From e02b8c1369799eee31fed5c5d8b44a1b044e2780 Mon Sep 17 00:00:00 2001 From: JSDurand Date: Fri, 9 Oct 2026 16:12:46 +0800 Subject: first commit This is code written by claude for a static stock analysis page generator. I intend to test difference analysis indicators to see if some claims make any sense. --- src/signals.rs | 248 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 248 insertions(+) create mode 100644 src/signals.rs (limited to 'src/signals.rs') diff --git a/src/signals.rs b/src/signals.rs new file mode 100644 index 0000000..4b91d8e --- /dev/null +++ b/src/signals.rs @@ -0,0 +1,248 @@ +use crate::data::Candle; +use serde::Serialize; + +#[derive(Serialize)] +pub struct Cross { + pub index: usize, + /// "golden" (K crosses above D) or "death" (K crosses below D) + pub kind: &'static str, + /// true when the cross happens in the extreme zone (<20 golden, >80 death) + pub strong: bool, +} + +#[derive(Serialize)] +pub struct Divergence { + /// "bullish" or "bearish" + pub kind: &'static str, + /// "regular" (reversal signal) or "hidden" (trend-continuation signal) + pub class: &'static str, + /// "RSI" or "K" + pub indicator: &'static str, + /// bars of the two price swings + pub i1: usize, + pub i2: usize, + /// price at the swings (swing low's Low / swing high's High) + pub p1: f64, + pub p2: f64, + /// bars where the indicator has its extreme near each swing + pub j1: usize, + pub j2: usize, + /// bar at which the second swing was confirmed (earliest the signal was knowable) + pub confirmed: usize, +} + +pub fn crosses(k: &[Option], d: &[Option]) -> Vec { + let mut out = Vec::new(); + for i in 1..k.len() { + if let (Some(k0), Some(d0), Some(k1), Some(d1)) = (k[i - 1], d[i - 1], k[i], d[i]) { + if k0 <= d0 && k1 > d1 { + out.push(Cross { index: i, kind: "golden", strong: k1 < 20.0 }); + } else if k0 >= d0 && k1 < d1 { + out.push(Cross { index: i, kind: "death", strong: k1 > 80.0 }); + } + } + } + out +} + +#[derive(Debug, Clone, Copy, PartialEq)] +pub struct Swing { + pub index: usize, + pub is_high: bool, + pub price: f64, + /// bar where price had reversed by `pct` from the extreme + pub confirmed_at: usize, +} + +/// ZigZag swings: a swing high (low) is confirmed once price falls (rises) by at +/// least `pct` percent from the running extreme. The last, unconfirmed extreme is dropped. +pub fn zigzag(candles: &[Candle], pct: f64) -> Vec { + let f = pct / 100.0; + let mut out = Vec::new(); + if candles.is_empty() { + return out; + } + // Some(true): tracking a high (rising); Some(false): tracking a low; None: undecided. + let mut dir: Option = None; + let mut hi = (0, candles[0].high); + let mut lo = (0, candles[0].low); + for (i, c) in candles.iter().enumerate().skip(1) { + match dir { + None => { + if c.high > hi.1 { hi = (i, c.high); } + if c.low < lo.1 { lo = (i, c.low); } + if c.low <= hi.1 * (1.0 - f) && hi.0 < i { + out.push(Swing { index: hi.0, is_high: true, price: hi.1, confirmed_at: i }); + dir = Some(false); + lo = (i, c.low); + } else if c.high >= lo.1 * (1.0 + f) && lo.0 < i { + out.push(Swing { index: lo.0, is_high: false, price: lo.1, confirmed_at: i }); + dir = Some(true); + hi = (i, c.high); + } + } + Some(true) => { + if c.high > hi.1 { + hi = (i, c.high); + } else if c.low <= hi.1 * (1.0 - f) { + out.push(Swing { index: hi.0, is_high: true, price: hi.1, confirmed_at: i }); + dir = Some(false); + lo = (i, c.low); + } + } + Some(false) => { + if c.low < lo.1 { + lo = (i, c.low); + } else if c.high >= lo.1 * (1.0 + f) { + out.push(Swing { index: lo.0, is_high: false, price: lo.1, confirmed_at: i }); + dir = Some(true); + hi = (i, c.high); + } + } + } + } + out +} + +/// Indicator extreme (min for lows, max for highs) within +-`slack` bars of `idx`. +fn indicator_extreme(ind: &[Option], idx: usize, is_high: bool, slack: usize) -> Option<(usize, f64)> { + let lo = idx.saturating_sub(slack); + let hi = (idx + slack).min(ind.len() - 1); + (lo..