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feat: cross-asset / pairwise indicators (5 new) (#109)

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* feat(core): add PairwiseBeta cross-asset indicator

Rolling OLS slope of one asset's log-returns on another's. Unlike Beta,
which regresses the raw inputs it is fed, PairwiseBeta differences
consecutive prices into log-returns internally -- the conventional way to
measure cross-asset beta, where a beta on price levels would be dominated
by the shared trend.

Two-series Indicator<Input = (f64, f64)>, exposed in Rust, Python, Node
and WASM, with unit/known-value/streaming tests and a pair fuzz target.

* feat(core): add PairSpreadZScore cross-asset indicator

Standardised log-spread ln(a) - beta*ln(b) of a pair, where beta is a
rolling-OLS hedge ratio and the spread is z-scored over its own look-back.
The canonical mean-reversion / statistical-arbitrage entry signal, with
independent beta_period and z_period windows.

Two-series Indicator<Input = (f64, f64)>, exposed in Rust, Python, Node
and WASM, with sign/known-value/streaming tests and a pair fuzz target.

* feat(core): add LeadLagCrossCorrelation cross-asset indicator

Reports the integer offset k in [-max_lag, max_lag] that maximises
|corr(a[t], b[t+k])|, answering which of two assets leads the other and by
how many bars. A positive lag means a leads b. Fully causal: a's window is
held centred while b's window slides across the buffered history, so every
lag is evaluated only against data already seen.

Struct output { lag, correlation }, exposed in Rust, Python, Node and WASM
with lead-detection/streaming tests and a pair fuzz driver.

* feat(core): add Cointegration (Engle-Granger + ADF) indicator

Rolling pairs-trading screen: an OLS hedge ratio of a on b, the spread
(residual) a - (alpha + beta*b), and an augmented Dickey-Fuller t-statistic
on the spread with configurable lags. A strongly negative statistic flags a
mean-reverting, tradeable spread. Includes a small Gaussian-elimination
solver for the augmented regression.

Struct output { hedge_ratio, spread, adf_stat }, exposed in Rust, Python,
Node and WASM with stationarity/hedge-ratio/streaming tests and a pair fuzz
driver.

* feat(core): add RelativeStrengthAB cross-asset indicator

Comparative relative strength of two assets: the ratio line a/b together
with its moving average and its RSI, the classic asset-vs-asset /
asset-vs-index rotation screen. Composes the existing Sma and Rsi over the
ratio; a zero denominator or non-finite price is skipped.

Struct output { ratio, ratio_ma, ratio_rsi }, exposed in Rust, Python, Node
and WASM with flat/rising-ratio/streaming tests and a pair fuzz driver.

