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YieldsLabs · Apr 19, 2024 · 68663de · 68663de
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commit 68663de
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Showing 10 changed files with 272 additions and 315 deletions.
diff --git a/ta_lib/Cargo.lock b/ta_lib/Cargo.lock
diff --git a/ta_lib/core/src/lib.rs b/ta_lib/core/src/lib.rs
@@ -13,10 +13,10 @@ mod traits;
 
 pub mod prelude {
     pub use crate::constants::*;
-    pub use crate::iff;
     pub use crate::series::Series;
     pub use crate::smoothing::Smooth;
     pub use crate::traits::*;
+    pub use crate::{iff, nz};
 }
 
 pub use prelude::*;
diff --git a/ta_lib/core/src/macros.rs b/ta_lib/core/src/macros.rs
@@ -13,6 +13,20 @@ macro_rules! iff {
     }};
 }
 
+#[macro_export]
+macro_rules! nz {
+    ($source:expr, $fill:expr) => {{
+        $source
+            .iter()
+            .zip($fill.iter())
+            .map(|(source, fill)| match source {
+                Some(val) => Some(*val),
+                _ => *fill,
+            })
+            .collect::<Series<_>>()
+    }};
+}
+
 #[cfg(test)]
 mod tests {
     use crate::{Comparator, Series};
@@ -31,4 +45,16 @@ mod tests {
 
         assert_eq!(result, expected);
     }
+
+    #[test]
+    fn test_nz() {
+        let source = Series::from([f32::NAN, 5.0, 4.0, 3.0, 5.0]);
+        let fill = Series::from([1.0, 0.5, 5.0, 2.0, 8.0]);
+
+        let expected = Series::from([1.0, 5.0, 4.0, 3.0, 5.0]);
+
+        let result = nz!(source, fill);
+
+        assert_eq!(result, expected);
+    }
 }
diff --git a/ta_lib/core/src/smoothing.rs b/ta_lib/core/src/smoothing.rs
@@ -1,5 +1,5 @@
-use crate::iff;
 use crate::series::Series;
+use crate::{iff, nz};
 
 #[derive(Copy, Clone)]
 pub enum Smooth {
@@ -16,15 +16,15 @@ pub enum Smooth {
 impl Series<f32> {
     pub fn ew(&self, alpha: &Series<f32>, seed: &Series<f32>) -> Self {
         let len = self.len();
-        let mut sum = Series::empty(len);
+        let mut sum = Series::zero(len);
 
         for _ in 0..len {
             let prev = sum.shift(1);
 
             sum = iff!(
                 prev.na(),
                 seed,
-                alpha * self + (1. - alpha) * prev.nz(Some(0.))
+                alpha * self + (1. - alpha) * nz!(prev, sum)
             )
         }
 
@@ -56,8 +56,9 @@ impl Series<f32> {
 
     fn smma(&self, period: usize) -> Self {
         let alpha = Series::fill(1. / (period as f32), self.len());
+        let seed = self.ma(period);
 
-        self.ew(&alpha, &self.ma(period))
+        self.ew(&alpha, &seed)
     }
 
     fn wma(&self, period: usize) -> Self {

diff --git a/ta_lib/indicators/trend/src/ema.rs b/ta_lib/indicators/trend/src/ema.rs
@@ -11,13 +11,12 @@ mod tests {
     #[test]
     fn test_ema() {
         let source = Series::from([
-            6.8575, 6.855, 6.858, 6.86, 6.8480, 6.8575, 6.864, 6.8565, 6.8455, 6.8450, 6.8365,
-            6.8310, 6.8355, 6.8360, 6.8345, 6.8285, 6.8395,
+            6.5232, 6.5474, 6.5541, 6.5942, 6.5348, 6.4950, 6.5298, 6.5616, 6.5223, 6.5300, 6.5452,
+            6.5254, 6.5038, 6.4614, 6.4854, 6.4966,
         ]);
         let expected = vec![
-            6.8575, 6.85625, 6.857125, 6.8585625, 6.853281, 6.8553905, 6.8596954, 6.858098,
-            6.851799, 6.848399, 6.8424497, 6.8367248, 6.836112, 6.8360558, 6.8352776, 6.8318887,
-            6.8356943,
+            6.5232, 6.5353003, 6.5447, 6.5694504, 6.552125, 6.5235624, 6.526681, 6.544141,
+            6.5332203, 6.5316105, 6.5384054, 6.531903, 6.5178514, 6.489626, 6.487513, 6.492057,
         ];
 
