""" Statistic Functions — Standard statistical math applied to rolling windows of price data. Functions --------- STDDEV — Standard Deviation VAR — Variance LINEARREG — Linear Regression LINEARREG_SLOPE — Linear Regression Slope LINEARREG_INTERCEPT — Linear Regression Intercept LINEARREG_ANGLE — Linear Regression Angle (degrees) TSF — Time Series Forecast BETA — Beta CORREL — Pearson's Correlation Coefficient (r) DTW — Dynamic Time Warping (distance + warping path) DTW_DISTANCE — Dynamic Time Warping distance only (faster) BATCH_DTW — Batch DTW: N series vs 1 reference, in parallel """ from __future__ import annotations from typing import Optional import numpy as np from numpy.typing import ArrayLike from ferro_ta._ferro_ta import ( batch_dtw as _batch_dtw, ) from ferro_ta._ferro_ta import ( beta as _beta, ) from ferro_ta._ferro_ta import ( correl as _correl, ) from ferro_ta._ferro_ta import ( dtw as _dtw, ) from ferro_ta._ferro_ta import ( dtw_distance as _dtw_distance, ) from ferro_ta._ferro_ta import ( linearreg as _linearreg, ) from ferro_ta._ferro_ta import ( linearreg_angle as _linearreg_angle, ) from ferro_ta._ferro_ta import ( linearreg_intercept as _linearreg_intercept, ) from ferro_ta._ferro_ta import ( linearreg_slope as _linearreg_slope, ) from ferro_ta._ferro_ta import ( stddev as _stddev, ) from ferro_ta._ferro_ta import ( tsf as _tsf, ) from ferro_ta._ferro_ta import ( var as _var, ) from ferro_ta._utils import _to_f64 from ferro_ta.core.exceptions import _normalize_rust_error def STDDEV(close: ArrayLike, timeperiod: int = 5, nbdev: float = 1.0) -> np.ndarray: """Standard Deviation. Parameters ---------- close : array-like Sequence of closing prices. timeperiod : int, optional Rolling window size (default 5). nbdev : float, optional Number of standard deviations (default 1.0). Returns ------- numpy.ndarray Array of STDDEV values; leading ``timeperiod - 1`` entries are ``NaN``. """ try: return _stddev(_to_f64(close), timeperiod, nbdev) except ValueError as e: _normalize_rust_error(e) def VAR(close: ArrayLike, timeperiod: int = 5, nbdev: float = 1.0) -> np.ndarray: """Variance. Parameters ---------- close : array-like Sequence of closing prices. timeperiod : int, optional Rolling window size (default 5). nbdev : float, optional Number of deviations (default 1.0). Returns ------- numpy.ndarray Array of VAR values; leading ``timeperiod - 1`` entries are ``NaN``. """ try: return _var(_to_f64(close), timeperiod, nbdev) except ValueError as e: _normalize_rust_error(e) def LINEARREG(close: ArrayLike, timeperiod: int = 14) -> np.ndarray: """Linear Regression. Parameters ---------- close : array-like Sequence of closing prices. timeperiod : int, optional Regression window (default 14). Returns ------- numpy.ndarray Array of linear regression end-point values; leading ``timeperiod - 1`` entries are ``NaN``. """ try: return _linearreg(_to_f64(close), timeperiod) except ValueError as e: _normalize_rust_error(e) def LINEARREG_SLOPE(close: ArrayLike, timeperiod: int = 14) -> np.ndarray: """Linear Regression Slope. Parameters ---------- close : array-like Sequence of closing prices. timeperiod : int, optional Regression window (default 14). Returns ------- numpy.ndarray Array of slope values; leading ``timeperiod - 1`` entries are ``NaN``. """ try: return _linearreg_slope(_to_f64(close), timeperiod) except ValueError as e: _normalize_rust_error(e) def LINEARREG_INTERCEPT(close: ArrayLike, timeperiod: int = 14) -> np.ndarray: """Linear Regression Intercept. Parameters ---------- close : array-like Sequence of closing prices. timeperiod : int, optional Regression window (default 14). Returns ------- numpy.ndarray Array of intercept values; leading ``timeperiod - 1`` entries are ``NaN``. """ try: return _linearreg_intercept(_to_f64(close), timeperiod) except ValueError as e: _normalize_rust_error(e) def LINEARREG_ANGLE(close: ArrayLike, timeperiod: int = 14) -> np.ndarray: """Linear Regression Angle (in degrees). Parameters ---------- close : array-like Sequence of closing prices. timeperiod : int, optional Regression window (default 14). Returns ------- numpy.ndarray Array of