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https://github.com/amv-dev/yata
Yet Another Technical Analysis library [for Rust]
https://github.com/amv-dev/yata
indicators moving-average technical-analysis trading trading-strategies
Last synced: about 2 months ago
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Yet Another Technical Analysis library [for Rust]
- Host: GitHub
- URL: https://github.com/amv-dev/yata
- Owner: amv-dev
- License: apache-2.0
- Created: 2020-09-17T20:35:28.000Z (almost 4 years ago)
- Default Branch: master
- Last Pushed: 2024-03-07T19:06:35.000Z (4 months ago)
- Last Synced: 2024-04-09T07:10:04.060Z (3 months ago)
- Topics: indicators, moving-average, technical-analysis, trading, trading-strategies
- Language: Rust
- Homepage:
- Size: 670 KB
- Stars: 283
- Watchers: 9
- Forks: 43
- Open Issues: 7
-
Metadata Files:
- Readme: README.md
- Funding: .github/FUNDING.yml
- License: LICENSE
Lists
- awesome-rust - amv-dev/yata - dev/yata/Rust?branch=master)](https://github.com/amv-dev/yata/actions?query=workflow%3ARust) (Libraries / Data processing)
- awesome-rust - amv-dev/yata - dev/yata/Rust?branch=master)](https://github.com/amv-dev/yata/actions?query=workflow%3ARust) (Libraries / Data processing)
- awesome-stars - amv-dev/yata - Yet Another Technical Analysis library [for Rust] (Rust)
- awesome-rust-cn - amv-dev/yata
- awesome-rust - amv-dev/yata - dev/yata/Rust?branch=master)](https://github.com/amv-dev/yata/actions?query=workflow%3ARust) (Libraries / Data processing)
README
# YATA
## Yet Another Technical Analysis library
[](https://crates.io/crates/yata)
[](https://docs.rs/yata/latest/yata/)
[](https://github.com/amv-dev/yata/blob/master/LICENSE)
[](https://github.com/amv-dev/yata/issues)
[](https://www.rust-lang.org/)
YaTa implements most common technical analysis [methods](https://docs.rs/yata/latest/yata/methods/index.html#structs)
and [indicators](https://docs.rs/yata/latest/yata/indicators/index.html#structs).
It also provides you an interface to create your own indicators.
```toml
[dependencies]
yata = "0.6"
```
## Available **moving averages**:
- [Simple moving average (SMA)](https://docs.rs/yata/latest/yata/methods/struct.SMA.html);
- [Weighted moving average (WMA)](https://docs.rs/yata/latest/yata/methods/struct.WMA.html);
- Exponential moving average family: [EMA](https://docs.rs/yata/latest/yata/methods/struct.EMA.html),
[DMA](https://docs.rs/yata/latest/yata/methods/struct.DMA.html), [TMA](https://docs.rs/yata/latest/yata/methods/struct.TMA.html),
[DEMA](https://docs.rs/yata/latest/yata/methods/struct.DEMA.html), [TEMA](https://docs.rs/yata/latest/yata/methods/struct.TEMA.html);
- [Simple moving median (SMM)](https://docs.rs/yata/latest/yata/methods/struct.SMM.html);
- [Linear regression moving average (LSMA)](https://docs.rs/yata/latest/yata/methods/struct.LinReg.html);
- [Volume weighted moving average (VWMA)](https://docs.rs/yata/latest/yata/methods/struct.VWMA.html);
- [Symmetrically weighted moving average (SWMA)](https://docs.rs/yata/latest/yata/methods/struct.SWMA.html);
- [Hull moving average (HMA)](https://docs.rs/yata/latest/yata/methods/struct.HMA.html);
