upd

ta_lib/core/src/math.rs

@@ -205,7 +205,7 @@ mod tests {
     }
 
     #[test]
-    fn test_sum() {
+    fn test_sum_first_nan() {
         let source = Series::from([f32::NAN, 2.0, 3.0, 4.0, 5.0]);
         let expected = Series::from([f32::NAN, 2.0, 5.0, 9.0, 12.0]);
         let n = 3;
@@ -215,6 +215,17 @@ mod tests {
         assert_eq!(result, expected);
     }
 
+    #[test]
+    fn test_sum_last_nan() {
+        let source = Series::from([1.0, 2.0, f32::NAN, f32::NAN, f32::NAN]);
+        let expected = Series::from([1.0, 3.0, 3.0, 2.0, f32::NAN]);
+        let n = 3;
+
+        let result = source.sum(n);
+
+        assert_eq!(result, expected);
+    }
+
     #[test]
     fn test_std() {
         let source = Series::from([2.0, 4.0, 6.0, 8.0, 10.0, 9.0, 8.0, 7.0, 6.0, 5.0]);

ta_lib/core/src/ops.rs

@@ -1,3 +1,4 @@
+use crate::constants::ZERO;
 use crate::series::Series;
 use crate::traits::Operation;
 use std::ops::{Add, Div, Mul, Sub};
@@ -21,7 +22,7 @@ impl Operation<f32, f32, f32> for Series<f32> {
     }
 
     fn sdiv(&self, scalar: &f32) -> Series<f32> {
-        self.ops(scalar, |v, s| if s != &0.0 { v / s } else { 0.0 })
+        self.ops(scalar, |v, s| if *s != ZERO { v / s } else { ZERO })
     }
 
     fn ssub(&self, scalar: &f32) -> Series<f32> {
@@ -51,7 +52,8 @@ impl Operation<Series<f32>, f32, f32> for Series<f32> {
 
     fn sdiv(&self, rhs: &Series<f32>) -> Series<f32> {
         self.zip_with(rhs, |a, b| match (a, b) {
-            (Some(a_val), Some(b_val)) if b_val != &0.0 => Some(a_val / b_val),
+            (Some(a_val), Some(b_val)) if *b_val == ZERO => Some(ZERO),
+            (Some(a_val), Some(b_val)) if *b_val != ZERO => Some(a_val / b_val),
             _ => None,
         })
     }

ta_lib/core/src/smoothing.rs

@@ -219,55 +219,17 @@ mod tests {
         ]);
 
         let expected = Series::from([
-            f32::NAN,
-            7.088,
-            7.10375,
-            7.1230836,
-            7.121082,
-            7.133084,
-            7.1425056,
-            7.117501,
-            7.1051655,
-            7.1194954,
-            7.13158,
-            7.152491,
-            7.1531696,
-            7.143088,
-            7.140269,
-            7.142896,
-            7.1491756,
-            7.1520867,
-            7.1434836,
-            7.1423316,
-            7.15166,
-            7.146748,
-            7.136764,
-            7.1304145,
-            7.1352515,
-            7.1282535,
-            7.117897,
-            7.113399,
-            7.124653,
-            7.125424,
-            7.121816,
-            7.122751,
-            7.118672,
-            7.1230693,
-            7.124495,
-            7.114359,
-            7.1180387,
-            7.1298475,
-            7.1348333,
-            7.133007,
-            7.1183147,
-            7.1196218,
-            7.15893,
-            7.164693,
-            7.1547427,
+            7.1135, 7.088, 7.10375, 7.1230836, 7.121082, 7.133084, 7.1425056, 7.117501, 7.1051655,
+            7.1194954, 7.13158, 7.152491, 7.1531696, 7.143088, 7.140269, 7.142896, 7.1491756,
+            7.1520867, 7.1434836, 7.1423316, 7.15166, 7.146748, 7.136764, 7.1304145, 7.1352515,
+            7.1282535, 7.117897, 7.113399, 7.124653, 7.125424, 7.121816, 7.122751, 7.118672,
+            7.1230693, 7.124495, 7.114359, 7.1180387, 7.1298475, 7.1348333, 7.133007, 7.1183147,
+            7.1196218, 7.15893, 7.164693, 7.1547427,
         ]);
 
         let result = source.linreg(3);
 
