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YieldsLabs · Apr 27, 2024 · eec14b7 · eec14b7
1 parent 91531d7
commit eec14b7
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Showing 5 changed files with 35 additions and 35 deletions.
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 {
@@ -27,7 +27,7 @@ impl Series<f32> {
         sum
     }
 
-    pub fn wg(&self, weights: &[f32], period: usize) -> Self {
+    pub fn wg(&self, weights: &[f32]) -> Self {
         let mut sum = Series::zero(self.len());
         let norm = weights.iter().sum::<f32>();
 
@@ -60,7 +60,7 @@ impl Series<f32> {
     fn wma(&self, period: usize) -> Self {
         let weights = (0..period).map(|i| (period - i) as f32).collect::<Vec<_>>();
 
-        self.wg(&weights, period)
+        self.wg(&weights)
     }
 
     fn swma(&self) -> Self {

diff --git a/ta_lib/indicators/trend/src/alma.rs b/ta_lib/indicators/trend/src/alma.rs
@@ -8,7 +8,7 @@ pub fn alma(source: &Series<f32>, period: usize, offset: f32, sigma: f32) -> Ser
         .map(|i| ((-1. * (i as f32 - m).powi(2)) / (2. * s.powi(2))).exp())
         .collect::<Vec<_>>();
 
-    source.wg(&weights, period)
+    source.wg(&weights)
 }
 
 #[cfg(test)]

diff --git a/ta_lib/indicators/trend/src/sinwma.rs b/ta_lib/indicators/trend/src/sinwma.rs
@@ -5,7 +5,7 @@ pub fn sinwma(source: &Series<f32>, period: usize) -> Series<f32> {
         .map(|i| ((i as f32 + 1.) * std::f32::consts::PI / (period as f32 + 1.)).sin())
         .collect::<Vec<_>>();
 
-    source.wg(&weights, period)
+    source.wg(&weights)
 }
 
 #[cfg(test)]

diff --git a/ta_lib/strategies/base/src/strategy.rs b/ta_lib/strategies/base/src/strategy.rs
@@ -1,10 +1,10 @@
 use crate::source::Source;
 use crate::{BaseLine, Confirm, Exit, OHLCVSeries, Pulse, Signal, StopLoss, Strategy, OHLCV};
-use core::prelude::*;
 use std::collections::VecDeque;
 
 const DEFAULT_LOOKBACK: usize = 55;
 const DEFAULT_STOP_LEVEL: f32 = -1.0;
+const DEFAULT_BUFF_SIZE: f32 = 1.3;
 
 #[derive(Debug, PartialEq)]
 pub enum TradeAction {
@@ -65,7 +65,7 @@ impl BaseStrategy {
     }
 
     fn store(&mut self, data: OHLCV) {
-        let buf_size = (self.lookback_period as f32 * 1.3) as usize;
+        let buf_size = (self.lookback_period as f32 * DEFAULT_BUFF_SIZE) as usize;
 
         if self.data.len() > buf_size {
             self.data.pop_front();
@@ -174,6 +174,9 @@ mod tests {
     };
     use core::Series;
 
+    const DEFAULT_BUFF_SIZE: f32 = 1.3;
+    const DEFAULT_LOOKBACK: usize = 55;
+
     struct MockSignal {
         fast_period: usize,
     }
@@ -300,19 +303,16 @@ mod tests {
             }),
             Box::new(MockExit {}),
         );
-        let lookback = 55;
-
-        let ohlcvs = vec![
-            OHLCV {
-                ts: 1710297600000,
-                open: 1.0,
-                high: 2.0,
-                low: 0.5,
-                close: 1.5,
-                volume: 100.0,
-            };
-            lookback
-        ];
+        let lookback = (DEFAULT_BUFF_SIZE * DEFAULT_LOOKBACK as f32) as usize;
+        let data = OHLCV {
+            ts: 1710297600000,
+            open: 1.0,
+            high: 2.0,
+            low: 0.5,
+            close: 1.5,
+            volume: 100.0,
+        };
+        let ohlcvs = vec![data; lookback];
 
         let mut action = TradeAction::DoNothing;
 
@@ -327,10 +327,10 @@ mod tests {
         let hlcc4: Vec<f32> = series.hlcc4().into();
         let ohlc4: Vec<f32> = series.ohlc4().into();
 
-        assert_eq!(hl2, vec![1.25; lookback]);
-        assert_eq!(hlc3, vec![1.333_333_4; lookback]);
-        assert_eq!(hlcc4, vec![1.375; lookback]);
-        assert_eq!(ohlc4, vec![1.25; lookback]);
+        assert_eq!(hl2, vec![1.25]);
+        assert_eq!(hlc3, vec![1.333_333_4]);
+        assert_eq!(hlcc4, vec![1.375]);
+        assert_eq!(ohlc4, vec![1.25]);
         assert_eq!(action, TradeAction::DoNothing);
     }
 }
diff --git a/ta_lib/strategies/pulse/src/braid.rs b/ta_lib/strategies/pulse/src/braid.rs
@@ -101,87 +101,87 @@ mod tests {
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679828100,
+                ts: 1679828400,
                 open: 4.9053,
                 high: 4.9093,
                 low: 4.9046,
                 close: 4.9087,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679828400,
+                ts: 1679828700,
                 open: 4.9087,
                 high: 4.9154,
                 low: 4.9087,
                 close: 4.9131,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679828700,
+                ts: 1679829000,
                 open: 4.9131,
                 high: 4.9131,
                 low: 4.9040,
                 close: 4.9041,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679829000,
+                ts: 1679829300,
                 open: 4.9041,
                 high: 4.9068,
                 low: 4.8988,
                 close: 4.9023,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679829300,
+                ts: 1679829600,
                 open: 4.9023,
                 high: 4.9051,
                 low: 4.8949,
                 close: 4.9010,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679829600,
+                ts: 1679829900,
                 open: 4.9010,
                 high: 4.9052,
                 low: 4.8969,
                 close: 4.8969,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679829900,
+                ts: 1679830200,
                 open: 4.8969,
                 high: 4.8969,
                 low: 4.8819,
                 close: 4.8895,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679830200,
+                ts: 1679830500,
                 open: 4.8895,
                 high: 4.8928,
                 low: 4.8851,
                 close: 4.8901,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679830500,
+                ts: 1679830800,
                 open: 4.8901,
                 high: 4.8910,
                 low: 4.8813,
                 close: 4.8855,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679830800,
+                ts: 1679831100,
                 open: 4.8855,
                 high: 4.8864,
                 low: 4.8816,
                 close: 4.8824,
                 volume: 100.0,
             },
             OHLCV {
-                ts: 1679831100,
+                ts: 1679831400,
                 open: 4.8824,
                 high: 4.8934,
                 low: 4.8814,