nautilus_indicators/average/
hma.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_model::{
19    data::{Bar, QuoteTick, TradeTick},
20    enums::PriceType,
21};
22
23use crate::{
24    average::wma::WeightedMovingAverage,
25    indicator::{Indicator, MovingAverage},
26};
27
28/// An indicator which calculates a Hull Moving Average (HMA) across a rolling
29/// window. The HMA, developed by Alan Hull, is an extremely fast and smooth
30/// moving average.
31#[repr(C)]
32#[derive(Debug)]
33#[cfg_attr(
34    feature = "python",
35    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.indicators")
36)]
37#[cfg_attr(
38    feature = "python",
39    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
40)]
41pub struct HullMovingAverage {
42    pub period: usize,
43    pub price_type: PriceType,
44    pub value: f64,
45    pub count: usize,
46    pub initialized: bool,
47    has_inputs: bool,
48    ma1: WeightedMovingAverage,
49    ma2: WeightedMovingAverage,
50    ma3: WeightedMovingAverage,
51}
52
53impl Display for HullMovingAverage {
54    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
55        write!(f, "{}({})", self.name(), self.period)
56    }
57}
58
59impl Indicator for HullMovingAverage {
60    fn name(&self) -> String {
61        stringify!(HullMovingAverage).to_string()
62    }
63
64    fn has_inputs(&self) -> bool {
65        self.has_inputs
66    }
67
68    fn initialized(&self) -> bool {
69        self.initialized
70    }
71
72    fn handle_quote(&mut self, quote: &QuoteTick) {
73        self.update_raw(quote.extract_price(self.price_type).into());
74    }
75
76    fn handle_trade(&mut self, trade: &TradeTick) {
77        self.update_raw((&trade.price).into());
78    }
79
80    fn handle_bar(&mut self, bar: &Bar) {
81        self.update_raw((&bar.close).into());
82    }
83
84    fn reset(&mut self) {
85        self.value = 0.0;
86        self.ma1.reset();
87        self.ma2.reset();
88        self.ma3.reset();
89        self.count = 0;
90        self.has_inputs = false;
91        self.initialized = false;
92    }
93}
94
95fn get_weights(size: usize) -> Vec<f64> {
96    let mut w: Vec<f64> = (1..=size).map(|x| x as f64).collect();
97    let divisor: f64 = w.iter().sum();
98    for v in &mut w {
99        *v /= divisor;
100    }
101    w
102}
103
104impl HullMovingAverage {
105    /// Creates a new [`HullMovingAverage`] instance.
106    ///
107    /// # Panics
108    ///
109    /// Panics if `period` is not a positive integer (> 0).
110    #[must_use]
111    pub fn new(period: usize, price_type: Option<PriceType>) -> Self {
112        assert!(
113            period > 0,
114            "HullMovingAverage: period must be > 0 (received {period})"
115        );
116
117        let half = usize::max(1, period / 2);
118        let root = usize::max(1, (period as f64).sqrt() as usize);
119
120        let pt = price_type.unwrap_or(PriceType::Last);
121
122        let ma1 = WeightedMovingAverage::new(half, get_weights(half), Some(pt));
123        let ma2 = WeightedMovingAverage::new(period, get_weights(period), Some(pt));
124        let ma3 = WeightedMovingAverage::new(root, get_weights(root), Some(pt));
125
126        Self {
127            period,
128            price_type: pt,
129            value: 0.0,
130            count: 0,
131            has_inputs: false,
132            initialized: false,
133            ma1,
134            ma2,
135            ma3,
136        }
137    }
138}
139
140impl MovingAverage for HullMovingAverage {
141    fn value(&self) -> f64 {
142        self.value
143    }
144
145    fn count(&self) -> usize {
146        self.count
147    }
148
149    fn update_raw(&mut self, value: f64) {
150        if !self.has_inputs {
151            self.has_inputs = true;
152            self.value = value;
153        }
154
155        self.ma1.update_raw(value);
156        self.ma2.update_raw(value);
157        self.ma3
158            .update_raw(2.0f64.mul_add(self.ma1.value, -self.ma2.value));
159
160        self.value = self.ma3.value;
161        self.count += 1;
162
163        if !self.initialized && self.count >= self.period {
164            self.initialized = true;
165        }
166    }
167}
168
