nautilus_indicators/average/
ama.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 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::Display;
17
18use nautilus_core::correctness::{FAILED, check_predicate_true};
19use nautilus_model::{
20    data::{Bar, QuoteTick, TradeTick},
21    enums::PriceType,
22};
23
24use crate::{
25    indicator::{Indicator, MovingAverage},
26    ratio::efficiency_ratio::EfficiencyRatio,
27};
28
29/// An indicator which calculates an adaptive moving average (AMA) across a
30/// rolling window. Developed by Perry Kaufman, the AMA is a moving average
31/// designed to account for market noise and volatility. The AMA will closely
32/// follow prices when the price swings are relatively small and the noise is
33/// low. The AMA will increase lag when the price swings increase.
34#[repr(C)]
35#[derive(Debug)]
36#[cfg_attr(
37    feature = "python",
38    pyo3::pyclass(module = "nautilus_trader.indicators")
39)]
40#[cfg_attr(
41    feature = "python",
42    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
43)]
44pub struct AdaptiveMovingAverage {
45    /// The period for the internal `EfficiencyRatio` indicator (>= 1).
46    pub period_efficiency_ratio: usize,
47    /// The period for the fast smoothing constant (> 0).
48    pub period_fast: usize,
49    /// The period for the slow smoothing constant (> `period_fast`).
50    pub period_slow: usize,
51    /// The price type used for calculations.
52    pub price_type: PriceType,
53    /// The last indicator value.
54    pub value: f64,
55    /// The input count for the indicator.
56    pub count: usize,
57    pub initialized: bool,
58    has_inputs: bool,
59    efficiency_ratio: EfficiencyRatio,
60    prior_value: Option<f64>,
61    alpha_fast: f64,
62    alpha_slow: f64,
63}
64
65impl Display for AdaptiveMovingAverage {
66    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
67        write!(
68            f,
69            "{}({},{},{})",
70            self.name(),
71            self.period_efficiency_ratio,
72            self.period_fast,
73            self.period_slow
74        )
75    }
76}
77
78impl Indicator for AdaptiveMovingAverage {
79    fn name(&self) -> String {
80        stringify!(AdaptiveMovingAverage).to_string()
81    }
82
83    fn has_inputs(&self) -> bool {
84        self.has_inputs
85    }
86
87    fn initialized(&self) -> bool {
88        self.initialized
89    }
90
91    fn handle_quote(&mut self, quote: &QuoteTick) -> anyhow::Result<()> {
92        self.update_raw(quote.extract_price(self.price_type)?.into());
93        Ok(())
94    }
95
96    fn handle_trade(&mut self, trade: &TradeTick) {
97        self.update_raw((&trade.price).into());
98    }
99
100    fn handle_bar(&mut self, bar: &Bar) {
101        self.update_raw((&bar.close).into());
102    }
103
104    fn reset(&mut self) {
105        self.value = 0.0;
106        self.prior_value = None;
107        self.count = 0;
108        self.has_inputs = false;
109        self.initialized = false;
110        self.efficiency_ratio.reset();
111    }
112}
113
114impl AdaptiveMovingAverage {
115    /// Creates a new [`AdaptiveMovingAverage`] instance.
116    ///
117    /// # Panics
118    ///
119    /// Panics if:
120    /// - `period_efficiency_ratio` is zero or its rolling-window storage
121    ///   cannot be reserved.
122    /// - `period_fast` == 0.
123    /// - `period_slow` == 0.
124    /// - `period_slow` == `usize::MAX`.
125    /// - `period_slow` ≤ `period_fast`.
