fix: sync 28+ Python default params with C# constructors

python/quantalib/filters.py

@@ -46,7 +46,7 @@ __all__ = [
 ]
 
 
-def gauss(close: object, sigma: float = 6.0, offset: int = 0, **kwargs) -> object:
+def gauss(close: object, sigma: float = 1.0, offset: int = 0, **kwargs) -> object:
     """Gaussian Filter."""
     sigma = float(sigma)
     offset = int(offset)
@@ -79,7 +79,7 @@ def hp(close: object, lam: float = 1600.0, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, "HP", "filters", offset)
 
 
-def hpf(close: object, length: int = 14, offset: int = 0, **kwargs) -> object:
+def hpf(close: object, length: int = 40, offset: int = 0, **kwargs) -> object:
     """High-Pass Filter."""
     length = int(length)
     offset = int(offset)
@@ -90,7 +90,7 @@ def hpf(close: object, length: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"HPF_{length}", "filters", offset)
 
 
-def kalman(close: object, q: float = 0.3, r: float = 1.0, offset: int = 0, **kwargs) -> object:
+def kalman(close: object, q: float = 0.01, r: float = 0.1, offset: int = 0, **kwargs) -> object:
     """Kalman Filter."""
     q = float(q)
     r = float(r)
@@ -102,7 +102,7 @@ def kalman(close: object, q: float = 0.3, r: float = 1.0, offset: int = 0, **kwa
     return _wrap(output, idx, "KALMAN", "filters", offset)
 
 
-def laguerre(close: object, gamma: float = 0.7, offset: int = 0, **kwargs) -> object:
+def laguerre(close: object, gamma: float = 0.8, offset: int = 0, **kwargs) -> object:
     """Laguerre Filter."""
     gamma = float(gamma)
     offset = int(offset)
@@ -113,7 +113,7 @@ def laguerre(close: object, gamma: float = 0.7, offset: int = 0, **kwargs) -> ob
     return _wrap(output, idx, "LAGUERRE", "filters", offset)
 
 
-def lms(close: object, order: int = 3, mu: float = 0.01, offset: int = 0, **kwargs) -> object:
+def lms(close: object, order: int = 16, mu: float = 0.5, offset: int = 0, **kwargs) -> object:
     """Least Mean Squares Filter."""
     order = int(order)
     mu = float(mu)
@@ -136,7 +136,7 @@ def loess(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"LOESS_{period}", "filters", offset)
 
 
-def modf(close: object, period: int = 14, beta: float = 2.0, feedback: int = 0, fbWeight: float = 0.5, offset: int = 0, **kwargs) -> object:
+def modf(close: object, period: int = 14, beta: float = 0.8, feedback: int = 0, fbWeight: float = 0.5, offset: int = 0, **kwargs) -> object:
     """Modified Filter."""
     period = int(period)
     beta = float(beta)
@@ -150,7 +150,7 @@ def modf(close: object, period: int = 14, beta: float = 2.0, feedback: int = 0,
     return _wrap(output, idx, f"MODF_{period}", "filters", offset)
 
 
-def notch(close: object, period: int = 14, q: float = 0.3, offset: int = 0, **kwargs) -> object:
+def notch(close: object, period: int = 14, q: float = 1.0, offset: int = 0, **kwargs) -> object:
     """Notch Filter."""
     period = int(period)
     q = float(q)
@@ -162,7 +162,7 @@ def notch(close: object, period: int = 14, q: float = 0.3, offset: int = 0, **kw
     return _wrap(output, idx, f"NOTCH_{period}", "filters", offset)
 
 
-def nw(close: object, period: int = 14, bandwidth: float = 0.25, offset: int = 0, **kwargs) -> object:
+def nw(close: object, period: int = 64, bandwidth: float = 8.0, offset: int = 0, **kwargs) -> object:
     """Nadaraya-Watson Filter."""
     period = int(period)
     bandwidth = float(bandwidth)
@@ -174,7 +174,7 @@ def nw(close: object, period: int = 14, bandwidth: float = 0.25, offset: int = 0
     return _wrap(output, idx, f"NW_{period}", "filters", offset)
 
