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// Comprehensive tests for the Wickra Node bindings: streaming-vs-batch
// equivalence, reference values, and lifecycle methods across all 71
// indicators. Ported from the Python test_streaming_vs_batch / test_known_values
// suites.
const test = require('node:test');
const assert = require('node:assert/strict');
const wickra = require('..');
// Synthetic OHLCV series long enough to warm up every indicator.
const N = 120;
const close = Array.from({ length: N }, (_, i) => 100 + Math.sin(i * 0.2) * 10 + i * 0.1);
const high = close.map((c) => c + 1.5);
const low = close.map((c) => c - 1.5);
const volume = Array.from({ length: N }, (_, i) => 1000 + (i % 7) * 50);
const open = close.map((c) => c - 0.5);
function eq(a, b) {
if (Number.isNaN(a)) return Number.isNaN(b);
if (!Number.isFinite(a) || !Number.isFinite(b)) return a === b;
return Math.abs(a - b) < 1e-9;
}
function num(v) {
return v === null || v === undefined ? NaN : v;
}
// --- Scalar indicators: update(value) vs batch(prices) ---
const scalarFactories = {
M2Measure: () => new wickra.M2Measure(20, 0.0, 0.02),
UpsidePotentialRatio: () => new wickra.UpsidePotentialRatio(20, 0.0),
GainToPainRatio: () => new wickra.GainToPainRatio(12),
CommonSenseRatio: () => new wickra.CommonSenseRatio(20),
KRatio: () => new wickra.KRatio(30),
TailRatio: () => new wickra.TailRatio(20),
MartinRatio: () => new wickra.MartinRatio(14),
BurkeRatio: () => new wickra.BurkeRatio(12),
SterlingRatio: () => new wickra.SterlingRatio(12),
AUTOCORRPGRAM: () => new wickra.AUTOCORRPGRAM(10, 48),
EVENBETTERSINE: () => new wickra.EVENBETTERSINE(40, 10),
BANDPASS: () => new wickra.BANDPASS(20, 0.3),
UNIVERSALOSC: () => new wickra.UNIVERSALOSC(20),
ADAPTIVERSI: () => new wickra.ADAPTIVERSI(14),
CTI: () => new wickra.CTI(20),
TRENDFLEX: () => new wickra.TRENDFLEX(20),
REFLEX: () => new wickra.REFLEX(20),
HIGHPASS: () => new wickra.HIGHPASS(48),
SAMPLEENT: () => new wickra.SAMPLEENT(20, 2, 0.2),
SHANNONENT: () => new wickra.SHANNONENT(20, 8),
ROLLINGMINMAX: () => new wickra.ROLLINGMINMAX(20),
JARQUEBERA: () => new wickra.JARQUEBERA(20),
BipowerVariation: () => new wickra.BipowerVariation(20),
VolatilityOfVolatility: () => new wickra.VolatilityOfVolatility(20, 20),
Garch11: () => new wickra.Garch11(0.000002, 0.1, 0.88),
EwmaVolatility: () => new wickra.EwmaVolatility(0.94),
PpoHistogram: () => new wickra.PpoHistogram(3, 6, 3),
MacdHistogram: () => new wickra.MacdHistogram(3, 6, 3),
TsfOscillator: () => new wickra.TsfOscillator(3),
WAVE_PM: () => new wickra.WAVE_PM(32, 3),
POLARIZED_FRACTAL_EFFICIENCY: () => new wickra.POLARIZED_FRACTAL_EFFICIENCY(10, 5),
TREND_STRENGTH_INDEX: () => new wickra.TREND_STRENGTH_INDEX(20),
DerivativeOscillator: () => new wickra.DerivativeOscillator(14, 5, 3, 9),
RMI: () => new wickra.RMI(14, 5),
DynamicMomentumIndex: () => new wickra.DynamicMomentumIndex(14),
RSX: () => new wickra.RSX(14),
FisherRSI: () => new wickra.FisherRSI(14),
DisparityIndex: () => new wickra.DisparityIndex(14),
HoltWinters: () => new wickra.HoltWinters(0.2, 0.1),
GD: () => new wickra.GD(5, 0.7),
AdaptiveLaguerre: () => new wickra.AdaptiveLaguerre(13),
MedianMA: () => new wickra.MedianMA(14),
EHMA: () => new wickra.EHMA(9),
GMA: () => new wickra.GMA(14),
SWMA: () => new wickra.SWMA(14),
Expectancy: () => new wickra.Expectancy(20),
WinRate: () => new wickra.WinRate(20),
RegimeLabel: () => new wickra.RegimeLabel(5, 20),
JumpIndicator: () => new wickra.JumpIndicator(20, 3.0),
TrendLabel: () => new wickra.TrendLabel(10),
RollingQuantile: () => new wickra.RollingQuantile(20, 0.5),
RollingPercentileRank: () => new wickra.RollingPercentileRank(14),
RollingIqr: () => new wickra.RollingIqr(14),
RealizedVolatility: () => new wickra.RealizedVolatility(20),
LogReturn: () => new wickra.LogReturn(1),
TSF: () => new wickra.TSF(14),
LINEARREG_INTERCEPT: () => new wickra.LINEARREG_INTERCEPT(14),
ROCR100: () => new wickra.ROCR100(10),
ROCR: () => new wickra.ROCR(10),
ROCP: () => new wickra.ROCP(10),
MIDPOINT: () => new wickra.MIDPOINT(14),
SMA: () => new wickra.SMA(14),
EMA: () => new wickra.EMA(14),
WMA: () => new wickra.WMA(14),
RSI: () => new wickra.RSI(14),
AnchoredRSI: () => new wickra.AnchoredRSI(),
DEMA: () => new wickra.DEMA(10),
TEMA: () => new wickra.TEMA(10),
HMA: () => new wickra.HMA(9),
ROC: () => new wickra.ROC(12),
TRIX: () => new wickra.TRIX(9),
KAMA: () => new wickra.KAMA(10, 2, 30),
ALMA: () => new wickra.ALMA(9, 0.85, 6.0),
McGinleyDynamic: () => new wickra.McGinleyDynamic(10),
FRAMA: () => new wickra.FRAMA(16),
VIDYA: () => new wickra.VIDYA(14, 9),
JMA: () => new wickra.JMA(14, 0, 2),
SMMA: () => new wickra.SMMA(14),
TRIMA: () => new wickra.TRIMA(20),
ZLEMA: () => new wickra.ZLEMA(14),
T3: () => new wickra.T3(5, 0.7),
MOM: () => new wickra.MOM(10),
CMO: () => new wickra.CMO(14),
TSI: () => new wickra.TSI(25, 13),
PMO: () => new wickra.PMO(35, 20),
TII: () => new wickra.TII(20, 10),
StochRSI: () => new wickra.StochRSI(14, 14),
PPO: () => new wickra.PPO(12, 26),
APO: () => new wickra.APO(12, 26),
CFO: () => new wickra.CFO(14),
ElderImpulse: () => new wickra.ElderImpulse(13, 12, 26, 9),
STC: () => new wickra.STC(23, 50, 10, 0.5),
DPO: () => new wickra.DPO(20),
Coppock: () => new wickra.Coppock(14, 11, 10),
StdDev: () => new wickra.StdDev(20),
UlcerIndex: () => new wickra.UlcerIndex(14),
HistoricalVolatility: () => new wickra.HistoricalVolatility(20, 252),
BollingerBandwidth: () => new wickra.BollingerBandwidth(20, 2),
PercentB: () => new wickra.PercentB(20, 2),
LinearRegression: () => new wickra.LinearRegression(14),
LinRegSlope: () => new wickra.LinRegSlope(14),
VerticalHorizontalFilter: () => new wickra.VerticalHorizontalFilter(28),
ZScore: () => new wickra.ZScore(20),
LinRegAngle: () => new wickra.LinRegAngle(14),
PercentageTrailingStop: () => new wickra.PercentageTrailingStop(5),
StepTrailingStop: () => new wickra.StepTrailingStop(1),
RenkoTrailingStop: () => new wickra.RenkoTrailingStop(1),
LaguerreRSI: () => new wickra.LaguerreRSI(0.5),
ConnorsRSI: () => new wickra.ConnorsRSI(3, 2, 100),
RVIVolatility: () => new wickra.RVIVolatility(10),
// Family 10 — Ehlers / Cycle
SuperSmoother: () => new wickra.SuperSmoother(10),
FisherTransform: () => new wickra.FisherTransform(10),
InverseFisherTransform: () => new wickra.InverseFisherTransform(1.0),
Decycler: () => new wickra.Decycler(20),
DecyclerOscillator: () => new wickra.DecyclerOscillator(10, 30),
RoofingFilter: () => new wickra.RoofingFilter(10, 48),
CenterOfGravity: () => new wickra.CenterOfGravity(10),
CyberneticCycle: () => new wickra.CyberneticCycle(10),
InstantaneousTrendline: () => new wickra.InstantaneousTrendline(20),
EhlersStochastic: () => new wickra.EhlersStochastic(20),
EmpiricalModeDecomposition: () => new wickra.EmpiricalModeDecomposition(20, 0.5),
HilbertDominantCycle: () => new wickra.HilbertDominantCycle(),
HT_DCPHASE: () => new wickra.HT_DCPHASE(),
HT_TRENDMODE: () => new wickra.HT_TRENDMODE(),
AdaptiveCycle: () => new wickra.AdaptiveCycle(),
SineWave: () => new wickra.SineWave(),
FAMA: () => new wickra.FAMA(0.5, 0.05),
// Family 12 — Statistik / Regression
Variance: () => new wickra.Variance(20),
CoefficientOfVariation: () => new wickra.CoefficientOfVariation(20),
Skewness: () => new wickra.Skewness(20),
Kurtosis: () => new wickra.Kurtosis(20),
StandardError: () => new wickra.StandardError(14),
DetrendedStdDev: () => new wickra.DetrendedStdDev(14),
RSquared: () => new wickra.RSquared(14),
MedianAbsoluteDeviation: () => new wickra.MedianAbsoluteDeviation(20),
Autocorrelation: () => new wickra.Autocorrelation(20, 1),
HurstExponent: () => new wickra.HurstExponent(40, 4),
// Family 15 — Risk / Performance metrics (scalar f64 input).
