Files

T

Pratik Bhadane 71b6343e92 feat: refresh benchmark coverage and harden CI tooling

Refresh the benchmark and performance surface across the repo. This updates the benchmark wrappers and helper scripts, regenerates the checked-in benchmark and perf-contract artifacts, and folds in the related roadmap, compatibility, and example notebook changes that belong with this performance-focused pass.

Harden the Python CI and local pre-push flow so the same checks pass reliably in both places. The workflow and pre-push script now use module-safe uv typecheck invocations, the Python test environment installs the optional MCP dependency needed by the MCP server tests, and one-off root benchmark outputs are ignored to keep the repo clean.

Align local tooling with the current project configuration by updating the Ruff pre-commit hook, tightening the API typing and MCP server helpers, and refreshing the lockfile to pick up the audited PyJWT fix while preserving the rest of the staged source changes.

2026-03-24 14:52:20 +05:30

19 KiB

Raw Permalink Blame History

TA-Lib Compatibility

ferro-ta covers 100% of TA-Lib's function set (162+ indicators). This file keeps the full GitHub-facing parity matrix in one place so the root README.md can stay product-focused.

Legend

Symbol	Meaning
✅ Exact	Values match TA-Lib to floating-point precision
✅ Close	Values match after a short convergence window (EMA-seed difference)
⚠️ Corr	Strong correlation (> 0.95) but not numerically identical (Wilder smoothing seed or algorithm variant)
⚠️ Shape	Same output shape / NaN structure; values differ due to algorithm variant
❌	Not yet implemented

Overlap Studies

TA-Lib Function	ferro-ta	Accuracy	Notes
`BBANDS`	✅	✅ Exact	Bollinger Bands
`DEMA`	✅	✅ Close	Double EMA; converges after ~20 bars
`EMA`	✅	✅ Close	Exponential Moving Average; converges after ~20 bars
`KAMA`	✅	✅ Exact	Kaufman Adaptive MA (values match after seed bar)
`MA`	✅	✅ Exact	Moving average (generic, type-selectable)
`MAMA`	✅	⚠️ Corr	MESA Adaptive MA
`MAVP`	✅	✅ Exact	MA with variable period
`MIDPOINT`	✅	✅ Exact	Midpoint over period
`MIDPRICE`	✅	✅ Exact	Midpoint price over period
`SAR`	✅	⚠️ Shape	Parabolic SAR (same shape; reversal history diverges)
`SAREXT`	✅	⚠️ Shape	Parabolic SAR Extended
`SMA`	✅	✅ Exact	Simple Moving Average
`T3`	✅	✅ Close	Triple Exponential MA (T3); converges after ~50 bars
`TEMA`	✅	✅ Close	Triple EMA; converges after ~20 bars
`TRIMA`	✅	✅ Exact	Triangular Moving Average
`WMA`	✅	✅ Exact	Weighted Moving Average

Momentum Indicators

TA-Lib Function	ferro-ta	Accuracy	Notes
`ADX`	✅	✅ Close	Avg Directional Movement Index (TA-Lib Wilder sum-seeding)
`ADXR`	✅	✅ Close	ADX Rating (inherits ADX; TA-Lib seeding)
`APO`	✅	✅ Close	Absolute Price Oscillator (EMA-based)
`AROON`	✅	✅ Exact	Aroon Up/Down
`AROONOSC`	✅	✅ Exact	Aroon Oscillator
`BOP`	✅	✅ Exact	Balance Of Power
`CCI`	✅	✅ Exact	Commodity Channel Index (TA-Lib-compatible MAD formula)
`CMO`	✅	✅ Close	Chande Momentum Oscillator (rolling window, TA-Lib-compatible)
`DX`	✅	✅ Close	Directional Movement Index (TA-Lib Wilder sum-seeding)
`MACD`	✅	✅ Close	MACD (EMA-based; converges after ~30 bars)
`MACDEXT`	✅	✅ Close	MACD with controllable MA type (EMA-based; converges)
`MACDFIX`	✅	✅ Close	MACD Fixed 12/26 (EMA-based; converges)
`MFI`	✅	✅ Exact	Money Flow Index
`MINUS_DI`	✅	✅ Close	Minus Directional Indicator (TA-Lib Wilder sum-seeding)
`MINUS_DM`	✅	✅ Close	Minus Directional Movement (TA-Lib Wilder sum-seeding)
`MOM`	✅	✅ Exact	Momentum
`PLUS_DI`	✅	✅ Close	Plus Directional Indicator (TA-Lib Wilder sum-seeding)
`PLUS_DM`	✅	✅ Close	Plus Directional Movement (TA-Lib Wilder sum-seeding)
`PPO`	✅	✅ Close	Percentage Price Oscillator (EMA-based)
`ROC`	✅	✅ Exact	Rate of Change
`ROCP`	✅	✅ Exact	Rate of Change Percentage
`ROCR`	✅	✅ Exact	Rate of Change Ratio
`ROCR100`	✅	✅ Exact	Rate of Change Ratio × 100
`RSI`	✅	✅ Close	Relative Strength Index (TA-Lib Wilder seeding; converges after ~1 seed bar)
`STOCH`	✅	✅ Close	Stochastic (TA-Lib-compatible SMA smoothing for slowk and slowd)
`STOCHF`	✅	✅ Exact	Stochastic Fast (%K exact; %D NaN offset ±2)
`STOCHRSI`	✅	✅ Close	Stochastic RSI (TA-Lib-compatible; SMA fastd, Wilder-seeded RSI)
`TRIX`	✅	✅ Close	1-day ROC of Triple EMA (EMA-based; converges)
`ULTOSC`	✅	✅ Exact	Ultimate Oscillator
`WILLR`	✅	✅ Exact	Williams' %R