 
-def oneeuro(close: object, minCutoff: float = 1.0, beta: float = 2.0, dCutoff: float = 1.0, offset: int = 0, **kwargs) -> object:
+def oneeuro(close: object, minCutoff: float = 1.0, beta: float = 0.007, dCutoff: float = 1.0, offset: int = 0, **kwargs) -> object:
     """1€ Filter."""
     minCutoff = float(minCutoff)
     beta = float(beta)
@@ -187,7 +187,7 @@ def oneeuro(close: object, minCutoff: float = 1.0, beta: float = 2.0, dCutoff: f
     return _wrap(output, idx, "ONEEURO", "filters", offset)
 
 
-def rls(close: object, order: int = 3, lam: float = 1600.0, offset: int = 0, **kwargs) -> object:
+def rls(close: object, order: int = 16, lam: float = 0.99, offset: int = 0, **kwargs) -> object:
     """Recursive Least Squares Filter."""
     order = int(order)
     lam = float(lam)
@@ -210,7 +210,7 @@ def rmed(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"RMED_{period}", "filters", offset)
 
 
-def roofing(close: object, hpLength: int = 40, ssLength: int = 10, offset: int = 0, **kwargs) -> object:
+def roofing(close: object, hpLength: int = 48, ssLength: int = 10, offset: int = 0, **kwargs) -> object:
     """Roofing Filter."""
     hpLength = int(hpLength)
     ssLength = int(ssLength)
@@ -222,7 +222,7 @@ def roofing(close: object, hpLength: int = 40, ssLength: int = 10, offset: int =
     return _wrap(output, idx, f"ROOFING_{hpLength}", "filters", offset)
 
 
-def sgf(close: object, period: int = 14, polyOrder: int = 3, offset: int = 0, **kwargs) -> object:
+def sgf(close: object, period: int = 14, polyOrder: int = 2, offset: int = 0, **kwargs) -> object:
     """Savitzky-Golay Filter."""
     period = int(period)
     polyOrder = int(polyOrder)
@@ -234,7 +234,7 @@ def sgf(close: object, period: int = 14, polyOrder: int = 3, offset: int = 0, **
     return _wrap(output, idx, f"SGF_{period}", "filters", offset)
 
 
-def spbf(close: object, shortPeriod: int = 12, longPeriod: int = 26, rmsPeriod: int = 20, offset: int = 0, **kwargs) -> object:
+def spbf(close: object, shortPeriod: int = 40, longPeriod: int = 60, rmsPeriod: int = 50, offset: int = 0, **kwargs) -> object:
     """Short-Period Bandpass Filter."""
     shortPeriod = int(shortPeriod)
     longPeriod = int(longPeriod)
@@ -306,7 +306,7 @@ def wavelet(close: object, levels: int = 4, threshMult: float = 1.0, offset: int
     return _wrap(output, idx, "WAVELET", "filters", offset)
 
 
-def wiener(close: object, period: int = 14, smoothPeriod: int = 5, offset: int = 0, **kwargs) -> object:
+def wiener(close: object, period: int = 14, smoothPeriod: int = 10, offset: int = 0, **kwargs) -> object:
     """Wiener Filter."""
     period = int(period)
     smoothPeriod = int(smoothPeriod)

python/quantalib/momentum.py

@@ -123,7 +123,7 @@ def rocr(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"ROCR_{period}", "momentum", offset)
 
 
-def sam(close: object, alpha: float = 2.0, cutoff: int = 10, offset: int = 0, **kwargs) -> object:
+def sam(close: object, alpha: float = 0.07, cutoff: int = 8, offset: int = 0, **kwargs) -> object:
     """Simple Alpha Momentum."""
     alpha = float(alpha)
     cutoff = int(cutoff)

python/quantalib/numerics.py

@@ -48,7 +48,7 @@ def accel(close: object, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, "ACCEL", "numerics", offset)
 