SharpeRatio: () => new wickra.SharpeRatio(20, 0),
SortinoRatio: () => new wickra.SortinoRatio(20, 0),
CalmarRatio: () => new wickra.CalmarRatio(20),
OmegaRatio: () => new wickra.OmegaRatio(20, 0),
MaxDrawdown: () => new wickra.MaxDrawdown(20),
AverageDrawdown: () => new wickra.AverageDrawdown(20),
DrawdownDuration: () => new wickra.DrawdownDuration(),
PainIndex: () => new wickra.PainIndex(20),
ValueAtRisk: () => new wickra.ValueAtRisk(20, 0.95),
ConditionalValueAtRisk: () => new wickra.ConditionalValueAtRisk(20, 0.95),
ProfitFactor: () => new wickra.ProfitFactor(20),
GainLossRatio: () => new wickra.GainLossRatio(20),
RecoveryFactor: () => new wickra.RecoveryFactor(),
KellyCriterion: () => new wickra.KellyCriterion(20),
};
// --- Two-series (asset, benchmark) ratio indicators ---
const ratioPairFactories = {
TreynorRatio: () => new wickra.TreynorRatio(20, 0),
InformationRatio: () => new wickra.InformationRatio(20),
Alpha: () => new wickra.Alpha(20, 0),
};
const asset = Array.from({ length: N }, (_, i) => 0.001 + Math.sin(i * 0.15) * 0.01);
const bench = Array.from({ length: N }, (_, i) => 0.001 + Math.sin(i * 0.15) * 0.007);
for (const [name, make] of Object.entries(ratioPairFactories)) {
test(`${name}: streaming update matches batch (pair)`, () => {
const batch = make().batch(asset, bench);
const streaming = make();
assert.equal(batch.length, N);
for (let i = 0; i < N; i++) {
const s = num(streaming.update(asset[i], bench[i]));
assert.ok(eq(s, batch[i]), `${name} mismatch at ${i}: ${s} vs ${batch[i]}`);
}
});
}
for (const [name, make] of Object.entries(scalarFactories)) {
test(`${name}: streaming update matches batch`, () => {
const batch = make().batch(close);
const streaming = make();
assert.equal(batch.length, N);
for (let i = 0; i < N; i++) {
const s = num(streaming.update(close[i]));
assert.ok(eq(s, batch[i]), `${name} mismatch at ${i}: ${s} vs ${batch[i]}`);
}
});
}
// --- Scalar-output candle indicators: update(...) vs batch(...) ---
const candleScalar = {
MIDPRICE: { make: () => new wickra.MIDPRICE(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
DX: { make: () => new wickra.DX(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
MINUS_DI: { make: () => new wickra.MINUS_DI(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
PLUS_DI: { make: () => new wickra.PLUS_DI(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ATR: { make: () => new wickra.ATR(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
PLUS_DM: { make: () => new wickra.PLUS_DM(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
MINUS_DM: { make: () => new wickra.MINUS_DM(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
CCI: { make: () => new wickra.CCI(20), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
WilliamsR: { make: () => new wickra.WilliamsR(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
PSAR: { make: () => new wickra.PSAR(0.02, 0.02, 0.2), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
SAREXT: { make: () => new wickra.SAREXT(0, 0, 0.02, 0.02, 0.2, 0.02, 0.02, 0.2), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
MFI: { make: () => new wickra.MFI(14), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
VWAP: { make: () => new wickra.VWAP(), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
RollingVWAP: { make: () => new wickra.RollingVWAP(20), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
AwesomeOscillator: { make: () => new wickra.AwesomeOscillator(5, 34), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
OBV: { make: () => new wickra.OBV(), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
VWMA: { make: () => new wickra.VWMA(20), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
RVI: { make: () => new wickra.RVI(10), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
AVGPRICE: { make: () => new wickra.AVGPRICE(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Inertia: { make: () => new wickra.Inertia(14, 20), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
PGO: { make: () => new wickra.PGO(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
SMI: { make: () => new wickra.SMI(5, 3, 3), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
EVWMA: { make: () => new wickra.EVWMA(20), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
UltimateOscillator: { make: () => new wickra.UltimateOscillator(7, 14, 28), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
AroonOscillator: { make: () => new wickra.AroonOscillator(14), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
NATR: { make: () => new wickra.NATR(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
MassIndex: { make: () => new wickra.MassIndex(9, 25), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
ADL: { make: () => new wickra.ADL(), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
VolumePriceTrend: { make: () => new wickra.VolumePriceTrend(), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
ChaikinMoneyFlow: { make: () => new wickra.ChaikinMoneyFlow(20), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
ChaikinOscillator: { make: () => new wickra.ChaikinOscillator(3, 10), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
ForceIndex: { make: () => new wickra.ForceIndex(13), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
EaseOfMovement: { make: () => new wickra.EaseOfMovement(14, 1e8), step: (ind, i) => ind.update(high[i], low[i], volume[i]), batch: (ind) => ind.batch(high, low, volume) },
KVO: { make: () => new wickra.KVO(34, 55), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
VolumeOscillator: { make: () => new wickra.VolumeOscillator(14, 28), step: (ind, i) => ind.update(volume[i]), batch: (ind) => ind.batch(volume) },
NVI: { make: () => new wickra.NVI(), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
PVI: { make: () => new wickra.PVI(), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
WilliamsAD: { make: () => new wickra.WilliamsAD(), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
AnchoredVWAP: { make: () => new wickra.AnchoredVWAP(), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
DemandIndex: { make: () => new wickra.DemandIndex(10), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
TSV: { make: () => new wickra.TSV(18), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
VZO: { make: () => new wickra.VZO(14), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
MarketFacilitationIndex: { make: () => new wickra.MarketFacilitationIndex(), step: (ind, i) => ind.update(high[i], low[i], volume[i]), batch: (ind) => ind.batch(high, low, volume) },
AtrTrailingStop: { make: () => new wickra.AtrTrailingStop(14, 3), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
HiLoActivator: { make: () => new wickra.HiLoActivator(3), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
VoltyStop: { make: () => new wickra.VoltyStop(14, 2), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
YoyoExit: { make: () => new wickra.YoyoExit(14, 2), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TypicalPrice: { make: () => new wickra.TypicalPrice(), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
MedianPrice: { make: () => new wickra.MedianPrice(), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
WeightedClose: { make: () => new wickra.WeightedClose(), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
AcceleratorOscillator: { make: () => new wickra.AcceleratorOscillator(5, 34, 5), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
AwesomeOscillatorHistogram: { make: () => new wickra.AwesomeOscillatorHistogram(5, 34, 5), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
BalanceOfPower: { make: () => new wickra.BalanceOfPower(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ChoppinessIndex: { make: () => new wickra.ChoppinessIndex(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TrueRange: { make: () => new wickra.TrueRange(), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ChaikinVolatility: { make: () => new wickra.ChaikinVolatility(10, 10), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
ADXR: { make: () => new wickra.ADXR(7), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ParkinsonVolatility: { make: () => new wickra.ParkinsonVolatility(20, 252), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
GarmanKlassVolatility: { make: () => new wickra.GarmanKlassVolatility(20, 252), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
RogersSatchellVolatility: { make: () => new wickra.RogersSatchellVolatility(20, 252), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
YangZhangVolatility: { make: () => new wickra.YangZhangVolatility(20, 252), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TDSetup: { make: () => new wickra.TDSetup(4, 9), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TDDeMarker: { make: () => new wickra.TDDeMarker(14), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
TDREI: { make: () => new wickra.TDREI(5), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
TDPressure: { make: () => new wickra.TDPressure(5), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(open, high, low, close, volume) },
TDCombo: { make: () => new wickra.TDCombo(4, 9, 2, 13), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TDCountdown: { make: () => new wickra.TDCountdown(4, 9, 2, 13), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TDDifferential: { make: () => new wickra.TDDifferential(), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TDOpen: { make: () => new wickra.TDOpen(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
// Family 14 — Candlestick patterns
Doji: { make: () => new wickra.Doji(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Hammer: { make: () => new wickra.Hammer(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
InvertedHammer: { make: () => new wickra.InvertedHammer(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
HangingMan: { make: () => new wickra.HangingMan(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ShootingStar: { make: () => new wickra.ShootingStar(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Engulfing: { make: () => new wickra.Engulfing(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Harami: { make: () => new wickra.Harami(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
MorningEveningStar: { make: () => new wickra.MorningEveningStar(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ThreeSoldiersOrCrows: { make: () => new wickra.ThreeSoldiersOrCrows(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
PiercingDarkCloud: { make: () => new wickra.PiercingDarkCloud(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Marubozu: { make: () => new wickra.Marubozu(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Tweezer: { make: () => new wickra.Tweezer(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
SpinningTop: { make: () => new wickra.SpinningTop(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ThreeInside: { make: () => new wickra.ThreeInside(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ThreeOutside: { make: () => new wickra.ThreeOutside(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TwoCrows: { make: () => new wickra.TwoCrows(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
UpsideGapTwoCrows: { make: () => new wickra.UpsideGapTwoCrows(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
IdenticalThreeCrows: { make: () => new wickra.IdenticalThreeCrows(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ThreeLineStrike: { make: () => new wickra.ThreeLineStrike(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ThreeStarsInSouth: { make: () => new wickra.ThreeStarsInSouth(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
AbandonedBaby: { make: () => new wickra.AbandonedBaby(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
AdvanceBlock: { make: () => new wickra.AdvanceBlock(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
BeltHold: { make: () => new wickra.BeltHold(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Breakaway: { make: () => new wickra.Breakaway(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Counterattack: { make: () => new wickra.Counterattack(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
DojiStar: { make: () => new wickra.DojiStar(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
DragonflyDoji: { make: () => new wickra.DragonflyDoji(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
GravestoneDoji: { make: () => new wickra.GravestoneDoji(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
LongLeggedDoji: { make: () => new wickra.LongLeggedDoji(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
RickshawMan: { make: () => new wickra.RickshawMan(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
EveningDojiStar: { make: () => new wickra.EveningDojiStar(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
MorningDojiStar: { make: () => new wickra.MorningDojiStar(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
GapSideBySideWhite: { make: () => new wickra.GapSideBySideWhite(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
HighWave: { make: () => new wickra.HighWave(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Hikkake: { make: () => new wickra.Hikkake(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
HikkakeModified: { make: () => new wickra.HikkakeModified(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
HomingPigeon: { make: () => new wickra.HomingPigeon(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
OnNeck: { make: () => new wickra.OnNeck(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
InNeck: { make: () => new wickra.InNeck(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Thrusting: { make: () => new wickra.Thrusting(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
SeparatingLines: { make: () => new wickra.SeparatingLines(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Kicking: { make: () => new wickra.Kicking(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
KickingByLength: { make: () => new wickra.KickingByLength(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
LadderBottom: { make: () => new wickra.LadderBottom(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
MatHold: { make: () => new wickra.MatHold(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
MatchingLow: { make: () => new wickra.MatchingLow(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
LongLine: { make: () => new wickra.LongLine(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ShortLine: { make: () => new wickra.ShortLine(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
RisingThreeMethods: { make: () => new wickra.RisingThreeMethods(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
FallingThreeMethods: { make: () => new wickra.FallingThreeMethods(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
UpsideGapThreeMethods: { make: () => new wickra.UpsideGapThreeMethods(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
DownsideGapThreeMethods: { make: () => new wickra.DownsideGapThreeMethods(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
StalledPattern: { make: () => new wickra.StalledPattern(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
StickSandwich: { make: () => new wickra.StickSandwich(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Takuri: { make: () => new wickra.Takuri(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ClosingMarubozu: { make: () => new wickra.ClosingMarubozu(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
OpeningMarubozu: { make: () => new wickra.OpeningMarubozu(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TasukiGap: { make: () => new wickra.TasukiGap(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
UniqueThreeRiver: { make: () => new wickra.UniqueThreeRiver(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ConcealingBabySwallow: { make: () => new wickra.ConcealingBabySwallow(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
DoubleTopBottom: { make: () => new wickra.DoubleTopBottom(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TripleTopBottom: { make: () => new wickra.TripleTopBottom(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
HeadAndShoulders: { make: () => new wickra.HeadAndShoulders(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Triangle: { make: () => new wickra.Triangle(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Wedge: { make: () => new wickra.Wedge(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
FlagPennant: { make: () => new wickra.FlagPennant(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
RectangleRange: { make: () => new wickra.RectangleRange(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
CupAndHandle: { make: () => new wickra.CupAndHandle(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Abcd: { make: () => new wickra.Abcd(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Gartley: { make: () => new wickra.Gartley(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Butterfly: { make: () => new wickra.Butterfly(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Bat: { make: () => new wickra.Bat(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Crab: { make: () => new wickra.Crab(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Shark: { make: () => new wickra.Shark(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Cypher: { make: () => new wickra.Cypher(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ThreeDrives: { make: () => new wickra.ThreeDrives(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
CloseVsOpen: { make: () => new wickra.CloseVsOpen(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
BodySizePct: { make: () => new wickra.BodySizePct(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
WickRatio: { make: () => new wickra.WickRatio(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
HighLowRange: { make: () => new wickra.HighLowRange(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
StochasticCCI: { make: () => new wickra.StochasticCCI(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
