feat(family-12): add 13 Statistik/Regression indicators (#51)
* feat(family-12): add 13 Statistik/Regression indicators Brings the Price Statistics family to 20 indicators (7 → 20) and the total catalogue to 84 (71 → 84). Every indicator ships in the Rust core plus Python, Node, and WASM bindings with full streaming ↔ batch parity, fuzz coverage, and benches. Scalar (f64 → f64): - Variance, CoefficientOfVariation: rolling population variance and its dimensionless ratio with the mean. O(1) updates. - Skewness, Kurtosis: rolling Pearson skewness and excess kurtosis, derived from running sums of x, x², x³, x⁴ via the binomial identities — also O(1) per bar. - StandardError, DetrendedStdDev: standard error of estimate (n − 2) and population StdDev (n) of OLS residuals, sharing the LinReg O(1) sliding sums. - RSquared: coefficient of determination of the rolling OLS fit; the trend-quality filter, clamped to [0, 1]. - MedianAbsoluteDeviation: robust dispersion estimator; O(period log period) per emission via two in-place sorts of a reusable scratch buffer. - Autocorrelation(period, lag): rolling lag-k Pearson autocorrelation. - HurstExponent(period, chunks): R/S-analysis trend-persistence estimator clamped to [0, 1]. Pair indicators (Input = (f64, f64)): - PearsonCorrelation: rolling cross-series Pearson, O(1). - Beta: rolling OLS slope of asset vs. benchmark (CAPM). - SpearmanCorrelation: rolling rank correlation with mid-rank tie handling; O(period log period). Touchpoints: - crates/wickra-core: 13 new indicator modules + mod.rs / lib.rs re-exports. - bindings/python: pyclasses + add_class registration + __init__.py import & __all__ updates. The pair indicators expose update(x, y) and batch(x, y) over two equally-sized numpy arrays. - bindings/node: scalar indicators via node_scalar_indicator! macro; pair indicators via new node_pair_indicator! macro; explicit structs for Autocorrelation and HurstExponent (two-arg ctors). index.js extended with the new exports. - bindings/wasm: scalar wrappers via wasm_scalar_indicator!; pair wrappers via new wasm_pair_indicator! macro. - fuzz: every scalar drove through the generic helper; pair indicators stress-tested by pairing adjacent samples of the fuzz input. - Python tests (test_new_indicators.py): added to SCALAR parametrisation, plus algebraic reference values (variance of [2,4,6] = 8/3, MAD ignoring outlier = 0, monotone non-linear Spearman = 1, two-to-one Beta = 2, etc.) and a streaming-vs-batch test for the pair indicators. - Node tests (indicators.test.js): extended the scalar factories map and added a pair-indicator section with the same algebraic reference values. - crates/wickra/benches: bench_scalar entries for all 10 single- input new indicators. - README: counter 71 → 84; Price Statistics family-table row expanded with the 13 new indicators. - CHANGELOG: Unreleased section documents the family addition. Wiki drafts (ghost-ignored, manual sync to wickra.wiki at release time): indicator-ideas/families/wiki/family-12-statistik-regression/ contains 13 deep-dive pages plus _Sidebar / Indicators-Overview / Warmup-Periods / Home fragments for the curator merge. cargo check --workspace --all-features: clean. * fix(family-12): remove unreachable defensive guards in hurst_exponent The three guards (m < 2 continue, end > buf.len() break, denom == 0.0 return) are by-construction unreachable given the constructor invariant period >= 2 * chunks: m = period / k for k in 1..=chunks always satisfies m >= 2 and end = (c+1) * m <= k * m <= period = buf.len(), and m_1 = period and m_2 = period / 2 are always distinct so the slope denominator is strictly positive. Removing them brings codecov/patch back to 100%.
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kingchenc
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//! Rolling population variance.
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use std::collections::VecDeque;
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use crate::error::{Error, Result};
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use crate::traits::Indicator;
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/// Rolling population variance over the last `period` values.
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///
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/// ```text
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/// mean = (1/n) · Σ price
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/// Variance = (1/n) · Σ price² − mean²
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/// ```
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///
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/// Variance is the squared standard deviation. It is the second central
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/// moment of the rolling distribution and the natural input to risk
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/// calculations that expect squared returns (e.g. portfolio variance,
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/// covariance matrices). Use [`crate::StdDev`] when you need the
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/// scale-preserving square root instead.
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///
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/// Floating-point cancellation can drive the running expression slightly
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/// negative on perfectly constant inputs; the result is clamped to zero
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/// before being returned so it stays a valid variance.