 
-def fdist(close: object, d1: int = 10, d2: int = 20, period: int = 14, offset: int = 0, **kwargs) -> object:
+def fdist(close: object, d1: int = 1, d2: int = 1, period: int = 14, offset: int = 0, **kwargs) -> object:
     """F-Distribution."""
     d1 = int(d1)
     d2 = int(d2)
@@ -74,7 +74,7 @@ def fft(close: object, windowSize: int = 256, minPeriod: int = 6, maxPeriod: int
     return _wrap(output, idx, f"FFT_{minPeriod}", "numerics", offset)
 
 
-def gammadist(close: object, alpha: float = 2.0, beta: float = 2.0, period: int = 14, offset: int = 0, **kwargs) -> object:
+def gammadist(close: object, alpha: float = 2.0, beta: float = 1.0, period: int = 14, offset: int = 0, **kwargs) -> object:
     """Gamma Distribution."""
     alpha = float(alpha)
     beta = float(beta)
@@ -132,7 +132,7 @@ def lineartrans(close: object, slope: float = 1.0, intercept: float = 0.0, offse
     return _wrap(output, idx, "LINEARTRANS", "numerics", offset)
 
 
-def lognormdist(close: object, mu: float = 0.01, sigma: float = 6.0, period: int = 14, offset: int = 0, **kwargs) -> object:
+def lognormdist(close: object, mu: float = 0.0, sigma: float = 1.0, period: int = 14, offset: int = 0, **kwargs) -> object:
     """Log-Normal Distribution."""
     mu = float(mu)
     sigma = float(sigma)
@@ -177,7 +177,7 @@ def normalize(close: object, period: int = 14, offset: int = 0, **kwargs) -> obj
     return _wrap(output, idx, f"NORMALIZE_{period}", "numerics", offset)
 
 
-def normdist(close: object, mu: float = 0.01, sigma: float = 6.0, period: int = 14, offset: int = 0, **kwargs) -> object:
+def normdist(close: object, mu: float = 0.0, sigma: float = 1.0, period: int = 14, offset: int = 0, **kwargs) -> object:
     """Normal Distribution."""
     mu = float(mu)
     sigma = float(sigma)
@@ -190,7 +190,7 @@ def normdist(close: object, mu: float = 0.01, sigma: float = 6.0, period: int =
     return _wrap(output, idx, f"NORMDIST_{period}", "numerics", offset)
 
 
-def poissondist(close: object, lam: float = 1600.0, period: int = 14, threshold: int = 10, offset: int = 0, **kwargs) -> object:
+def poissondist(close: object, lam: float = 1.0, period: int = 14, threshold: int = 5, offset: int = 0, **kwargs) -> object:
     """Poisson Distribution."""
     lam = float(lam)
     period = int(period)
@@ -213,7 +213,7 @@ def relu(close: object, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, "RELU", "numerics", offset)
 
 
-def sigmoid(close: object, k: float = 2.0, x0: float = 0.0, offset: int = 0, **kwargs) -> object:
+def sigmoid(close: object, k: float = 1.0, x0: float = 0.0, offset: int = 0, **kwargs) -> object:
     """Sigmoid Transform."""
     k = float(k)
     x0 = float(x0)
@@ -257,7 +257,7 @@ def tdist(close: object, nu: int = 10, period: int = 14, offset: int = 0, **kwar
     return _wrap(output, idx, f"TDIST_{period}", "numerics", offset)
 
 
-def weibulldist(close: object, k: float = 2.0, lam: float = 1600.0, period: int = 14, offset: int = 0, **kwargs) -> object:
+def weibulldist(close: object, k: float = 1.5, lam: float = 1.0, period: int = 14, offset: int = 0, **kwargs) -> object:
     """Weibull Distribution."""
     k = float(k)
     lam = float(lam)

python/quantalib/oscillators.py

@@ -200,7 +200,7 @@ def marketfi(high: object, low: object, volume: object, offset: int = 0, **kwarg
     return _wrap(output, idx, "MARKETFI", "oscillators", offset)
 