IMI: { make: () => new wickra.IMI(14), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TTM_TREND: { make: () => new wickra.TTM_TREND(6), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
Qstick: { make: () => new wickra.Qstick(10), step: (ind, i) => ind.update(open[i], close[i]), batch: (ind) => ind.batch(open, close) },
VolatilityRatio: { make: () => new wickra.VolatilityRatio(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ProjectionOscillator: { make: () => new wickra.ProjectionOscillator(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TimeBasedStop: { make: () => new wickra.TimeBasedStop(5), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
VolumeRsi: { make: () => new wickra.VolumeRsi(14), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
Wad: { make: () => new wickra.Wad(), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TwiggsMoneyFlow: { make: () => new wickra.TwiggsMoneyFlow(21), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
TradeVolumeIndex: { make: () => new wickra.TradeVolumeIndex(0.25), step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
IntradayIntensity: { make: () => new wickra.IntradayIntensity(), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
BetterVolume: { make: () => new wickra.BetterVolume(14), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
ADAPTIVECCI: { make: () => new wickra.ADAPTIVECCI(20), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
PivotReversal: { make: () => new wickra.PivotReversal(1, 1), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TDCamouflage: { make: () => new wickra.TDCamouflage(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TDClop: { make: () => new wickra.TDClop(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TDClopwin: { make: () => new wickra.TDClopwin(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TDPropulsion: { make: () => new wickra.TDPropulsion(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TDTrap: { make: () => new wickra.TDTrap(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TDDWave: { make: () => new wickra.TDDWave(2), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
HeikinAshiOscillator: { make: () => new wickra.HeikinAshiOscillator(5), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ThreeLineBreak: { make: () => new wickra.ThreeLineBreak(3), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
Tristar: { make: () => new wickra.Tristar(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
HaramiCross: { make: () => new wickra.HaramiCross(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TowerTopBottom: { make: () => new wickra.TowerTopBottom(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
DumplingTop: { make: () => new wickra.DumplingTop(9), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
NewPriceLines: { make: () => new wickra.NewPriceLines(5), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
FryPanBottom: { make: () => new wickra.FryPanBottom(9), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
NakedPoc: { make: () => new wickra.NakedPoc(20, 24), step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
SinglePrints: { make: () => new wickra.SinglePrints(20, 24), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
ProfileShape: { make: () => new wickra.ProfileShape(20, 24), step: (ind, i) => ind.update(high[i], low[i], volume[i]), batch: (ind) => ind.batch(high, low, volume) },
};
for (const [name, d] of Object.entries(candleScalar)) {
test(`${name}: streaming update matches batch`, () => {
const batch = d.batch(d.make());
const streaming = d.make();
assert.equal(batch.length, N);
for (let i = 0; i < N; i++) {
const s = num(d.step(streaming, i));
assert.ok(eq(s, batch[i]), `${name} mismatch at ${i}: ${s} vs ${batch[i]}`);
}
});
}
// --- Multi-output indicators: object update vs interleaved batch ---
const multi = {
KST: { make: () => new wickra.KST(10, 15, 20, 30, 10, 10, 10, 15, 9), fields: ['kst', 'signal'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
Alligator: { make: () => new wickra.Alligator(13, 8, 5), fields: ['jaw', 'teeth', 'lips'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
ZeroLagMACD: { make: () => new wickra.ZeroLagMACD(12, 26, 9), fields: ['macd', 'signal', 'histogram'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
MACD: { make: () => new wickra.MACD(12, 26, 9), fields: ['macd', 'signal', 'histogram'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
HT_PHASOR: { make: () => new wickra.HT_PHASOR(), fields: ['inphase', 'quadrature'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
MACDFIX: { make: () => new wickra.MACDFIX(9), fields: ['macd', 'signal', 'histogram'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
MACDEXT: { make: () => new wickra.MACDEXT(12, 0, 26, 0, 9, 0), fields: ['macd', 'signal', 'histogram'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
KST: { make: () => wickra.KST.classic(), fields: ['kst', 'signal'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
BollingerBands: { make: () => new wickra.BollingerBands(20, 2), fields: ['upper', 'middle', 'lower', 'stddev'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
Stochastic: { make: () => new wickra.Stochastic(14, 3), fields: ['k', 'd'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ADX: { make: () => new wickra.ADX(14), fields: ['plusDi', 'minusDi', 'adx'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
Keltner: { make: () => new wickra.Keltner(20, 10, 2), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
Donchian: { make: () => new wickra.Donchian(20), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
Aroon: { make: () => new wickra.Aroon(14), fields: ['up', 'down'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
Vortex: { make: () => new wickra.Vortex(14), fields: ['plus', 'minus'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
RWI: { make: () => new wickra.RWI(14), fields: ['high', 'low'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
WaveTrend: { make: () => wickra.WaveTrend.classic(), fields: ['wt1', 'wt2'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
SuperTrend: { make: () => new wickra.SuperTrend(10, 3), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ChandelierExit: { make: () => new wickra.ChandelierExit(22, 3), fields: ['longStop', 'shortStop'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ChandeKrollStop: { make: () => new wickra.ChandeKrollStop(10, 1, 9), fields: ['stopLong', 'stopShort'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
// Family 16: Market Profile
ValueArea: { make: () => new wickra.ValueArea(20, 50, 0.70), fields: ['poc', 'vah', 'val'], step: (ind, i) => ind.update(high[i], low[i], volume[i]), batch: (ind) => ind.batch(high, low, volume) },
InitialBalance: { make: () => new wickra.InitialBalance(12), fields: ['high', 'low'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
OpeningRange: { make: () => new wickra.OpeningRange(6), fields: ['high', 'low', 'breakoutDistance'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
DonchianStop: { make: () => new wickra.DonchianStop(10), fields: ['stopLong', 'stopShort'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
// Family 05: bands & channels
MaEnvelope: { make: () => new wickra.MaEnvelope(20, 0.025), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
AccelerationBands: { make: () => new wickra.AccelerationBands(20, 0.001), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
StarcBands: { make: () => new wickra.StarcBands(6, 15, 2), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
AtrBands: { make: () => new wickra.AtrBands(14, 3), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
HurstChannel: { make: () => new wickra.HurstChannel(10, 0.5), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
LinRegChannel: { make: () => new wickra.LinRegChannel(20, 2), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
StandardErrorBands: { make: () => new wickra.StandardErrorBands(21, 2), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
DoubleBollinger: { make: () => new wickra.DoubleBollinger(20, 1, 2), fields: ['upperOuter', 'upperInner', 'middle', 'lowerInner', 'lowerOuter'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
TtmSqueeze: { make: () => new wickra.TtmSqueeze(20, 2, 1.5), fields: ['squeeze', 'momentum'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
FractalChaosBands: { make: () => new wickra.FractalChaosBands(2), fields: ['upper', 'lower'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
VwapStdDevBands: { make: () => new wickra.VwapStdDevBands(2), fields: ['upper', 'middle', 'lower', 'stddev'], step: (ind, i) => ind.update(high[i], low[i], close[i], volume[i]), batch: (ind) => ind.batch(high, low, close, volume) },
// Family 08: Pivots & Support/Resistance
ClassicPivots: { make: () => new wickra.ClassicPivots(), fields: ['pp', 'r1', 'r2', 'r3', 's1', 's2', 's3'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
FibonacciPivots: { make: () => new wickra.FibonacciPivots(), fields: ['pp', 'r1', 'r2', 'r3', 's1', 's2', 's3'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
Camarilla: { make: () => new wickra.Camarilla(), fields: ['pp', 'r1', 'r2', 'r3', 'r4', 's1', 's2', 's3', 's4'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
WoodiePivots: { make: () => new wickra.WoodiePivots(), fields: ['pp', 'r1', 'r2', 's1', 's2'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
DemarkPivots: { make: () => new wickra.DemarkPivots(), fields: ['pp', 'r1', 's1'], step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
WilliamsFractals: { make: () => new wickra.WilliamsFractals(), fields: ['up', 'down'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
ZigZag: { make: () => new wickra.ZigZag(0.02), fields: ['swing', 'direction'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
// Family 11: DeMark
TDSequential: { make: () => new wickra.TDSequential(4, 9, 2, 13), fields: ['setup', 'countdown', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TDLines: { make: () => new wickra.TDLines(4, 9), fields: ['resistance', 'support'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TDRangeProjection: { make: () => new wickra.TDRangeProjection(), fields: ['high', 'low'], step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
TDRiskLevel: { make: () => new wickra.TDRiskLevel(4, 9), fields: ['buyRisk', 'sellRisk'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
// Family 10: Ehlers / Cycle (multi-output)
MAMA: { make: () => new wickra.MAMA(0.5, 0.05), fields: ['mama', 'fama'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
// Family 13: Ichimoku & alternative charts
Ichimoku: { make: () => new wickra.Ichimoku(9, 26, 52, 26), fields: ['tenkan', 'kijun', 'senkouA', 'senkouB', 'chikou'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
HeikinAshi: { make: () => new wickra.HeikinAshi(), fields: ['open', 'high', 'low', 'close'], step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
FibRetracement: { make: () => new wickra.FibRetracement(), fields: ['level0', 'level236', 'level382', 'level500', 'level618', 'level786', 'level1000'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
FibExtension: { make: () => new wickra.FibExtension(), fields: ['level1272', 'level1414', 'level1618', 'level2000', 'level2618'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
FibProjection: { make: () => new wickra.FibProjection(), fields: ['level618', 'level1000', 'level1618', 'level2618'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
AutoFib: { make: () => new wickra.AutoFib(), fields: ['level0', 'level236', 'level382', 'level500', 'level618', 'level786', 'level1000'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
GoldenPocket: { make: () => new wickra.GoldenPocket(), fields: ['low', 'mid', 'high'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
FibConfluence: { make: () => new wickra.FibConfluence(), fields: ['price', 'strength'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
FibFan: { make: () => new wickra.FibFan(), fields: ['fan382', 'fan500', 'fan618'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
FibArcs: { make: () => new wickra.FibArcs(), fields: ['arc382', 'arc500', 'arc618'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
FibChannel: { make: () => new wickra.FibChannel(), fields: ['base', 'level618', 'level1000', 'level1618'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
FibTimeZones: { make: () => new wickra.FibTimeZones(), fields: ['onZone', 'barsToNext'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
ElderRay: { make: () => new wickra.ElderRay(13), fields: ['bullPower', 'bearPower'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
QQE: { make: () => new wickra.QQE(14, 5, 4.236), fields: ['rsiMa', 'trailingLine'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
GatorOscillator: { make: () => new wickra.GatorOscillator(13, 8, 5), fields: ['upper', 'lower'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
KasePermissionStochastic: { make: () => new wickra.KasePermissionStochastic(9, 3), fields: ['fast', 'slow'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
VolatilityCone: { make: () => new wickra.VolatilityCone(20, 60), fields: ['current', 'min', 'median', 'max', 'percentile'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
QuartileBands: { make: () => new wickra.QuartileBands(4), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
BomarBands: { make: () => new wickra.BomarBands(4, 0.85), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
MedianChannel: { make: () => new wickra.MedianChannel(5, 2.0), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
ProjectionBands: { make: () => new wickra.ProjectionBands(3), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
KaseDevStop: { make: () => new wickra.KaseDevStop(3, 1.0), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ElderSafeZone: { make: () => new wickra.ElderSafeZone(14, 2.0), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
AtrRatchet: { make: () => new wickra.AtrRatchet(14, 4.0, 0.1), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
Nrtr: { make: () => new wickra.Nrtr(2.0), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ModifiedMaStop: { make: () => new wickra.ModifiedMaStop(14), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
VolumeWeightedMacd: { make: () => new wickra.VolumeWeightedMacd(12, 26, 9), fields: ['macd', 'signal', 'histogram'], step: (ind, i) => ind.update(close[i], volume[i]), batch: (ind) => ind.batch(close, volume) },
CentralPivotRange: { make: () => new wickra.CentralPivotRange(), fields: ['pivot', 'tc', 'bc'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
MurreyMathLines: { make: () => new wickra.MurreyMathLines(4), fields: ['mm8_8', 'mm7_8', 'mm6_8', 'mm5_8', 'mm4_8', 'mm3_8', 'mm2_8', 'mm1_8', 'mm0_8'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
AndrewsPitchfork: { make: () => new wickra.AndrewsPitchfork(2), fields: ['median', 'upper', 'lower'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
VolumeWeightedSr: { make: () => new wickra.VolumeWeightedSr(3), fields: ['support', 'resistance'], step: (ind, i) => ind.update(high[i], low[i], volume[i]), batch: (ind) => ind.batch(high, low, volume) },
TDMovingAverage: { make: () => new wickra.TDMovingAverage(5, 13), fields: ['st1', 'st2'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
SmoothedHeikinAshi: { make: () => new wickra.SmoothedHeikinAshi(5), fields: ['open', 'high', 'low', 'close'], step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
Equivolume: { make: () => new wickra.Equivolume(20), fields: ['height', 'width'], step: (ind, i) => ind.update(high[i], low[i], volume[i]), batch: (ind) => ind.batch(high, low, volume) },
CandleVolume: { make: () => new wickra.CandleVolume(20), fields: ['body', 'width'], step: (ind, i) => ind.update(open[i], close[i], volume[i]), batch: (ind) => ind.batch(open, close, volume) },
HighLowVolumeNodes: { make: () => new wickra.HighLowVolumeNodes(20, 24), fields: ['hvn', 'lvn'], step: (ind, i) => ind.update(high[i], low[i], volume[i]), batch: (ind) => ind.batch(high, low, volume) },
CompositeProfile: { make: () => new wickra.CompositeProfile(20, 24, 0.7), fields: ['poc', 'vah', 'val'], step: (ind, i) => ind.update(high[i], low[i], volume[i]), batch: (ind) => ind.batch(high, low, volume) },
};
for (const [name, d] of Object.entries(multi)) {
test(`${name}: streaming update matches interleaved batch`, () => {
const k = d.fields.length;
const batch = d.batch(d.make());
const streaming = d.make();
assert.equal(batch.length, N * k);
for (let i = 0; i < N; i++) {
const o = d.step(streaming, i);
d.fields.forEach((field, j) => {
const s = o === null || o === undefined ? NaN : o[field];
assert.ok(eq(s, batch[i * k + j]), `${name}.${field} mismatch at ${i}`);
});
}
});
}
// --- Lifecycle: every indicator exposes reset / isReady / warmupPeriod ---
test('every indicator exposes reset, isReady and warmupPeriod', () => {
const all = [
...Object.values(scalarFactories).map((f) => f()),
...Object.values(candleScalar).map((d) => d.make()),
...Object.values(multi).map((d) => d.make()),
];
for (const ind of all) {
assert.equal(typeof ind.reset, 'function');
assert.equal(typeof ind.isReady, 'function');
assert.equal(typeof ind.warmupPeriod, 'function');
assert.equal(ind.isReady(), false);
assert.ok(ind.warmupPeriod() >= 1);
}
});
test('reset returns an indicator to its un-warmed state', () => {
const sma = new wickra.SMA(5);
sma.batch([1, 2, 3, 4, 5]);
assert.equal(sma.isReady(), true);
sma.reset();
assert.equal(sma.isReady(), false);
assert.equal(sma.update(10), null);
});
// --- Reference values ---
test('SMA(3) reference values', () => {
const out = new wickra.SMA(3).batch([2, 4, 6, 8, 10]);
assert.ok(Number.isNaN(out[0]) && Number.isNaN(out[1]));
assert.equal(out[2], 4);
assert.equal(out[3], 6);
assert.equal(out[4], 8);
});
test('MFI(2) reference value equals 1200/23', () => {
// Candle 1 seeds; candle 2 (tp 12 > 10) +mf 1200; candle 3 (tp 11 < 12) -mf 1100.