* test(cointegration): cover ADF guard branches

The ADF helper's short-series and degrees-of-freedom guards and the
zero-dispersion (perfect AR) path are unreachable through the public
Cointegration API (period >= 2*adf_lags + 4), so exercise them with direct
unit tests on adf_no_constant. The second linear solve cannot be singular
once the coefficient solve on the same matrix has succeeded, so it now uses
expect() instead of a dead error branch.
This commit is contained in:
kingchenc
2026-06-01 13:45:21 +02:00
committed by GitHub
parent 1ab9bc70d1
commit 0b85142ad1
20 changed files with 3008 additions and 77 deletions
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bindings/node/index.js
+54 -50
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@@ -310,7 +310,7 @@ if (!nativeBinding) {
throw new Error(`Failed to load native binding`)
}
const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, KAMA, RVI, PGO, KST, SMI, LaguerreRSI, ConnorsRSI, Inertia, ALMA, McGinleyDynamic, FRAMA, VIDYA, JMA, Alligator, EVWMA, APO, AwesomeOscillatorHistogram, CFO, ZeroLagMACD, ElderImpulse, STC, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, EaseOfMovement, KVO, VolumeOscillator, NVI, PVI, WilliamsAD, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, Vortex, RWI, WaveTrend, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, RVIVolatility, ParkinsonVolatility, GarmanKlassVolatility, RogersSatchellVolatility, YangZhangVolatility, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands, ClassicPivots, FibonacciPivots, Camarilla, WoodiePivots, DemarkPivots, WilliamsFractals, ZigZag, TDSetup, TDSequential, TDDeMarker, TDREI, TDPressure, TDCombo, TDCountdown, TDLines, TDRangeProjection, TDDifferential, TDOpen, TDRiskLevel, SuperSmoother, FisherTransform, InverseFisherTransform, Decycler, DecyclerOscillator, RoofingFilter, CenterOfGravity, CyberneticCycle, InstantaneousTrendline, EhlersStochastic, EmpiricalModeDecomposition, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, Variance, CoefficientOfVariation, Skewness, Kurtosis, StandardError, DetrendedStdDev, RSquared, MedianAbsoluteDeviation, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, SpearmanCorrelation, ValueArea, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, Alpha } = nativeBinding
const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, McGinleyDynamic, FRAMA, SuperSmoother, FisherTransform, Decycler, CenterOfGravity, CyberneticCycle, InstantaneousTrendline, EhlersStochastic, RVIVolatility, Variance, CoefficientOfVariation, Skewness, Kurtosis, StandardError, DetrendedStdDev, RSquared, MedianAbsoluteDeviation, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, PairwiseBeta, SpearmanCorrelation, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration, RelativeStrengthAB, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, Inertia, ConnorsRSI, LaguerreRSI, SMI, KST, PGO, RVI, AwesomeOscillatorHistogram, STC, ElderImpulse, ZeroLagMACD, CFO, APO, KAMA, EVWMA, Alligator, JMA, VIDYA, ALMA, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, NVI, PVI, VolumeOscillator, KVO, WilliamsAD, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, YangZhangVolatility, RogersSatchellVolatility, GarmanKlassVolatility, ParkinsonVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, WaveTrend, RWI, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands, ClassicPivots, FibonacciPivots, Camarilla, WoodiePivots, DemarkPivots, WilliamsFractals, ZigZag, TDSetup, TDSequential, TDDeMarker, TDREI, TDPressure, TDCombo, TDCountdown, TDLines, TDRangeProjection, TDDifferential, TDOpen, TDRiskLevel, InverseFisherTransform, DecyclerOscillator, RoofingFilter, EmpiricalModeDecomposition, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, ValueArea, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, Alpha } = nativeBinding
