nautilus_indicators/momentum/
amat.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::{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)]
37#[cfg_attr(
38    feature = "python",
39    pyo3_stub_gen::derive::gen_stub_pyclass(module = "nautilus_trader.indicators")
40)]
41pub struct ArcherMovingAveragesTrends {
42    pub fast_period: usize,
43    pub slow_period: usize,
44    pub signal_period: usize,
45    pub ma_type: MovingAverageType,
46    pub long_run: bool,
47    pub short_run: bool,
48    pub initialized: bool,
49    fast_ma: Box<dyn MovingAverage + Send + 'static>,
50    slow_ma: Box<dyn MovingAverage + Send + 'static>,
51    fast_ma_price: SignalBuf,
52    slow_ma_price: SignalBuf,
53    has_inputs: bool,
54}
55
56impl Display for ArcherMovingAveragesTrends {
57    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
58        write!(
59            f,
60            "{}({},{},{},{})",
61            self.name(),
62            self.fast_period,
63            self.slow_period,
64            self.signal_period,
65            self.ma_type,
66        )
67    }
68}
69
70impl Indicator for ArcherMovingAveragesTrends {
71    fn name(&self) -> String {
72        stringify!(ArcherMovingAveragesTrends).into()
73    }
74
75    fn has_inputs(&self) -> bool {
76        self.has_inputs
77    }
78
79    fn initialized(&self) -> bool {
80        self.initialized
81    }
82
83    fn handle_bar(&mut self, bar: &Bar) {
84        self.update_raw(bar.close.into());
85    }
86
87    fn reset(&mut self) {
88        self.fast_ma.reset();
89        self.slow_ma.reset();
90        self.long_run = false;
91        self.short_run = false;
92        self.fast_ma_price.clear();
93        self.slow_ma_price.clear();
94        self.has_inputs = false;
95        self.initialized = false;
96    }
97}
98
99impl ArcherMovingAveragesTrends {
100    /// Creates a new [`ArcherMovingAveragesTrends`] instance.
101    ///
102    /// # Panics
103    ///
104    /// This function panics if:
105    /// `fast_period`*, *`slow_period`* or *`signal_period`* is 0.
106    /// `slow_period`* ≤ *`fast_period`*.
107    /// `signal_period`* > `MAX_SIGNAL`.
108    #[must_use]
109    pub fn new(
110        fast_period: usize,
111        slow_period: usize,
112        signal_period: usize,
113        ma_type: Option<MovingAverageType>,
114    ) -> Self {
115        assert!(
116            fast_period > 0,
117            "fast_period must be positive (received {fast_period})"
118        );
119        assert!(
120            slow_period > 0,
121            "slow_period must be positive (received {slow_period})"
122        );
123        assert!(
124            signal_period > 0,
125            "signal_period must be positive (received {signal_period})"
126        );
127        assert!(
128            slow_period > fast_period,
129            "slow_period ({slow_period}) must be greater than fast_period ({fast_period})"
130        );
131        assert!(
132            signal_period <= MAX_SIGNAL,
133            "signal_period ({signal_period}) must not exceed MAX_SIGNAL ({MAX_SIGNAL})"
134        );
135
136        let ma_type = ma_type.unwrap_or(DEFAULT_MA_TYPE);
137
138        Self {
139            fast_period,
140            slow_period,
141            signal_period,
142            ma_type,
143            long_run: false,
144            short_run: false,
145            fast_ma: MovingAverageFactory::create(ma_type, fast_period),
146            slow_ma: MovingAverageFactory::create(ma_type, slow_period),
147            fast_ma_price: SignalBuf::new(),
148            slow_ma_price: SignalBuf::new(),
149            has_inputs: false,
150            initialized: false,
151        }
152    }
153
154    /// Updates the indicator with a new raw price value.
155    ///
156    /// # Panics
157    /// This method will panic if the `slow_ma` is not initialized yet.