 
-def mstoch(close: object, stochLength: int = 14, hpLength: int = 40, ssLength: int = 10, offset: int = 0, **kwargs) -> object:
+def mstoch(close: object, stochLength: int = 20, hpLength: int = 48, ssLength: int = 10, offset: int = 0, **kwargs) -> object:
     """Modified Stochastic."""
     stochLength = int(stochLength)
     hpLength = int(hpLength)

python/quantalib/trends_fir.py

@@ -56,7 +56,7 @@ def fwma(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"FWMA_{period}", "trends_fir", offset)
 
 
-def gwma(close: object, period: int = 14, sigma: float = 6.0, offset: int = 0, **kwargs) -> object:
+def gwma(close: object, period: int = 14, sigma: float = 0.4, offset: int = 0, **kwargs) -> object:
     """Gaussian Weighted Moving Average."""
     period = int(period)
     sigma = float(sigma)
@@ -102,7 +102,7 @@ def ilrs(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"ILRS_{period}", "trends_fir", offset)
 
 
-def kaiser(close: object, period: int = 14, beta: float = 2.0, nanValue: float = 0.0, offset: int = 0, **kwargs) -> object:
+def kaiser(close: object, period: int = 14, beta: float = 3.0, nanValue: float = 0.0, offset: int = 0, **kwargs) -> object:
     """Kaiser Window Moving Average."""
     period = int(period)
     beta = float(beta)

python/quantalib/trends_iir.py

@@ -74,7 +74,7 @@ def frama(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"FRAMA_{period}", "trends_iir", offset)
 
 
-def holt(close: object, period: int = 14, gamma: float = 0.7, offset: int = 0, **kwargs) -> object:
+def holt(close: object, period: int = 14, gamma: float = 0.0, offset: int = 0, **kwargs) -> object:
     """Holt Exponential Smoothing."""
     period = int(period)
     gamma = float(gamma)
@@ -107,7 +107,7 @@ def hwma(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"HWMA_{period}", "trends_iir", offset)
 
 
-def jma(close: object, period: int = 14, phase: int = 0, power: float = 1.0, offset: int = 0, **kwargs) -> object:
+def jma(close: object, period: int = 14, phase: int = 0, power: float = 0.45, offset: int = 0, **kwargs) -> object:
     """Jurik Moving Average."""
     period = int(period)
     phase = int(phase)
@@ -180,7 +180,7 @@ def mcnma(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"MCNMA_{period}", "trends_iir", offset)
 
 
-def mgdi(close: object, period: int = 14, k: float = 2.0, offset: int = 0, **kwargs) -> object:
+def mgdi(close: object, period: int = 14, k: float = 0.6, offset: int = 0, **kwargs) -> object:
     """McGinley Dynamic."""
     period = int(period)
     k = float(k)
@@ -225,7 +225,7 @@ def qema(close: object, period: int = 14, offset: int = 0, **kwargs) -> object:
     return _wrap(output, idx, f"QEMA_{period}", "trends_iir", offset)
 
 
-def rema(close: object, period: int = 14, lam: float = 1600.0, offset: int = 0, **kwargs) -> object:
+def rema(close: object, period: int = 14, lam: float = 0.5, offset: int = 0, **kwargs) -> object:
     """Regularized EMA."""
     period = int(period)
     lam = float(lam)

python/tests/test_compat.py

@@ -69,8 +69,8 @@ class TestPandasSeriesIO:
         result = qtl.ema(s, length=14)
         assert isinstance(result, pd.Series)
         assert result.name == "EMA_14"
-        assert hasattr(result, "category")
+        assert "category" in result.attrs
-        assert result.category == "trend"
+        assert result.attrs["category"] == "trends_iir"
 
     def test_rsi_series(self, qtl, pd) -> None:
         s = pd.Series(CLOSE)