nautilus_indicators/momentum/
amat.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 arraydeque::{ArrayDeque, Wrapping};
19use nautilus_model::data::Bar;
20
21use crate::{
22    average::{MovingAverageFactory, MovingAverageType},
23    indicator::{Indicator, MovingAverage},
24};
25
26const DEFAULT_MA_TYPE: MovingAverageType = MovingAverageType::Exponential;
27const MAX_SIGNAL: usize = 1_024;
28
29type SignalBuf = ArrayDeque<f64, { MAX_SIGNAL + 1 }, Wrapping>;
30
31#[repr(C)]
32#[derive(Debug)]
33#[cfg_attr(
34    feature = "python",
35    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators", unsendable)
36)]
37pub struct ArcherMovingAveragesTrends {
38    pub fast_period: usize,
39    pub slow_period: usize,
40    pub signal_period: usize,
41    pub ma_type: MovingAverageType,
42    pub long_run: bool,
43    pub short_run: bool,
44    pub initialized: bool,
45    fast_ma: Box<dyn MovingAverage + Send + 'static>,
46    slow_ma: Box<dyn MovingAverage + Send + 'static>,
47    fast_ma_price: SignalBuf,
48    slow_ma_price: SignalBuf,
49    has_inputs: bool,
50}
51
52impl Display for ArcherMovingAveragesTrends {
53    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
54        write!(
55            f,
56            "{}({},{},{},{})",
57            self.name(),
58            self.fast_period,
59            self.slow_period,
60            self.signal_period,
61            self.ma_type,
62        )
63    }
64}
65
66impl Indicator for ArcherMovingAveragesTrends {
67    fn name(&self) -> String {
68        stringify!(ArcherMovingAveragesTrends).into()
69    }
70
71    fn has_inputs(&self) -> bool {
72        self.has_inputs
73    }
74
75    fn initialized(&self) -> bool {
76        self.initialized
77    }
78
79    fn handle_bar(&mut self, bar: &Bar) {
80        self.update_raw(bar.close.into());
81    }
82
83    fn reset(&mut self) {
84        self.fast_ma.reset();
85        self.slow_ma.reset();
86        self.long_run = false;
87        self.short_run = false;
88        self.fast_ma_price.clear();
89        self.slow_ma_price.clear();
90        self.has_inputs = false;
91        self.initialized = false;
92    }
93}
94
95impl ArcherMovingAveragesTrends {
96    /// Creates a new [`ArcherMovingAveragesTrends`] instance.
97    ///
98    /// # Panics
99    ///
100    /// This function panics if:
101    /// `fast_period`*, *`slow_period`* or *`signal_period`* is 0.
102    /// `slow_period`* ≤ *`fast_period`*.
103    /// `signal_period`* > `MAX_SIGNAL`.
104    #[must_use]
105    pub fn new(
106        fast_period: usize,
107        slow_period: usize,
108        signal_period: usize,
109        ma_type: Option<MovingAverageType>,
110    ) -> Self {
111        assert!(
112            fast_period > 0,
113            "fast_period must be positive (got {fast_period})"
114        );
115        assert!(
116            slow_period > 0,
117            "slow_period must be positive (got {slow_period})"
118        );
119        assert!(
120            signal_period > 0,
121            "signal_period must be positive (got {signal_period})"
122        );
123        assert!(
124            slow_period > fast_period,
125            "slow_period ({slow_period}) must be greater than fast_period ({fast_period})"
126        );
127        assert!(
128            signal_period <= MAX_SIGNAL,
129            "signal_period ({signal_period}) must not exceed MAX_SIGNAL ({MAX_SIGNAL})"
130        );
131
132        let ma_type = ma_type.unwrap_or(DEFAULT_MA_TYPE);
133
134        Self {
135            fast_period,
136            slow_period,
137            signal_period,
138            ma_type,
139            long_run: false,
140            short_run: false,
141            fast_ma: MovingAverageFactory::create(ma_type, fast_period),
142            slow_ma: MovingAverageFactory::create(ma_type, slow_period),
143            fast_ma_price: SignalBuf::new(),
144            slow_ma_price: SignalBuf::new(),
145            has_inputs: false,
146            initialized: false,
147        }
148    }
149
150    /// Updates the indicator with a new raw price value.
151    ///
152    /// # Panics
153    /// This method will panic if the `slow_ma` is not initialized yet.
