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https://github.com/mihakralj/QuanTAlib.git
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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
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@@ -8,6 +8,7 @@ from ._helpers import _arr, _ptr, _out, _wrap, _wrap_multi, _check, _lib
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__all__ = [
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"adf",
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"acf",
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"geomean",
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"granger",
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@@ -43,6 +44,19 @@ __all__ = [
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]
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def adf(close: object, period: int = 50, max_lag: int = 0, regression: int = 1, offset: int = 0, **kwargs) -> object:
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"""Augmented Dickey-Fuller test p-value."""
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period = int(kwargs.get("length", period))
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max_lag = int(max_lag)
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regression = int(regression)
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offset = int(offset)
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src, idx = _arr(close)
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n = len(src)
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output = _out(n)
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_check(_lib.qtl_adf(_ptr(src), _ptr(output), n, period, max_lag, regression))
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return _wrap(output, idx, f"ADF_{period}", "statistics", offset)
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def acf(close: object, period: int = 14, lag: int = 10, offset: int = 0, **kwargs) -> object:
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"""Autocorrelation Function."""
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period = int(kwargs.get("length", period))
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