const mfi = new wickra.MFI(2);
assert.equal(mfi.update(10, 10, 10, 100), null);
assert.equal(mfi.update(12, 12, 12, 100), null);
const v = mfi.update(11, 11, 11, 100);
assert.ok(Math.abs(v - 1200 / 23) < 1e-9);
});
test('RSI pure uptrend yields 100', () => {
const prices = Array.from({ length: 20 }, (_, i) => i + 1);
const out = new wickra.RSI(14).batch(prices);
for (let i = 14; i < out.length; i++) {
assert.equal(out[i], 100);
}
});
test('MACD histogram equals macd minus signal', () => {
const macd = new wickra.MACD(12, 26, 9);
let v = null;
for (let i = 1; i <= 60; i++) v = macd.update(i);
assert.ok(v);
assert.ok(Math.abs(v.histogram - (v.macd - v.signal)) < 1e-9);
});
test('TypicalPrice reference value', () => {
// (high + low + close) / 3 = (12 + 6 + 9) / 3 = 9.
assert.equal(new wickra.TypicalPrice().update(12, 6, 9), 9);
});
test('ChaikinMoneyFlow(2) reference value equals 0.5', () => {
// Bar 1 closes at the high (MFV +100); bar 2 closes mid-range (MFV 0).
const cmf = new wickra.ChaikinMoneyFlow(2);
assert.equal(cmf.update(10, 8, 10, 100), null);
assert.ok(Math.abs(cmf.update(12, 8, 10, 100) - 0.5) < 1e-9);
});
test('LinearRegression(3) reference values', () => {
// Least-squares line through [1, 2, 9] is y = 4x; endpoint 4·2 = 8.
const out = new wickra.LinearRegression(3).batch([1, 2, 9]);
assert.ok(Number.isNaN(out[0]) && Number.isNaN(out[1]));
assert.ok(Math.abs(out[2] - 8) < 1e-9);
});
test('SuperTrend flat market holds the lower band and an uptrend', () => {
// Flat candles: ATR 2, hl2 10, lower band 10 - 3·2 = 4.
const n = 20;
const out = new wickra.SuperTrend(5, 3).batch(
Array(n).fill(11),
Array(n).fill(9),
Array(n).fill(10),
);
assert.ok(Math.abs(out[2 * n - 2] - 4) < 1e-9); // value
assert.equal(out[2 * n - 1], 1); // direction
});
test('BalanceOfPower reference value', () => {
// (close - open) / (high - low) = (12 - 10) / (14 - 10) = 0.5.
assert.ok(Math.abs(new wickra.BalanceOfPower().update(10, 14, 10, 12) - 0.5) < 1e-9);
});
test('TrueRange reference values', () => {
const tr = new wickra.TrueRange();
assert.equal(tr.update(12, 8, 11), 4); // no prev close -> high - low
assert.equal(tr.update(10, 9, 9.5), 2); // prev close 11 -> max(1, 1, 2)
});
test('LinRegAngle of a unit-slope series is 45 degrees', () => {
const out = new wickra.LinRegAngle(5).batch([1, 2, 3, 4, 5, 6]);
assert.ok(Math.abs(out[4] - 45) < 1e-9);
});
test('InitialBalance(2) locks after period and ignores subsequent bars', () => {
const ib = new wickra.InitialBalance(2);
let v = ib.update(102, 100);
assert.equal(v.high, 102);
assert.equal(v.low, 100);
v = ib.update(103, 99);
assert.equal(v.high, 103);
assert.equal(v.low, 99);
assert.equal(ib.isLocked(), true);
// Extreme bar after lock must not modify the IB.
v = ib.update(200, 50);
assert.equal(v.high, 103);
assert.equal(v.low, 99);
});
test('OpeningRange(2) breakout distance is signed close minus midpoint', () => {
const or = new wickra.OpeningRange(2);
or.update(102, 100, 101);
or.update(103, 101, 102);
// OR locked at high 103 / low 100 / mid 101.5. Close 105 -> +3.5.
const v = or.update(110, 102, 105);
assert.equal(v.high, 103);
assert.equal(v.low, 100);
assert.ok(Math.abs(v.breakoutDistance - 3.5) < 1e-9);
});
// --- Family 12: two-series indicators (Pearson / Beta / Spearman) ---
const pairFactories = {
PearsonCorrelation: () => new wickra.PearsonCorrelation(14),
Beta: () => new wickra.Beta(14),
PairwiseBeta: () => new wickra.PairwiseBeta(14),
PairSpreadZScore: () => new wickra.PairSpreadZScore(14, 14),
SpearmanCorrelation: () => new wickra.SpearmanCorrelation(14),
RollingCorrelation: () => new wickra.RollingCorrelation(20),
RollingCovariance: () => new wickra.RollingCovariance(20),
OuHalfLife: () => new wickra.OuHalfLife(60),
SpreadHurst: () => new wickra.SpreadHurst(60),
DistanceSsd: () => new wickra.DistanceSsd(20),
BetaNeutralSpread: () => new wickra.BetaNeutralSpread(20),
VarianceRatio: () => new wickra.VarianceRatio(60, 2),
GrangerCausality: () => new wickra.GrangerCausality(60, 1),
SpreadAr1Coefficient: () => new wickra.SpreadAr1Coefficient(40),
KendallTau: () => new wickra.KendallTau(20),
HasbrouckInformationShare: () => new wickra.HasbrouckInformationShare(2),
};
for (const [name, make] of Object.entries(pairFactories)) {
test(`${name}: streaming update matches batch over a pair of series`, () => {
const xs = Array.from({ length: N }, (_, i) => Math.sin(i * 0.2) + 0.05 * i);
const ys = Array.from({ length: N }, (_, i) => Math.cos(i * 0.3) + 0.02 * i);
const batch = make().batch(xs, ys);
const streaming = make();
assert.equal(batch.length, N);
for (let i = 0; i < N; i++) {
const s = num(streaming.update(xs[i], ys[i]));
assert.ok(eq(s, batch[i]), `${name} mismatch at ${i}: ${s} vs ${batch[i]}`);
}
});
}
test('PearsonCorrelation perfect positive is 1', () => {
const x = Array.from({ length: 10 }, (_, i) => i);
const y = x.map((v) => 2 * v + 3);
const out = new wickra.PearsonCorrelation(5).batch(x, y);
assert.ok(Math.abs(out[out.length - 1] - 1) < 1e-9);
});
test('Beta perfect two-to-one', () => {
const bench = Array.from({ length: 10 }, (_, i) => i);
const asset = bench.map((v) => 2 * v);
const out = new wickra.Beta(5).batch(asset, bench);
assert.ok(Math.abs(out[out.length - 1] - 2) < 1e-9);
});
test('PairwiseBeta squared price is two', () => {
// b needs varying returns; a = b² ⇒ a's log-returns are exactly 2× b's.
const bench = Array.from({ length: 20 }, (_, i) => 100 + 10 * Math.sin(i * 0.5));
const asset = bench.map((v) => v * v);
const out = new wickra.PairwiseBeta(5).batch(asset, bench);
assert.ok(Math.abs(out[out.length - 1] - 2) < 1e-9);
});
test('PairSpreadZScore flat benchmark is sign of last move', () => {
// Flat b ⇒ hedge ratio 0 ⇒ spread = ln(a); z_period = 2 ⇒ z = sign of move.
const a = [100, 100, 110, 105, 130];
const b = [100, 100, 100, 100, 100];
const out = new wickra.PairSpreadZScore(2, 2).batch(a, b);
assert.ok(Math.abs(out[out.length - 1] - 1) < 1e-9);
assert.ok(Math.abs(out[out.length - 2] + 1) < 1e-9);
});
const llSignal = (t) =>
Math.sin(t * 0.4) + 0.4 * Math.sin(t * 1.1) + 0.2 * Math.cos(t * 0.27);
test('LeadLagCrossCorrelation detects positive lead (object output)', () => {
const ll = new wickra.LeadLagCrossCorrelation(12, 5);
let last = null;
// b is a delayed by 3 ⇒ a leads b ⇒ lag = +3.
for (let t = 0; t < 60; t++) last = ll.update(llSignal(t), llSignal(t - 3));
assert.equal(last.lag, 3);
assert.ok(last.correlation > 0.99);
});
test('LeadLagCrossCorrelation batch is flat 2*n with last row matching', () => {
const n = 60;
const a = Array.from({ length: n }, (_, t) => llSignal(t));
const b = Array.from({ length: n }, (_, t) => llSignal(t - 3));
const out = new wickra.LeadLagCrossCorrelation(12, 5).batch(a, b);
assert.equal(out.length, 2 * n);
assert.equal(out[2 * (n - 1)], 3);
assert.ok(out[2 * (n - 1) + 1] > 0.99);
});
test('Cointegration detects mean-reverting pair (object output)', () => {
const n = 80;
const b = Array.from({ length: n }, (_, t) => 50 + 0.5 * t);
const a = b.map((v, t) => 2 * v + 1 + 0.5 * Math.sin(t * 0.6));
const co = new wickra.Cointegration(40, 1);
let last = null;
for (let i = 0; i < n; i++) last = co.update(a[i], b[i]);
assert.ok(Math.abs(last.hedgeRatio - 2) < 0.1);
assert.ok(last.adfStat < -2);
});
test('Cointegration batch is flat 3*n with last row matching', () => {
const n = 80;
const b = Array.from({ length: n }, (_, t) => 50 + 0.5 * t);
const a = b.map((v, t) => 2 * v + 1 + 0.5 * Math.sin(t * 0.6));
const out = new wickra.Cointegration(40, 1).batch(a, b);
assert.equal(out.length, 3 * n);
assert.ok(Math.abs(out[3 * (n - 1)] - 2) < 0.1);
assert.ok(out[3 * (n - 1) + 2] < -2);
});
test('KalmanHedgeRatio converges to a static hedge ratio (object output)', () => {
const n = 500;
const b = Array.from({ length: n }, (_, t) => 100 + 95 * Math.sin(t * 0.5));
const a = b.map((v) => 2 * v + 5);
const k = new wickra.KalmanHedgeRatio(1e-2, 1e-3);
let last = null;
for (let i = 0; i < n; i++) last = k.update(a[i], b[i]);
assert.ok(Math.abs(last.hedgeRatio - 2) < 0.05);
assert.ok(Math.abs(last.spread) < 0.05);
});
test('KalmanHedgeRatio batch is flat 3*n with last row matching', () => {
const n = 500;
const b = Array.from({ length: n }, (_, t) => 100 + 95 * Math.sin(t * 0.5));
const a = b.map((v) => 2 * v + 5);
const out = new wickra.KalmanHedgeRatio(1e-2, 1e-3).batch(a, b);
assert.equal(out.length, 3 * n);
assert.ok(Math.abs(out[3 * (n - 1)] - 2) < 0.05);
assert.ok(Math.abs(out[3 * (n - 1) + 2]) < 0.05);
});
test('SpreadBollingerBands bands are ordered (object output)', () => {
const n = 60;
const b = Array.from({ length: n }, (_, t) => 100 + t);
const a = b.map((v, t) => v + 3 * Math.sin(t * 0.4));
const bb = new wickra.SpreadBollingerBands(20, 2.0);
let last = null;
for (let i = 0; i < n; i++) last = bb.update(a[i], b[i]);
assert.ok(last.lower <= last.middle && last.middle <= last.upper);
});
test('SpreadBollingerBands batch is flat 4*n with last row matching', () => {
const n = 60;
const b = Array.from({ length: n }, (_, t) => 100 + t);
const a = b.map((v, t) => v + 3 * Math.sin(t * 0.4));
const out = new wickra.SpreadBollingerBands(20, 2.0).batch(a, b);
assert.equal(out.length, 4 * n);
const base = 4 * (n - 1);
assert.ok(out[base + 2] <= out[base] && out[base] <= out[base + 1]);
});
test('RelativeStrengthAB constant ratio is flat (object output)', () => {
const rs = new wickra.RelativeStrengthAB(5, 5);
let last = null;
for (let i = 0; i < 30; i++) last = rs.update(200, 100); // ratio is a constant 2
assert.ok(Math.abs(last.ratio - 2) < 1e-12);
assert.ok(Math.abs(last.ratioMa - 2) < 1e-12);
assert.ok(Math.abs(last.ratioRsi - 50) < 1e-9);
});
test('RelativeStrengthAB batch is flat 3*n with last row matching', () => {
const n = 30;
const a = Array.from({ length: n }, () => 200);
const b = Array.from({ length: n }, () => 100);