126    #[must_use]
127    pub fn new(
128        period_efficiency_ratio: usize,
129        period_fast: usize,
130        period_slow: usize,
131        price_type: Option<PriceType>,
132    ) -> Self {
133        Self::new_checked(
134            period_efficiency_ratio,
135            period_fast,
136            period_slow,
137            price_type,
138        )
139        .expect(FAILED)
140    }
141
142    pub(crate) fn new_checked(
143        period_efficiency_ratio: usize,
144        period_fast: usize,
145        period_slow: usize,
146        price_type: Option<PriceType>,
147    ) -> anyhow::Result<Self> {
148        check_predicate_true(period_fast > 0, "`period_fast` must be positive")?;
149        check_predicate_true(period_slow > 0, "`period_slow` must be positive")?;
150        check_predicate_true(
151            period_slow < usize::MAX,
152            "`period_slow` must be less than `usize::MAX`",
153        )?;
154        check_predicate_true(
155            period_slow > period_fast,
156            "`period_slow` must be greater than `period_fast`",
157        )?;
158
159        let efficiency_ratio = EfficiencyRatio::new_checked(period_efficiency_ratio, price_type)?;
160
161        Ok(Self {
162            period_efficiency_ratio,
163            period_fast,
164            period_slow,
165            price_type: price_type.unwrap_or(PriceType::Last),
166            value: 0.0,
167            count: 0,
168            alpha_fast: 2.0 / (period_fast + 1) as f64,
169            alpha_slow: 2.0 / (period_slow + 1) as f64,
170            prior_value: None,
171            has_inputs: false,
172            initialized: false,
173            efficiency_ratio,
174        })
175    }
176
177    #[must_use]
178    pub fn alpha_diff(&self) -> f64 {
179        self.alpha_fast - self.alpha_slow
180    }
181
182    #[must_use]
183    pub const fn alpha_fast(&self) -> f64 {
184        self.alpha_fast
185    }
186
187    #[must_use]
188    pub const fn alpha_slow(&self) -> f64 {
189        self.alpha_slow
190    }
191
192    pub fn reset(&mut self) {
193        Indicator::reset(self);
194    }
195}
196
197impl MovingAverage for AdaptiveMovingAverage {
198    fn value(&self) -> f64 {
199        self.value
200    }
201
202    fn count(&self) -> usize {
203        self.count
204    }
205
206    fn update_raw(&mut self, value: f64) {
207        if !value.is_finite() {
208            return;
209        }
210
211        self.count += 1;
212        self.has_inputs = true;
213        self.efficiency_ratio.update_raw(value);
214
215        if self.count <= self.period_efficiency_ratio {
216            // Kaufman seeds the first output from the previous price
217            self.prior_value = Some(value);
218            return;
219        }
220        let prior = self.prior_value.unwrap_or(value);
221
222        let smoothing = self
223            .efficiency_ratio
224            .value
225            .mul_add(self.alpha_diff(), self.alpha_slow)
226            .powi(2);
227        let current = smoothing.mul_add(value - prior, prior);
228        self.prior_value = Some(current);
229        self.value = current;
230        self.initialized = true;
231    }
232}
233
234#[cfg(test)]
235mod tests {
236    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
237    use rstest::rstest;
238
239    use crate::{
240        average::ama::AdaptiveMovingAverage,
241        indicator::{Indicator, MovingAverage},
242        stubs::*,
243        testing::assert_approx_equal,
244    };
245
246    #[rstest]
247    fn test_ama_initialized(indicator_ama_10: AdaptiveMovingAverage) {
248        let display_str = format!("{indicator_ama_10}");
249        assert_eq!(display_str, "AdaptiveMovingAverage(10,2,30)");
250        assert_eq!(indicator_ama_10.name(), "AdaptiveMovingAverage");
251        assert!(!indicator_ama_10.has_inputs());
252        assert!(!indicator_ama_10.initialized());
253    }
254
255    #[rstest]
256    fn test_value_with_one_input(mut indicator_ama_10: AdaptiveMovingAverage) {
257        indicator_ama_10.update_raw(1.0);
258        assert_eq!(indicator_ama_10.value, 0.0);
259        assert!(!indicator_ama_10.initialized());
260    }
261
262    #[rstest]
263    fn test_value_with_two_inputs(mut indicator_ama_10: AdaptiveMovingAverage) {
264        for value in [1.0, 2.0] {
265            indicator_ama_10.update_raw(value);
266        }
267        assert_eq!(indicator_ama_10.value, 0.0);
268        assert!(!indicator_ama_10.initialized());
269    }
270
271    #[rstest]
272    fn test_value_with_three_inputs(mut indicator_ama_10: AdaptiveMovingAverage) {
273        for value in [1.0, 2.0, 3.0] {
274            indicator_ama_10.update_raw(value);
275        }
276        assert_eq!(indicator_ama_10.value, 0.0);
277        assert!(!indicator_ama_10.initialized());
278    }
279
280    #[rstest]
281    #[case::inherent(AdaptiveMovingAverage::reset)]
282    #[case::indicator(<AdaptiveMovingAverage as Indicator>::reset)]