- [Running Moving Average (RMA)](https://docs.rs/yata/latest/yata/methods/struct.RMA.html);
- [Triangular Moving Average (TRIMA)](https://docs.rs/yata/latest/yata/methods/struct.TRIMA.html);
- [Wilder’s Smoothing Average (WSMA)](https://docs.rs/yata/latest/yata/methods/struct.WSMA.html);
- [Kaufman Adaptive Moving Average (KAMA)](https://docs.rs/yata/latest/yata/indicators/struct.Kaufman.html);
- [Convolution Moving Average](https://docs.rs/yata/latest/yata/methods/struct.Conv.html);
- [Variable Index Dynamic Average (Vidya)](https://docs.rs/yata/latest/yata/methods/struct.Vidya.html);
[See all](https://docs.rs/yata/latest/yata/methods/index.html#structs)
## Timeseries conversion
- [Timeframe Collapsing](https://docs.rs/yata/latest/yata/methods/struct.CollapseTimeframe.html);
- [Heikin Ashi](https://docs.rs/yata/latest/yata/methods/struct.HeikinAshi.html);
- [Renko](https://docs.rs/yata/latest/yata/methods/struct.Renko.html);
## Some commonly used **methods**:
- [Accumulation-distribution index](https://docs.rs/yata/latest/yata/methods/struct.ADI.html);
- [Commodity channel index](https://docs.rs/yata/latest/yata/methods/struct.CCI.html);
- [Cross](https://docs.rs/yata/latest/yata/methods/struct.Cross.html) / [CrossAbove](https://docs.rs/yata/latest/yata/methods/struct.CrossAbove.html) / [CrossUnder](https://docs.rs/yata/latest/yata/methods/struct.CrossUnder.html);
- [Derivative](https://docs.rs/yata/latest/yata/methods/struct.Derivative.html) (differential);
- [Highest](https://docs.rs/yata/latest/yata/methods/struct.Highest.html) / [Lowest](https://docs.rs/yata/latest/yata/methods/struct.Lowest.html) / [Highest-Lowest Delta](https://docs.rs/yata/latest/yata/methods/struct.HighestLowestDelta.html);
- [Highest Index](https://docs.rs/yata/latest/yata/methods/struct.HighestIndex.html) / [Lowest Index](https://docs.rs/yata/latest/yata/methods/struct.LowestIndex.html);
- [Integral](https://docs.rs/yata/latest/yata/methods/struct.Integral.html) (sum);
- [Mean absolute deviation](https://docs.rs/yata/latest/yata/methods/struct.MeanAbsDev.html);
- [Median absolute deviation](https://docs.rs/yata/latest/yata/methods/struct.MedianAbsDev.html);
- [Momentum](https://docs.rs/yata/latest/yata/methods/struct.Momentum.html);
- [Past](https://docs.rs/yata/latest/yata/methods/struct.Past.html);
- [Rate Of Change](https://docs.rs/yata/latest/yata/methods/struct.RateOfChange.html) (ROC);
- [Reversal points](https://docs.rs/yata/latest/yata/methods/struct.ReversalSignal.html);
- [Standard Deviation](https://docs.rs/yata/latest/yata/methods/struct.StDev.html);
- [True Range](https://docs.rs/yata/latest/yata/methods/struct.TR.html);
- [True Strength Index](https://docs.rs/yata/latest/yata/methods/struct.TSI.html);
- [Volatility](https://docs.rs/yata/latest/yata/methods/struct.LinearVolatility.html);
[See all](https://docs.rs/yata/latest/yata/methods/index.html#structs)
## Some commonly used **indicators**:
- [Average Directional Index](https://docs.rs/yata/latest/yata/indicators/struct.AverageDirectionalIndex.html);
- [Awesome Oscillator](https://docs.rs/yata/latest/yata/indicators/struct.AwesomeOscillator.html);
- [Bollinger Bands](https://docs.rs/yata/latest/yata/indicators/struct.BollingerBands.html);