158    pub fn update_raw(&mut self, close: f64) {
159        self.fast_ma.update_raw(close);
160        self.slow_ma.update_raw(close);
161
162        if self.slow_ma.initialized() {
163            self.fast_ma_price.push_back(self.fast_ma.value());
164            self.slow_ma_price.push_back(self.slow_ma.value());
165
166            let max_len = self.signal_period + 1;
167            if self.fast_ma_price.len() > max_len {
168                self.fast_ma_price.pop_front();
169                self.slow_ma_price.pop_front();
170            }
171
172            let fast_back = self.fast_ma.value();
173            let fast_front = *self
174                .fast_ma_price
175                .front()
176                .expect("buffer has at least one element");
177
178            let fast_diff = fast_back - fast_front;
179            self.long_run = fast_diff > 0.0 || self.long_run;
180            self.short_run = fast_diff < 0.0 || self.short_run;
181        }
182
183        if !self.initialized {
184            self.has_inputs = true;
185            let max_len = self.signal_period + 1;
186            if self.slow_ma_price.len() == max_len && self.slow_ma.initialized() {
187                self.initialized = true;
188            }
189        }
190    }
191}
192
193#[cfg(test)]
194mod tests {
195    use rstest::rstest;
196
197    use super::*;
198    use crate::stubs::amat_345;
199
200    fn make(fast: usize, slow: usize, signal: usize) {
201        let _ = ArcherMovingAveragesTrends::new(fast, slow, signal, None);
202    }
203
204    #[rstest]
205    fn default_ma_type_is_exponential() {
206        let ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
207        assert_eq!(ind.ma_type, MovingAverageType::Exponential);
208    }
209
210    #[rstest]
211    fn test_name_returns_expected_string(amat_345: ArcherMovingAveragesTrends) {
212        assert_eq!(amat_345.name(), "ArcherMovingAveragesTrends");
213    }
214
215    #[rstest]
216    fn test_str_repr_returns_expected_string(amat_345: ArcherMovingAveragesTrends) {
217        assert_eq!(
218            format!("{amat_345}"),
219            "ArcherMovingAveragesTrends(3,4,5,SIMPLE)"
220        );
221    }
222
223    #[rstest]
224    fn test_period_returns_expected_value(amat_345: ArcherMovingAveragesTrends) {
225        assert_eq!(amat_345.fast_period, 3);
226        assert_eq!(amat_345.slow_period, 4);
227        assert_eq!(amat_345.signal_period, 5);
228    }
229
230    #[rstest]
231    fn test_initialized_without_inputs_returns_false(amat_345: ArcherMovingAveragesTrends) {
232        assert!(!amat_345.initialized());
233    }
234
235    #[rstest]
236    #[should_panic(expected = "fast_period must be positive")]
237    fn new_panics_on_zero_fast_period() {
238        make(0, 4, 5);
239    }
240
241    #[rstest]
242    #[should_panic(expected = "slow_period must be positive")]
243    fn new_panics_on_zero_slow_period() {
244        make(3, 0, 5);
245    }
246
247    #[rstest]
248    #[should_panic(expected = "signal_period must be positive")]
249    fn new_panics_on_zero_signal_period() {
250        make(3, 5, 0);
251    }
252
253    #[rstest]
254    #[should_panic(expected = "slow_period (3) must be greater than fast_period (3)")]
255    fn new_panics_when_slow_not_greater_than_fast() {
256        make(3, 3, 5);
257    }
258
259    #[rstest]
260    #[should_panic(expected = "slow_period (2) must be greater than fast_period (3)")]
261    fn new_panics_when_slow_less_than_fast() {
262        make(3, 2, 5);
263    }
264
265    fn feed_sequence(ind: &mut ArcherMovingAveragesTrends, start: i64, count: usize, step: i64) {
266        (0..count).for_each(|i| ind.update_raw((start + i as i64 * step) as f64));
267    }
268
269    #[rstest]
270    fn buffer_len_never_exceeds_signal_plus_one() {
271        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
272        feed_sequence(&mut ind, 0, 100, 1);
273        assert_eq!(ind.fast_ma_price.len(), ind.signal_period + 1);
274        assert_eq!(ind.slow_ma_price.len(), ind.signal_period + 1);
275    }
276
277    #[rstest]
278    fn initialized_becomes_true_after_slow_ready_and_buffer_full() {
279        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
280        feed_sequence(&mut ind, 0, 11, 1); // 11 > 4+6
281        assert!(ind.initialized());
282    }
283
284    #[rstest]
285    fn long_run_flag_sets_on_bullish_trend() {
286        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
287        feed_sequence(&mut ind, 0, 60, 1);
288        assert!(ind.long_run, "Expected long_run=TRUE on up-trend");
289        assert!(!ind.short_run, "short_run should remain FALSE here");
290    }
291
292    #[rstest]
293    fn short_run_flag_sets_on_bearish_trend() {
294        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
295        feed_sequence(&mut ind, 100, 60, -1);
296        assert!(ind.short_run, "Expected short_run=TRUE on down-trend");
297        assert!(!ind.long_run, "long_run should remain FALSE here");
298    }
299
300    #[rstest]
301    fn reset_clears_internal_state() {
302        let mut ind = ArcherMovingAveragesTrends::new(3, 4, 5, None);
303        feed_sequence(&mut ind, 0, 50, 1);
304        assert!(ind.long_run || ind.short_run);
305        assert!(!ind.fast_ma_price.is_empty());
306
307        ind.reset();
308
309        assert!(!ind.long_run && !ind.short_run);
310        assert_eq!(ind.fast_ma_price.len(), 0);
311        assert_eq!(ind.slow_ma_price.len(), 0);
312        assert!(!ind.initialized());
313        assert!(!ind.has_inputs());
314    }
315
316    #[rstest]
317    #[should_panic(expected = "signal_period (1025) must not exceed MAX_SIGNAL (1024)")]
318    fn new_panics_when_signal_exceeds_max() {
319        let _ = ArcherMovingAveragesTrends::new(3, 4, MAX_SIGNAL + 1, None);
320    }
321
322    #[rstest]
323    fn ma_type_override_is_respected() {
324        let ind = ArcherMovingAveragesTrends::new(3, 4, 5, Some(MovingAverageType::Simple));
325        assert_eq!(ind.ma_type, MovingAverageType::Simple);
326    }
327}
nautilus_indicators/momentum/amat.rs

nautilus_indicators/momentum/
amat.rs