module.exports.version = version
module.exports.SMA = SMA
@@ -332,6 +332,34 @@ module.exports.StdDev = StdDev
module.exports.UlcerIndex = UlcerIndex
module.exports.VerticalHorizontalFilter = VerticalHorizontalFilter
module.exports.ZScore = ZScore
module.exports.McGinleyDynamic = McGinleyDynamic
module.exports.FRAMA = FRAMA
module.exports.SuperSmoother = SuperSmoother
module.exports.FisherTransform = FisherTransform
module.exports.Decycler = Decycler
module.exports.CenterOfGravity = CenterOfGravity
module.exports.CyberneticCycle = CyberneticCycle
module.exports.InstantaneousTrendline = InstantaneousTrendline
module.exports.EhlersStochastic = EhlersStochastic
module.exports.RVIVolatility = RVIVolatility
module.exports.Variance = Variance
module.exports.CoefficientOfVariation = CoefficientOfVariation
module.exports.Skewness = Skewness
module.exports.Kurtosis = Kurtosis
module.exports.StandardError = StandardError
module.exports.DetrendedStdDev = DetrendedStdDev
module.exports.RSquared = RSquared
module.exports.MedianAbsoluteDeviation = MedianAbsoluteDeviation
module.exports.Autocorrelation = Autocorrelation
module.exports.HurstExponent = HurstExponent
module.exports.PearsonCorrelation = PearsonCorrelation
module.exports.Beta = Beta
module.exports.PairwiseBeta = PairwiseBeta
module.exports.SpearmanCorrelation = SpearmanCorrelation
module.exports.PairSpreadZScore = PairSpreadZScore
module.exports.LeadLagCrossCorrelation = LeadLagCrossCorrelation
module.exports.Cointegration = Cointegration
module.exports.RelativeStrengthAB = RelativeStrengthAB
module.exports.MACD = MACD
module.exports.BollingerBands = BollingerBands
module.exports.ATR = ATR
@@ -349,27 +377,25 @@ module.exports.VWAP = VWAP
module.exports.RollingVWAP = RollingVWAP
module.exports.AwesomeOscillator = AwesomeOscillator
module.exports.Aroon = Aroon
module.exports.KAMA = KAMA
module.exports.RVI = RVI
module.exports.PGO = PGO
module.exports.KST = KST
module.exports.SMI = SMI
module.exports.LaguerreRSI = LaguerreRSI
module.exports.ConnorsRSI = ConnorsRSI
module.exports.Inertia = Inertia
module.exports.ALMA = ALMA
module.exports.McGinleyDynamic = McGinleyDynamic
module.exports.FRAMA = FRAMA
module.exports.VIDYA = VIDYA
module.exports.JMA = JMA
module.exports.Alligator = Alligator
module.exports.EVWMA = EVWMA
module.exports.APO = APO
module.exports.ConnorsRSI = ConnorsRSI
module.exports.LaguerreRSI = LaguerreRSI
module.exports.SMI = SMI
module.exports.KST = KST
module.exports.PGO = PGO
module.exports.RVI = RVI
module.exports.AwesomeOscillatorHistogram = AwesomeOscillatorHistogram
module.exports.CFO = CFO
module.exports.ZeroLagMACD = ZeroLagMACD
module.exports.ElderImpulse = ElderImpulse
module.exports.STC = STC
module.exports.ElderImpulse = ElderImpulse
module.exports.ZeroLagMACD = ZeroLagMACD
module.exports.CFO = CFO
module.exports.APO = APO
module.exports.KAMA = KAMA
module.exports.EVWMA = EVWMA
module.exports.Alligator = Alligator
module.exports.JMA = JMA
module.exports.VIDYA = VIDYA
module.exports.ALMA = ALMA
module.exports.T3 = T3
module.exports.TSI = TSI
module.exports.PMO = PMO
@@ -379,17 +405,17 @@ module.exports.VolumePriceTrend = VolumePriceTrend
module.exports.ChaikinMoneyFlow = ChaikinMoneyFlow
module.exports.ChaikinOscillator = ChaikinOscillator
module.exports.ForceIndex = ForceIndex
module.exports.EaseOfMovement = EaseOfMovement
module.exports.KVO = KVO
module.exports.VolumeOscillator = VolumeOscillator
module.exports.NVI = NVI
module.exports.PVI = PVI
module.exports.VolumeOscillator = VolumeOscillator
module.exports.KVO = KVO
module.exports.WilliamsAD = WilliamsAD
module.exports.AnchoredVWAP = AnchoredVWAP
module.exports.DemandIndex = DemandIndex
module.exports.TSV = TSV
module.exports.VZO = VZO
