#indicator #technical-analysis

rust_ti

An advanced and configurable technical indicators library with over 70 unique indicators for stock market technical analysis

8 stable releases

new 1.3.0 Jul 22, 2024
1.2.1 Jul 19, 2024
1.1.0 Jun 27, 2024
0.0.2 Jun 14, 2024

#58 in Math

Download history 213/week @ 2024-06-08 262/week @ 2024-06-15 620/week @ 2024-06-22 53/week @ 2024-06-29 152/week @ 2024-07-06 123/week @ 2024-07-13

960 downloads per month

MIT license

555KB
10K SLoC

RustTI

A configurable technical indicators Rust library for all of your technical analysis needs.

Everything is configurable in the RustTI functions.

Many of the functions accept parameters that allow the caller to move the technical indicators away from their default behaviour. For example, if a TI uses the mean to calculate the indicator, it can be told to use the median, or mode instead.

For this reason, RustTI is a more advanced Technical Inidcators package, and users should have some knowledge of the indicators they plan on using.

Install

Run the following Cargo command in your project directory:

cargo add rust_ti

Or add the following line to your Cargo.toml:

rust_ti = "1.2.0" 

Documentation

Documentation can be found here: rust_ti

Examples

Simple Example

Single example, where the moving average needs to be calculated for the entire vector

use rust_ti;

let prices = vec![100.2, 100.46, 100.53, 100.38, 100.19];

let ma = rust_ti::moving_average::single::moving_average(
    &prices,
    &rust_ti::MovingAverageType::Simple
);
assert_eq!(100.352, ma);

let sma = rust_ti::moving_average::single::moving_average(
    &prices,
    &rust_ti::MovingAverageType::Smoothed
);
assert_eq!(100.34228938600666, sma);

let ema = rust_ti::moving_average::single::moving_average(
    &prices,
    &rust_ti::MovingAverageType::Exponential
);
assert_eq!(100.32810426540287, ema);

// The values used in the example for the personalised moving average are random.
// If using the PMA, it is recommended to look into how the moving averages are calculated before using values.
let pma = rust_ti::moving_average::single::moving_average(
    &prices,
    &rust_ti::MovingAverageType::Personalised(&5.0, &3.0)
);
assert_eq!(100.27405995388162, personalised_ma);

Bulk example, where the moving average is calculated for a period.

Behind the scenes, the function will be calculating the moving average for a period of 3. The slices [100.2, 100.46, 100.53], [100.46, 100.53, 100.38], and [100.53, 100.38, 100.19] will be derived from prices. The function will return the moving averages for the 3 periods as a vector.

let prices = vec![100.2, 100.46, 100.53, 100.38, 100.19];
let period: usize = 3;

let ma = rust_ti::moving_average::bulk::moving_average(
    &prices,
    &rust_ti::MovingAverageType::Simple,
    &period
);
assert_eq!(
    vec![100.39666666666666, 100.456666666666666, 100.36666666666667],
    ma
);

let sma = rust_ti::moving_average::bulk::moving_average(
    &prices,
    &rust_ti::MovingAverageType::Smoothed,
    &period
);
assert_eq!(
    vec![100.43842105263158, 100.4442105263158, 100.32157894736842],
    sma
);

let ema = rust_ti::moving_average::bulk::moving_average(
    &prices,
    &rust_ti::MovingAverageType::Exponential,
    &period
);
assert_eq!(
    vec![100.46285714285715, 100.4342857142857, 100.29285714285713],
    pma
);

let pma = rust_ti::moving_average::bulk::moving_average(
    &prices,
    &rust_ti::MovingAverageType::Personalised(&5.0, &3.0),
    &period
);
assert_eq!(
    vec![100.5125581395349, 100.40279069767443, 100.22441860465118],
    pma
);

S&P 500 Example

An example using the Rust TI for the S&P 500 can be found in GitHub

and under examples/main.rs

The code in examples/main.rs can be run by cloning the repo, and running:

cargo build
cargo run --example sp500

Available indicators:

All indicators are grouped and split into modules based on their analysis area.

The modules are split into two sub modules: bulk and single.

Bulk indicators calculate the indicator for a given period and return a vector of the indicator.

Single indicators calculate the indicator for the entire vector and return a single value.

Standard Indicators

Standard indicators are indicators with the configurations hardcoded to meet industry defaults.

  • Simple Moving Average
  • Smoothed Moving Average
  • Exponential Moving Average
  • Bollinger Bands
  • MACD
  • RSI

Basic Indicators

Basic indicators are very simple indicators primarily used by other indicators.

  • Absolute Deviation
  • Log
  • Log Difference
  • Mean
  • Median
  • Mode
  • Standard Deviation
  • Variance
  • Max
  • Min

Candle Indicators

Candle indicators are indicators to be used with candle charts

  • Ichimoku Cloud
  • McGinley Dynamic Bands
  • McGinley Dynamic Envelopes
  • Moving Constant Bands, generic version of Bollinger bansa
  • Moving Constant envelopes, generic version of moving average envelopes
  • Donchian Channels
  • Keltner Channel
  • Supertrend

Chart trends are indicators to be used with charts that show trend direction

  • Break down trends
  • Overall trend
  • Peak trend
  • Peaks
  • Valley trend
  • Valleys

Correlation indicators

Correlation calculate the correlation between two assests

  • Correlate asset prices

Momentum Indicators

Momentum indicators calculate the momentum of price movement

  • Chaikin Oscillator
  • Commodity Channel Index
  • MACD Line
  • McGinley Dynamic Chaikin Oscillator
  • McGinley Dynamic Commodity Channel Index
  • McGinley Dynamic MACD Line
  • Money Flow Index
  • On Balance Volume
  • Rate of Change
  • Relative Strength Index
  • Signal Line
  • Slow Stochastic
  • Slowest Stochastic
  • Stochastic Oscillator
  • Williams %r
  • Percentage-Price Oscillator
  • Chande Momentum Oscillator

Moving Averages

  • McGinley Dynamic
  • Moving Average

Other Indicators

Indicators that don't belong anywhere else

  • Return on Investment
  • True Range
  • Average True Range
  • Internal Bar Strength

Strength Indicators

Strength indicators calculate the strength of price movement

  • Accumulation Distribution
  • Positive Volume Index
  • Negative Volume Index
  • Relative Vigor Index

Trend Indicators

Trend indicators show the trend of price movement

  • Aroon Down
  • Aroon Indicator
  • Aroon Oscillator
  • Aroon Up
  • Parabolic Time Price System
  • Long Parabolic Time Price System
  • Short Parabolic Time Price System
  • Direcational Movement
  • Volume-Price trend
  • True Strength Index

Volatility Indicators

Volatility indicators show how volatile an asset is

  • Ulcer Index
  • Volatility System

Release notes

What's new in v1.3.0?

  • Fixed volume mismatch with on_balance_volume and other functions using volume

Full changelog

No runtime deps