feat(core): B4 price oscillators (TsfOscillator, MacdHistogram, PpoHistogram) (#184)
Adds three **Price Oscillators** family indicators (420 → 423). ## Indicators - **TsfOscillator** — `100·(close − TSF)/close`, the percentage gap of the close to the **one-bar-ahead** time-series forecast. Close-relative companion to `Cfo`, which measures the same gap against the regression value at the *current* bar; the two differ by exactly the slope term `100·b/close`. - **MacdHistogram** — the standalone `macd − signal` bar of MACD exposed as a plain `f64` series. - **PpoHistogram** — the Percentage Price Oscillator with its 9-period signal EMA and the resulting scale-free, zero-centered histogram (PPO itself only emits the line). All three are scalar `f64` indicators wrapping existing, already-tested building blocks (`MacdIndicator`, `Ppo` + `Ema`, `Tsf`). ## Scope notes (VORAB-CHECK) The B4 roadmap listed six items; three were dropped to avoid duplicates: - *Forecast Oscillator* already ships as `Cfo`. - *Derivative Oscillator* already ships (`DerivativeOscillator`, B2). - *Detrended Synthetic Price* deferred — no citable formula distinct from the existing `Apo`/`Dpo`. ## Touchpoints Core (`tsf_oscillator.rs`, `macd_histogram.rs`, `ppo_histogram.rs`) with full per-branch unit tests, `mod.rs`/`lib.rs`, python/node/wasm bindings (wasm via typed-arg macro, python/node hand-written for the multi-arg histograms), fuzz drivers, python reference + streaming-vs-batch tests, node factories, README family row + counter, CHANGELOG. Local verify: `cargo test --workspace` green, `clippy -D warnings` clean, node 498 tests, full python suite green.
This commit is contained in:
@@ -28,6 +28,9 @@ function num(v) {
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// --- Scalar indicators: update(value) vs batch(prices) ---
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const scalarFactories = {
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PpoHistogram: () => new wickra.PpoHistogram(3, 6, 3),
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MacdHistogram: () => new wickra.MacdHistogram(3, 6, 3),
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TsfOscillator: () => new wickra.TsfOscillator(3),
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WAVE_PM: () => new wickra.WAVE_PM(32, 3),
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POLARIZED_FRACTAL_EFFICIENCY: () => new wickra.POLARIZED_FRACTAL_EFFICIENCY(10, 5),
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TREND_STRENGTH_INDEX: () => new wickra.TREND_STRENGTH_INDEX(20),
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Vendored
+27
@@ -978,6 +978,15 @@ export declare class TREND_STRENGTH_INDEX {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type TsfOscillatorNode = TsfOscillator
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export declare class TsfOscillator {
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constructor(period: number)
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update(value: number): number | null
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batch(prices: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type JumpIndicatorNode = JumpIndicator
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export declare class JumpIndicator {
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constructor(period: number, threshold: number)
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@@ -1909,6 +1918,24 @@ export declare class DerivativeOscillator {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type MacdHistogramNode = MacdHistogram
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export declare class MacdHistogram {
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constructor(fast: number, slow: number, signal: number)
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update(value: number): number | null
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batch(prices: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type PpoHistogramNode = PpoHistogram
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export declare class PpoHistogram {
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constructor(fast: number, slow: number, signal: number)
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update(value: number): number | null
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batch(prices: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type TsiNode = TSI
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export declare class TSI {
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constructor(long: number, short: number)
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File diff suppressed because one or more lines are too long
@@ -219,6 +219,7 @@ node_scalar_indicator!(
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"TREND_STRENGTH_INDEX",
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wc::TrendStrengthIndex
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);
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node_scalar_indicator!(TsfOscillatorNode, "TsfOscillator", wc::TsfOscillator);
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#[napi(js_name = "JumpIndicator")]
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pub struct JumpIndicatorNode {
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inner: wc::JumpIndicator,
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@@ -4533,6 +4534,82 @@ impl DerivativeOscillatorNode {
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}
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}
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// ============================== MacdHistogram ==============================
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#[napi(js_name = "MacdHistogram")]
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pub struct MacdHistogramNode {
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inner: wc::MacdHistogram,
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}
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#[napi]
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impl MacdHistogramNode {
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#[napi(constructor)]
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pub fn new(fast: u32, slow: u32, signal: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::MacdHistogram::new(fast as usize, slow as usize, signal as usize)
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.map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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#[napi]
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pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
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flatten(self.inner.batch(&prices))
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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// ============================== PpoHistogram ==============================
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#[napi(js_name = "PpoHistogram")]
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pub struct PpoHistogramNode {
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inner: wc::PpoHistogram,
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}
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#[napi]
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impl PpoHistogramNode {
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#[napi(constructor)]
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pub fn new(fast: u32, slow: u32, signal: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::PpoHistogram::new(fast as usize, slow as usize, signal as usize)
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.map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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#[napi]
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pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
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flatten(self.inner.batch(&prices))
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}
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#[napi]
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[napi(js_name = "isReady")]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[napi(js_name = "warmupPeriod")]
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pub fn warmup_period(&self) -> u32 {
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self.inner.warmup_period() as u32
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}
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}
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// ============================== TSI ==============================
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#[napi(js_name = "TSI")]
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@@ -25,6 +25,9 @@ from __future__ import annotations
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from ._wickra import (
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__version__,
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PpoHistogram,
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MacdHistogram,
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TsfOscillator,
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Qstick,
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GatorOscillator,
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KasePermissionStochastic,
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@@ -473,6 +476,9 @@ from ._wickra import (
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)
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__all__ = [
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"PpoHistogram",
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"MacdHistogram",
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"TsfOscillator",
