nautilus_indicators/volatility/
kc.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::fmt::{Debug, Display};
17
18use nautilus_model::data::Bar;
19
20use crate::{
21    average::{MovingAverageFactory, MovingAverageType},
22    indicator::{Indicator, MovingAverage},
23    volatility::atr::AverageTrueRange,
24};
25
26#[repr(C)]
27#[derive(Debug)]
28#[cfg_attr(
29    feature = "python",
30    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators", unsendable)
31)]
32pub struct KeltnerChannel {
33    pub period: usize,
34    pub k_multiplier: f64,
35    pub ma_type: MovingAverageType,
36    pub ma_type_atr: MovingAverageType,
37    pub use_previous: bool,
38    pub atr_floor: f64,
39    pub upper: f64,
40    pub middle: f64,
41    pub lower: f64,
42    pub initialized: bool,
43    has_inputs: bool,
44    ma: Box<dyn MovingAverage + Send + 'static>,
45    atr: AverageTrueRange,
46}
47
48impl Display for KeltnerChannel {
49    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
50        write!(f, "{}({})", self.name(), self.period)
51    }
52}
53
54impl Indicator for KeltnerChannel {
55    fn name(&self) -> String {
56        stringify!(KeltnerChannel).to_string()
57    }
58
59    fn has_inputs(&self) -> bool {
60        self.has_inputs
61    }
62
63    fn initialized(&self) -> bool {
64        self.initialized
65    }
66
67    fn handle_bar(&mut self, bar: &Bar) {
68        self.update_raw((&bar.high).into(), (&bar.low).into(), (&bar.close).into());
69    }
70
71    fn reset(&mut self) {
72        self.ma.reset();
73        self.atr.reset();
74        self.upper = 0.0;
75        self.middle = 0.0;
76        self.lower = 0.0;
77        self.has_inputs = false;
78        self.initialized = false;
79    }
80}
81
82impl KeltnerChannel {
83    /// Creates a new [`KeltnerChannel`] instance.
84    #[must_use]
85    pub fn new(
86        period: usize,
87        k_multiplier: f64,
88        ma_type: Option<MovingAverageType>,
89        ma_type_atr: Option<MovingAverageType>,
90        use_previous: Option<bool>,
91        atr_floor: Option<f64>,
92    ) -> Self {
93        Self {
94            period,
95            k_multiplier,
96            ma_type: ma_type.unwrap_or(MovingAverageType::Simple),
97            ma_type_atr: ma_type_atr.unwrap_or(MovingAverageType::Simple),
98            use_previous: use_previous.unwrap_or(true),
99            atr_floor: atr_floor.unwrap_or(0.0),
100            upper: 0.0,
101            middle: 0.0,
102            lower: 0.0,
103            has_inputs: false,
104            initialized: false,
105            ma: MovingAverageFactory::create(ma_type.unwrap_or(MovingAverageType::Simple), period),
106            atr: AverageTrueRange::new(period, ma_type_atr, use_previous, atr_floor),
107        }
108    }
109
110    pub fn update_raw(&mut self, high: f64, low: f64, close: f64) {
111        let typical_price = (high + low + close) / 3.0;
112
113        self.ma.update_raw(typical_price);
114        self.atr.update_raw(high, low, close);
115
116        self.upper = self.atr.value.mul_add(self.k_multiplier, self.ma.value());
117        self.middle = self.ma.value();
118        self.lower = self.atr.value.mul_add(-self.k_multiplier, self.ma.value());
119
120        // Initialization Logic
121        if !self.initialized {
122            self.has_inputs = true;
123            if self.ma.initialized() {
124                self.initialized = true;
125            }
126        }
127    }
128}
129
130////////////////////////////////////////////////////////////////////////////////
131// Tests
132////////////////////////////////////////////////////////////////////////////////
133#[cfg(test)]
134mod tests {
135    use rstest::rstest;
136
137    use super::*;
138    use crate::stubs::kc_10;
139
140    #[rstest]
141    fn test_name_returns_expected_string(kc_10: KeltnerChannel) {
142        assert_eq!(kc_10.name(), "KeltnerChannel");
143    }
144
145    #[rstest]
146    fn test_str_repr_returns_expected_string(kc_10: KeltnerChannel) {
147        assert_eq!(format!("{kc_10}"), "KeltnerChannel(10)");
148    }
149
150    #[rstest]
151    fn test_period_returns_expected_value(kc_10: KeltnerChannel) {
152        assert_eq!(kc_10.period, 10);
153        assert_eq!(kc_10.k_multiplier, 2.0);
154    }
155
156    #[rstest]
157    fn test_initialized_without_inputs_returns_false(kc_10: KeltnerChannel) {
158        assert!(!kc_10.initialized());
159    }
160
161    #[rstest]
162    fn test_value_with_all_higher_inputs_returns_expected_value(mut kc_10: KeltnerChannel) {
163        let high_values = [
164            1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0, 9.0, 10.0, 11.0, 12.0, 13.0, 14.0, 15.0,
165        ];
166        let low_values = [
167            0.9, 1.9, 2.9, 3.9, 4.9, 5.9, 6.9, 7.9, 8.9, 9.9, 10.1, 10.2, 10.3, 11.1, 11.4,
168        ];
169
170        let close_values = [
171            0.95, 1.95, 2.95, 3.95, 4.95, 5.95, 6.95, 7.95, 8.95, 9.95, 10.05, 10.15, 10.25, 11.05,
172            11.45,
173        ];
174
175        for i in 0..15 {
176            kc_10.update_raw(high_values[i], low_values[i], close_values[i]);
177        }
178
179        assert!(kc_10.initialized());
180        assert_eq!(kc_10.upper, 13.436_666_666_666_666);
181        assert_eq!(kc_10.middle, 9.676_666_666_666_666);
182        assert_eq!(kc_10.lower, 5.916_666_666_666_666);
183    }
184
185    #[rstest]
186    fn test_reset_successfully_returns_indicator_to_fresh_state(mut kc_10: KeltnerChannel) {
187        kc_10.update_raw(1.00020, 1.00050, 1.00030);
188        kc_10.update_raw(1.00030, 1.00060, 1.00040);
189        kc_10.update_raw(1.00070, 1.00080, 1.00075);
190
191        kc_10.reset();
192
193        assert!(!kc_10.initialized());
194        assert!(!kc_10.has_inputs);
195        assert_eq!(kc_10.upper, 0.0);
196        assert_eq!(kc_10.middle, 0.0);
197        assert_eq!(kc_10.lower, 0.0);
198    }
199}
nautilus_indicators/volatility/kc.rs

nautilus_indicators/volatility/
kc.rs