+        assert_eq!(result.len(), expected.len());
         assert_eq!(result, expected);
     }
 }

ta_lib/indicators/momentum/src/cmo.rs

@@ -5,7 +5,7 @@ pub fn cmo(source: &Series<f32>, period: usize) -> Series<f32> {
     let zero = Series::zero(source.len());
 
     let hcls = iff!(mom.sgte(&ZERO), mom, zero);
-    let lcls = iff!(mom.slte(&ZERO), mom.negate(), zero);
+    let lcls = iff!(mom.slt(&ZERO), mom.negate(), zero);
 
     let hsum = hcls.sum(period);
     let lsum = lcls.sum(period);

ta_lib/indicators/momentum/src/pr.rs

@@ -9,13 +9,7 @@ pub fn pr(
     let hh = high.highest(period);
     let ll = low.lowest(period);
 
-    let div = &hh - ≪
-
-    iff!(
-        div.seq(&ZERO),
-        Series::zero(hh.len()),
-        SCALE * (source - &hh) / &div
-    )
+    SCALE * (source - &hh) / (&hh - &ll)
 }
 
 #[cfg(test)]

ta_lib/indicators/momentum/src/stoch.rs

@@ -9,13 +9,7 @@ pub fn stoch(
     let hh = high.highest(period);
     let ll = low.lowest(period);
 
-    let div = &hh - ≪
-
-    iff!(
-        div.seq(&ZERO),
-        Series::zero(hh.len()),
-        SCALE * (source - &ll) / div
-    )
+    SCALE * (source - &ll) / (&hh - &ll)
 }
 
 #[cfg(test)]

ta_lib/indicators/trend/src/lsma.rs

@@ -11,7 +11,7 @@ mod tests {
     #[test]
     fn test_lsma() {
         let source = Series::from([1.0, 2.0, 3.0, 4.0, 5.0]);
-        let expected = vec![0.0, 2.0, 3.0000002, 4.0, 5.0];
+        let expected = vec![1.0, 2.0, 3.0000002, 4.0, 5.0];
 
         let result: Vec<f32> = lsma(&source, 3).into();
 

ta_lib/indicators/trend/src/zlsma.rs

@@ -21,12 +21,12 @@ mod tests {
         ]);
         let period = 3;
         let expected = vec![
-            0.0, 7.088, 5.925042, 7.1236806, 7.1175256, 7.135417, 7.1420703, 7.1117597, 7.1072783,
-            7.1239357, 7.1312175, 7.1539693, 7.1497893, 7.1412854, 7.141484, 7.143811, 7.149786,
-            7.15152, 7.1415567, 7.143571, 7.1534204, 7.1443624, 7.135909, 7.1310244, 7.137115,
-            7.1262765, 7.117335, 7.114386, 7.127291, 7.1236925, 7.12111, 7.1235223, 7.117843,
-            7.1245036, 7.1240044, 7.1124487, 7.1202955, 7.1312103, 7.1337156, 7.131895, 7.116152,
-            7.1222796, 7.1652455, 7.1591597, 7.152091,
+            7.1135, 7.088, 7.1106257, 7.1236806, 7.1175256, 7.135417, 7.1420703, 7.1117597,
+            7.1072783, 7.1239357, 7.1312175, 7.1539693, 7.1497893, 7.1412854, 7.141484, 7.143811,
+            7.149786, 7.15152, 7.1415567, 7.143571, 7.1534204, 7.1443624, 7.135909, 7.1310244,
+            7.137115, 7.1262765, 7.117335, 7.114386, 7.127291, 7.1236925, 7.12111, 7.1235223,
+            7.117843, 7.1245036, 7.1240044, 7.1124487, 7.1202955, 7.1312103, 7.1337156, 7.131895,
+            7.116152, 7.1222796, 7.1652455, 7.1591597, 7.152091,
         ];
 
         let result: Vec<f32> = zlsma(&source, period).into();

ta_lib/indicators/volatility/src/snatr.rs

@@ -28,7 +28,7 @@ fn test_snatr() {
     let period = 3;
     let epsilon = 0.001;
     let expected = [
-        0.0, 0.0, 0.0, 0.8257546, 0.99494743, 0.9974737, 1.0, 0.9014031, 0.5520136,
+        0.0, 0.0, 0.5, 0.8257546, 0.99494743, 0.9974737, 1.0, 0.9014031, 0.5520136,
     ];
 
     let result: Vec<f32> = snatr(&atr, atr_period, Smooth::WMA, period).into();

ta_lib/indicators/volume/src/mfi.rs

@@ -13,9 +13,7 @@ pub fn mfi(hlc3: &Series<f32>, volume: &Series<f32>, period: usize) -> Series<f3
 
     let money_ratio = upper / lower;
 
-    let mfi = SCALE - SCALE / (1. + money_ratio);
-
-    mfi.nz(Some(0.5 * SCALE))
+    SCALE - SCALE / (1. + money_ratio)
 }
 
 #[cfg(test)]
@@ -29,7 +27,7 @@ mod tests {
         let period = 3;
         let epsilon = 0.001;
 