- [Commodity Channel Index](https://docs.rs/yata/latest/yata/indicators/struct.CommodityChannelIndex.html);
- [Detrended Price Oscillator](https://docs.rs/yata/latest/yata/indicators/struct.DetrendedPriceOscillator.html);
- [Ease Of Movement](https://docs.rs/yata/latest/yata/indicators/struct.EaseOfMovement.html);
- [Elders Force Index](https://docs.rs/yata/latest/yata/indicators/struct.EldersForceIndex.html);
- [Envelopes](https://docs.rs/yata/latest/yata/indicators/struct.Envelopes.html);
- [Fisher Transform](https://docs.rs/yata/latest/yata/indicators/struct.FisherTransform.html);
- [Ichimoku Cloud](https://docs.rs/yata/latest/yata/indicators/struct.IchimokuCloud.html);
- [Keltner Channels](https://docs.rs/yata/latest/yata/indicators/struct.KeltnerChannel.html);
- [Moving Average Convergence Divergence (MACD)](https://docs.rs/yata/latest/yata/indicators/struct.MACD.html);
- [Money Flow Index](https://docs.rs/yata/latest/yata/indicators/struct.MoneyFlowIndex.html);
- [Price Channel Strategy](https://docs.rs/yata/latest/yata/indicators/struct.PriceChannelStrategy.html);
- [Relative Strength Index (RSI)](https://docs.rs/yata/latest/yata/indicators/struct.RelativeStrengthIndex.html);
- [Stochastic Oscillator](https://docs.rs/yata/latest/yata/indicators/struct.StochasticOscillator.html);
- [Trix](https://docs.rs/yata/latest/yata/indicators/struct.Trix.html);
- [Woodies CCI](https://docs.rs/yata/latest/yata/indicators/struct.WoodiesCCI.html);
And many others. [See all](https://docs.rs/yata/latest/yata/indicators/index.html#structs)
## Method usage example
```rust
use yata::prelude::*;
use yata::methods::EMA;
// EMA of length=3
let mut ema = EMA::new(3, &3.0).unwrap();
ema.next(&3.0);
ema.next(&6.0);
assert_eq!(ema.next(&9.0), 6.75);
assert_eq!(ema.next(&12.0), 9.375);
```
## Indicator usage example
```rust
use yata::helpers::{RandomCandles, MA};
use yata::indicators::MACD;
use yata::prelude::*;
let mut candles = RandomCandles::new();
let mut macd = MACD::default();
macd.method1 = "sma-4".parse().unwrap(); // one way of defining methods inside indicators
macd.signal = MA::TEMA(5); // another way of defining methods inside indicators
let mut macd = macd.init(&candles.first()).unwrap();
for candle in candles.take(10) {
let result = macd.next(&candle);
println!("{:?}", result);
}
```
# Benchmarks
## Methods
- **\_w10** - method with window `length`=10
- **\_w100** - method with window `length`=100
```
test bench_adi_w10 ... bench: 7 ns/iter (+/- 0)
test bench_adi_w100 ... bench: 7 ns/iter (+/- 0)
test bench_cci_w10 ... bench: 16 ns/iter (+/- 0)
test bench_cci_w100 ... bench: 133 ns/iter (+/- 8)
test bench_conv_w10 ... bench: 23 ns/iter (+/- 2)
test bench_conv_w100 ... bench: 197 ns/iter (+/- 0)
test bench_cross ... bench: 5 ns/iter (+/- 0)
test bench_cross_above ... bench: 3 ns/iter (+/- 0)
test bench_cross_under ... bench: 3 ns/iter (+/- 0)
test bench_dema_w10 ... bench: 7 ns/iter (+/- 0)
test bench_dema_w100 ... bench: 6 ns/iter (+/- 0)
test bench_derivative_w10 ... bench: 4 ns/iter (+/- 0)
test bench_derivative_w100 ... bench: 3 ns/iter (+/- 0)
test bench_dma_w10 ... bench: 5 ns/iter (+/- 0)
test bench_dma_w100 ... bench: 5 ns/iter (+/- 0)