const out = new wickra.RelativeStrengthAB(5, 5).batch(a, b);
assert.equal(out.length, 3 * n);
assert.ok(Math.abs(out[3 * (n - 1)] - 2) < 1e-12);
assert.ok(Math.abs(out[3 * (n - 1) + 2] - 50) < 1e-9);
});
test('SpearmanCorrelation monotone non-linear is 1', () => {
const x = Array.from({ length: 10 }, (_, i) => i + 1);
const y = x.map((v) => v ** 3);
const out = new wickra.SpearmanCorrelation(5).batch(x, y);
assert.ok(Math.abs(out[out.length - 1] - 1) < 1e-9);
});
test('Variance(3) of [2, 4, 6] equals 8/3', () => {
const out = new wickra.Variance(3).batch([2, 4, 6]);
assert.ok(Math.abs(out[2] - 8 / 3) < 1e-12);
});
test('RSquared on a perfect line is 1', () => {
const xs = Array.from({ length: 20 }, (_, i) => 2 * i + 5);
const out = new wickra.RSquared(5).batch(xs);
for (let i = 5; i < out.length; i++) {
assert.ok(Math.abs(out[i] - 1) < 1e-9);
}
});
test('MedianAbsoluteDeviation ignores a single huge outlier', () => {
const xs = Array(9).fill(5).concat([1000]);
const out = new wickra.MedianAbsoluteDeviation(10).batch(xs);
assert.ok(Math.abs(out[9]) < 1e-12);
});
test('Autocorrelation of an alternating series is strongly negative at lag 1', () => {
const xs = Array.from({ length: 20 }, (_, i) => (i % 2 === 0 ? -1 : 1));
const out = new wickra.Autocorrelation(10, 1).batch(xs);
assert.ok(out[out.length - 1] < -0.5);
});
test('HurstExponent of a monotone ramp is above 0.5', () => {
const xs = Array.from({ length: 200 }, (_, i) => i);
const out = new wickra.HurstExponent(100, 4).batch(xs);
assert.ok(out[out.length - 1] > 0.5);
});
test('Ichimoku classic warmup is 77 and tenkan emits at bar 9', () => {
const ichi = new wickra.Ichimoku(9, 26, 52, 26);
assert.equal(ichi.warmupPeriod(), 77);
const n = 30;
const h = Array.from({ length: n }, (_, i) => 100 + i + 2);
const l = Array.from({ length: n }, (_, i) => 100 + i - 2);
const c = Array.from({ length: n }, (_, i) => 100 + i + 1);
const out = ichi.batch(h, l, c);
for (let i = 0; i < 8; i++) {
assert.ok(Number.isNaN(out[i * 5]), `tenkan should be NaN at bar ${i}`);
}
assert.ok(!Number.isNaN(out[8 * 5]), 'tenkan should be defined at bar 9');
});
test('HeikinAshi first bar seeds from real open and close', () => {
const ha = new wickra.HeikinAshi();
const out = ha.update(10, 12, 9, 11);
assert.ok(Math.abs(out.open - (10 + 11) / 2) < 1e-12);
assert.ok(Math.abs(out.close - (10 + 12 + 9 + 11) / 4) < 1e-12);
});
test('PercentageTrailingStop seeds and ratchets', () => {
const s = new wickra.PercentageTrailingStop(10);
assert.ok(Math.abs(s.update(100) - 90) < 1e-9);
assert.ok(Math.abs(s.update(110) - 99) < 1e-9);
});
test('RenkoTrailingStop only advances after a full block', () => {
const s = new wickra.RenkoTrailingStop(1);
assert.ok(Math.abs(s.update(100) - 99) < 1e-9);
assert.ok(Math.abs(s.update(100.5) - 99) < 1e-9);
assert.ok(Math.abs(s.update(101) - 100) < 1e-9);
});
test('DonchianStop window extremes', () => {
const out = new wickra.DonchianStop(5).batch([1, 2, 3, 4, 5], [0, 1, 2, 3, 4]);
// [long0, short0, long1, short1, ...]: idx 8 (=4*2) = long_5th, idx 9 = short_5th.
assert.ok(Math.abs(out[8] - 0) < 1e-9);
assert.ok(Math.abs(out[9] - 5) < 1e-9);
});
test('MaEnvelope reference values', () => {
// SMA([10, 20, 30]) = 20; with percent 0.10: upper=22, lower=18.
const out = new wickra.MaEnvelope(3, 0.10).batch([10, 20, 30]);
assert.ok(Number.isNaN(out[0]) && Number.isNaN(out[3]));
assert.ok(Math.abs(out[2 * 3 + 0] - 22) < 1e-9); // upper
assert.ok(Math.abs(out[2 * 3 + 1] - 20) < 1e-9); // middle
assert.ok(Math.abs(out[2 * 3 + 2] - 18) < 1e-9); // lower
});
test('AccelerationBands single-bar reference', () => {
// high=12, low=8, close=10, factor=0.5, period=1.
// ratio=0.2, raw_up=13.2, raw_lo=7.2.
const v = new wickra.AccelerationBands(1, 0.5).update(12, 8, 10);
assert.ok(Math.abs(v.upper - 13.2) < 1e-9);
assert.ok(Math.abs(v.middle - 10) < 1e-9);
assert.ok(Math.abs(v.lower - 7.2) < 1e-9);
});
test('LinRegChannel reference values for [1, 2, 9]', () => {
// Line y=4x, endpoint=8, residuals=[1,-2,1], sigma=sqrt(2).
const out = new wickra.LinRegChannel(3, 2).batch([1, 2, 9]);
const s = Math.sqrt(2);
const i = 2;
assert.ok(Math.abs(out[i * 3 + 0] - (8 + 2 * s)) < 1e-9);
assert.ok(Math.abs(out[i * 3 + 1] - 8) < 1e-9);
assert.ok(Math.abs(out[i * 3 + 2] - (8 - 2 * s)) < 1e-9);
});
test('VwapStdDevBands two-bar reference', () => {
const v = new wickra.VwapStdDevBands(1.5);
v.update(8, 8, 8, 1);
const o = v.update(12, 12, 12, 1);
assert.ok(Math.abs(o.upper - 13) < 1e-9);
assert.ok(Math.abs(o.middle - 10) < 1e-9);
assert.ok(Math.abs(o.lower - 7) < 1e-9);
assert.ok(Math.abs(o.stddev - 2) < 1e-9);
});
test('RVIVolatility pure uptrend saturates at 100', () => {
const prices = Array.from({ length: 40 }, (_, i) => i + 1);
const out = new wickra.RVIVolatility(5).batch(prices);
for (let i = 9; i < out.length; i++) {
assert.ok(Math.abs(out[i] - 100) < 1e-9, `RVIVolatility[${i}] = ${out[i]}`);
}
});
test('ParkinsonVolatility zero-range bars yield zero', () => {
const n = 30;
const h = Array(n).fill(10);
const l = Array(n).fill(10);
const out = new wickra.ParkinsonVolatility(14, 252).batch(h, l);
for (let i = 13; i < n; i++) {
assert.ok(Math.abs(out[i]) < 1e-12, `Parkinson[${i}] = ${out[i]}`);
}
});
test('GarmanKlassVolatility zero-movement bars yield zero', () => {
const n = 30;
const flat = Array(n).fill(10);
const out = new wickra.GarmanKlassVolatility(14, 252).batch(flat, flat, flat, flat);
for (let i = 13; i < n; i++) {
assert.ok(Math.abs(out[i]) < 1e-12, `GK[${i}] = ${out[i]}`);
}
});
test('RogersSatchellVolatility zero-movement bars yield zero', () => {
const n = 30;
const flat = Array(n).fill(10);
const out = new wickra.RogersSatchellVolatility(14, 252).batch(flat, flat, flat, flat);
for (let i = 13; i < n; i++) {
assert.ok(Math.abs(out[i]) < 1e-12, `RS[${i}] = ${out[i]}`);
}
});
test('YangZhangVolatility zero-movement bars yield zero', () => {
const n = 30;
const flat = Array(n).fill(10);
const out = new wickra.YangZhangVolatility(14, 252).batch(flat, flat, flat, flat);
for (let i = 14; i < n; i++) {
assert.ok(Math.abs(out[i]) < 1e-12, `YZ[${i}] = ${out[i]}`);
}
});
test('ZeroLagMACD on a flat series converges to zero', () => {
const out = new wickra.ZeroLagMACD(3, 5, 3).batch(Array(60).fill(42));
// Last interleaved row: macd, signal, histogram all 0.
const n = 60;
assert.ok(Math.abs(out[(n - 1) * 3]) < 1e-12);
assert.ok(Math.abs(out[(n - 1) * 3 + 1]) < 1e-12);
assert.ok(Math.abs(out[(n - 1) * 3 + 2]) < 1e-12);
});
test('AwesomeOscillatorHistogram on a flat median converges to zero', () => {
const n = 50;
const out = new wickra.AwesomeOscillatorHistogram(3, 5, 3).batch(
Array(n).fill(11),
Array(n).fill(9),
);
// warmup = 5 + 3 - 1 = 7.
for (let i = 6; i < n; i++) assert.ok(Math.abs(out[i]) < 1e-12);
});
test('STC on a flat series stays at zero', () => {
const out = new wickra.STC(3, 5, 4, 0.5).batch(Array(60).fill(42));
// Latest values must be exactly zero.
for (let i = out.length - 5; i < out.length; i++) {
if (Number.isNaN(out[i])) continue;
assert.equal(out[i], 0);
}
});
test('ElderImpulse on a flat series stays neutral (0)', () => {
const out = new wickra.ElderImpulse(13, 12, 26, 9).batch(Array(120).fill(42));
for (let i = 0; i < out.length; i++) {
if (Number.isNaN(out[i])) continue;
assert.equal(out[i], 0);
}
});
test('CFO(5) on a perfectly linear series yields zero', () => {
const prices = Array.from({ length: 20 }, (_, i) => (i + 1) * 2);
const out = new wickra.CFO(5).batch(prices);
for (let i = 4; i < 20; i++) assert.ok(Math.abs(out[i]) < 1e-9);
});
test('APO(3, 5) on a flat series converges to zero', () => {
const out = new wickra.APO(3, 5).batch(Array(30).fill(42));
for (let i = 0; i < 4; i++) assert.ok(Number.isNaN(out[i]));
for (let i = 4; i < 30; i++) assert.ok(Math.abs(out[i]) < 1e-12);
});
test('Inertia(3, 4) on a constant RVI series equals that RVI', () => {
const n = 60;
// Every bar (open, high, low, close) = (10, 11, 9, 10.5) -> RVI = 0.25.
const out = new wickra.Inertia(3, 4).batch(
Array(n).fill(10),
Array(n).fill(11),
Array(n).fill(9),
Array(n).fill(10.5),
);
for (let i = 5; i < n; i++) assert.ok(Math.abs(out[i] - 0.25) < 1e-12);
});
test('ConnorsRSI stays bounded in [0, 100]', () => {
const prices = Array.from({ length: 250 }, (_, i) => 100 + 20 * Math.sin(i * 0.12));
const out = new wickra.ConnorsRSI(3, 2, 100).batch(prices);
for (let i = 0; i < out.length; i++) {
if (Number.isNaN(out[i])) continue;
assert.ok(out[i] >= 0 && out[i] <= 100, `out[${i}] = ${out[i]}`);
}
});
test('LaguerreRSI on a flat series stays at the neutral 50', () => {
const out = new wickra.LaguerreRSI(0.5).batch(Array(40).fill(42));
for (let i = 0; i < out.length; i++) assert.ok(Math.abs(out[i] - 50) < 1e-12);
});
test('SMI with close at range centre emits zero after warmup', () => {
const n = 60;
const out = new wickra.SMI(5, 3, 3).batch(Array(n).fill(11), Array(n).fill(9), Array(n).fill(10));
// warmup_period = 5 + 3 + 3 - 2 = 9.
for (let i = 8; i < n; i++) assert.ok(Math.abs(out[i]) < 1e-12);
});
test('KST on a flat series emits zero after warmup', () => {
const kst = new wickra.KST(10, 15, 20, 30, 10, 10, 10, 15, 9);
const n = 80;
const out = kst.batch(Array(n).fill(42));
const warmup = kst.warmupPeriod();
for (let i = warmup - 1; i < n; i++) {
assert.ok(Math.abs(out[i * 2]) < 1e-12, `kst[${i}] = ${out[i * 2]}`);
assert.ok(Math.abs(out[i * 2 + 1]) < 1e-12, `signal[${i}] = ${out[i * 2 + 1]}`);
}
});
test('PGO(5) on a flat close emits zero after warmup', () => {
const n = 20;
const out = new wickra.PGO(5).batch(Array(n).fill(11), Array(n).fill(9), Array(n).fill(10));
for (let i = 0; i < 4; i++) assert.ok(Number.isNaN(out[i]));
for (let i = 4; i < n; i++) assert.ok(Math.abs(out[i]) < 1e-12, `out[${i}] = ${out[i]}`);
});
test('RVI(2) reference value on two bars', () => {
// Bars (open, high, low, close): (10, 11, 9, 10.5), (10.5, 11.5, 10, 11).
