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 (>= 2).
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    /// This function panics if:
120    /// - `period_efficiency_ratio` is less than 2 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        self.count += 1;
208
209        if !self.has_inputs {
210            self.prior_value = Some(value);
211            self.efficiency_ratio.update_raw(value);
212            self.value = value;
213            self.has_inputs = true;
214            return;
215        }
216
217        self.efficiency_ratio.update_raw(value);
218        self.prior_value = Some(self.value);
219
220        // Calculate the smoothing constant
221        let smoothing_constant = self
222            .efficiency_ratio
223            .value
224            .mul_add(self.alpha_diff(), self.alpha_slow)
225            .powi(2);
226
227        // Calculate the AMA
228        // TODO: Remove unwraps
229        self.value = smoothing_constant
230            .mul_add(value - self.prior_value.unwrap(), self.prior_value.unwrap());
231
232        if self.efficiency_ratio.initialized() {
233            self.initialized = true;
234        }
235    }
236}
237
238#[cfg(test)]
239mod tests {
240    use nautilus_model::data::{Bar, QuoteTick, TradeTick};
241    use rstest::rstest;
242
243    use crate::{
244        average::ama::AdaptiveMovingAverage,
245        indicator::{Indicator, MovingAverage},
246        stubs::*,
247        testing::assert_approx_equal,
248    };
249
250    #[rstest]
251    fn test_ama_initialized(indicator_ama_10: AdaptiveMovingAverage) {
252        let display_str = format!("{indicator_ama_10}");
253        assert_eq!(display_str, "AdaptiveMovingAverage(10,2,30)");
254        assert_eq!(indicator_ama_10.name(), "AdaptiveMovingAverage");
255        assert!(!indicator_ama_10.has_inputs());
256        assert!(!indicator_ama_10.initialized());
257    }
258
259    #[rstest]
260    fn test_value_with_one_input(mut indicator_ama_10: AdaptiveMovingAverage) {
261        indicator_ama_10.update_raw(1.0);
262        assert_eq!(indicator_ama_10.value, 1.0);
263    }
264
265    #[rstest]
266    fn test_value_with_two_inputs(mut indicator_ama_10: AdaptiveMovingAverage) {
267        indicator_ama_10.update_raw(1.0);
268        indicator_ama_10.update_raw(2.0);
269        assert_approx_equal(indicator_ama_10.value, 1.44444444444);
270    }
271
272    #[rstest]
273    fn test_value_with_three_inputs(mut indicator_ama_10: AdaptiveMovingAverage) {
274        indicator_ama_10.update_raw(1.0);
275        indicator_ama_10.update_raw(2.0);
276        indicator_ama_10.update_raw(3.0);
277        assert_approx_equal(indicator_ama_10.value, 2.13580246914);
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..=10 {
288            indicator_ama_10.update_raw(f64::from(value));
289        }
290        assert!(indicator_ama_10.initialized);
291
292        reset(&mut indicator_ama_10);
293
294        assert!(!indicator_ama_10.initialized);
295        assert!(!indicator_ama_10.has_inputs);
296        assert_eq!(indicator_ama_10.value, 0.0);
297        assert_eq!(indicator_ama_10.prior_value, None);
298        assert_eq!(indicator_ama_10.count, 0);
299        assert!(!indicator_ama_10.efficiency_ratio.has_inputs());
300        assert!(!indicator_ama_10.efficiency_ratio.initialized());
301        assert_eq!(indicator_ama_10.efficiency_ratio.value, 0.0);
302    }
303
304    #[rstest]
305    fn test_initialized_after_correct_number_of_input(indicator_ama_10: AdaptiveMovingAverage) {
306        let mut ama = indicator_ama_10;
