feat: add ADF (Augmented Dickey-Fuller) indicator

- Core implementation with Cholesky OLS, MacKinnon p-value, AIC lag selection
- Three regression models: NoConstant, Constant, ConstantAndTrend
- NormCdf via Abramowitz & Stegun 7.1.26 erf approximation
- Quantower adapter, Python bridge (NativeAOT export + ctypes + wrapper)
- 69 tests (41 unit + 12 validation + 14 Quantower + 2 consistency)
- Documentation with Schwert table, MacKinnon coefficients, PineScript ref
- All 19,095 tests pass, zero warnings
This commit is contained in:
Miha Kralj
2026-03-15 17:56:54 -07:00
parent 0468283d45
commit e3bd07aa87
17 changed files with 2790 additions and 2 deletions
+1
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@@ -254,6 +254,7 @@ HAS_WAD = _bind("qtl_wad", [_dp, _dp, _dp, _dp, _dp, _ci])
# ═══════════════════════════════════════════════════════════════════════════
# Statistics
# ═══════════════════════════════════════════════════════════════════════════
HAS_ADF = _bind("qtl_adf", [_dp, _dp, _ci, _ci, _ci, _ci])
HAS_ACF = _bind("qtl_acf", [_dp, _dp, _ci, _ci, _ci])
HAS_GEOMEAN = _bind("qtl_geomean", [_dp, _dp, _ci, _ci])
HAS_GRANGER = _bind("qtl_granger", [_dp, _dp, _dp, _ci, _ci])
+14
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@@ -8,6 +8,7 @@ from ._helpers import _arr, _ptr, _out, _wrap, _wrap_multi, _check, _lib
__all__ = [
"adf",
"acf",
"geomean",
"granger",
@@ -43,6 +44,19 @@ __all__ = [
]
def adf(close: object, period: int = 50, max_lag: int = 0, regression: int = 1, offset: int = 0, **kwargs) -> object:
"""Augmented Dickey-Fuller test p-value."""
period = int(kwargs.get("length", period))
max_lag = int(max_lag)
regression = int(regression)
offset = int(offset)
src, idx = _arr(close)
n = len(src)
output = _out(n)
_check(_lib.qtl_adf(_ptr(src), _ptr(output), n, period, max_lag, regression))
return _wrap(output, idx, f"ADF_{period}", "statistics", offset)
def acf(close: object, period: int = 14, lag: int = 10, offset: int = 0, **kwargs) -> object:
"""Autocorrelation Function."""
period = int(kwargs.get("length", period))
+13
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@@ -105,6 +105,19 @@ public static unsafe partial class Exports
catch { return StatusCodes.QTL_ERR_INTERNAL; }
}
[UnmanagedCallersOnly(EntryPoint = "qtl_adf")]
public static int QtlAdf(double* source, double* output, int n, int period, int maxLag, int regression)
{
if (source == null || output == null) return StatusCodes.QTL_ERR_NULL_PTR;
if (n <= 0) return StatusCodes.QTL_ERR_INVALID_LENGTH;
try
{
Adf.Batch(Src(source, n), Dst(output, n), period, maxLag, (Adf.AdfRegression)regression);
return StatusCodes.QTL_OK;
}
catch { return StatusCodes.QTL_ERR_INTERNAL; }
}
[UnmanagedCallersOnly(EntryPoint = "qtl_adl")]
public static int QtlAdl(double* high, double* low, double* close, double* volume, double* output, int n)
{