const out = new wickra.RVI(2).batch([10, 10.5], [11, 11.5], [9, 10], [10.5, 11]);
assert.ok(Number.isNaN(out[0]));
assert.ok(Math.abs(out[1] - 1 / 3.5) < 1e-12);
});
test('EVWMA(2) reference values on [10, 20, 30] with volumes [1, 3, 1]', () => {
const out = new wickra.EVWMA(2).batch([10, 20, 30], [1, 3, 1]);
assert.ok(Number.isNaN(out[0]));
assert.ok(Math.abs(out[1] - 20) < 1e-12);
assert.ok(Math.abs(out[2] - 22.5) < 1e-12);
});
test('Alligator on a flat median price seeds to that median', () => {
const n = 30;
const out = new wickra.Alligator(13, 8, 5).batch(Array(n).fill(11), Array(n).fill(9));
// All three SMMAs see median (11 + 9) / 2 = 10 every bar.
for (let i = 12; i < n; i++) {
assert.ok(Math.abs(out[i * 3] - 10) < 1e-12, `jaw at ${i}: ${out[i * 3]}`);
assert.ok(Math.abs(out[i * 3 + 1] - 10) < 1e-12);
assert.ok(Math.abs(out[i * 3 + 2] - 10) < 1e-12);
}
});
test('JMA on a flat series reproduces the constant', () => {
const out = new wickra.JMA(14, 0, 2).batch(Array(30).fill(42));
for (let i = 0; i < 30; i++) assert.ok(Math.abs(out[i] - 42) < 1e-12);
});
test('VIDYA on a flat series holds the seed', () => {
const out = new wickra.VIDYA(14, 4).batch(Array(20).fill(42));
for (let i = 0; i < 4; i++) assert.ok(Number.isNaN(out[i]));
for (let i = 4; i < 20; i++) assert.ok(Math.abs(out[i] - 42) < 1e-12);
});
test('FRAMA pure uptrend hugs the latest close', () => {
const out = new wickra.FRAMA(4).batch([1, 2, 3, 4, 5, 6, 7, 8]);
assert.ok(Math.abs(out[out.length - 1] - 8) < 0.05);
});
test('McGinleyDynamic(3) seeds with SMA and recurses on the next price', () => {
// Seed = SMA([10, 20, 30]) = 20. On 40: ratio = 2, divisor = 0.6*3*16 = 28.8.
const out = new wickra.McGinleyDynamic(3).batch([10, 20, 30, 40]);
assert.ok(Number.isNaN(out[0]) && Number.isNaN(out[1]));
assert.ok(Math.abs(out[2] - 20) < 1e-12);
const expected = 20 + 20 / (0.6 * 3 * 16);
assert.ok(Math.abs(out[3] - expected) < 1e-12);
});
test('ALMA(3, 0.85, 6) reference value on [10, 20, 30]', () => {
// m = 0.85 * 2 = 1.7; s = 3 / 6 = 0.5; 2*s^2 = 0.5.
const out = new wickra.ALMA(3, 0.85, 6).batch([10, 20, 30]);
assert.ok(Number.isNaN(out[0]) && Number.isNaN(out[1]));
const w = [0, 1, 2].map((i) => Math.exp(-Math.pow(i - 1.7, 2) / 0.5));
const s = w[0] + w[1] + w[2];
const expected = (10 * w[0] + 20 * w[1] + 30 * w[2]) / s;
assert.ok(Math.abs(out[2] - expected) < 1e-12);
// The heavy offset toward the newest sample lifts the average above the
// simple mean of 20.
assert.ok(out[2] > 20);
});
test('Doji signed mode encodes dragonfly/gravestone/neutral direction', () => {
// Default: direction-less detection flag (+1 doji / 0 otherwise).
const flag = new wickra.Doji();
assert.equal(flag.isSigned(), false);
assert.equal(flag.update(10, 11, 9, 10), 1); // body 0, range 2 -> doji
assert.equal(flag.update(10, 12, 10, 12), 0); // body == range -> not a doji
// Signed: classify a detected doji by its body position within the range.
const d = new wickra.Doji(true);
assert.equal(d.isSigned(), true);
assert.equal(d.update(10, 10.05, 6, 10), 1); // dragonfly -> bullish +1
assert.equal(d.update(10, 14, 9.95, 10), -1); // gravestone -> bearish -1
assert.equal(d.update(10, 12, 8, 10), 0); // long-legged -> neutral 0
assert.equal(d.update(10, 12, 10, 12), 0); // not a doji -> 0
});
test('order-book indicators reference values', () => {
// Top-1: (3 - 1) / (3 + 1) = 0.5.
assert.equal(new wickra.OrderBookImbalanceTop1().update([100], [3], [101], [1]), 0.5);
// Top-2: bidDepth 3, askDepth 2 -> (3 - 2) / 5 = 0.2.
assert.ok(
Math.abs(new wickra.OrderBookImbalanceTopN(2).update([100, 99], [2, 1], [101, 102], [1, 1]) - 0.2) < 1e-12,
);
// Full: bidDepth 1, askDepth 3 -> -0.5.
assert.equal(new wickra.OrderBookImbalanceFull().update([100], [1], [101, 102], [2, 1]), -0.5);
// Microprice: (100*3 + 101*1) / 4 = 100.25.
assert.equal(new wickra.Microprice().update([100], [1], [101], [3]), 100.25);
// Quoted spread: 1 / 100.5 * 10000 ≈ 99.5025 bps.
assert.ok(Math.abs(new wickra.QuotedSpread().update([100], [1], [101], [1]) - 99.50248756) < 1e-6);
// Depth slope: each side distances 1,2 -> cumulative 1,3 -> OLS slope 2.
assert.ok(Math.abs(new wickra.DepthSlope().update([99, 98], [1, 2], [101, 102], [1, 2]) - 2.0) < 1e-9);
// Single level per side -> no slope -> 0.
assert.equal(new wickra.DepthSlope().update([100], [1], [101], [1]), 0.0);
});
test('order-book streaming update matches batch', () => {
const snaps = Array.from({ length: 30 }, (_, i) => ({
bidPx: [100, 99],
bidSz: [1 + (i % 5), 1],
askPx: [101, 102],
askSz: [1 + ((i + 1) % 3), 1],
}));
const batch = new wickra.Microprice().batch(snaps);
const streamer = new wickra.Microprice();
assert.equal(batch.length, snaps.length);
for (let i = 0; i < snaps.length; i++) {
const s = streamer.update(snaps[i].bidPx, snaps[i].bidSz, snaps[i].askPx, snaps[i].askSz);
assert.ok(Math.abs(s - batch[i]) < 1e-12, `mismatch at ${i}: ${s} vs ${batch[i]}`);
}
});
test('order-book TopN rejects zero levels', () => {
assert.throws(() => new wickra.OrderBookImbalanceTopN(0));
});
test('order-book update rejects a crossed book', () => {
assert.throws(() => new wickra.QuotedSpread().update([102], [1], [101], [1]));
});
test('trade-flow indicators reference values', () => {
assert.equal(new wickra.SignedVolume().update(100, 2, true), 2);
assert.equal(new wickra.SignedVolume().update(100, 3, false), -3);
const cvd = new wickra.CumulativeVolumeDelta();
assert.equal(cvd.update(100, 5, true), 5);
assert.equal(cvd.update(100, 2, false), 3);
const ti = new wickra.TradeImbalance(2);
assert.equal(ti.update(100, 3, true), null); // warming up
assert.equal(ti.update(100, 1, false), 0.5); // (3 - 1) / 4
});
test('trade-flow streaming update matches batch', () => {
const n = 30;
const price = Array.from({ length: n }, () => 100);
const size = Array.from({ length: n }, (_, i) => 1 + (i % 4));
const isBuy = Array.from({ length: n }, (_, i) => i % 3 !== 0);
const batch = new wickra.CumulativeVolumeDelta().batch(price, size, isBuy);
const streamer = new wickra.CumulativeVolumeDelta();
assert.equal(batch.length, n);
for (let i = 0; i < n; i++) {
const s = streamer.update(price[i], size[i], isBuy[i]);
assert.ok(Math.abs(s - batch[i]) < 1e-12, `mismatch at ${i}: ${s} vs ${batch[i]}`);
}
});
test('trade-flow rejects bad input', () => {
assert.throws(() => new wickra.TradeImbalance(0));
assert.throws(() => new wickra.SignedVolume().update(100, -1, true));
});
test('order-flow imbalance reference + streaming matches batch', () => {
// Rising bid (px up, size 6) with an unchanged ask -> +6 flow.
const ofi = new wickra.OrderFlowImbalance(1);
assert.equal(ofi.update([100], [5], [101], [4]), null); // seeds the reference
assert.ok(Math.abs(ofi.update([100.5], [6], [101], [4]) - 6.0) < 1e-12);
const snaps = Array.from({ length: 30 }, (_, i) => ({
bidPx: [100 + Math.sin(i * 0.3)],
bidSz: [5 + Math.abs(Math.cos(i * 0.5))],
askPx: [101 + Math.sin(i * 0.3)],
askSz: [4 + Math.abs(Math.sin(i * 0.4))],
}));
const batch = new wickra.OrderFlowImbalance(10).batch(snaps);
const streamer = new wickra.OrderFlowImbalance(10);
assert.equal(batch.length, snaps.length);
for (let i = 0; i < snaps.length; i++) {
const s = streamer.update(snaps[i].bidPx, snaps[i].bidSz, snaps[i].askPx, snaps[i].askSz);
assert.ok((Number.isNaN(batch[i]) && s === null) || Math.abs(s - batch[i]) < 1e-9, `mismatch at ${i}`);
}
});
test('vpin / amihud / roll reference + streaming matches batch', () => {
// VPIN: two pure-buy buckets of size 10 -> imbalance == size -> 1.
const v = new wickra.Vpin(10, 2);
let last;
for (let i = 0; i < 4; i++) last = v.update(100, 5, true);
assert.equal(last, 1.0);
// Amihud(1): |ln(101/100)| / (101 * 10).
const a = new wickra.AmihudIlliquidity(1);
assert.equal(a.update(100, 10, true), null);
assert.ok(Math.abs(a.update(101, 10, true) - Math.abs(Math.log(101 / 100)) / (101 * 10)) < 1e-15);
// Roll(6): a clean bid-ask bounce of ±1 implies a spread of 2.
const r = new wickra.RollMeasure(6);
let roll = null;
for (let i = 0; i < 20; i++) roll = r.update(i % 2 === 0 ? 100 : 101, 1, true);
assert.ok(Math.abs(roll - 2.0) < 1e-12);
// Streaming-vs-batch for the three trade-input indicators.
const n = 40;
const price = Array.from({ length: n }, (_, i) => 100 + Math.sin(i * 0.25) * 4);
const size = Array.from({ length: n }, (_, i) => 1 + (i % 5));
const isBuy = Array.from({ length: n }, (_, i) => i % 2 === 0);
for (const make of [() => new wickra.Vpin(8, 5), () => new wickra.AmihudIlliquidity(14), () => new wickra.RollMeasure(14), () => new wickra.TradeSignAutocorrelation(10), () => new wickra.Pin(10)]) {
const batch = make().batch(price, size, isBuy);
const streamer = make();
assert.equal(batch.length, n);
for (let i = 0; i < n; i++) {
const s = streamer.update(price[i], size[i], isBuy[i]);
assert.ok((Number.isNaN(batch[i]) && s === null) || Math.abs(s - batch[i]) < 1e-9, `mismatch at ${i}`);
}
}
// Trade-sign autocorrelation: alternating signs -> -1, all buys -> +1.
let tsac = null;
const tsacInd = new wickra.TradeSignAutocorrelation(10);
for (let i = 0; i < 20; i++) tsac = tsacInd.update(100, 1, i % 2 === 0);
assert.ok(Math.abs(tsac - -1.0) < 1e-12);
// PIN: one-sided flow -> 1, balanced flow -> 0.
let pin = null;
const pinInd = new wickra.Pin(10);
for (let i = 0; i < 20; i++) pin = pinInd.update(100, 1, true);
assert.ok(Math.abs(pin - 1.0) < 1e-12);
});
test('price-impact indicators reference values', () => {
// Buy at 100.05 vs mid 100.0: 2 * (100.05 - 100) / 100 * 10000 = 10 bps.
assert.ok(Math.abs(new wickra.EffectiveSpread().update(100.05, 1, true, 100.0) - 10.0) < 1e-9);
// Sell at 99.95 vs mid 100.0: 2 * -1 * (99.95 - 100) / 100 * 10000 = 10 bps.