-        let expected = [50.0, 50.0, 51.9992, 36.1106, 34.2859];
+        let expected = [0.0, 0.0, 51.9992, 36.1106, 34.2859];
 
         let result: Vec<f32> = mfi(&hlc3, &volume, period).into();
 

ta_lib/strategies/base/src/strategy.rs

@@ -4,7 +4,7 @@ use std::collections::VecDeque;
 
 const DEFAULT_LOOKBACK: usize = 55;
 const DEFAULT_STOP_LEVEL: f32 = -1.0;
-const DEFAULT_BUFF_SIZE: f32 = 1.3;
+const DEFAULT_BUFF_SIZE: f32 = 1.236;
 
 #[derive(Debug, PartialEq)]
 pub enum TradeAction {

ta_lib/strategies/indicator/src/ma.rs

@@ -44,7 +44,13 @@ pub fn ma_indicator(
 ) -> Series<f32> {
     match ma {
         MovingAverageType::ALMA => alma(&data.source(source_type), period, 0.85, 6.0),
-        MovingAverageType::CAMA => cama(data.close(), data.high(), data.low(), &data.tr(), period),
+        MovingAverageType::CAMA => cama(
+            &data.source(source_type),
+            data.high(),
+            data.low(),
+            &data.tr(),
+            period,
+        ),
         MovingAverageType::DEMA => dema(&data.source(source_type), period),
         MovingAverageType::EMA => ema(&data.source(source_type), period),
         MovingAverageType::FRAMA => {

ta_lib/strategies/pulse/src/tdfi.rs

@@ -39,3 +39,112 @@ impl Pulse for TdfiPulse {
         (tdfi.sgt(&TDFI_UPPER_LINE), tdfi.slt(&TDFI_LOWER_LINE))
     }
 }
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use std::collections::VecDeque;
+
+    #[test]
+    fn test_pulse_tdfi() {
+        let pulse = TdfiPulse::new(SourceType::CLOSE, Smooth::TEMA, 6.0, 3.0);
+        let data = VecDeque::from([
+            OHLCV {
+                ts: 1679825700,
+                open: 5.993,
+                high: 6.000,
+                low: 5.983,
+                close: 5.997,
+                volume: 100.0,
+            },
+            OHLCV {
+                ts: 1679826000,
+                open: 5.997,
+                high: 6.001,
+                low: 5.989,
+                close: 6.001,
+                volume: 100.0,
+            },
+            OHLCV {
+                ts: 1679826300,
+                open: 6.001,
+                high: 6.0013,
+                low: 5.993,
+                close: 6.007,
+                volume: 100.0,
+            },
+            OHLCV {
+                ts: 1679826600,
+                open: 6.007,
+                high: 6.008,
+                low: 5.980,
+                close: 5.992,
+                volume: 100.0,
+            },
+            OHLCV {
+                ts: 1679826900,
+                open: 5.992,
+                high: 5.993,
+                low: 5.976,
+                close: 5.980,
+                volume: 100.0,
+            },
+            OHLCV {
+                ts: 1679827200,
+                open: 5.980,
+                high: 5.986,
+                low: 5.966,
+                close: 5.969,
+                volume: 100.0,
+            },
+            OHLCV {
+                ts: 1679827500,
+                open: 5.969,
+                high: 5.969,
+                low: 5.943,
+                close: 5.946,
+                volume: 100.0,
+            },
+            OHLCV {
+                ts: 1679827800,
+                open: 5.946,
+                high: 5.960,
+                low: 5.939,
+                close: 5.953,
+                volume: 100.0,
+            },
+            OHLCV {
+                ts: 1679828100,
+                open: 5.953,
+                high: 5.961,
+                low: 5.937,
+                close: 5.939,
+                volume: 100.0,
+            },
+            OHLCV {
+                ts: 1679828400,
+                open: 5.939,
+                high: 5.945,
+                low: 5.919,
+                close: 5.943,
+                volume: 100.0,
+            },
+        ]);
+        let series = OHLCVSeries::from_data(&data);
+
+        let (long_signal, short_signal) = pulse.assess(&series);
+
+        let expected_long_signal = vec![
+            false, true, true, false, false, false, false, false, false, false,
+        ];
+        let expected_short_signal = vec![
+            false, false, false, true, true, true, true, false, false, false,
+        ];
+
+        let result_long_signal: Vec<bool> = long_signal.into();
+        let result_short_signal: Vec<bool> = short_signal.into();
+
+        assert_eq!(result_long_signal, expected_long_signal);
+        assert_eq!(result_short_signal, expected_short_signal);
+    }
+}