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refactor
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@m5l14i11
m5l14i11 committed Jul 13, 2023
1 parent 8649b26 commit fddde71
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Showing 2 changed files with 78 additions and 122 deletions.
138 changes: 52 additions & 86 deletions ta_lib/core/src/math.rs
View file
Original file line number Diff line number Diff line change
@@ -1,113 +1,68 @@
use crate::series::Series;

impl Series<f64> {
pub fn max(&self, scalar: f64) -> Self {
self.fmap(|val| match val {
Some(v) => Some(v.max(scalar)),
None => Some(scalar),
})
}
pub fn window<F>(&self, period: usize, f: F) -> Self
where
F: Fn(&[f64], usize, usize) -> f64,
{
let len = self.len();
let mut result = Self::empty(len);
let mut window = vec![0.0; period];
let mut pos = 0;

pub fn min(&self, scalar: f64) -> Self {
self.fmap(|val| match val {
Some(v) => Some(v.min(scalar)),
None => Some(scalar),
})
}
for i in 0..len {
if let Some(value) = self[i] {
window[pos] = value;

pub fn cumsum(&self) -> Self {
let len = self.len();
let mut cumsum = Self::empty(len);
let size = (i + 1).min(period);

let mut sum = 0.0;
result[i] = Some(f(&window[0..size], size, i));

for i in 0..len {
if let Some(val) = self[i] {
sum += val;
cumsum[i] = Some(sum);
pos = (pos + 1) % period;
}
}

cumsum
result
}

pub fn sum(&self, period: usize) -> Self {
let len = self.len();
let mut sum = Self::empty(len);
let mut window_sum = 0.0;
pub fn max(&self, scalar: f64) -> Self {
self.fmap(|val| val.map(|v| v.max(scalar)).or(Some(scalar)))
}

for i in 0..len {
if let Some(value) = self[i] {
window_sum += value;
pub fn min(&self, scalar: f64) -> Self {
self.fmap(|val| val.map(|v| v.min(scalar)).or(Some(scalar)))
}

if i >= period {
if let Some(old_value) = self[i - period] {
window_sum -= old_value;
}
}
pub fn cumsum(&self) -> Self {
let mut sum = 0.0;

sum[i] = Some(window_sum);
}
}
self.fmap(|val| {
val.map(|v| {
sum += v;
sum
})
})
}

sum
pub fn sum(&self, period: usize) -> Self {
self.window(period, |window, _, _| window.iter().sum())
}

pub fn mean(&self, period: usize) -> Self {
let len = self.len();
let mut mean = Self::empty(len);
let mut window_sum = 0.0;
let mut count = 0;

for i in 0..len {
if let Some(value) = self[i] {
window_sum += value;
count += 1;

if i >= period {
if let Some(old_value) = self[i - period] {
window_sum -= old_value;
count -= 1;
}
}

if count > 0 {
mean[i] = Some(window_sum / count as f64);
}
}
}

mean
self.window(period, |window, size, _| {
window.iter().sum::<f64>() / size as f64
})
}

pub fn std(&self, period: usize) -> Self {
let len = self.len();
let mut std = Self::empty(len);
let mean = self.mean(period);
let mut window = Vec::with_capacity(period);

for i in 0..len {
let value = self[i];

if let Some(v) = value {
window.push(v);

if window.len() > period {
window.remove(0);
}
}

let count = window.len();

if count > 0 {
let mean_val = mean[i].unwrap_or(0.0);
let variance =
window.iter().map(|&v| (v - mean_val).powi(2)).sum::<f64>() / count as f64;
std[i] = Some(variance.sqrt());
}
}

std
self.window(period, |window, size, i| {
let mean_val = mean[i].unwrap_or(0.0);
let variance =
window.iter().map(|&v| (v - mean_val).powi(2)).sum::<f64>() / size as f64;
variance.sqrt()
})
}
}

Expand Down Expand Up @@ -181,6 +136,17 @@ mod tests {
}
}

#[test]
fn test_cumsum() {
let source = vec![1.0, 2.0, 3.0, 4.0, 5.0];
let expected = vec![Some(1.0), Some(3.0), Some(6.0), Some(10.0), Some(15.0)];
let series = Series::from(&source);

let result = series.cumsum();

assert_eq!(result, expected);
}

#[test]
fn test_sum() {
let source = vec![1.0, 2.0, 3.0, 4.0, 5.0];
Expand Down
62 changes: 26 additions & 36 deletions ta_lib/core/src/series.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,6 @@ impl<T: Clone> Series<T> {
pub fn fmap<U, F>(&self, mut f: F) -> Series<U>
where
F: FnMut(Option<&T>) -> Option<U>,
T: Clone,
{
Series {
data: self.data.iter().map(|x| f(x.as_ref())).collect(),
Expand All @@ -20,7 +19,6 @@ impl<T: Clone> Series<T> {
pub fn zip_with<U, V, F>(self, other: &Series<U>, mut f: F) -> Series<V>
where
F: FnMut(Option<T>, Option<U>) -> Option<V>,
T: Clone,
U: Clone,
{
let data = self
Expand Down Expand Up @@ -68,6 +66,30 @@ impl<T> IndexMut<usize> for Series<T> {
}

impl Series<f64> {
fn extreme_value<F>(&self, period: usize, comparison: F) -> Self
where
F: Fn(&f64, &f64) -> bool,
{
let len = self.len();
let mut extreme_values = Self::empty(len);
let mut indices: Vec<usize> = Vec::new();

for i in 0..len {
let start = if i >= period { i - period + 1 } else { 0 };

indices.retain(|&j| j >= start);
indices.retain(|&j| {
comparison(&self[j].unwrap_or(f64::NAN), &self[i].unwrap_or(f64::NAN))
});

indices.push(i);

extreme_values[i] = self[indices[0]].clone();
}

extreme_values
}

pub fn nz(&self, replacement: Option<f64>) -> Self {
let replacement = replacement.unwrap_or(0.0);

Expand All @@ -91,43 +113,11 @@ impl Series<f64> {
}

pub fn highest(&self, period: usize) -> Self {
let len = self.len();
let mut highest_values = Self::empty(len);
let mut indices: Vec<usize> = Vec::new();

for i in 0..len {
let start = if i >= period { i - period + 1 } else { 0 };

indices.retain(|&j| j >= start);

indices.retain(|&j| self[j] > self[i]);

indices.push(i);

highest_values[i] = self[indices[0]];
}

highest_values
self.extreme_value(period, |a, b| a >= b)
}

pub fn lowest(&self, period: usize) -> Self {
let len = self.len();
let mut lowest_values = Self::empty(len);
let mut indices: Vec<usize> = Vec::new();

for i in 0..len {
let start = if i >= period { i - period + 1 } else { 0 };

indices.retain(|&j| j >= start);

indices.retain(|&j| self[j] < self[i]);

indices.push(i);

lowest_values[i] = self[indices[0]];
}

lowest_values
self.extreme_value(period, |a, b| a <= b)
}
}

Expand Down

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