assert.ok(Math.abs(new wickra.EffectiveSpread().update(99.95, 1, false, 100.0) - 10.0) < 1e-9);
// A buy filled below the mid is price improvement -> negative.
assert.ok(new wickra.EffectiveSpread().update(99.95, 1, true, 100.0) < 0.0);
});
test('price-impact streaming update matches batch', () => {
const n = 30;
const mid = Array.from({ length: n }, (_, i) => 100 + 0.25 * Math.sin(i * 0.5));
const isBuy = Array.from({ length: n }, (_, i) => i % 3 !== 0);
const price = Array.from({ length: n }, (_, i) => mid[i] + (isBuy[i] ? 0.03 : -0.03));
const size = Array.from({ length: n }, (_, i) => 1 + (i % 4));
const batch = new wickra.EffectiveSpread().batch(price, size, isBuy, mid);
const streamer = new wickra.EffectiveSpread();
assert.equal(batch.length, n);
for (let i = 0; i < n; i++) {
const s = streamer.update(price[i], size[i], isBuy[i], mid[i]);
assert.ok(Math.abs(s - batch[i]) < 1e-9, `mismatch at ${i}: ${s} vs ${batch[i]}`);
}
});
test('realized spread resolves against the future mid', () => {
const rs = new wickra.RealizedSpread(1);
assert.equal(rs.update(100.10, 1, true, 100.0), null); // buffered
// 2 * (+1) * (100.10 - 100.20) / 100.0 * 10000 = -20 bps.
assert.ok(Math.abs(rs.update(99.90, 1, false, 100.20) - -20.0) < 1e-9);
});
test('realized spread streaming update matches batch', () => {
const n = 30;
const mid = Array.from({ length: n }, (_, i) => 100 + 0.25 * Math.sin(i * 0.5));
const isBuy = Array.from({ length: n }, (_, i) => i % 3 !== 0);
const price = Array.from({ length: n }, (_, i) => mid[i] + (isBuy[i] ? 0.03 : -0.03));
const size = Array.from({ length: n }, (_, i) => 1 + (i % 4));
const batch = new wickra.RealizedSpread(4).batch(price, size, isBuy, mid);
const streamer = new wickra.RealizedSpread(4);
assert.equal(batch.length, n);
for (let i = 0; i < n; i++) {
const s = streamer.update(price[i], size[i], isBuy[i], mid[i]);
const got = s === null ? NaN : s;
assert.ok(
(Number.isNaN(got) && Number.isNaN(batch[i])) || Math.abs(got - batch[i]) < 1e-9,
`mismatch at ${i}: ${got} vs ${batch[i]}`,
);
}
});
test("kyle's lambda recovers a constant price-impact slope", () => {
// Each trade moves the mid by exactly 0.5 per unit of signed volume.
const impact = 0.5;
let mid = 100;
const price = [];
const size = [];
const isBuy = [];
const mids = [];
for (let i = 0; i < 20; i++) {
const buy = i % 2 === 0;
const sz = 1 + (i % 3);
const signed = buy ? sz : -sz;
mid += impact * signed;
price.push(mid);
size.push(sz);
isBuy.push(buy);
mids.push(mid);
}
const out = new wickra.KylesLambda(6).batch(price, size, isBuy, mids);
assert.ok(Math.abs(out[out.length - 1] - 0.5) < 1e-9);
});
test('price-impact rejects bad input', () => {
assert.throws(() => new wickra.EffectiveSpread().update(100, 1, true, 0));
assert.throws(() => new wickra.RealizedSpread(0));
assert.throws(() => new wickra.KylesLambda(1));
});
test('footprint buckets buy and sell volume per price level', () => {
const fp = new wickra.Footprint(1.0);
fp.update(100.2, 2, true); // bucket 100 -> ask 2
fp.update(100.7, 3, false); // bucket 101 -> bid 3
const out = fp.update(100.1, 1, true); // bucket 100 -> ask 3
assert.equal(out.length, 2);
assert.deepEqual(
{ price: out[0].price, bidVol: out[0].bidVol, askVol: out[0].askVol },
{ price: 100.0, bidVol: 0.0, askVol: 3.0 },
);
assert.deepEqual(
{ price: out[1].price, bidVol: out[1].bidVol, askVol: out[1].askVol },
{ price: 101.0, bidVol: 3.0, askVol: 0.0 },
);
});
test('footprint streaming update matches batch and rejects bad tick', () => {
const n = 12;
const price = Array.from({ length: n }, (_, i) => 100 + (i % 5) * 0.3);
const size = Array.from({ length: n }, (_, i) => 1 + (i % 3));
const isBuy = Array.from({ length: n }, (_, i) => i % 2 === 0);
const batch = new wickra.Footprint(1.0).batch(price, size, isBuy);
const streamer = new wickra.Footprint(1.0);
assert.equal(batch.length, n);
for (let i = 0; i < n; i++) {
const s = streamer.update(price[i], size[i], isBuy[i]);
assert.deepEqual(s, batch[i], `mismatch at ${i}`);
}
assert.throws(() => new wickra.Footprint(0));
});
test('derivatives indicators reference values', () => {
// Funding rate passes through (and may be negative).
assert.equal(new wickra.FundingRate().update(0.0001), 0.0001);
assert.equal(new wickra.FundingRate().update(-0.0003), -0.0003);
// Rolling mean: window [0.001, 0.003] -> 0.002.
const frm = new wickra.FundingRateMean(2);
assert.equal(frm.update(0.001), null); // warming up
assert.ok(Math.abs(frm.update(0.003) - 0.002) < 1e-12);
// Z-score: window [0.001, 0.003] -> +1.
const z = new wickra.FundingRateZScore(2);
assert.equal(z.update(0.001), null); // warming up
assert.ok(Math.abs(z.update(0.003) - 1.0) < 1e-9);
// Basis: mark 100.5 vs index 100.0 -> 0.005.
assert.ok(Math.abs(new wickra.FundingBasis().update(100.5, 100.0) - 0.005) < 1e-12);
// OI delta: seeds then emits the change.
const oid = new wickra.OpenInterestDelta();
assert.equal(oid.update(1000), null);
assert.equal(oid.update(1250), 250);
assert.equal(oid.update(1100), -150);
});
test('derivatives streaming update matches batch', () => {
const n = 30;
const rate = Array.from({ length: n }, (_, i) => 0.0001 * Math.sin(i * 0.3));
const batch = new wickra.FundingRateMean(5).batch(rate);
const streamer = new wickra.FundingRateMean(5);
assert.equal(batch.length, n);
for (let i = 0; i < n; i++) {
const s = streamer.update(rate[i]);
assert.ok(
(s === null && Number.isNaN(batch[i])) || Math.abs(s - batch[i]) < 1e-12,
`mismatch at ${i}: ${s} vs ${batch[i]}`,
);
}
});
test('derivatives reject bad input', () => {
assert.throws(() => new wickra.FundingRateMean(0));
assert.throws(() => new wickra.FundingRateZScore(0));
assert.throws(() => new wickra.FundingBasis().update(100, 0));
});
test('B16 derivatives reference values', () => {
// Estimated leverage: oi / (long + short) = 200 / 100 = 2.
assert.ok(Math.abs(new wickra.EstimatedLeverageRatio().update(200, 60, 40) - 2.0) < 1e-12);
// OI-to-volume: oi / (buy + sell) = 100 / 50 = 2.
assert.ok(Math.abs(new wickra.OiToVolumeRatio().update(100, 30, 20) - 2.0) < 1e-12);
// Perpetual premium: (mark - index) / index = 0.5 / 100 = 0.005.
assert.ok(Math.abs(new wickra.PerpetualPremiumIndex().update(100.5, 100.0) - 0.005) < 1e-12);
// Funding-implied APR: rate * intervals = 0.0001 * 1095 = 0.1095.
assert.ok(Math.abs(new wickra.FundingImpliedApr(1095).update(0.0001) - 0.1095) < 1e-12);
// Open-interest momentum (period 2): warmup then ROC% = 100*(120 - 100)/100 = 20.
const oim = new wickra.OpenInterestMomentum(2);
assert.equal(oim.update(100), null);
assert.equal(oim.update(110), null);
assert.ok(Math.abs(oim.update(120) - 20.0) < 1e-12);
});
test('B16 derivatives streaming matches batch', () => {
const n = 30;
const oi = Array.from({ length: n }, (_, i) => 1000 + 50 * Math.sin(i * 0.3));
const longSz = Array.from({ length: n }, (_, i) => 600 + 20 * Math.cos(i * 0.2));
const shortSz = Array.from({ length: n }, (_, i) => 400 + 15 * Math.sin(i * 0.4));
const buy = Array.from({ length: n }, (_, i) => 300 + 10 * Math.sin(i * 0.5));
const sell = Array.from({ length: n }, (_, i) => 250 + 12 * Math.cos(i * 0.35));
const index = Array.from({ length: n }, (_, i) => 100 + Math.sin(i * 0.2));
const mark = Array.from({ length: n }, (_, i) => index[i] + 0.05 * Math.cos(i * 0.3));
const rate = Array.from({ length: n }, (_, i) => 0.0001 * Math.sin(i * 0.3));
const cmp = (batch, s, i) =>
assert.ok((s === null && Number.isNaN(batch[i])) || Math.abs(s - batch[i]) < 1e-12, `mismatch at ${i}`);
let b = new wickra.EstimatedLeverageRatio().batch(oi, longSz, shortSz);
let st = new wickra.EstimatedLeverageRatio();
for (let i = 0; i < n; i++) cmp(b, st.update(oi[i], longSz[i], shortSz[i]), i);
b = new wickra.OiToVolumeRatio().batch(oi, buy, sell);
st = new wickra.OiToVolumeRatio();
for (let i = 0; i < n; i++) cmp(b, st.update(oi[i], buy[i], sell[i]), i);
b = new wickra.PerpetualPremiumIndex().batch(mark, index);
st = new wickra.PerpetualPremiumIndex();
for (let i = 0; i < n; i++) cmp(b, st.update(mark[i], index[i]), i);
b = new wickra.FundingImpliedApr(1095).batch(rate);
st = new wickra.FundingImpliedApr(1095);
for (let i = 0; i < n; i++) cmp(b, st.update(rate[i]), i);
b = new wickra.OpenInterestMomentum(10).batch(oi);
st = new wickra.OpenInterestMomentum(10);
for (let i = 0; i < n; i++) cmp(b, st.update(oi[i]), i);
});
test('market breadth: AdvanceDecline reference values', () => {
// A breadth tick is the universe as parallel arrays; the sign of `change`
// classifies each symbol as advancing / declining / unchanged.
const change = [
[1.0, 0.5, 2.0, -1.0], // 3 up, 1 down -> net +2
[-1.0, -0.5, -2.0, 1.0], // 1 up, 3 down -> net -2
[0.0, 0.0, 1.0, -1.0], // 1 up, 1 down -> net 0
];
const volume = change.map((row) => row.map(() => 10.0));
const flags = change.map((row) => row.map(() => false));
const ad = new wickra.AdvanceDecline();
// Cumulative line: +2 -> 0 -> 0.
assert.equal(ad.update(change[0], volume[0], flags[0], flags[0]), 2.0);
assert.equal(ad.update(change[1], volume[1], flags[1], flags[1]), 0.0);
assert.equal(ad.update(change[2], volume[2], flags[2], flags[2]), 0.0);
// batch matches streaming.
const batch = new wickra.AdvanceDecline().batch(change, volume, flags, flags);
assert.deepEqual(Array.from(batch), [2.0, 0.0, 0.0]);
});
test('market breadth: AdvanceDecline rejects ragged universe', () => {
assert.throws(() =>
new wickra.AdvanceDecline().update(
[1.0, -1.0],
[10.0],
[false, false],
[false, false],
),
);
});
test('market breadth: 14 indicators reference values + batch parity', () => {
const flags4 = [false, false, false, false];
// Advance/Decline Ratio: 3/1 = 3 ; 0 advancers -> 0.
const adr = new wickra.AdvanceDeclineRatio();
assert.equal(adr.update([1, 1, 1, -1], [10, 10, 10, 10], flags4, flags4), 3.0);
assert.equal(adr.update([-1, -1, -1, -1], [10, 10, 10, 10], flags4, flags4), 0.0);
assert.deepEqual(
Array.from(
new wickra.AdvanceDeclineRatio().batch(
[[1, 1, 1, -1], [-1, -1, -1, -1]],
[[10, 10, 10, 10], [10, 10, 10, 10]],
[flags4, flags4],
[flags4, flags4],
),
),
[3.0, 0.0],
);
// AD Volume Line: cumulative net advancing volume.
const adv = new wickra.AdVolumeLine();
assert.equal(adv.update([1, -1], [150, 50], [false, false], [false, false]), 100.0);
assert.equal(adv.update([1, -1], [60, 60], [false, false], [false, false]), 100.0);
// McClellan Oscillator + Summation: seed 0, then -50.