Volume Indicators

TA-Lib Function	ferro-ta	Accuracy	Notes
`AD`	✅	✅ Exact	Chaikin A/D Line
`ADOSC`	✅	✅ Exact	Chaikin A/D Oscillator
`OBV`	✅	✅ Exact	On Balance Volume (increments identical; constant offset at bar 0)

Volatility Indicators

TA-Lib Function	ferro-ta	Accuracy	Notes
`ATR`	✅	✅ Close	Average True Range (TA-Lib Wilder seeding; matches from bar timeperiod)
`NATR`	✅	✅ Close	Normalized ATR (TA-Lib Wilder seeding)
`TRANGE`	✅	✅ Exact	True Range (bar 0 differs; all others identical)

Cycle Indicators

TA-Lib Function	ferro-ta	Accuracy	Notes
`HT_DCPERIOD`	✅	⚠️ Shape	Hilbert Transform Dominant Cycle Period (Ehlers algorithm)
`HT_DCPHASE`	✅	⚠️ Shape	Hilbert Transform Dominant Cycle Phase
`HT_PHASOR`	✅	⚠️ Shape	Hilbert Transform Phasor Components (inphase, quadrature)
`HT_SINE`	✅	⚠️ Shape	Hilbert Transform SineWave (sine, leadsine)
`HT_TRENDLINE`	✅	⚠️ Shape	Hilbert Transform Instantaneous Trendline
`HT_TRENDMODE`	✅	⚠️ Shape	Hilbert Transform Trend vs Cycle Mode (1=trend, 0=cycle)

Price Transformations

TA-Lib Function	ferro-ta	Accuracy	Notes
`AVGPRICE`	✅	✅ Exact	Average Price
`MEDPRICE`	✅	✅ Exact	Median Price
`TYPPRICE`	✅	✅ Exact	Typical Price
`WCLPRICE`	✅	✅ Exact	Weighted Close Price

Statistic Functions

TA-Lib Function	ferro-ta	Accuracy	Notes
`BETA`	✅	✅ Close	Beta coefficient (returns-based regression matching TA-Lib)
`CORREL`	✅	✅ Exact	Pearson Correlation Coefficient
`LINEARREG`	✅	✅ Exact	Linear Regression
`LINEARREG_ANGLE`	✅	✅ Exact	Linear Regression Angle
`LINEARREG_INTERCEPT`	✅	✅ Exact	Linear Regression Intercept
`LINEARREG_SLOPE`	✅	✅ Exact	Linear Regression Slope
`STDDEV`	✅	✅ Exact	Standard Deviation
`TSF`	✅	✅ Exact	Time Series Forecast
`VAR`	✅	✅ Exact	Variance

Pattern Recognition

ferro-ta implements all 61 candlestick patterns. All return the same {-100, 0, 100} convention as TA-Lib. Pattern thresholds may differ slightly from the full TA-Lib implementation.