test bench_ema_w10 ... bench: 5 ns/iter (+/- 0)
test bench_ema_w100 ... bench: 5 ns/iter (+/- 0)
test bench_heikin_ashi ... bench: 4 ns/iter (+/- 0)
test bench_highest_index_w10 ... bench: 6 ns/iter (+/- 0)
test bench_highest_index_w100 ... bench: 6 ns/iter (+/- 0)
test bench_highest_lowest_delta_w10 ... bench: 10 ns/iter (+/- 0)
test bench_highest_lowest_delta_w100 ... bench: 10 ns/iter (+/- 0)
test bench_highest_w10 ... bench: 6 ns/iter (+/- 0)
test bench_highest_w100 ... bench: 7 ns/iter (+/- 0)
test bench_hma_w10 ... bench: 14 ns/iter (+/- 0)
test bench_hma_w100 ... bench: 15 ns/iter (+/- 0)
test bench_integral_w10 ... bench: 7 ns/iter (+/- 0)
test bench_integral_w100 ... bench: 7 ns/iter (+/- 0)
test bench_lin_reg_w10 ... bench: 8 ns/iter (+/- 1)
test bench_lin_reg_w100 ... bench: 8 ns/iter (+/- 0)
test bench_linear_volatility_w10 ... bench: 4 ns/iter (+/- 0)
test bench_linear_volatility_w100 ... bench: 4 ns/iter (+/- 0)
test bench_lowest_index_w10 ... bench: 6 ns/iter (+/- 0)
test bench_lowest_index_w100 ... bench: 7 ns/iter (+/- 0)
test bench_lowest_w10 ... bench: 6 ns/iter (+/- 0)
test bench_lowest_w100 ... bench: 6 ns/iter (+/- 0)
test bench_mean_abs_dev_w10 ... bench: 11 ns/iter (+/- 0)
test bench_mean_abs_dev_w100 ... bench: 123 ns/iter (+/- 4)
test bench_median_abs_dev_w10 ... bench: 31 ns/iter (+/- 7)
test bench_median_abs_dev_w100 ... bench: 190 ns/iter (+/- 8)
test bench_momentum_w10 ... bench: 3 ns/iter (+/- 0)
test bench_momentum_w100 ... bench: 3 ns/iter (+/- 0)
test bench_past_w10 ... bench: 3 ns/iter (+/- 0)
test bench_past_w100 ... bench: 3 ns/iter (+/- 0)
test bench_rate_of_change_w10 ... bench: 3 ns/iter (+/- 0)
test bench_rate_of_change_w100 ... bench: 3 ns/iter (+/- 0)
test bench_reverse_high_w10 ... bench: 5 ns/iter (+/- 0)
test bench_reverse_high_w100 ... bench: 5 ns/iter (+/- 0)
test bench_reverse_low_w10 ... bench: 5 ns/iter (+/- 0)
test bench_reverse_low_w100 ... bench: 5 ns/iter (+/- 0)
test bench_reverse_signal_w10 ... bench: 9 ns/iter (+/- 0)
test bench_reverse_signal_w100 ... bench: 9 ns/iter (+/- 0)
test bench_rma_w10 ... bench: 4 ns/iter (+/- 0)
test bench_rma_w100 ... bench: 4 ns/iter (+/- 0)
test bench_sma_w10 ... bench: 3 ns/iter (+/- 0)
test bench_sma_w100 ... bench: 3 ns/iter (+/- 0)
test bench_smm_w10 ... bench: 17 ns/iter (+/- 1)
test bench_smm_w100 ... bench: 35 ns/iter (+/- 2)
test bench_st_dev_w10 ... bench: 7 ns/iter (+/- 0)
test bench_st_dev_w100 ... bench: 7 ns/iter (+/- 0)
test bench_swma_w10 ... bench: 8 ns/iter (+/- 0)
test bench_swma_w100 ... bench: 8 ns/iter (+/- 0)
test bench_tema_w10 ... bench: 8 ns/iter (+/- 0)
test bench_tema_w100 ... bench: 7 ns/iter (+/- 0)
test bench_tma_w10 ... bench: 5 ns/iter (+/- 0)
test bench_tma_w100 ... bench: 5 ns/iter (+/- 1)
test bench_trima_w10 ... bench: 5 ns/iter (+/- 0)
test bench_trima_w100 ... bench: 5 ns/iter (+/- 1)
test bench_tsi_w10 ... bench: 9 ns/iter (+/- 0)
test bench_tsi_w100 ... bench: 10 ns/iter (+/- 0)
test bench_vidya_w10 ... bench: 8 ns/iter (+/- 1)
test bench_vidya_w100 ... bench: 8 ns/iter (+/- 0)
test bench_vwma_w10 ... bench: 5 ns/iter (+/- 0)
test bench_vwma_w100 ... bench: 5 ns/iter (+/- 0)
test bench_wma_w10 ... bench: 6 ns/iter (+/- 1)