const osc = new wickra.McClellanOscillator();
assert.ok(Math.abs(osc.update([1, 1, 1, -1], [10, 10, 10, 10], flags4, flags4)) < 1e-9);
assert.ok(Math.abs(osc.update([-1, -1, -1, 1], [10, 10, 10, 10], flags4, flags4) - -50.0) < 1e-9);
const msi = new wickra.McClellanSummationIndex();
assert.ok(Math.abs(msi.update([1, 1, 1, -1], [10, 10, 10, 10], flags4, flags4)) < 1e-9);
assert.ok(Math.abs(msi.update([-1, -1, -1, 1], [10, 10, 10, 10], flags4, flags4) - -50.0) < 1e-9);
// TRIN: balanced breadth -> 1.
assert.ok(
Math.abs(new wickra.Trin().update([1, 1, 1, -1], [50, 50, 50, 50], flags4, flags4) - 1.0) < 1e-9,
);
// Breadth Thrust(2): warmup null, then SMA(2) of [0.8, 0.6] = 0.7.
const bt = new wickra.BreadthThrust(2);
const up10 = Array(10).fill(false);
assert.equal(bt.update([...Array(8).fill(1), -1, -1], Array(10).fill(10), up10, up10), null);
assert.ok(
Math.abs(bt.update([...Array(6).fill(1), -1, -1, -1, -1], Array(10).fill(10), up10, up10) - 0.7) < 1e-9,
);
// New Highs - New Lows: 2 - 1 = 1.
assert.equal(
new wickra.NewHighsNewLows().update([1, 1, -1], [10, 10, 10], [true, true, false], [false, false, true]),
1.0,
);
// High-Low Index(2): warmup null, then SMA(2) of [80, 60] = 70.
const hli = new wickra.HighLowIndex(2);
assert.equal(
hli.update(Array(10).fill(1), Array(10).fill(10), [...Array(8).fill(true), false, false], [...Array(8).fill(false), true, true]),
null,
);
assert.ok(
Math.abs(
hli.update(Array(10).fill(1), Array(10).fill(10), [...Array(6).fill(true), false, false, false, false], [...Array(6).fill(false), true, true, true, true]) - 70.0,
) < 1e-9,
);
// Percent Above MA: 3/4 -> 75 (5-array update with aboveMa).
assert.equal(
new wickra.PercentAboveMa().update([1, 1, 1, -1], [10, 10, 10, 10], flags4, flags4, [true, true, true, false]),
75.0,
);
// Up/Down Volume Ratio: 150/50 = 3.
assert.equal(
new wickra.UpDownVolumeRatio().update([1, -1], [150, 50], [false, false], [false, false]),
3.0,
);
// Bullish Percent Index: 2/4 -> 50 (5-array update with onBuySignal).
assert.equal(
new wickra.BullishPercentIndex().update([1, 1, -1, -1], [10, 10, 10, 10], flags4, flags4, [true, true, false, false]),
50.0,
);
// Cumulative Volume Index: (100/200) -> 0.5.
assert.ok(
Math.abs(new wickra.CumulativeVolumeIndex().update([1, -1], [150, 50], [false, false], [false, false]) - 0.5) < 1e-9,
);
// Absolute Breadth Index: |2 - 3| = 1.
assert.equal(
new wickra.AbsoluteBreadthIndex().update([1, 1, -1, -1, -1], Array(5).fill(10), Array(5).fill(false), Array(5).fill(false)),
1.0,
);
// TICK Index: 2 - 3 = -1.
assert.equal(
new wickra.TickIndex().update([1, 1, -1, -1, -1], Array(5).fill(10), Array(5).fill(false), Array(5).fill(false)),
-1.0,
);
});
test('market breadth: rejects ragged universe', () => {
assert.throws(() => new wickra.Trin().update([1, -1], [10], [false, false], [false, false]));
assert.throws(() =>
new wickra.PercentAboveMa().update([1, -1], [10, 10], [false, false], [false, false], [true]),
);
});
test('OI / flow / liquidation indicators reference values', () => {
// OI +10% while price flat -> divergence +0.1.
const div = new wickra.OIPriceDivergence(1);
assert.equal(div.update(1000, 100), null); // warming up
assert.ok(Math.abs(div.update(1100, 100) - 0.1) < 1e-12);
// OI-weighted: (100·10 + 110·30) / 40 = 107.5.
const oiw = new wickra.OIWeighted();
assert.equal(oiw.update(100, 10), 100);
assert.ok(Math.abs(oiw.update(110, 30) - 107.5) < 1e-12);
// Long/short ratio.
assert.ok(Math.abs(new wickra.LongShortRatio().update(600, 400) - 1.5) < 1e-12);
assert.equal(new wickra.LongShortRatio().update(600, 0), 0);
// Taker buy/sell ratio.
assert.ok(Math.abs(new wickra.TakerBuySellRatio().update(60, 40) - 1.5) < 1e-12);
assert.equal(new wickra.TakerBuySellRatio().update(60, 0), 0);
// Liquidation features object.
const liq = new wickra.LiquidationFeatures().update(30, 10);
assert.equal(liq.net, 20);
assert.equal(liq.total, 40);
assert.equal(liq.imbalance, 0.5);
});
test('liquidation features batch is flat n*5', () => {
const longLiq = [10, 0, 30];
const shortLiq = [5, 20, 0];
const batch = new wickra.LiquidationFeatures().batch(longLiq, shortLiq);
assert.equal(batch.length, 15);
// Row 0: long 10, short 5, net 5, total 15.
assert.equal(batch[0], 10);
assert.equal(batch[1], 5);
assert.equal(batch[2], 5);
assert.equal(batch[3], 15);
});
test('OI flow rejects bad input', () => {
assert.throws(() => new wickra.OIPriceDivergence(0));
assert.throws(() => new wickra.OIWeighted().update(0, 100));
});
test('basis & calendar-spread reference values', () => {
// futures 102 vs index 100 -> 0.02 contango.
assert.ok(Math.abs(new wickra.TermStructureBasis().update(102, 100) - 0.02) < 1e-12);
assert.ok(Math.abs(new wickra.TermStructureBasis().update(98, 100) + 0.02) < 1e-12);
// futures 101 vs perpetual mark 100 -> 0.01.
assert.ok(Math.abs(new wickra.CalendarSpread().update(101, 100) - 0.01) < 1e-12);
});
test('basis streaming update matches batch', () => {
const n = 20;
const index = Array.from({ length: n }, (_, i) => 100 + Math.sin(i * 0.2));
const futures = Array.from({ length: n }, (_, i) => index[i] + 0.5);
const batch = new wickra.TermStructureBasis().batch(futures, index);
const streamer = new wickra.TermStructureBasis();
assert.equal(batch.length, n);
for (let i = 0; i < n; i++) {
assert.ok(Math.abs(streamer.update(futures[i], index[i]) - batch[i]) < 1e-12);
}
});
test('basis rejects bad input', () => {
assert.throws(() => new wickra.TermStructureBasis().update(100, 0));
assert.throws(() => new wickra.CalendarSpread().update(100, 0));
});
test('VolumeProfile exposes the full histogram', () => {
// bar0 single-print at 10 vol 100; bar1 spans 10..14 vol 80 over 4 bins.
const vp = new wickra.VolumeProfile(2, 4);
assert.equal(vp.update(10, 10, 100), null);
const out = vp.update(14, 10, 80);
assert.ok(out !== null);
assert.ok(Math.abs(out.priceLow - 10) < 1e-9);
assert.ok(Math.abs(out.priceHigh - 14) < 1e-9);
assert.deepEqual(out.bins.length, 4);
assert.ok(Math.abs(out.bins[0] - 120) < 1e-9);
for (let i = 1; i < 4; i++) {
assert.ok(Math.abs(out.bins[i] - 20) < 1e-9);
}
});
test('TpoProfile counts time at price, volume-agnostic', () => {
// bar0 spans 10..14 (+1 each bin); bar1 spans 11..12 (+1 bins 1,2).
const tpo = new wickra.TpoProfile(2, 4);
assert.equal(tpo.update(14, 10), null);
const out = tpo.update(12, 11);
assert.ok(out !== null);
assert.ok(Math.abs(out.priceLow - 10) < 1e-9);
assert.ok(Math.abs(out.priceHigh - 14) < 1e-9);
assert.deepEqual(out.counts, [1, 2, 2, 1]);
});
test('RenkoBars prints aligned bricks and reverses on two boxes', () => {
const r = new wickra.RenkoBars(1.0);
assert.deepEqual(r.update(10), []); // seed
const up = r.update(13);
assert.equal(up.length, 3);
assert.ok(Math.abs(up[0].open - 10) < 1e-9 && Math.abs(up[0].close - 11) < 1e-9);
assert.ok(up.every((b) => b.direction === 1));
const down = r.update(10);
assert.equal(down.length, 2);
assert.ok(down.every((b) => b.direction === -1));
});
test('KagiBars closes a segment on a reversal', () => {
const k = new wickra.KagiBars(2.0);
k.update(10);
k.update(11);
k.update(15);
const seg = k.update(12);
assert.equal(seg.length, 1);
assert.equal(seg[0].direction, 1);
assert.ok(Math.abs(seg[0].start - 10) < 1e-9 && Math.abs(seg[0].end - 15) < 1e-9);
});
test('PointAndFigureBars closes a column on a 3-box reversal', () => {
const pnf = new wickra.PointAndFigureBars(1.0, 3);
pnf.update(10);
pnf.update(13);
pnf.update(15);
const col = pnf.update(12);
assert.equal(col.length, 1);
assert.equal(col[0].direction, 1);
assert.ok(Math.abs(col[0].high - 15) < 1e-9 && Math.abs(col[0].low - 10) < 1e-9);
});
test('RangeBars prints aligned bars on an up move', () => {
const rb = new wickra.RangeBars(1.0);
assert.deepEqual(rb.update(10), []); // seed
const up = rb.update(13);
assert.equal(up.length, 3);
assert.ok(Math.abs(up[0].open - 10) < 1e-9 && Math.abs(up[2].close - 13) < 1e-9);
assert.ok(up.every((b) => b.direction === 1));
});
test('TickBars groups a fixed number of candles', () => {
const tb = new wickra.TickBars(2);
assert.deepEqual(tb.update(10, 11, 9, 10.5, 100), []);
const out = tb.update(10.5, 12, 10, 11, 150);
assert.equal(out.length, 1);
assert.ok(Math.abs(out[0].open - 10) < 1e-9);
assert.ok(Math.abs(out[0].high - 12) < 1e-9);
assert.ok(Math.abs(out[0].low - 9) < 1e-9);
assert.ok(Math.abs(out[0].close - 11) < 1e-9);
assert.ok(Math.abs(out[0].volume - 250) < 1e-9);
});
test('VolumeBars closes when accumulated volume crosses the threshold', () => {
const vb = new wickra.VolumeBars(100);
assert.deepEqual(vb.update(10, 10, 10, 10, 60), []);
const out = vb.update(10.5, 10.5, 10.5, 10.5, 60);
assert.equal(out.length, 1);
assert.ok(Math.abs(out[0].volume - 120) < 1e-9);
});
test('DollarBars closes when traded value crosses the threshold', () => {
const db = new wickra.DollarBars(1000);
assert.deepEqual(db.update(10, 10, 10, 10, 60), []);
const out = db.update(10, 10, 10, 10, 60);
assert.equal(out.length, 1);
assert.ok(Math.abs(out[0].dollar - 1200) < 1e-9);
assert.ok(Math.abs(out[0].volume - 120) < 1e-9);
});
test('ImbalanceBars closes a buy bar at the threshold', () => {
const ib = new wickra.ImbalanceBars(3.0);
ib.update(10, 10, 10, 10);
ib.update(11, 11, 11, 11);
ib.update(12, 12, 12, 12);
const out = ib.update(13, 13, 13, 13);
assert.equal(out.length, 1);
assert.equal(out[0].direction, 1);
assert.ok(Math.abs(out[0].imbalance - 3) < 1e-9);
});
test('RunBars closes a buy run at the run length', () => {
const rb = new wickra.RunBars(3);
rb.update(10, 10, 10, 10);
rb.update(11, 11, 11, 11);
rb.update(12, 12, 12, 12);
const out = rb.update(13, 13, 13, 13);
assert.equal(out.length, 1);
assert.equal(out[0].direction, 1);
assert.equal(out[0].length, 3);
});
test('ThreeLineBreakBars draws a rising line', () => {
const tlb = new wickra.ThreeLineBreakBars(3);
assert.deepEqual(tlb.update(10), []); // seed
const out = tlb.update(11);
assert.equal(out.length, 1);
assert.equal(out[0].direction, 1);
assert.ok(Math.abs(out[0].open - 10) < 1e-9 && Math.abs(out[0].close - 11) < 1e-9);
});