TA-Lib Function	ferro-ta	Notes
`CDL2CROWS`	✅	Two Crows
`CDL3BLACKCROWS`	✅	Three Black Crows
`CDL3INSIDE`	✅	Three Inside Up/Down
`CDL3LINESTRIKE`	✅	Three-Line Strike
`CDL3OUTSIDE`	✅	Three Outside Up/Down
`CDL3STARSINSOUTH`	✅	Three Stars In The South
`CDL3WHITESOLDIERS`	✅	Three Advancing White Soldiers
`CDLABANDONEDBABY`	✅	Abandoned Baby
`CDLADVANCEBLOCK`	✅	Advance Block
`CDLBELTHOLD`	✅	Belt-hold
`CDLBREAKAWAY`	✅	Breakaway
`CDLCLOSINGMARUBOZU`	✅	Closing Marubozu
`CDLCONCEALBABYSWALL`	✅	Concealing Baby Swallow
`CDLCOUNTERATTACK`	✅	Counterattack
`CDLDARKCLOUDCOVER`	✅	Dark Cloud Cover
`CDLDOJI`	✅	Doji
`CDLDOJISTAR`	✅	Doji Star
`CDLDRAGONFLYDOJI`	✅	Dragonfly Doji
`CDLENGULFING`	✅	Engulfing Pattern
`CDLEVENINGDOJISTAR`	✅	Evening Doji Star
`CDLEVENINGSTAR`	✅	Evening Star
`CDLGAPSIDESIDEWHITE`	✅	Up/Down-gap side-by-side white lines
`CDLGRAVESTONEDOJI`	✅	Gravestone Doji
`CDLHAMMER`	✅	Hammer
`CDLHANGINGMAN`	✅	Hanging Man
`CDLHARAMI`	✅	Harami Pattern
`CDLHARAMICROSS`	✅	Harami Cross Pattern
`CDLHIGHWAVE`	✅	High-Wave Candle
`CDLHIKKAKE`	✅	Hikkake Pattern
`CDLHIKKAKEMOD`	✅	Modified Hikkake Pattern
`CDLHOMINGPIGEON`	✅	Homing Pigeon
`CDLIDENTICAL3CROWS`	✅	Identical Three Crows
`CDLINNECK`	✅	In-Neck Pattern
`CDLINVERTEDHAMMER`	✅	Inverted Hammer
`CDLKICKING`	✅	Kicking
`CDLKICKINGBYLENGTH`	✅	Kicking by the longer Marubozu
`CDLLADDERBOTTOM`	✅	Ladder Bottom
`CDLLONGLEGGEDDOJI`	✅	Long Legged Doji
`CDLLONGLINE`	✅	Long Line Candle
`CDLMARUBOZU`	✅	Marubozu
`CDLMATCHINGLOW`	✅	Matching Low
`CDLMATHOLD`	✅	Mat Hold
`CDLMORNINGDOJISTAR`	✅	Morning Doji Star
`CDLMORNINGSTAR`	✅	Morning Star
`CDLONNECK`	✅	On-Neck Pattern
`CDLPIERCING`	✅	Piercing Pattern
`CDLRICKSHAWMAN`	✅	Rickshaw Man
`CDLRISEFALL3METHODS`	✅	Rising/Falling Three Methods
`CDLSEPARATINGLINES`	✅	Separating Lines
`CDLSHOOTINGSTAR`	✅	Shooting Star
`CDLSHORTLINE`	✅	Short Line Candle
`CDLSPINNINGTOP`	✅	Spinning Top
`CDLSTALLEDPATTERN`	✅	Stalled Pattern
`CDLSTICKSANDWICH`	✅	Stick Sandwich
`CDLTAKURI`	✅	Takuri (Dragonfly Doji with very long lower shadow)
`CDLTASUKIGAP`	✅	Tasuki Gap
`CDLTHRUSTING`	✅	Thrusting Pattern
`CDLTRISTAR`	✅	Tristar Pattern
`CDLUNIQUE3RIVER`	✅	Unique 3 River
`CDLUPSIDEGAP2CROWS`	✅	Upside Gap Two Crows
`CDLXSIDEGAP3METHODS`	✅	Upside/Downside Gap Three Methods

Math Operators / Math Transforms

ferro-ta provides TA-Lib-compatible wrappers for all arithmetic and math-transform functions. Rolling functions (SUM, MAX, MIN) produce NaN for the first timeperiod - 1 bars.

TA-Lib Function	ferro-ta	Notes
`ADD`	✅	Element-wise addition
`SUB`	✅	Element-wise subtraction
`MULT`	✅	Element-wise multiplication
`DIV`	✅	Element-wise division
`SUM`	✅	Rolling sum over timeperiod
`MAX` / `MAXINDEX`	✅	Rolling maximum / index
`MIN` / `MININDEX`	✅	Rolling minimum / index
`ACOS` / `ASIN` / `ATAN`	✅	Arc trig transforms
`CEIL` / `FLOOR`	✅	Round up / down
`COS` / `SIN` / `TAN`	✅	Trig transforms
`COSH` / `SINH` / `TANH`	✅	Hyperbolic transforms
`EXP` / `LN` / `LOG10`	✅	Exponential / log transforms
`SQRT`	✅	Square root

Implementation Coverage Summary

Category	Implemented	Not Implemented
Overlap Studies	19	0
Momentum Indicators	28	0
Volume Indicators	3	0
Volatility Indicators	3	0
Cycle Indicators	6	0
Price Transforms	4	0
Statistic Functions	9	0
Pattern Recognition	61	0
Math Operators / Transforms	24	0
Extended Indicators	10	-
Streaming Classes	9	-
Total	162+	0

ferro-ta implements 100% of TA-Lib's function set. NaN values are placed at the beginning of each output array for the warmup period.

19 KiB Raw Permalink Blame History Unescape Escape