angle values in degrees; leading ``timeperiod - 1`` entries are ``NaN``. """ try: return _linearreg_angle(_to_f64(close), timeperiod) except ValueError as e: _normalize_rust_error(e) def TSF(close: ArrayLike, timeperiod: int = 14) -> np.ndarray: """Time Series Forecast — linear regression extrapolated one period ahead. Parameters ---------- close : array-like Sequence of closing prices. timeperiod : int, optional Regression window (default 14). Returns ------- numpy.ndarray Array of TSF values; leading ``timeperiod - 1`` entries are ``NaN``. """ try: return _tsf(_to_f64(close), timeperiod) except ValueError as e: _normalize_rust_error(e) def BETA(real0: ArrayLike, real1: ArrayLike, timeperiod: int = 5) -> np.ndarray: """Beta — regression slope of real0 relative to real1. Parameters ---------- real0 : array-like Sequence of prices for asset 0 (dependent variable). real1 : array-like Sequence of prices for asset 1 (independent variable). timeperiod : int, optional Rolling window (default 5). Returns ------- numpy.ndarray Array of BETA values; leading ``timeperiod`` entries are ``NaN``. """ try: return _beta(_to_f64(real0), _to_f64(real1), timeperiod) except ValueError as e: _normalize_rust_error(e) def CORREL(real0: ArrayLike, real1: ArrayLike, timeperiod: int = 30) -> np.ndarray: """Pearson's Correlation Coefficient (r). Parameters ---------- real0 : array-like First data series. real1 : array-like Second data series. timeperiod : int, optional Rolling window (default 30). Returns ------- numpy.ndarray Array of CORREL values (-1 to 1); leading ``timeperiod - 1`` entries are ``NaN``. """ try: return _correl(_to_f64(real0), _to_f64(real1), timeperiod) except ValueError as e: _normalize_rust_error(e) def DTW( series1: ArrayLike, series2: ArrayLike, window: Optional[int] = None, ) -> tuple[float, np.ndarray]: """Dynamic Time Warping — distance and optimal warping path. Parameters ---------- series1 : array-like First time series. series2 : array-like Second time series (may differ in length from series1). window : int, optional Sakoe-Chiba band width. ``None`` (default) = unconstrained. Returns ------- distance : float DTW distance (accumulated Euclidean cost along the optimal path). path : numpy.ndarray, shape (N, 2) Warping path as ``(i, j)`` index pairs from ``(0, 0)`` to ``(len(series1)-1, len(series2)-1)``. """ try: return _dtw(_to_f64(series1), _to_f64(series2), window) except ValueError as e: _normalize_rust_error(e) def DTW_DISTANCE( series1: ArrayLike, series2: ArrayLike, window: Optional[int] = None, ) -> float: """Dynamic Time Warping distance only (faster — no path reconstruction). Parameters ---------- series1 : array-like First time series. series2 : array-like Second time series (may differ in length from series1). window : int, optional Sakoe-Chiba band width. ``None`` (default) = unconstrained. Returns ------- float DTW distance (accumulated Euclidean cost along the optimal path). """ try: return _dtw_distance(_to_f64(series1), _to_f64(series2), window) except ValueError as e: _normalize_rust_error(e) def BATCH_DTW( matrix: ArrayLike, reference: ArrayLike, window: Optional[int] = None, ) -> np.ndarray: """Batch Dynamic Time Warping — N series vs 1 reference, computed in parallel. Parameters ---------- matrix : array-like, shape (N, L) N time series of length L. Each row is compared against ``reference``. reference : array-like, shape (L,) The reference series. window : int, optional Sakoe-Chiba band width. ``None`` (default) = unconstrained. Returns ------- numpy.ndarray, shape (N,) DTW distance from each row of ``matrix`` to ``reference``. """ try: mat = np.ascontiguousarray(matrix, dtype=np.float64) if mat.ndim != 2: from ferro_ta.core.exceptions import FerroTAInputError raise FerroTAInputError( f"matrix must be a 2-D array, got {mat.ndim}-D.", suggestion="Pass a 2-D NumPy array of shape (N, L).", ) return _batch_dtw(mat, _to_f64(reference), window) except ValueError as e: _normalize_rust_error(e) __all__ = [ "STDDEV", "VAR", "LINEARREG", "LINEARREG_SLOPE", "LINEARREG_INTERCEPT", "LINEARREG_ANGLE", "TSF", "BETA", "CORREL", "DTW", "DTW_DISTANCE", "BATCH_DTW", ]