Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Second/subsequent iterations of EfficiencyRatio is NaN when price is stationary. #73

Open
nathanfranke opened this issue Aug 29, 2023 · 0 comments

Comments

@nathanfranke
Copy link

nathanfranke commented Aug 29, 2023

let mut ker = EfficiencyRatio::new(14)?;
println!("1  {}", ker.next(1.69));
println!("2  {}", ker.next(1.69));
println!("3  {}", ker.next(1.70));
println!("4  {}", ker.next(1.70));
println!("5  {}", ker.next(1.69));

Output:

1  1
2  NaN
3  1
4  1
5  0

If you keep passing 1.69, it subsequently outputs NaN.

ad hoc workaround

// https://github.com/greyblake/ta-rs/issues/73
struct FixEfficiencyRatio {
    er: EfficiencyRatio,
}
impl FixEfficiencyRatio {
    fn new(period: usize) -> ta::errors::Result<Self> {
        Ok(Self {
            er: EfficiencyRatio::new(period)?,
        })
    }
}
impl<T: Close> ta::Next<&T> for FixEfficiencyRatio {
    type Output = f64;
    fn next(&mut self, input: &T) -> f64 {
        match self.er.next(input) {
            v if v.is_nan() => 1.0,
            v => v,
        }
    }
}

KER implementation could be simplified with VecDeque.

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

1 participant