=hi).filter_map(|j| ind[j].map(|v| (j, v))).reduce(|a, b| { + if (b.1 > a.1) == is_high && b.1 != a.1 { b } else { a } + }) +} + +/// Divergences between price swings and an indicator, using consecutive swings of the +/// same kind (low->low, high->high): +/// regular bullish: price lower low, indicator higher low (reversal up) +/// regular bearish: price higher high, indicator lower high (reversal down) +/// hidden bullish: price higher low, indicator lower low (uptrend continues) +/// hidden bearish: price lower high, indicator higher high (downtrend continues) +pub fn divergences( + swings: &[Swing], + ind: &[Option], + name: &'static str, +) -> Vec { + let mut out = Vec::new(); + for is_high in [false, true] { + let same: Vec<&Swing> = swings.iter().filter(|s| s.is_high == is_high).collect(); + for w in same.windows(2) { + let (a, b) = (w[0], w[1]); + let (Some((ja, ia)), Some((jb, ib))) = ( + indicator_extreme(ind, a.index, is_high, 2), + indicator_extreme(ind, b.index, is_high, 2), + ) else { continue }; + let (price_up, ind_up) = (b.price > a.price, ib > ia); + if price_up == ind_up || b.price == a.price || ib == ia { + continue; + } + // lows: price down & ind up is regular; highs: price up & ind down is regular. + let regular = if is_high { price_up } else { !price_up }; + out.push(Divergence { + kind: if is_high { "bearish" } else { "bullish" }, + class: if regular { "regular" } else { "hidden" }, + indicator: name, + i1: a.index, i2: b.index, p1: a.price, p2: b.price, + j1: ja, j2: jb, confirmed: b.confirmed_at, + }); + } + } + out.sort_by_key(|d| d.confirmed); + out +} + +/// Rough forward-return summary per (class, kind, indicator): count, then for each +/// horizon the mean close-to-close return after the confirmation bar and the share of +/// signals that moved in the signal's direction. +pub fn forward_stats(candles: &[Candle], divs: &[Divergence], horizons: &[usize]) -> String { + use std::collections::BTreeMap; + let mut groups: BTreeMap<(&str, &str, &str), Vec<&Divergence>> = BTreeMap::new(); + for d in divs { + groups.entry((d.class, d.kind, d.indicator)).or_default().push(d); + } + let mut out = String::new(); + for ((class, kind, ind), ds) in groups { + out += &format!("{class:8} {kind:8} {ind:4} n={:<3}", ds.len()); + for &h in horizons { + let rets: Vec = ds + .iter() + .filter(|d| d.confirmed + h < candles.len()) + .map(|d| { + let r = candles[d.confirmed + h].close / candles[d.confirmed].close - 1.0; + if kind == "bullish" { r } else { -r } // positive = moved the signalled way + }) + .collect(); + if rets.is_empty() { + out += &format!(" +{h}d: n/a"); + } else { + let mean = rets.iter().sum::() / rets.len() as f64 * 100.0; + let win = rets.iter().filter(|&&r| r > 0.0).count() as f64 / rets.len() as f64 * 100.0; + out += &format!(" +{h}d: {mean:+.2}% win {win:.0}% (n={})", rets.len()); + } + } + out.push('\n'); + } + out +} + +#[cfg(test)] +mod tests { + use super::*; + + fn flat(closes: &[f64]) -> Vec { + closes + .iter() + .map(|&c| Candle { date: "2024-01-01".into(), open: c, high: c, low: c, close: c, volume: 1.0 }) + .collect() + } + + const PRICES: [f64; 9] = [100.0, 95.0, 90.0, 95.0, 100.0, 97.0, 95.0, 100.0, 105.0]; + + #[test] + fn zigzag_finds_confirmed_swings() { + let sw = zigzag(&flat(&PRICES), 5.0); + let lows: Vec<_> = sw.iter().filter(|s| !s.is_high).map(|s| (s.index, s.confirmed_at)).collect(); + assert_eq!(lows, vec![(2, 3), (6, 7)]); + assert!(sw.iter().any(|s| s.is_high && s.index == 4)); + } + + #[test] + fn hidden_bullish_not_regular() { + // price: lows 90 then 95 (higher low); indicator lows 30 then 20 (lower low) + let sw = zigzag(&flat(&PRICES), 5.0); + let mut ind = vec![Some(50.0); PRICES.len()]; + ind[2] = Some(30.0); + ind[6] = Some(20.0); + let d = divergences(&sw, &ind, "RSI"); + assert_eq!(d.len(), 1); + assert_eq!((d[0].class, d[0].kind, d[0].i1, d[0].i2), ("hidden", "bullish", 2, 6)); + } + + #[test] + fn regular_bullish() { + // price: lower low needs 90 then 85 + let p = [100.0, 95.0, 90.0, 95.0, 100.0, 95.0, 85.0, 90.0, 95.0]; + let sw = zigzag(&flat(&p), 5.0); + let mut ind = vec![Some(50.0); p.len()]; + ind[2] = Some(20.0); + ind[6] = Some(30.0); + let d = divergences(&sw, &ind, "K"); + assert_eq!(d.len(), 1); + assert_eq!((d[0].class, d[0].kind), ("regular", "bullish")); + } + + #[test] + fn hidden_bearish() { + // price highs 100 then 95 (lower high); indicator highs 60 then 80 (higher high) + let p = [90.0, 95.0, 100.0, 95.0, 90.0, 92.0, 95.0, 90.0, 85.0]; + let sw = zigzag(&flat(&p), 5.0); + let mut ind = vec![Some(50.0); p.len()]; + ind[2] = Some(60.0); + ind[6] = Some(80.0); + let d = divergences(&sw, &ind, "RSI"); + assert_eq!(d.len(), 1); + assert_eq!((d[0].class, d[0].kind), ("hidden", "bearish")); + } +} + -- cgit v1.2.3-18-g5258