bbands

ta_lib/volatility/Cargo.toml

@@ -0,0 +1,10 @@
+[package]
+name = "volatility"
+version = "0.1.0"
+edition = "2021"
+
+# See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html
+
+[dependencies]
+statistics = { path = "../statistics" }
+overlap = { path = "../overlap" }

ta_lib/volatility/src/bbands.rs

@@ -0,0 +1,110 @@
+use overlap::sma::sma;
+use statistics::stddev::std_dev;
+
+pub fn bbands(
+    data: &[f64],
+    period: usize,
+    factor: usize,
+) -> (Vec<Option<f64>>, Vec<Option<f64>>, Vec<Option<f64>>) {
+    let len = data.len();
+    let stddev = std_dev(data, period);
+    let middle_band = sma(data, period);
+
+    let mut upper_band = vec![None; len];
+    let mut lower_band = vec![None; len];
+
+    for i in 0..len {
+        if let (Some(middle), Some(std_dev)) = (middle_band[i], stddev[i]) {
+            upper_band[i] = Some(middle + (std_dev * factor as f64));
+            lower_band[i] = Some(middle - (std_dev * factor as f64));
+        }
+    }
+
+    (upper_band, middle_band, lower_band)
+}
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+
+    #[test]
+    fn test_bbands() {
+        let data = vec![2.0, 4.0, 6.0, 8.0, 10.0, 9.0, 8.0, 7.0, 6.0, 5.0];
+        let period = 3;
+        let factor = 2;
+        let epsilon = 0.001;
+        let expected_upper_band = vec![
+            None,
+            None,
+            Some(7.265986),
+            Some(9.265986),
+            Some(11.265986),
+            Some(10.632993),
+            Some(10.632993),
+            Some(9.632993),
+            Some(8.632993),
+            Some(7.632993),
+        ];
+        let expected_middle_band = vec![
+            None,
+            None,
+            Some(4.0),
+            Some(6.0),
+            Some(8.0),
+            Some(9.0),
+            Some(9.0),
+            Some(8.0),
+            Some(7.0),
+            Some(6.0),
+        ];
+        let expected_lower_band = vec![
+            None,
+            None,
+            Some(0.734014),
+            Some(2.734014),
+            Some(4.734014),
+            Some(7.367007),
+            Some(7.367007),
+            Some(6.367007),
+            Some(5.367007),
+            Some(4.367007),
+        ];
+
+        let (upper_band, middle_band, lower_band) = bbands(&data, period, factor);
+
+        for i in 0..data.len() {
+            match (upper_band[i], expected_upper_band[i]) {
+                (Some(a), Some(b)) => {
+                    assert!((a - b).abs() < epsilon, "at position {}: {} != {}", i, a, b)
+                }
+                (None, None) => {}
+                _ => panic!(
+                    "at position {}: {:?} != {:?}",
+                    i, upper_band[i], expected_upper_band[i]
+                ),
+            }
+
+            match (middle_band[i], expected_middle_band[i]) {
+                (Some(a), Some(b)) => {
+                    assert!((a - b).abs() < epsilon, "at position {}: {} != {}", i, a, b)
+                }
+                (None, None) => {}
+                _ => panic!(
+                    "at position {}: {:?} != {:?}",
+                    i, middle_band[i], expected_middle_band[i]
+                ),
+            }
+
+            match (lower_band[i], expected_lower_band[i]) {
+                (Some(a), Some(b)) => {
+                    assert!((a - b).abs() < epsilon, "at position {}: {} != {}", i, a, b)
+                }
+                (None, None) => {}
+                _ => panic!(
+                    "at position {}: {:?} != {:?}",
+                    i, lower_band[i], expected_lower_band[i]
+                ),
+            }
+        }
+    }
+}

ta_lib/volatility/src/lib.rs

@@ -0,0 +1 @@
+pub mod bbands;