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"Qstick",
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"GatorOscillator",
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"KasePermissionStochastic",
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@@ -3295,6 +3295,144 @@ impl PyKasePermissionStochastic {
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}
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}
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// ============================== TsfOscillator ==============================
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#[pyclass(name = "TsfOscillator", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyTsfOscillator {
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inner: wc::TsfOscillator,
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}
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#[pymethods]
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impl PyTsfOscillator {
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#[new]
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#[pyo3(signature = (period=14))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::TsfOscillator::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let s = prices
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(flatten(self.inner.batch(s)).into_pyarray(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("TsfOscillator(period={})", self.inner.period())
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}
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}
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// ============================== MacdHistogram ==============================
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#[pyclass(name = "MacdHistogram", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyMacdHistogram {
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inner: wc::MacdHistogram,
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}
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#[pymethods]
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impl PyMacdHistogram {
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#[new]
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#[pyo3(signature = (fast=12, slow=26, signal=9))]
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fn new(fast: usize, slow: usize, signal: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::MacdHistogram::new(fast, slow, signal).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let s = prices
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(flatten(self.inner.batch(s)).into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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let (fast, slow, signal) = self.inner.periods();
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format!("MacdHistogram(fast={fast}, slow={slow}, signal={signal})")
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}
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}
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// ============================== PpoHistogram ==============================
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#[pyclass(name = "PpoHistogram", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyPpoHistogram {
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inner: wc::PpoHistogram,
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}
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#[pymethods]
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impl PyPpoHistogram {
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#[new]
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#[pyo3(signature = (fast=12, slow=26, signal=9))]
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fn new(fast: usize, slow: usize, signal: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::PpoHistogram::new(fast, slow, signal).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let s = prices
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(flatten(self.inner.batch(s)).into_pyarray(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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let (fast, slow, signal) = self.inner.periods();
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format!("PpoHistogram(fast={fast}, slow={slow}, signal={signal})")
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}
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}
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// ============================== Stochastic ==============================
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#[pyclass(name = "IMI", module = "wickra._wickra", skip_from_py_object)]
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@@ -21422,5 +21560,8 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyWavePm>()?;
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m.add_class::<PyGatorOscillator>()?;
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m.add_class::<PyKasePermissionStochastic>()?;
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m.add_class::<PyTsfOscillator>()?;
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m.add_class::<PyMacdHistogram>()?;
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m.add_class::<PyPpoHistogram>()?;
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Ok(())
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}
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@@ -45,6 +45,9 @@ def ohlcv() -> tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
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# --- Scalar (f64 -> f64) indicators ---------------------------------------
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SCALAR = [
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(ta.PpoHistogram, (3, 6, 3)),
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(ta.MacdHistogram, (3, 6, 3)),
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(ta.TsfOscillator, (3,)),
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(ta.WAVE_PM, (32, 3)),
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(ta.POLARIZED_FRACTAL_EFFICIENCY, (10, 5)),
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(ta.TREND_STRENGTH_INDEX, (20,)),
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@@ -2862,6 +2865,31 @@ def test_kase_permission_stochastic_reference():
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assert out[-1][0] == pytest.approx(50.0)
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assert out[-1][1] == pytest.approx(50.0)
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def test_tsf_oscillator_reference():
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t = ta.TsfOscillator(3)
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assert t.update(1.0) is None
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assert t.update(2.0) is None
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assert t.update(9.0) == pytest.approx(-33.33333333333333)
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def test_macd_histogram_reference():
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# On a constant-slope ramp the MACD line is flat once seeded, so the
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# signal EMA catches up and the histogram collapses to 0.
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t = ta.MacdHistogram(3, 6, 3)
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for i in range(7):
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assert t.update(100.0 + i * 2.0) is None
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assert t.update(100.0 + 7 * 2.0) == pytest.approx(0.0, abs=1e-9)
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def test_ppo_histogram_reference():
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# PPO divides the EMA gap by the slow EMA, so on the same ramp the ratio
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# keeps drifting and the histogram stays non-zero.
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t = ta.PpoHistogram(3, 6, 3)
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for i in range(7):
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assert t.update(100.0 + i * 2.0) is None
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assert t.update(100.0 + 7 * 2.0) == pytest.approx(-0.052098, abs=1e-6)
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# --- Lifecycle ------------------------------------------------------------
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@@ -10653,6 +10653,9 @@ wasm_scalar_indicator!(WasmDynamicMomentumIndex, "DynamicMomentumIndex", wc::Dyn
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wasm_scalar_indicator!(WasmRmi, "RMI", wc::Rmi, period: usize, momentum: usize);
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wasm_scalar_indicator!(WasmDerivativeOscillator, "DerivativeOscillator", wc::DerivativeOscillator, rsi_period: usize, smooth1: usize, smooth2: usize, signal_period: usize);
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wasm_scalar_indicator!(WasmTrendStrengthIndex, "TREND_STRENGTH_INDEX", wc::TrendStrengthIndex, period: usize);
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wasm_scalar_indicator!(WasmTsfOscillator, "TsfOscillator", wc::TsfOscillator, period: usize);
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wasm_scalar_indicator!(WasmMacdHistogram, "MacdHistogram", wc::MacdHistogram, fast: usize, slow: usize, signal: usize);
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wasm_scalar_indicator!(WasmPpoHistogram, "PpoHistogram", wc::PpoHistogram, fast: usize, slow: usize, signal: usize);
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// --- DrawdownDuration: u32 output, no constructor args ---
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Reference in New Issue
Block a user