feat(indicators): B3 Trend & Directional batch (413 -> 420) (#181)
Adds the **B3 — Trend & Directional** batch: seven new indicators, taking the catalog from 413 to 420 (Trend & Directional family). | Indicator | Input → Output | Summary | |-----------|----------------|---------| | `Qstick` | candle → f64 | Chande's SMA of the candle body (close − open) | | `TtmTrend` | candle → f64 (±1) | John Carter close-vs-median-SMA trend filter | | `TrendStrengthIndex` | f64 → f64 | signed r² of an OLS regression of price vs time | | `PolarizedFractalEfficiency` | f64 → f64 | Hannula directional trend efficiency | | `WavePm` | f64 → f64 | Kase variance-normalised peak-momentum statistic (reconstruction) | | `GatorOscillator` | candle → struct | Bill Williams Alligator convergence/divergence histogram | | `KasePermissionStochastic` | candle → struct | double-smoothed stochastic permission filter | Note: the roadmap's "Directional Indicator +DI/−DI" item is already covered by the existing standalone `PlusDi` / `MinusDi` / `Dx`, so it is intentionally not re-added. All touchpoints wired: core (every-branch unit tests), Python/Node/WASM bindings, fuzz drivers, Python test registries + reference tests, Node factories, README/CHANGELOG counters. Local verify: `cargo test -p wickra-core` (lib 3389 + doc 378), `cargo clippy --workspace --all-targets --all-features -- -D warnings`, node build + 495 tests, maturin + 815 pytest, counter 420 == 420.
This commit is contained in:
@@ -45,6 +45,9 @@ def ohlcv() -> tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
|
||||
# --- Scalar (f64 -> f64) indicators ---------------------------------------
|
||||
|
||||
SCALAR = [
|
||||
(ta.WAVE_PM, (32, 3)),
|
||||
(ta.POLARIZED_FRACTAL_EFFICIENCY, (10, 5)),
|
||||
(ta.TREND_STRENGTH_INDEX, (20,)),
|
||||
(ta.DerivativeOscillator, (14, 5, 3, 9)),
|
||||
(ta.RMI, (14, 5)),
|
||||
(ta.DynamicMomentumIndex, (14,)),
|
||||
@@ -355,6 +358,7 @@ def test_relative_strength_streaming_matches_batch():
|
||||
# 6-tuple candle; the batch helper takes only the columns it needs.
|
||||
|
||||
CANDLE_SCALAR = {
|
||||
"TTM_TREND": (lambda: ta.TTM_TREND(6), lambda ind, h, l, c, v: ind.batch(h, l, c)),
|
||||
"StochasticCCI": (lambda: ta.StochasticCCI(14), lambda ind, h, l, c, v: ind.batch(h, l, c)),
|
||||
# Per-bar OHLC transforms (open matters). The streaming harness feeds
|
||||
# open == close, so batch passes the close column in for open to match.
|
||||
@@ -892,6 +896,16 @@ def test_candle_scalar_streaming_matches_batch(name, ohlcv):
|
||||
# --- Candle-input, multi-output indicators --------------------------------
|
||||
|
||||
MULTI = {
|
||||
"KasePermissionStochastic": (
|
||||
lambda: ta.KasePermissionStochastic(9, 3),
|
||||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||||
2,
|
||||
),
|
||||
"GatorOscillator": (
|
||||
lambda: ta.GatorOscillator(13, 8, 5),
|
||||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||||
2,
|
||||
),
|
||||
"ElderRay": (
|
||||
lambda: ta.ElderRay(13),
|
||||
lambda ind, h, l, c, v: ind.batch(h, l, c),
|
||||
@@ -2779,6 +2793,75 @@ def test_imi_reference():
|
||||
assert math.isnan(out[1])
|
||||
assert out[2] == pytest.approx(75.0)
|
||||
|
||||
|
||||
def test_qstick_reference():
|
||||
q = ta.Qstick(3)
|
||||
open_ = np.array([10.0, 10.0, 10.0])
|
||||
close = np.array([11.0, 11.0, 11.0])
|
||||
out = q.batch(open_, close)
|
||||
# Each body is close - open = 1; SMA(3) of [1, 1, 1] = 1.
|
||||
assert math.isnan(out[0])
|
||||
assert math.isnan(out[1])
|
||||
assert out[2] == pytest.approx(1.0)
|
||||
|
||||
|
||||
def test_ttm_trend_reference():
|
||||
t = ta.TTM_TREND(3)
|
||||
high = np.array([13.0, 13.0, 13.0])
|
||||
low = np.array([9.0, 9.0, 9.0])
|
||||
close = np.array([12.0, 12.0, 12.0])
|
||||
out = t.batch(high, low, close)
|
||||
# Median (13 + 9) / 2 = 11; close 12 is above the SMA(3) reference -> +1.
|
||||
assert math.isnan(out[0])
|
||||
assert out[2] == pytest.approx(1.0)
|
||||
|
||||
|
||||
def test_trend_strength_index_reference():
|
||||
tsi = ta.TREND_STRENGTH_INDEX(10)
|
||||
closes = np.arange(10, dtype=float)
|
||||
out = tsi.batch(closes)
|
||||
# A clean ramp is a perfect uptrend -> signed r^2 = +1.
|
||||
assert math.isclose(out[-1], 1.0, abs_tol=1e-9)
|
||||
|
||||
|
||||
def test_polarized_fractal_efficiency_reference():
|
||||
pfe = ta.POLARIZED_FRACTAL_EFFICIENCY(5, 3)
|
||||
closes = np.arange(20, dtype=float)
|
||||
out = pfe.batch(closes)
|
||||
# On a straight ramp the path equals the diagonal -> efficiency 1 -> +100.
|
||||
assert math.isclose(out[-1], 100.0, abs_tol=1e-9)
|
||||
|
||||
|
||||
def test_wave_pm_reference():
|
||||
wpm = ta.WAVE_PM(10, 3)
|
||||
closes = np.arange(60, dtype=float) * 5.0
|
||||
out = wpm.batch(closes)
|
||||
# Constant-slope ramp: momentum equals its energy -> 100 * (1 - e^-0.5).
|
||||
baseline = 100.0 * (1.0 - math.exp(-0.5))
|
||||
assert math.isclose(out[-1], baseline, abs_tol=1e-9)
|
||||
|
||||
|
||||
def test_gator_oscillator_reference():
|
||||
g = ta.GatorOscillator(13, 8, 5)
|
||||
n = 40
|
||||
high = np.full(n, 11.0)
|
||||
low = np.full(n, 9.0)
|
||||
close = np.full(n, 10.0)
|
||||
out = g.batch(high, low, close)
|
||||
# Constant median collapses all three Alligator lines -> both bars zero.
|
||||
assert out[-1][0] == pytest.approx(0.0)
|
||||
assert out[-1][1] == pytest.approx(0.0)
|
||||
|
||||
|
||||
def test_kase_permission_stochastic_reference():
|
||||
k = ta.KasePermissionStochastic(4, 2)
|
||||
n = 20
|
||||
flat = np.full(n, 10.0)
|
||||
out = k.batch(flat, flat, flat)
|
||||
# HH == LL -> raw %K defaults to the neutral 50 -> both lines at 50.
|
||||
assert out[-1][0] == pytest.approx(50.0)
|
||||
assert out[-1][1] == pytest.approx(50.0)
|
||||
|
||||
# --- Lifecycle ------------------------------------------------------------
|
||||
|
||||
|
||||
|
||||
Reference in New Issue
Block a user