F6: add Aroon Oscillator, Vortex and Mass Index

Completes the F6 family (Trend strength) end to end:

- Rust core: aroon_oscillator.rs (AroonUp - AroonDown, one-line trend
  gauge), vortex.rs (Vortex Indicator VI+/VI- with the VortexOutput
  struct), mass_index.rs (Dorsey's range-expansion sum of the
  EMA-of-range ratio). Each with a full Indicator impl, runnable doctest
  and reference / saturation / warmup / reset / batch==streaming tests.
- Python: PyAroonOscillator / PyVortex / PyMassIndex PyO3 classes +
  module registration + .pyi stubs (defaults Aroon=14, Vortex=14,
  MassIndex=(9,25)).
- Node: explicit AroonOscillatorNode, VortexNode (with VortexValue
  object) and MassIndexNode; index.d.ts and index.js updated.
- WASM: WasmAroonOscillator, WasmVortex, WasmMassIndex.
- Wiki: Indicator-AroonOscillator/Vortex/MassIndex.md plus rows in
  Indicators-Overview.md and entries in Home.md.

cargo fmt + clippy (core/wickra/data/wasm/node) clean; 320 core tests,
25 data tests and 45 doctests green.
This commit is contained in:
kingchenc
2026-05-22 18:17:38 +02:00
parent 54148cad5b
commit 16c0639f0c
15 changed files with 1713 additions and 7 deletions
+211
View File
@@ -1519,6 +1519,214 @@ impl PyAroon {
}
}
// ============================== Aroon Oscillator ==============================
#[pyclass(name = "AroonOscillator", module = "wickra._wickra")]
#[derive(Clone)]
struct PyAroonOscillator {
inner: wc::AroonOscillator,
}
#[pymethods]
impl PyAroonOscillator {
#[new]
#[pyo3(signature = (period=14))]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::AroonOscillator::new(period).map_err(map_err)?,
})
}
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
let c = extract_candle(candle)?;
Ok(self.inner.update(c))
}
/// Batch over numpy high + low columns (both 1-D, equal length).
fn batch<'py>(
&mut self,
py: Python<'py>,
high: PyReadonlyArray1<'py, f64>,
low: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let h = high
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
let l = low
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
if h.len() != l.len() {
return Err(PyValueError::new_err("high and low must be equal length"));
}
let mut out = Vec::with_capacity(h.len());
for i in 0..h.len() {
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
}
Ok(out.into_pyarray_bound(py))
}
#[getter]
fn period(&self) -> usize {
self.inner.period()
}
#[getter]
fn value(&self) -> Option<f64> {
self.inner.value()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
format!("AroonOscillator(period={})", self.inner.period())
}
}
// ============================== Vortex ==============================
#[pyclass(name = "Vortex", module = "wickra._wickra")]
#[derive(Clone)]
struct PyVortex {
inner: wc::Vortex,
}
#[pymethods]
impl PyVortex {
#[new]
#[pyo3(signature = (period=14))]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::Vortex::new(period).map_err(map_err)?,
})
}
/// Returns `(plus, minus)` or `None` during warmup.
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
let c = extract_candle(candle)?;
Ok(self.inner.update(c).map(|o| (o.plus, o.minus)))
}
/// Batch over high/low/close numpy columns. Returns shape `(n, 2)` for `[plus, minus]`.
fn batch<'py>(
&mut self,
py: Python<'py>,
high: PyReadonlyArray1<'py, f64>,
low: PyReadonlyArray1<'py, f64>,
close: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray2<f64>>> {
let h = high
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
let l = low
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
let c = close
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
if h.len() != l.len() || l.len() != c.len() {
return Err(PyValueError::new_err(
"high, low, close must be equal length",
));
}
let n = h.len();
let mut out = vec![f64::NAN; n * 2];
for i in 0..n {
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
if let Some(o) = self.inner.update(candle) {
out[i * 2] = o.plus;
out[i * 2 + 1] = o.minus;
}
}
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
.expect("shape consistent")
.into_pyarray_bound(py))
}
#[getter]
fn period(&self) -> usize {
self.inner.period()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
format!("Vortex(period={})", self.inner.period())
}
}
// ============================== Mass Index ==============================
#[pyclass(name = "MassIndex", module = "wickra._wickra")]
#[derive(Clone)]
struct PyMassIndex {
inner: wc::MassIndex,
}
#[pymethods]
impl PyMassIndex {
#[new]
#[pyo3(signature = (ema_period=9, sum_period=25))]
fn new(ema_period: usize, sum_period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::MassIndex::new(ema_period, sum_period).map_err(map_err)?,
})
}
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
let c = extract_candle(candle)?;
Ok(self.inner.update(c))
}
/// Batch over numpy high + low columns (both 1-D, equal length).
fn batch<'py>(
&mut self,
py: Python<'py>,
high: PyReadonlyArray1<'py, f64>,
low: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let h = high
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
let l = low
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
if h.len() != l.len() {
return Err(PyValueError::new_err("high and low must be equal length"));
}
let mut out = Vec::with_capacity(h.len());
for i in 0..h.len() {
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
}
Ok(out.into_pyarray_bound(py))
}
#[getter]
fn periods(&self) -> (usize, usize) {
self.inner.periods()
}
#[getter]
fn value(&self) -> Option<f64> {
self.inner.value()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
let (e, s) = self.inner.periods();
format!("MassIndex(ema_period={e}, sum_period={s})")
}
}
// ============================== PPO ==============================
#[pyclass(name = "PPO", module = "wickra._wickra")]
@@ -2345,5 +2553,8 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyPpo>()?;
m.add_class::<PyDpo>()?;
m.add_class::<PyCoppock>()?;
m.add_class::<PyAroonOscillator>()?;
m.add_class::<PyVortex>()?;
m.add_class::<PyMassIndex>()?;
Ok(())
}