path: root/src/signals.rs

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<f64>], d: &[Option<f64>]) -> Vec<Cross> {
    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<Swing> {
    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<bool> = 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<f64>], 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<f64>],
    name: &'static str,
) -> Vec<Divergence> {
    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<f64> = 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::<f64>() / 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<Candle> {
        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"));
    }
}