macd

ta_lib/momentum/src/lib.rs

@@ -1 +1,2 @@
+pub mod macd;
 pub mod rsi;

ta_lib/momentum/src/macd.rs

@@ -0,0 +1,128 @@
+use overlap::ema::ema;
+
+pub fn macd(
+    data: &[f64],
+    fast_period: usize,
+    slow_period: usize,
+    signal_period: usize,
+) -> (Vec<Option<f64>>, Vec<Option<f64>>, Vec<Option<f64>>) {
+    let ema_fast = ema(data, fast_period);
+    let ema_slow = ema(data, slow_period);
+
+    let macd_line = ema_fast
+        .iter()
+        .zip(&ema_slow)
+        .map(|(fast, slow)| match (fast, slow) {
+            (Some(fast), Some(slow)) => Some(fast - slow),
+            _ => None,
+        })
+        .collect::<Vec<_>>();
+
+    let signal_line_values = ema(
+        &macd_line.iter().filter_map(|&x| x).collect::<Vec<_>>(),
+        signal_period,
+    );
+
+    let mut signal_line = vec![None; macd_line.len() - signal_line_values.len()];
+    signal_line.extend(signal_line_values);
+
+    let histogram = macd_line
+        .iter()
+        .zip(&signal_line)
+        .map(|(macd, signal)| match (macd, signal) {
+            (Some(macd), Some(signal)) => Some(macd - signal),
+            _ => None,
+        })
+        .collect::<Vec<_>>();
+
+    (macd_line, signal_line, histogram)
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn test_macd() {
+        let data = vec![2.0, 4.0, 6.0, 8.0, 10.0, 9.0, 8.0, 7.0, 6.0, 5.0];
+        let fast_period = 3;
+        let slow_period = 5;
+        let signal_period = 4;
+        let epsilon = 0.001;
+
+        let (macd_line, signal_line, histogram) =
+            macd(&data, fast_period, slow_period, signal_period);
+
+        let expected_macd_line = vec![
+            None,
+            None,
+            None,
+            None,
+            Some(1.334877),
+            Some(1.035751),
+            Some(0.596751),
+            Some(0.184292),
+            Some(-0.150576),
+            Some(-0.403769),
+        ];
+        let expected_signal_line = vec![
+            None,
+            None,
+            None,
+            None,
+            None,
+            None,
+            None,
+            Some(0.654418),
+            Some(0.332421),
+            Some(0.037945),
+        ];
+        let expected_histogram = vec![
+            None,
+            None,
+            None,
+            None,
+            None,
+            None,
+            None,
+            Some(-0.470126),
+            Some(-0.482997),
+            Some(-0.441714),
+        ];
+
+        for i in 0..data.len() {
+            match (macd_line[i], expected_macd_line[i]) {
+                (Some(a), Some(b)) => {
+                    assert!((a - b).abs() < epsilon, "at position {}: {} != {}", i, a, b)
+                }
+                (None, None) => {}
+                _ => panic!(
+                    "at position {}: {:?} != {:?}",
+                    i, macd_line[i], expected_macd_line[i]
+                ),
+            }
+
+            match (signal_line[i], expected_signal_line[i]) {
+                (Some(a), Some(b)) => {
+                    assert!((a - b).abs() < epsilon, "at position {}: {} != {}", i, a, b)
+                }
+                (None, None) => {}
+                _ => panic!(
+                    "at position {}: {:?} != {:?}",
+                    i, signal_line[i], expected_signal_line[i]
+                ),
+            }
+
+            match (histogram[i], expected_histogram[i]) {
+                (Some(a), Some(b)) => {
+                    assert!((a - b).abs() < epsilon, "at position {}: {} != {}", i, a, b)
+                }
+                (None, None) => {}
+                _ => panic!(
+                    "at position {}: {:?} != {:?}",
+                    i, histogram[i], expected_histogram[i]
+                ),
+            }
+        }
+    }
+}