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///
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/// # Example
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///
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/// ```
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/// use wickra_core::{Indicator, Variance};
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///
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/// let mut indicator = Variance::new(20).unwrap();
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/// let mut last = None;
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/// for i in 0..40 {
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/// last = indicator.update(100.0 + f64::from(i));
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/// }
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/// assert!(last.is_some());
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/// ```
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#[derive(Debug, Clone)]
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pub struct Variance {
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period: usize,
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window: VecDeque<f64>,
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sum: f64,
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sum_sq: f64,
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}
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impl Variance {
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/// Construct a new rolling variance with the given period.
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///
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/// # Errors
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/// Returns [`Error::PeriodZero`] if `period == 0`.
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pub fn new(period: usize) -> Result<Self> {
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if period == 0 {
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return Err(Error::PeriodZero);
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}
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Ok(Self {
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period,
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window: VecDeque::with_capacity(period),
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sum: 0.0,
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sum_sq: 0.0,
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})
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}
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/// Configured period.
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pub const fn period(&self) -> usize {
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self.period
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}
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}
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impl Indicator for Variance {
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type Input = f64;
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type Output = f64;
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fn update(&mut self, value: f64) -> Option<f64> {
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if self.window.len() == self.period {
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let old = self.window.pop_front().expect("non-empty");
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self.sum -= old;
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self.sum_sq -= old * old;
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}
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self.window.push_back(value);
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self.sum += value;
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self.sum_sq += value * value;
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if self.window.len() < self.period {
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return None;
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}
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let n = self.period as f64;
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let mean = self.sum / n;
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Some((self.sum_sq / n - mean * mean).max(0.0))
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}
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fn reset(&mut self) {
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self.window.clear();
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self.sum = 0.0;
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self.sum_sq = 0.0;
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}
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fn warmup_period(&self) -> usize {
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self.period
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}
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fn is_ready(&self) -> bool {
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self.window.len() == self.period
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}
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fn name(&self) -> &'static str {
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"Variance"
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}
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}
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#[cfg(test)]
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mod tests {
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use super::*;
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use crate::traits::BatchExt;
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use approx::assert_relative_eq;
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#[test]
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fn rejects_zero_period() {
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assert!(matches!(Variance::new(0), Err(Error::PeriodZero)));
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}
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#[test]
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fn accessors_and_metadata() {
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let v = Variance::new(14).unwrap();
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assert_eq!(v.period(), 14);
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assert_eq!(v.warmup_period(), 14);
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assert_eq!(v.name(), "Variance");
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}
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#[test]
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fn reference_value() {
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// Variance(3) of [2, 4, 6]: mean = 4, variance = (4 + 0 + 4) / 3 = 8/3.
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let mut v = Variance::new(3).unwrap();
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let out = v.batch(&[2.0, 4.0, 6.0]);
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assert_eq!(out[0], None);
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assert_eq!(out[1], None);
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assert_relative_eq!(out[2].unwrap(), 8.0 / 3.0, epsilon = 1e-12);
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}
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#[test]
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fn constant_series_yields_zero() {
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let mut v = Variance::new(5).unwrap();
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for o in v.batch(&[42.0; 20]).into_iter().flatten() {
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assert_relative_eq!(o, 0.0, epsilon = 1e-12);
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}
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}
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#[test]
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fn first_value_on_period_th_input() {
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let mut v = Variance::new(5).unwrap();
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let out = v.batch(&[1.0, 2.0, 3.0, 4.0, 5.0, 6.0]);
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for (i, x) in out.iter().enumerate().take(4) {
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assert!(x.is_none(), "index {i} must be None during warmup");
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}
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assert!(out[4].is_some());
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}
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#[test]
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fn reset_clears_state() {
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let mut v = Variance::new(5).unwrap();
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v.batch(&[1.0, 2.0, 3.0, 4.0, 5.0]);
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assert!(v.is_ready());
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v.reset();
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assert!(!v.is_ready());
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assert_eq!(v.update(1.0), None);
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}
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#[test]
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fn equals_stddev_squared() {
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// The rolling Variance must equal the rolling population StdDev squared.
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let prices: Vec<f64> = (0..60)
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.map(|i| 50.0 + (f64::from(i) * 0.3).sin() * 7.0)
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.collect();
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let mut var = Variance::new(14).unwrap();
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let mut sd = crate::StdDev::new(14).unwrap();
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for &p in &prices {
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let (v, s) = (var.update(p), sd.update(p));
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assert_eq!(v.is_some(), s.is_some());
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if let (Some(v), Some(s)) = (v, s) {
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assert_relative_eq!(v, s * s, epsilon = 1e-9);
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}
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}
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}
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#[test]
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fn batch_equals_streaming() {
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let prices: Vec<f64> = (0..60)
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.map(|i| 50.0 + (f64::from(i) * 0.3).cos() * 10.0)
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.collect();
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let batch = Variance::new(14).unwrap().batch(&prices);
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let mut b = Variance::new(14).unwrap();
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let streamed: Vec<_> = prices.iter().map(|p| b.update(*p)).collect();
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assert_eq!(batch, streamed);
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}
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}
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