slt(&ZERO_LINE))
     }

diff --git a/ta_lib/strategies/confirm/src/dso.rs b/ta_lib/strategies/confirm/src/dso.rs
@@ -28,7 +28,7 @@ impl Confirm for DsoConfirm {
 
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let (k, d) = dso(
-            &data.close,
+            data.close(),
             self.smooth_type,
             self.smooth_period,
             self.k_period,

diff --git a/ta_lib/strategies/confirm/src/dumb.rs b/ta_lib/strategies/confirm/src/dumb.rs
@@ -19,7 +19,7 @@ impl Confirm for DumbConfirm {
     }
 
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-        let len = data.close.len();
+        let len = data.len();
 
         (Series::one(len).into(), Series::one(len).into())
     }

diff --git a/ta_lib/strategies/confirm/src/eom.rs b/ta_lib/strategies/confirm/src/eom.rs
@@ -26,9 +26,9 @@ impl Confirm for EomConfirm {
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let eom = eom(
             &data.hl2(),
-            &data.high,
-            &data.low,
-            &data.volume,
+            data.high(),
+            data.low(),
+            data.volume(),
             self.smooth_type,
             self.period,
             self.divisor,

diff --git a/ta_lib/strategies/confirm/src/roc.rs b/ta_lib/strategies/confirm/src/roc.rs
@@ -20,7 +20,7 @@ impl Confirm for RocConfirm {
     }
 
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-        let roc = roc(&data.close, self.period);
+        let roc = roc(data.close(), self.period);
 
         (roc.sgt(&ZERO_LINE), roc.slt(&ZERO_LINE))
     }

diff --git a/ta_lib/strategies/confirm/src/rsi_neutrality.rs b/ta_lib/strategies/confirm/src/rsi_neutrality.rs
@@ -27,7 +27,7 @@ impl Confirm for RsiNeutralityConfirm {
     }
 
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-        let rsi = rsi(&data.close, self.smooth_type, self.period);
+        let rsi = rsi(data.close(), self.smooth_type, self.period);
 
         let lower_barrier = RSI_LOWER_BARRIER + self.threshold;
         let upper_barrier = RSI_UPPER_BARRIER - self.threshold;

diff --git a/ta_lib/strategies/confirm/src/rsi_signalline.rs b/ta_lib/strategies/confirm/src/rsi_signalline.rs
@@ -37,8 +37,9 @@ impl Confirm for RsiSignalLineConfirm {
     }
 
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-        let rsi = rsi(&data.close, self.smooth_type, self.rsi_period);
+        let rsi = rsi(&data.close(), self.smooth_type, self.rsi_period);
         let signal = rsi.smooth(self.smooth_signal, self.smooth_period);
+
         let upper_barrier = RSI_UPPER_BARRIER + self.threshold;
         let lower_barrier = RSI_LOWER_BARRIER - self.threshold;
 

diff --git a/ta_lib/strategies/confirm/src/stc.rs b/ta_lib/strategies/confirm/src/stc.rs
@@ -44,7 +44,7 @@ impl Confirm for StcConfirm {
 
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let stc = stc(
-            &data.close,
+            data.close(),
             self.smooth_type,
             self.fast_period,
             self.slow_period,

diff --git a/ta_lib/strategies/confirm/src/vi.rs b/ta_lib/strategies/confirm/src/vi.rs
@@ -23,8 +23,8 @@ impl Confirm for ViConfirm {
 
     fn validate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let (vip, vim) = vi(
-            &data.high,
-            &data.low,
+            data.high(),
+            data.low(),
             &data.atr(self.atr_period, Smooth::SMMA),
             self.period,
         );

diff --git a/ta_lib/strategies/exit/src/ast.rs b/ta_lib/strategies/exit/src/ast.rs
@@ -23,7 +23,7 @@ impl Exit for AstExit {
 
     fn evaluate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let (direction, _) = ast(
-            &data.close,
+            data.close(),
             &data.atr(self.atr_period, Smooth::SMMA),
             self.factor,
         );

diff --git a/ta_lib/strategies/exit/src/dumb.rs b/ta_lib/strategies/exit/src/dumb.rs
@@ -9,7 +9,7 @@ impl Exit for DumbExit {
     }
 
     fn evaluate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-        let len = data.close.len();
+        let len = data.len();
 
         (Series::zero(len).into(), Series::zero(len).into())
     }

diff --git a/ta_lib/strategies/exit/src/highlow.rs b/ta_lib/strategies/exit/src/highlow.rs
@@ -20,8 +20,8 @@ impl Exit for HighLowExit {
 
     fn evaluate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         (
-            data.close.sgt(&data.high.shift(self.period)),
-            data.close.slt(&data.low.shift(self.period)),
+            data.close().sgt(&data.high().shift(self.period)),
+            data.close().slt(&data.low().shift(self.period)),
         )
     }
 }
diff --git a/ta_lib/strategies/exit/src/ma.rs b/ta_lib/strategies/exit/src/ma.rs
@@ -24,6 +24,6 @@ impl Exit for MaExit {
     fn evaluate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
         let ma = ma_indicator(&self.ma, data, self.period);
 
-        (data.close.cross_under(&ma), data.close.cross_over(&ma))
+        (data.close().cross_under(&ma), data.close().cross_over(&ma))
     }
 }
diff --git a/ta_lib/strategies/exit/src/mfi.rs b/ta_lib/strategies/exit/src/mfi.rs
@@ -25,7 +25,7 @@ impl Exit for MfiExit {
     }
 
     fn evaluate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-        let mfi = mfi(&data.hlc3(), &data.volume, self.period);
+        let mfi = mfi(&data.hlc3(), data.volume(), self.period);
         let upper_bound = MFI_OVERBOUGHT - self.threshold;
         let lower_bound = MFI_OVERSOLD + self.threshold;
 

diff --git a/ta_lib/strategies/exit/src/rsi.rs b/ta_lib/strategies/exit/src/rsi.rs
@@ -27,7 +27,8 @@ impl Exit for RsiExit {
     }
 
     fn evaluate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-        let rsi = rsi(&data.close, self.smooth_type, self.period);
+        let rsi = rsi(data.close(), self.smooth_type, self.period);
+
         let upper_bound = RSI_OVERBOUGHT - self.threshold;
         let lower_bound = RSI_OVERSOLD + self.threshold;
 

diff --git a/ta_lib/strategies/exit/src/trix.rs b/ta_lib/strategies/exit/src/trix.rs
@@ -24,7 +24,7 @@ impl Exit for TrixExit {
     }
 
     fn evaluate(&self, data: &OHLCVSeries) -> (Series<bool>, Series<bool>) {
-        let trix = trix(&data.close, self.smooth_type, self.period);
+        let trix = trix(data.close(), self.smooth_type, self.period);
         let signal_line = trix.smooth(self.smooth_type, self.signal_period);
 
         (