283    fn test_reset(
284        #[case] reset: fn(&mut AdaptiveMovingAverage),
285        mut indicator_ama_10: AdaptiveMovingAverage,
286    ) {
287        for value in 1..=11 {
288            indicator_ama_10.update_raw(f64::from(value));
289        }
290        assert!(indicator_ama_10.initialized);
291        reset(&mut indicator_ama_10);
292        assert!(!indicator_ama_10.initialized);
293        assert!(!indicator_ama_10.has_inputs);
294        assert_eq!(indicator_ama_10.value, 0.0);
295        assert_eq!(indicator_ama_10.prior_value, None);
296        assert_eq!(indicator_ama_10.count, 0);
297        assert!(!indicator_ama_10.efficiency_ratio.has_inputs());
298        assert!(!indicator_ama_10.efficiency_ratio.initialized());
299        assert_eq!(indicator_ama_10.efficiency_ratio.value, 0.0);
300    }
301
302    #[rstest]
303    fn test_initialized_after_correct_number_of_input(mut indicator_ama_10: AdaptiveMovingAverage) {
304        for value in 1..=10 {
305            indicator_ama_10.update_raw(f64::from(value));
306            assert!(!indicator_ama_10.initialized());
307        }
308        indicator_ama_10.update_raw(11.0);
309        assert!(indicator_ama_10.initialized());
310    }
311
312    #[rstest]
313    fn test_first_value_seeds_from_previous_input(mut indicator_ama_10: AdaptiveMovingAverage) {
314        // Inputs 1..=11 give ER = 1, so sc = (2/3)^2 and the first value is 10 + 4/9
315        for value in 1..=11 {
316            indicator_ama_10.update_raw(f64::from(value));
317        }
318        assert_approx_equal(indicator_ama_10.value, 10.0 + 4.0 / 9.0);
319    }
320
321    #[rstest]
322    fn test_count_increments(mut indicator_ama_10: AdaptiveMovingAverage) {
323        assert_eq!(indicator_ama_10.count(), 0);
324        indicator_ama_10.update_raw(1.0);
325        assert_eq!(indicator_ama_10.count(), 1);
326        indicator_ama_10.update_raw(2.0);
327        indicator_ama_10.update_raw(3.0);
328        assert_eq!(indicator_ama_10.count(), 3);
329    }
330
331    #[rstest]
332    fn test_handle_quote_tick(mut indicator_ama_10: AdaptiveMovingAverage, stub_quote: QuoteTick) {
333        indicator_ama_10.handle_quote(&stub_quote).unwrap();
334        assert!(indicator_ama_10.has_inputs);
335        assert!(!indicator_ama_10.initialized);
336        assert_eq!(indicator_ama_10.value, 0.0);
337        assert_eq!(indicator_ama_10.count(), 1);
338    }
339
340    #[rstest]
341    fn test_handle_trade_tick_update(
342        mut indicator_ama_10: AdaptiveMovingAverage,
343        stub_trade: TradeTick,
344    ) {
345        indicator_ama_10.handle_trade(&stub_trade);
346        assert!(indicator_ama_10.has_inputs);
347        assert!(!indicator_ama_10.initialized);
348        assert_eq!(indicator_ama_10.value, 0.0);
349        assert_eq!(indicator_ama_10.count(), 1);
350    }
351
352    #[rstest]
353    fn handle_handle_bar(
354        mut indicator_ama_10: AdaptiveMovingAverage,
355        bar_ethusdt_binance_minute_bid: Bar,
356    ) {
357        indicator_ama_10.handle_bar(&bar_ethusdt_binance_minute_bid);
358        assert!(indicator_ama_10.has_inputs);
359        assert!(!indicator_ama_10.initialized);
360        assert_eq!(indicator_ama_10.value, 0.0);
361        assert_eq!(indicator_ama_10.count(), 1);
362    }
363
364    #[rstest]
365    fn new_panics_when_slow_not_greater_than_fast() {
366        let result = std::panic::catch_unwind(|| {
367            let _ = AdaptiveMovingAverage::new(10, 20, 20, None);
368        });
369        assert!(result.is_err());
370    }
371
372    #[rstest]
373    #[case(0)]
374    #[should_panic(expected = "`period` must be positive")]
375    fn new_panics_when_er_period_is_zero(#[case] period: usize) {
376        let _ = AdaptiveMovingAverage::new(period, 2, 30, None);
377    }
378
379    #[rstest]
380    fn new_panics_when_fast_is_zero() {
381        let result = std::panic::catch_unwind(|| {
382            let _ = AdaptiveMovingAverage::new(10, 0, 30, None);
383        });
384        assert!(result.is_err());
385    }
386
387    #[rstest]
388    fn new_panics_when_slow_is_zero() {
389        let result = std::panic::catch_unwind(|| {
390            let _ = AdaptiveMovingAverage::new(10, 2, 0, None);
391        });
392        assert!(result.is_err());
393    }
394
395    #[rstest]
396    fn new_panics_when_slow_less_than_fast() {
397        let result = std::panic::catch_unwind(|| {
398            let _ = AdaptiveMovingAverage::new(10, 20, 5, None);
399        });
400        assert!(result.is_err());
401    }
402
403    #[rstest]
404    fn new_checked_rejects_slow_period_max() {
405        let error =
406            AdaptiveMovingAverage::new_checked(10, usize::MAX - 1, usize::MAX, None).unwrap_err();
407
408        assert_eq!(
409            error.to_string(),
410            "`period_slow` must be less than `usize::MAX`",
411        );
412    }
413}
nautilus_indicators/average/ama.rs

nautilus_indicators/average/
ama.rs