154    pub fn update_raw(&mut self, close: f64) {
155        self.fast_ma.update_raw(close);
156        self.slow_ma.update_raw(close);
157
158        if self.slow_ma.initialized() {
159            self.fast_ma_price.push_back(self.fast_ma.value());
160            self.slow_ma_price.push_back(self.slow_ma.value());
161
162            let max_len = self.signal_period + 1;
163            if self.fast_ma_price.len() > max_len {
164                self.fast_ma_price.pop_front();
165                self.slow_ma_price.pop_front();
166            }
167
168            let fast_back = self.fast_ma.value();
169            let fast_front = *self
170                .fast_ma_price
171                .front()
172                .expect("buffer has at least one element");
173
174            let fast_diff = fast_back - fast_front;
175            self.long_run = fast_diff > 0.0 || self.long_run;
176            self.short_run = fast_diff < 0.0 || self.short_run;
177        }
178
179        if !self.initialized {
180            self.has_inputs = true;
181            let max_len = self.signal_period + 1;
182            if self.slow_ma_price.len() == max_len && self.slow_ma.initialized() {
183                self.initialized = true;
184            }
185        }
186    }
187}
188
189#[cfg(test)]
190mod tests {
191    use rstest::rstest;
192
193    use super::*;
194    use crate::stubs::amat_345;
195
196    fn make(fast: usize, slow: usize, signal: usize) {
197        let _ = ArcherMovingAveragesTrends::new(fast, slow, signal, None);
198    }
199
200    #[rstest]
201    fn default_ma_type_is_exponential() {
202        let ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
203        assert_eq!(ind.ma_type, MovingAverageType::Exponential);
204    }
205
206    #[rstest]
207    fn test_name_returns_expected_string(amat_345: ArcherMovingAveragesTrends) {
208        assert_eq!(amat_345.name(), "ArcherMovingAveragesTrends");
209    }
210
211    #[rstest]
212    fn test_str_repr_returns_expected_string(amat_345: ArcherMovingAveragesTrends) {
213        assert_eq!(
214            format!("{amat_345}"),
215            "ArcherMovingAveragesTrends(3,4,5,SIMPLE)"
216        );
217    }
218
219    #[rstest]
220    fn test_period_returns_expected_value(amat_345: ArcherMovingAveragesTrends) {
221        assert_eq!(amat_345.fast_period, 3);
222        assert_eq!(amat_345.slow_period, 4);
223        assert_eq!(amat_345.signal_period, 5);
224    }
225
226    #[rstest]
227    fn test_initialized_without_inputs_returns_false(amat_345: ArcherMovingAveragesTrends) {
228        assert!(!amat_345.initialized());
229    }
230
231    #[rstest]
232    #[should_panic(expected = "fast_period must be positive")]
233    fn new_panics_on_zero_fast_period() {
234        make(0, 4, 5);
235    }
236
237    #[rstest]
238    #[should_panic(expected = "slow_period must be positive")]
239    fn new_panics_on_zero_slow_period() {
240        make(3, 0, 5);
241    }
242
243    #[rstest]
244    #[should_panic(expected = "signal_period must be positive")]
245    fn new_panics_on_zero_signal_period() {
246        make(3, 5, 0);
247    }
248
249    #[rstest]
250    #[should_panic(expected = "slow_period (3) must be greater than fast_period (3)")]
251    fn new_panics_when_slow_not_greater_than_fast() {
252        make(3, 3, 5);
253    }
254
255    #[rstest]
256    #[should_panic(expected = "slow_period (2) must be greater than fast_period (3)")]
257    fn new_panics_when_slow_less_than_fast() {
258        make(3, 2, 5);
259    }
260
261    fn feed_sequence(ind: &mut ArcherMovingAveragesTrends, start: i64, count: usize, step: i64) {
262        (0..count).for_each(|i| ind.update_raw((start + i as i64 * step) as f64));
263    }
264
265    #[rstest]
266    fn buffer_len_never_exceeds_signal_plus_one() {
267        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
268        feed_sequence(&mut ind, 0, 100, 1);
269        assert_eq!(ind.fast_ma_price.len(), ind.signal_period + 1);
270        assert_eq!(ind.slow_ma_price.len(), ind.signal_period + 1);
271    }
272
273    #[rstest]
274    fn initialized_becomes_true_after_slow_ready_and_buffer_full() {
275        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
276        feed_sequence(&mut ind, 0, 11, 1); // 11 > 4+6
277        assert!(ind.initialized());
278    }
279
280    #[rstest]
281    fn long_run_flag_sets_on_bullish_trend() {
282        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
283        feed_sequence(&mut ind, 0, 60, 1);
284        assert!(ind.long_run, "Expected long_run=TRUE on up-trend");
285        assert!(!ind.short_run, "short_run should remain FALSE here");
286    }
287
288    #[rstest]
289    fn short_run_flag_sets_on_bearish_trend() {
290        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
291        feed_sequence(&mut ind, 100, 60, -1);
292        assert!(ind.short_run, "Expected short_run=TRUE on down-trend");
293        assert!(!ind.long_run, "long_run should remain FALSE here");
294    }
295
296    #[rstest]
297    fn reset_clears_internal_state() {
298        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
299        feed_sequence(&mut ind, 0, 50, 1);
300        assert!(ind.long_run || ind.short_run);
301        assert!(!ind.fast_ma_price.is_empty());
302
303        ind.reset();
304
305        assert!(!ind.long_run && !ind.short_run);
306        assert_eq!(ind.fast_ma_price.len(), 0);
307        assert_eq!(ind.slow_ma_price.len(), 0);
308        assert!(!ind.initialized());
309        assert!(!ind.has_inputs());
310    }
311
312    #[rstest]
313    #[should_panic(expected = "signal_period (1025) must not exceed MAX_SIGNAL (1024)")]
314    fn new_panics_when_signal_exceeds_max() {
315        let _ = ArcherMovingAveragesTrends::new(3, 4, MAX_SIGNAL + 1, None);
316    }
317
318    #[rstest]
319    fn ma_type_override_is_respected() {
320        let ind = ArcherMovingAveragesTrends::new(3, 4, 5, Some(MovingAverageType::Simple));
321        assert_eq!(ind.ma_type, MovingAverageType::Simple);
322    }
323}
nautilus_indicators/momentum/amat.rs

nautilus_indicators/momentum/
amat.rs