         let result: Vec<f32> = ema(&source, 3).into();

diff --git a/ta_lib/indicators/trend/src/supertrend.rs b/ta_lib/indicators/trend/src/supertrend.rs
@@ -1,53 +1,61 @@
 use core::prelude::*;
 
 pub fn supertrend(
-    hl2: &Series<f32>,
+    source: &Series<f32>,
     close: &Series<f32>,
     atr: &Series<f32>,
     factor: f32,
 ) -> (Series<f32>, Series<f32>) {
     let atr_mul = atr * factor;
+    let prev_close = close.shift(1);
+    let len = close.len();
 
-    let mut up = hl2 - &atr_mul;
-    let mut dn = hl2 + &atr_mul;
+    let basic_up = source - &atr_mul;
+    let mut up = Series::zero(len);
 
-    let len = hl2.len();
+    for _ in 0..len {
+        let prev_up = nz!(up.shift(1), basic_up);
+        up = iff!(
+            basic_up.sgt(&prev_up) | prev_close.slt(&prev_up),
+            basic_up,
+            prev_up
+        );
+    }
 
-    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 basic_dn = source + &atr_mul;
+    let mut dn = Series::zero(len);
 
     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);
+        let prev_dn = nz!(dn.shift(1), basic_dn);
+        dn = iff!(
+            basic_dn.slt(&prev_dn) | prev_close.sgt(&prev_dn),
+            basic_dn,
+            prev_dn
+        );
     }
 
     let mut direction = Series::one(len);
     let trend_bull = Series::one(len);
     let trend_bear = trend_bull.negate();
 
     for _ in 0..len {
-        let prev_direction = direction.shift(1);
+        direction = nz!(direction.shift(1), direction);
 
-        direction = iff!(prev_direction.na(), direction, prev_direction);
+        let cond_bull = direction.seq(&MINUS_ONE) & close.sgt(&dn.shift(1));
+        let cond_bear = direction.seq(&ONE) & close.slt(&up.shift(1));
 
         direction = iff!(
-            direction.seq(&ONE) & close.slt(&prev_up),
-            trend_bear,
-            direction
-        );
-        direction = iff!(
-            direction.seq(&MINUS_ONE) & close.sgt(&prev_dn),
+            cond_bull,
             trend_bull,
-            direction
+            iff!(cond_bear, trend_bear, direction)
         );
     }
 
-    let mut supertrend = iff!(direction.seq(&MINUS_ONE), dn, Series::zero(len));
-    supertrend = iff!(direction.seq(&ONE), up, supertrend);
+    let supertrend = iff!(
+        direction.seq(&MINUS_ONE),
+        dn,
+        iff!(direction.seq(&ONE), up, Series::zero(len))
+    );
 
     (direction, supertrend)
 }
@@ -60,19 +68,31 @@ mod tests {
 
     #[test]
     fn test_supertrend() {
-        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 high = Series::from([
+            6.5425, 6.5527, 6.5600, 6.6049, 6.5942, 6.5541, 6.5300, 6.5700, 6.5630, 6.5362, 6.5497,
+            6.5480, 6.5325, 6.5065, 6.4866, 6.5536, 6.5142, 6.5294, 6.5543, 6.5563,
+        ]);
+        let low = Series::from([
+            6.5156, 6.5195, 6.5418, 6.5394, 6.5301, 6.4782, 6.4882, 6.5131, 6.5126, 6.5184, 6.5206,
+            6.5229, 6.4982, 6.4560, 6.4614, 6.4798, 6.4903, 6.5066, 6.5231, 6.5222,
+        ]);
+        let close = Series::from([
+            6.5232, 6.5474, 6.5541, 6.5942, 6.5348, 6.4950, 6.5298, 6.5616, 6.5223, 6.5300, 6.5452,
+            6.5254, 6.5038, 6.4614, 6.4854, 6.4966, 6.5117, 6.5270, 6.5527, 6.5316,
+        ]);
         let hl2 = median_price(&high, &low);
-        let atr_period = 2;
+        let atr_period = 3;
         let atr = atr(&high, &low, &close, Smooth::SMMA, atr_period);
 