169#[cfg(test)]
170mod tests {
171    use nautilus_model::{
172        data::{Bar, QuoteTick, TradeTick},
173        enums::PriceType,
174    };
175    use rstest::rstest;
176
177    use crate::{
178        average::hma::HullMovingAverage,
179        indicator::{Indicator, MovingAverage},
180        stubs::*,
181    };
182
183    #[rstest]
184    fn test_hma_initialized(indicator_hma_10: HullMovingAverage) {
185        let display_str = format!("{indicator_hma_10}");
186        assert_eq!(display_str, "HullMovingAverage(10)");
187        assert_eq!(indicator_hma_10.period, 10);
188        assert!(!indicator_hma_10.initialized);
189        assert!(!indicator_hma_10.has_inputs);
190    }
191
192    #[rstest]
193    fn test_initialized_with_required_input(mut indicator_hma_10: HullMovingAverage) {
194        for i in 1..10 {
195            indicator_hma_10.update_raw(f64::from(i));
196        }
197        assert!(!indicator_hma_10.initialized);
198        indicator_hma_10.update_raw(10.0);
199        assert!(indicator_hma_10.initialized);
200    }
201
202    #[rstest]
203    fn test_value_with_one_input(mut indicator_hma_10: HullMovingAverage) {
204        indicator_hma_10.update_raw(1.0);
205        assert_eq!(indicator_hma_10.value, 1.0);
206    }
207
208    #[rstest]
209    fn test_value_with_three_inputs(mut indicator_hma_10: HullMovingAverage) {
210        indicator_hma_10.update_raw(1.0);
211        indicator_hma_10.update_raw(2.0);
212        indicator_hma_10.update_raw(3.0);
213        assert_eq!(indicator_hma_10.value, 1.824_561_403_508_772);
214    }
215
216    #[rstest]
217    fn test_value_with_ten_inputs(mut indicator_hma_10: HullMovingAverage) {
218        indicator_hma_10.update_raw(1.00000);
219        indicator_hma_10.update_raw(1.00010);
220        indicator_hma_10.update_raw(1.00020);
221        indicator_hma_10.update_raw(1.00030);
222        indicator_hma_10.update_raw(1.00040);
223        indicator_hma_10.update_raw(1.00050);
224        indicator_hma_10.update_raw(1.00040);
225        indicator_hma_10.update_raw(1.00030);
226        indicator_hma_10.update_raw(1.00020);
227        indicator_hma_10.update_raw(1.00010);
228        indicator_hma_10.update_raw(1.00000);
229        assert_eq!(indicator_hma_10.value, 1.000_140_392_817_059_8);
230    }
231
232    #[rstest]
233    fn test_handle_quote_tick(mut indicator_hma_10: HullMovingAverage, stub_quote: QuoteTick) {
234        indicator_hma_10.handle_quote(&stub_quote);
235        assert_eq!(indicator_hma_10.value, 1501.0);
236    }
237
238    #[rstest]
239    fn test_handle_trade_tick(mut indicator_hma_10: HullMovingAverage, stub_trade: TradeTick) {
240        indicator_hma_10.handle_trade(&stub_trade);
241        assert_eq!(indicator_hma_10.value, 1500.0);
242    }
243
244    #[rstest]
245    fn test_handle_bar(
246        mut indicator_hma_10: HullMovingAverage,
247        bar_ethusdt_binance_minute_bid: Bar,
248    ) {
249        indicator_hma_10.handle_bar(&bar_ethusdt_binance_minute_bid);
250        assert_eq!(indicator_hma_10.value, 1522.0);
251        assert!(indicator_hma_10.has_inputs);
252        assert!(!indicator_hma_10.initialized);
253    }
254
255    #[rstest]
256    fn test_reset(mut indicator_hma_10: HullMovingAverage) {
257        indicator_hma_10.update_raw(1.0);
258        assert_eq!(indicator_hma_10.count, 1);
259        assert_eq!(indicator_hma_10.value, 1.0);
260        assert_eq!(indicator_hma_10.ma1.value, 1.0);
261        assert_eq!(indicator_hma_10.ma2.value, 1.0);
262        assert_eq!(indicator_hma_10.ma3.value, 1.0);
263        indicator_hma_10.reset();
264        assert_eq!(indicator_hma_10.value, 0.0);
265        assert_eq!(indicator_hma_10.count, 0);
266        assert_eq!(indicator_hma_10.ma1.value, 0.0);
267        assert_eq!(indicator_hma_10.ma2.value, 0.0);
268        assert_eq!(indicator_hma_10.ma3.value, 0.0);
269        assert!(!indicator_hma_10.has_inputs);
270        assert!(!indicator_hma_10.initialized);
271    }
272
273    #[rstest]
274    #[should_panic(expected = "HullMovingAverage: period must be > 0")]
275    fn test_new_with_zero_period_panics() {
276        let _ = HullMovingAverage::new(0, None);
277    }
278
279    #[rstest]