module.exports.MarketFacilitationIndex = MarketFacilitationIndex
module.exports.EaseOfMovement = EaseOfMovement
module.exports.SuperTrend = SuperTrend
module.exports.ChandelierExit = ChandelierExit
module.exports.ChandeKrollStop = ChandeKrollStop
@@ -411,26 +437,25 @@ module.exports.BalanceOfPower = BalanceOfPower
module.exports.ChoppinessIndex = ChoppinessIndex
module.exports.TrueRange = TrueRange
module.exports.ChaikinVolatility = ChaikinVolatility
module.exports.YangZhangVolatility = YangZhangVolatility
module.exports.RogersSatchellVolatility = RogersSatchellVolatility
module.exports.GarmanKlassVolatility = GarmanKlassVolatility
module.exports.ParkinsonVolatility = ParkinsonVolatility
module.exports.LinRegAngle = LinRegAngle
module.exports.BollingerBandwidth = BollingerBandwidth
module.exports.PercentB = PercentB
module.exports.NATR = NATR
module.exports.HistoricalVolatility = HistoricalVolatility
module.exports.AroonOscillator = AroonOscillator
module.exports.Vortex = Vortex
module.exports.RWI = RWI
module.exports.WaveTrend = WaveTrend
module.exports.RWI = RWI
module.exports.Vortex = Vortex
module.exports.MassIndex = MassIndex
module.exports.StochRSI = StochRSI
module.exports.UltimateOscillator = UltimateOscillator
module.exports.PPO = PPO
module.exports.Coppock = Coppock
module.exports.VWMA = VWMA
module.exports.RVIVolatility = RVIVolatility
module.exports.ParkinsonVolatility = ParkinsonVolatility
module.exports.GarmanKlassVolatility = GarmanKlassVolatility
module.exports.RogersSatchellVolatility = RogersSatchellVolatility
module.exports.YangZhangVolatility = YangZhangVolatility
module.exports.MaEnvelope = MaEnvelope
module.exports.AccelerationBands = AccelerationBands
module.exports.StarcBands = StarcBands
@@ -461,16 +486,9 @@ module.exports.TDRangeProjection = TDRangeProjection
module.exports.TDDifferential = TDDifferential
module.exports.TDOpen = TDOpen
module.exports.TDRiskLevel = TDRiskLevel
module.exports.SuperSmoother = SuperSmoother
module.exports.FisherTransform = FisherTransform
module.exports.InverseFisherTransform = InverseFisherTransform
module.exports.Decycler = Decycler
module.exports.DecyclerOscillator = DecyclerOscillator
module.exports.RoofingFilter = RoofingFilter
module.exports.CenterOfGravity = CenterOfGravity
module.exports.CyberneticCycle = CyberneticCycle
module.exports.InstantaneousTrendline = InstantaneousTrendline
module.exports.EhlersStochastic = EhlersStochastic
module.exports.EmpiricalModeDecomposition = EmpiricalModeDecomposition
module.exports.HilbertDominantCycle = HilbertDominantCycle
module.exports.AdaptiveCycle = AdaptiveCycle
@@ -479,19 +497,6 @@ module.exports.MAMA = MAMA
module.exports.FAMA = FAMA
module.exports.Ichimoku = Ichimoku
module.exports.HeikinAshi = HeikinAshi
module.exports.Variance = Variance
module.exports.CoefficientOfVariation = CoefficientOfVariation
module.exports.Skewness = Skewness
module.exports.Kurtosis = Kurtosis
module.exports.StandardError = StandardError
module.exports.DetrendedStdDev = DetrendedStdDev
module.exports.RSquared = RSquared
module.exports.MedianAbsoluteDeviation = MedianAbsoluteDeviation
module.exports.Autocorrelation = Autocorrelation
module.exports.HurstExponent = HurstExponent
module.exports.PearsonCorrelation = PearsonCorrelation
module.exports.Beta = Beta
module.exports.SpearmanCorrelation = SpearmanCorrelation
module.exports.ValueArea = ValueArea
module.exports.InitialBalance = InitialBalance
module.exports.OpeningRange = OpeningRange
@@ -510,7 +515,6 @@ module.exports.Tweezer = Tweezer
module.exports.SpinningTop = SpinningTop
module.exports.ThreeInside = ThreeInside
module.exports.ThreeOutside = ThreeOutside
// Family 15: Risk / Performance metrics
module.exports.SharpeRatio = SharpeRatio
module.exports.SortinoRatio = SortinoRatio
module.exports.CalmarRatio = CalmarRatio