307        for _ in 0..9 {
308            ama.update_raw(1.0);
309        }
310        assert!(!ama.initialized);
311        ama.update_raw(1.0);
312        assert!(ama.initialized);
313    }
314
315    #[rstest]
316    fn test_count_increments(mut indicator_ama_10: AdaptiveMovingAverage) {
317        assert_eq!(indicator_ama_10.count(), 0);
318        indicator_ama_10.update_raw(1.0);
319        assert_eq!(indicator_ama_10.count(), 1);
320        indicator_ama_10.update_raw(2.0);
321        indicator_ama_10.update_raw(3.0);
322        assert_eq!(indicator_ama_10.count(), 3);
323    }
324
325    #[rstest]
326    fn test_handle_quote_tick(mut indicator_ama_10: AdaptiveMovingAverage, stub_quote: QuoteTick) {
327        indicator_ama_10.handle_quote(&stub_quote).unwrap();
328        assert!(indicator_ama_10.has_inputs);
329        assert!(!indicator_ama_10.initialized);
330        assert_eq!(indicator_ama_10.value, 1501.0);
331        assert_eq!(indicator_ama_10.count(), 1);
332    }
333
334    #[rstest]
335    fn test_handle_trade_tick_update(
336        mut indicator_ama_10: AdaptiveMovingAverage,
337        stub_trade: TradeTick,
338    ) {
339        indicator_ama_10.handle_trade(&stub_trade);
340        assert!(indicator_ama_10.has_inputs);
341        assert!(!indicator_ama_10.initialized);
342        assert_eq!(indicator_ama_10.value, 1500.0);
343        assert_eq!(indicator_ama_10.count(), 1);
344    }
345
346    #[rstest]
347    fn handle_handle_bar(
348        mut indicator_ama_10: AdaptiveMovingAverage,
349        bar_ethusdt_binance_minute_bid: Bar,
350    ) {
351        indicator_ama_10.handle_bar(&bar_ethusdt_binance_minute_bid);
352        assert!(indicator_ama_10.has_inputs);
353        assert!(!indicator_ama_10.initialized);
354        assert_eq!(indicator_ama_10.value, 1522.0);
355        assert_eq!(indicator_ama_10.count(), 1);
356    }
357
358    #[rstest]
359    fn new_panics_when_slow_not_greater_than_fast() {
360        let result = std::panic::catch_unwind(|| {
361            let _ = AdaptiveMovingAverage::new(10, 20, 20, None);
362        });
363        assert!(result.is_err());
364    }
365
366    #[rstest]
367    #[case(0)]
368    #[case(1)]
369    #[should_panic(expected = "`period` must be at least 2")]
370    fn new_panics_when_er_period_is_below_two(#[case] period: usize) {
371        let _ = AdaptiveMovingAverage::new(period, 2, 30, None);
372    }
373
374    #[rstest]
375    fn new_panics_when_fast_is_zero() {
376        let result = std::panic::catch_unwind(|| {
377            let _ = AdaptiveMovingAverage::new(10, 0, 30, None);
378        });
379        assert!(result.is_err());
380    }
381
382    #[rstest]
383    fn new_panics_when_slow_is_zero() {
384        let result = std::panic::catch_unwind(|| {
385            let _ = AdaptiveMovingAverage::new(10, 2, 0, None);
386        });
387        assert!(result.is_err());
388    }
389
390    #[rstest]
391    fn new_panics_when_slow_less_than_fast() {
392        let result = std::panic::catch_unwind(|| {
393            let _ = AdaptiveMovingAverage::new(10, 20, 5, None);
394        });
395        assert!(result.is_err());
396    }
397
398    #[rstest]
399    fn new_checked_rejects_slow_period_max() {
400        let error =
401            AdaptiveMovingAverage::new_checked(10, usize::MAX - 1, usize::MAX, None).unwrap_err();
402
403        assert_eq!(
404            error.to_string(),
405            "`period_slow` must be less than `usize::MAX`",
406        );
407    }
408}
nautilus_indicators/average/ama.rs

nautilus_indicators/average/
ama.rs