280    #[case(1)]
281    #[case(5)]
282    #[case(128)]
283    #[case(10_000)]
284    fn test_new_with_positive_period_constructs(#[case] period: usize) {
285        let hma = HullMovingAverage::new(period, None);
286        assert_eq!(hma.period, period);
287        assert_eq!(hma.count(), 0);
288        assert!(!hma.initialized());
289    }
290
291    #[rstest]
292    #[case(PriceType::Bid)]
293    #[case(PriceType::Ask)]
294    #[case(PriceType::Last)]
295    fn test_price_type_propagates_to_inner_wmas(#[case] pt: PriceType) {
296        let hma = HullMovingAverage::new(10, Some(pt));
297        assert_eq!(hma.price_type, pt);
298        assert_eq!(hma.ma1.price_type, pt);
299        assert_eq!(hma.ma2.price_type, pt);
300        assert_eq!(hma.ma3.price_type, pt);
301    }
302
303    #[rstest]
304    fn test_price_type_defaults_to_last() {
305        let hma = HullMovingAverage::new(10, None);
306        assert_eq!(hma.price_type, PriceType::Last);
307        assert_eq!(hma.ma1.price_type, PriceType::Last);
308        assert_eq!(hma.ma2.price_type, PriceType::Last);
309        assert_eq!(hma.ma3.price_type, PriceType::Last);
310    }
311
312    #[rstest]
313    #[case(10.0)]
314    #[case(-5.5)]
315    #[case(42.42)]
316    #[case(0.0)]
317    fn period_one_degenerates_to_price(#[case] price: f64) {
318        let mut hma = HullMovingAverage::new(1, None);
319
320        for _ in 0..5 {
321            hma.update_raw(price);
322            assert!(
323                (hma.value() - price).abs() < f64::EPSILON,
324                "HMA(1) should equal last price {price}, was {}",
325                hma.value()
326            );
327            assert!(hma.initialized(), "HMA(1) must initialise immediately");
328        }
329    }
330
331    #[rstest]
332    #[case(3, 123.456_f64)]
333    #[case(13, 0.001_f64)]
334    fn constant_series_yields_constant_value(#[case] period: usize, #[case] constant: f64) {
335        let mut hma = HullMovingAverage::new(period, None);
336
337        for _ in 0..(period * 4) {
338            hma.update_raw(constant);
339            assert!(
340                (hma.value() - constant).abs() < 1e-12,
341                "Expected {constant}, was {}",
342                hma.value()
343            );
344        }
345        assert!(hma.initialized());
346    }
347
348    #[rstest]
349    fn alternating_extremes_bounded() {
350        let mut hma = HullMovingAverage::new(50, None);
351        let lows_highs = [0.0_f64, 1_000.0_f64];
352
353        for i in 0..200 {
354            let price = lows_highs[i & 1];
355            hma.update_raw(price);
356
357            let v = hma.value();
358            assert!((0.0..=1_000.0).contains(&v), "HMA out of bounds: {v}");
359        }
360    }
361
362    #[rstest]
363    #[case(2)]
364    #[case(17)]
365    #[case(128)]
366    fn initialized_boundary(#[case] period: usize) {
367        let mut hma = HullMovingAverage::new(period, None);
368
369        for i in 0..(period - 1) {
370            hma.update_raw(i as f64);
371            assert!(!hma.initialized(), "HMA wrongly initialised at count {i}");
372        }
373
374        hma.update_raw(0.0);
375        assert!(
376            hma.initialized(),
377            "HMA should initialise at exactly {period} ticks"
378        );
379    }
380
381    #[rstest]
382    #[case(2)]
383    #[case(3)]
384    fn small_periods_do_not_panic(#[case] period: usize) {
385        let mut hma = HullMovingAverage::new(period, None);
386        for i in 0..(period * 5) {
387            hma.update_raw(i as f64);
388        }
389        assert!(hma.initialized());
390    }
391
392    #[rstest]
393    fn negative_prices_supported() {
394        let mut hma = HullMovingAverage::new(10, None);
395        let prices = [-5.0, -4.0, -3.0, -2.5, -2.0, -1.5, -1.0, -0.5, 0.0, 0.5];
396
397        for &p in &prices {
398            hma.update_raw(p);
399            let v = hma.value();
400            assert!(
401                v.is_finite(),
402                "HMA produced a non-finite value {v} from negative prices"
403            );
404        }
405    }
406}
nautilus_indicators/average/hma.rs

nautilus_indicators/average/
hma.rs