test bench_wma_w100 ... bench: 6 ns/iter (+/- 0)
```
## Indicators
```
test bench_awesome_oscillator ... bench: 36 ns/iter (+/- 0)
test bench_bollinger_bands ... bench: 53 ns/iter (+/- 2)
test bench_chaikin_money_flow ... bench: 22 ns/iter (+/- 0)
test bench_chaikin_oscillator ... bench: 23 ns/iter (+/- 0)
test bench_chande_kroll_stop ... bench: 58 ns/iter (+/- 0)
test bench_chande_momentum_oscillator ... bench: 25 ns/iter (+/- 0)
test bench_commodity_channel_index ... bench: 38 ns/iter (+/- 0)
test bench_coppock_curve ... bench: 38 ns/iter (+/- 2)
test bench_detrended_price_oscillator ... bench: 10 ns/iter (+/- 0)
test bench_ease_of_movement ... bench: 20 ns/iter (+/- 0)
test bench_elders_force_index ... bench: 17 ns/iter (+/- 1)
test bench_envelopes ... bench: 14 ns/iter (+/- 0)
test bench_fisher_transform ... bench: 125 ns/iter (+/- 13)
test bench_hull_moving_average ... bench: 28 ns/iter (+/- 0)
test bench_ichimoku_cloud ... bench: 65 ns/iter (+/- 7)
test bench_indicator_aroon ... bench: 46 ns/iter (+/- 12)
test bench_indicator_average_directional_index ... bench: 49 ns/iter (+/- 1)
test bench_kaufman ... bench: 34 ns/iter (+/- 3)
test bench_keltner_channel ... bench: 26 ns/iter (+/- 2)
test bench_klinger_volume_oscillator ... bench: 40 ns/iter (+/- 1)
test bench_know_sure_thing ... bench: 41 ns/iter (+/- 0)
test bench_macd ... bench: 23 ns/iter (+/- 0)
test bench_momentum_index ... bench: 13 ns/iter (+/- 0)
test bench_money_flow_index ... bench: 59 ns/iter (+/- 12)
test bench_parabolic_sar ... bench: 17 ns/iter (+/- 2)
test bench_pivot_reversal_strategy ... bench: 30 ns/iter (+/- 4)
test bench_relative_strength_index ... bench: 35 ns/iter (+/- 1)
test bench_relative_vigor_index ... bench: 59 ns/iter (+/- 0)
test bench_smi_ergodic_indicator ... bench: 30 ns/iter (+/- 2)
test bench_stochastic_oscillator ... bench: 48 ns/iter (+/- 4)
test bench_trend_strength_index ... bench: 46 ns/iter (+/- 2)
test bench_trix ... bench: 32 ns/iter (+/- 10)
test bench_true_strength_index ... bench: 38 ns/iter (+/- 16)
test bench_woodies_cci ... bench: 68 ns/iter (+/- 6)
```
# Current unsafe status
By default, there is no `unsafe` code in the crate. But you can optionally enable `unsafe_performance` feature throw you `Cargo.toml` or by `--feature` flag in your CLI.
`unsafe_performance` enables some unsafe code blocks, most of them are unsafe access to a vector's elements. For some methods it may increase performance by ~5-10%.
# Features
- `serde` - enables [`serde`](https://crates.io/crates/serde) crate support;
- `period_type_u16` - sets `PeriodType` to `u16`;
- `period_type_u32` - sets `PeriodType` to `u32`;
- `period_type_u64` - sets `PeriodType` to `u64`;
- `value_type_f32` - sets `ValueType` to `f32`;
- `unsafe_performance` - enables optional unsafe code blocks, which may increase performance;
# Rust version
YaTa library supports **Rust stable** except that you can't run benchmarks with it.
# Suggestions
You are welcome to [give any suggestions](https://github.com/amv-dev/yata/issues) about implementing new indicators and methods.
# Say thanks
If you like this library, and you want to say thanks, you can do it also by donating to bitcoin address `1P3gTnaTK9LKSYx2nETrKe2zjP4HMkdhvK`