         let factor = 3.0;
         let expected_supertrend = vec![
-            6.4963, 6.4963, 6.446601, 6.403225, 6.3497434, 6.376522, 6.3796854,
+            6.4483504, 6.4491, 6.4747, 6.4747, 6.4747, 6.4747, 6.4747, 6.4747, 6.4747, 6.4747,
+            6.4747, 6.4747, 6.4747, 6.5986347, 6.5774565, 6.5774565, 6.5774565, 6.5774565,
+            6.5774565, 6.5774565,
         ];
         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,
         ];
 
         let (direction, supertrend) = supertrend(&hl2, &close, &atr, factor);
@@ -81,7 +101,7 @@ mod tests {
 
         assert_eq!(high.len(), low.len());
         assert_eq!(high.len(), close.len());
-        assert_eq!(result_supertrend, expected_supertrend);
         assert_eq!(result_direction, expected_direction);
+        assert_eq!(result_supertrend, expected_supertrend);
     }
 }
diff --git a/ta_lib/indicators/trend/src/wma.rs b/ta_lib/indicators/trend/src/wma.rs
@@ -10,21 +10,19 @@ mod tests {
 
     #[test]
     fn test_wma() {
-        let source = Series::from([1.0, 2.0, 3.0, 4.0, 5.0]);
+        let source = Series::from([
+            6.5232, 6.5474, 6.5541, 6.5942, 6.5348, 6.4950, 6.5298, 6.5616, 6.5223, 6.5300, 6.5452,
+            6.5254, 6.5038, 6.4614, 6.4854, 6.4966, 6.5117, 6.5270, 6.5527, 6.5316,
+        ]);
         let period = 3;
-        let epsilon = 0.001;
-        let expected = [0.0, 0.0, 2.333333, 3.333333, 4.333333];
+        let expected = [
+            0.0, 0.0, 6.5467167, 6.573034, 6.557817, 6.5248, 6.5190334, 6.5399, 6.5366497,
+            6.5326996, 6.5363164, 6.5327663, 6.5179005, 6.4862, 6.4804664, 6.487, 6.5022836,
+            6.516834, 6.5373, 6.5378666,
+        ];
 
         let result: Vec<f32> = wma(&source, period).into();
 
-        for i in 0..source.len() {
-            assert!(
-                (result[i] - expected[i]).abs() < epsilon,
-                "at position {}: {} != {}",
-                i,
-                result[i],
-                expected[i]
-            )
-        }
+        assert_eq!(result, expected);
     }
 }
diff --git a/ta_lib/indicators/volatility/src/atr.rs b/ta_lib/indicators/volatility/src/atr.rs
@@ -18,48 +18,35 @@ mod tests {
     #[test]
     fn test_atr_smma() {
         let high = Series::from([
-            6.8430, 6.8660, 6.8685, 6.8690, 6.865, 6.8595, 6.8565, 6.862, 6.859, 6.86, 6.8580,
-            6.8605, 6.8620, 6.86, 6.859, 6.8670, 6.8640, 6.8575, 6.8485, 6.8450, 6.8365, 6.84,
-            6.8385, 6.8365, 6.8345, 6.8395,
+            6.5600, 6.6049, 6.5942, 6.5541, 6.5300, 6.5700, 6.5630, 6.5362, 6.5497, 6.5480, 6.5325,
+            6.5065, 6.4866, 6.5536, 6.5142, 6.5294,
         ]);
         let low = Series::from([
-            6.8380, 6.8430, 6.8595, 6.8640, 6.8435, 6.8445, 6.8510, 6.8560, 6.8520, 6.8530, 6.8550,
-            6.8550, 6.8565, 6.8475, 6.8480, 6.8535, 6.8565, 6.8455, 6.8445, 6.8365, 6.8310, 6.8310,
-            6.8345, 6.8325, 6.8275, 6.8285,
+            6.5418, 6.5394, 6.5301, 6.4782, 6.4882, 6.5131, 6.5126, 6.5184, 6.5206, 6.5229, 6.4982,
+            6.4560, 6.4614, 6.4798, 6.4903, 6.5066,
         ]);
         let close = Series::from([
-            6.6430, 6.8595, 6.8680, 6.8650, 6.8445, 6.8560, 6.8565, 6.8590, 6.8530, 6.8575, 6.855,
-            6.858, 6.86, 6.8480, 6.8575, 6.864, 6.8565, 6.8455, 6.8450, 6.8365, 6.8310, 6.8355,
-            6.8360, 6.8345, 6.8285, 6.8395,
+            6.5541, 6.5942, 6.5348, 6.4950, 6.5298, 6.5616, 6.5223, 6.5300, 6.5452, 6.5254, 6.5038,
+            6.4614, 6.4854, 6.4966, 6.5117, 6.5270,
         ]);
         let period = 3;
         let expected = [
-            0.0050001144,
-            0.07766677,
-            0.054777943,
-            0.038185332,
-            0.032623433,
-            0.02674891,
-            0.019666044,
-            0.01511071,
-            0.01240713,
-            0.010604743,
-            0.0080697555,
-            0.0072131166,
-            0.006642024,
-            0.008594777,
-            0.00939657,
-            0.010764452,
-            0.009676199,
-            0.010450827,
-            0.008300454,
-            0.008366844,
-            0.007411334,
-            0.00794099,
-            0.0066273883,
-            0.0057516545,
-            0.006167759,
-            0.007778558,
+            0.01819992,
+            0.03396654,
+            0.044011116,
+            0.05464077,
+            0.05036052,
+            0.05254035,
+            0.051826984,
+            0.040484603,
+            0.036689714,
+            0.032826394,
+            0.033317544,
+            0.039045,
+            0.03442996,
+            0.047553174,
+            0.03966879,
+            0.03404585,
         ];
 
