YATA

Yet Another Technical Analysis library

YaTa implements most common technical analysis methods and indicators.

It also provides you an interface to create your own indicators.

Some commonly used methods:

Accumulation-distribution index;
Cross / CrossAbove / CrossUnder;
Derivative (differential)
Highest / Lowest / Highest-Lowest Delta
Hull moving average
Integral (sum)
Linear regression moving average
Momentum
Reverse points
Simple moving average
Weighted moving average
Volume weighted moving average
Exponential moving average family: EMA, DMA, TMA, DEMA, TEMA
Symmetrically weighted moving average

And many others. See all

Some commonly used indicators:

Average Directional Index;
Awesome Oscillator;
Bollinger Bands;
Commodity Channel Index;
Detrended Price Oscillator;
Ease Of Movement;
Elders Force Index;
Envelopes;
Fisher Transform;
Ichimoku Cloud;
Keltner Channels;
Moving Average Convergence Divergence (MACD);
Money Flow Index;
Price Channel Strategy;
Relative Strength Index (RSI);
Stochastic Oscillator;
Trix;
Woodies CCI;

And many others. See all

Method usage example

``` use yata::prelude::*; use yata::methods::EMA;

// EMA of length=3 let mut ema = EMA::new(3, 3.0);

ema.next(3.0); ema.next(6.0);

asserteq!(ema.next(9.0), 6.75); asserteq!(ema.next(12.0), 9.375); ```

Indicator usage example

``` use yata::helpers::{RandomCandles, RegularMethods}; use yata::indicators::MACD; use yata::prelude::*;

let mut candles = RandomCandles::new(); let mut macd = MACD::default(); macd.period3 = 4; // setting signal period MA to 4

macd.method1 = "sma".into(); // one way of defining methods inside indicators

macd.method3 = RegularMethods::TEMA; // another way of defining methods inside indicators

let mut macd = macd.init(candles.first());

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: 4 ns/iter (+/- 0) test bench_adi_w100 ... bench: 4 ns/iter (+/- 0) test bench_conv_w10 ... bench: 21 ns/iter (+/- 0) test bench_conv_w100 ... bench: 158 ns/iter (+/- 5) test bench_cross ... bench: 3 ns/iter (+/- 0) test bench_cross_above ... bench: 2 ns/iter (+/- 0) test bench_cross_under ... bench: 4 ns/iter (+/- 0) test bench_dema_w10 ... bench: 9 ns/iter (+/- 0) test bench_dema_w100 ... bench: 9 ns/iter (+/- 0) test bench_derivative_w10 ... bench: 4 ns/iter (+/- 0) test bench_derivative_w100 ... bench: 4 ns/iter (+/- 0) test bench_dma_w10 ... bench: 7 ns/iter (+/- 0) test bench_dma_w100 ... bench: 7 ns/iter (+/- 0) test bench_ema_w10 ... bench: 7 ns/iter (+/- 0) test bench_ema_w100 ... bench: 7 ns/iter (+/- 0) test bench_highest_index_w10 ... bench: 8 ns/iter (+/- 0) test bench_highest_index_w100 ... bench: 9 ns/iter (+/- 0) test bench_highest_lowest_delta_w10 ... bench: 13 ns/iter (+/- 0) test bench_highest_lowest_delta_w100 ... bench: 13 ns/iter (+/- 0) test bench_highest_w10 ... bench: 8 ns/iter (+/- 0) test bench_highest_w100 ... bench: 9 ns/iter (+/- 0) test bench_hma_w10 ... bench: 20 ns/iter (+/- 0) test bench_hma_w100 ... bench: 20 ns/iter (+/- 0) test bench_integral_w10 ... bench: 10 ns/iter (+/- 0) test bench_integral_w100 ... bench: 10 ns/iter (+/- 0) test bench_lin_reg_w10 ... bench: 11 ns/iter (+/- 0) test bench_lin_reg_w100 ... bench: 11 ns/iter (+/- 0) test bench_linear_volatility_w10 ... bench: 5 ns/iter (+/- 0) test bench_linear_volatility_w100 ... bench: 5 ns/iter (+/- 0) test bench_lowest_index_w10 ... bench: 8 ns/iter (+/- 0) test bench_lowest_index_w100 ... bench: 9 ns/iter (+/- 0) test bench_lowest_w10 ... bench: 8 ns/iter (+/- 0) test bench_lowest_w100 ... bench: 9 ns/iter (+/- 0) test bench_momentum_w10 ... bench: 4 ns/iter (+/- 0) test bench_momentum_w100 ... bench: 4 ns/iter (+/- 0) test bench_past_w10 ... bench: 4 ns/iter (+/- 0) test bench_past_w100 ... bench: 5 ns/iter (+/- 0) test bench_rate_of_change_w10 ... bench: 4 ns/iter (+/- 0) test bench_rate_of_change_w100 ... bench: 4 ns/iter (+/- 0) test bench_reverse_high_w10 ... bench: 11 ns/iter (+/- 0) test bench_reverse_high_w100 ... bench: 10 ns/iter (+/- 0) test bench_reverse_low_w10 ... bench: 11 ns/iter (+/- 0) test bench_reverse_low_w100 ... bench: 10 ns/iter (+/- 0) test bench_reverse_signal_w10 ... bench: 22 ns/iter (+/- 0) test bench_reverse_signal_w100 ... bench: 19 ns/iter (+/- 0) test bench_rma_w10 ... bench: 7 ns/iter (+/- 0) test bench_rma_w100 ... bench: 7 ns/iter (+/- 3) test bench_sma_w10 ... bench: 2 ns/iter (+/- 0) test bench_sma_w100 ... bench: 2 ns/iter (+/- 0) test bench_smm_w10 ... bench: 13 ns/iter (+/- 0) test bench_smm_w100 ... bench: 71 ns/iter (+/- 3) test bench_st_dev_w10 ... bench: 6 ns/iter (+/- 0) test bench_st_dev_w100 ... bench: 6 ns/iter (+/- 0) test bench_swma_w10 ... bench: 46 ns/iter (+/- 26) test bench_swma_w100 ... bench: 354 ns/iter (+/- 1) test bench_tema_w10 ... bench: 11 ns/iter (+/- 0) test bench_tema_w100 ... bench: 11 ns/iter (+/- 0) test bench_tma_w10 ... bench: 8 ns/iter (+/- 0) test bench_tma_w100 ... bench: 8 ns/iter (+/- 0) test bench_trima_w10 ... bench: 8 ns/iter (+/- 0) test bench_trima_w100 ... bench: 8 ns/iter (+/- 0) test bench_vwma_w10 ... bench: 8 ns/iter (+/- 0) test bench_vwma_w100 ... bench: 8 ns/iter (+/- 0) test bench_wma_w10 ... bench: 8 ns/iter (+/- 0) test bench_wma_w100 ... bench: 8 ns/iter (+/- 0)

Current usafe status

Currently there is no unsafe code in the crate.

Rust version

YaTa library supports Rust stable except two things:

You can't run benchmarks with it;
cargo doc will generate docs without cross-links;

Suggestions

You are welcome to give any suggestions 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