         let result: Vec<f32> = atr(&high, &low, &close, Smooth::SMMA, period).into();

diff --git a/ta_lib/indicators/volatility/src/tr.rs b/ta_lib/indicators/volatility/src/tr.rs
@@ -8,7 +8,7 @@ pub fn tr(high: &Series<f32>, low: &Series<f32>, close: &Series<f32>) -> Series<
         high.shift(1).na(),
         diff,
         diff.max(&(high - &prev_close).abs())
-            .max(&(low.negate() + &prev_close).abs())
+            .max(&(low - &prev_close).abs())
     )
 }
 
@@ -18,10 +18,36 @@ mod tests {
 
     #[test]
     fn test_true_range() {
-        let high = Series::from([50.0, 60.0, 55.0, 70.0]);
-        let low = Series::from([40.0, 50.0, 45.0, 60.0]);
-        let close = Series::from([45.0, 55.0, 50.0, 65.0]);
-        let expected = vec![10.0, 15.0, 10.0, 20.0];
+        let high = Series::from([
+            6.5600, 6.6049, 6.5942, 6.5541, 6.5300, 6.5700, 6.5630, 6.5362, 6.5497, 6.5480, 6.5325,
+            6.5065, 6.4866, 6.5536, 6.5142, 6.5294,
+        ]);
+        let low = Series::from([
+            6.5418, 6.5394, 6.5301, 6.4782, 6.4882, 6.5131, 6.5126, 6.5184, 6.5206, 6.5229, 6.4982,
+            6.4560, 6.4614, 6.4798, 6.4903, 6.5066,
+        ]);
+        let close = Series::from([
+            6.5541, 6.5942, 6.5348, 6.4950, 6.5298, 6.5616, 6.5223, 6.5300, 6.5452, 6.5254, 6.5038,
+            6.4614, 6.4854, 6.4966, 6.5117, 6.5270,
+        ]);
+        let expected = vec![
+            0.01819992,
+            0.06549978,
+            0.064100266,
+            0.07590008,
+            0.041800022,
+            0.056900024,
+            0.050400257,
+            0.017799854,
+            0.029099941,
+            0.025099754,
+            0.03429985,
+            0.050499916,
+            0.02519989,
+            0.07379961,
+            0.023900032,
+            0.022799969,
+        ];
 
         let result: Vec<f32> = tr(&high, &low, &close).into();
 

diff --git a/ta_lib/strategies/signal/src/flip/supertrend_flip.rs b/ta_lib/strategies/signal/src/flip/supertrend_flip.rs
@@ -29,6 +29,6 @@ impl Signal for SupertrendFlipSignal {
             self.factor,
         );
 
-        (direction.cross_under(&ZERO), direction.cross_over(&ZERO))
+        (direction.cross_over(&ZERO), direction.cross_under(&ZERO))
     }
 }