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:
kingchenc
2026-06-04 19:36:43 +02:00
committed by GitHub
parent d36d514f56
commit 1f4bf9e3a6
17 changed files with 942 additions and 19 deletions
@@ -28,6 +28,9 @@ function num(v) {
// --- Scalar indicators: update(value) vs batch(prices) ---
const scalarFactories = {
PpoHistogram: () => new wickra.PpoHistogram(3, 6, 3),
MacdHistogram: () => new wickra.MacdHistogram(3, 6, 3),
TsfOscillator: () => new wickra.TsfOscillator(3),
WAVE_PM: () => new wickra.WAVE_PM(32, 3),
POLARIZED_FRACTAL_EFFICIENCY: () => new wickra.POLARIZED_FRACTAL_EFFICIENCY(10, 5),
TREND_STRENGTH_INDEX: () => new wickra.TREND_STRENGTH_INDEX(20),
+27
View File
@@ -978,6 +978,15 @@ export declare class TREND_STRENGTH_INDEX {
isReady(): boolean
warmupPeriod(): number
}
export type TsfOscillatorNode = TsfOscillator
export declare class TsfOscillator {
constructor(period: number)
update(value: number): number | null
batch(prices: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type JumpIndicatorNode = JumpIndicator
export declare class JumpIndicator {
constructor(period: number, threshold: number)
@@ -1909,6 +1918,24 @@ export declare class DerivativeOscillator {
isReady(): boolean
warmupPeriod(): number
}
export type MacdHistogramNode = MacdHistogram
export declare class MacdHistogram {
constructor(fast: number, slow: number, signal: number)
update(value: number): number | null
batch(prices: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type PpoHistogramNode = PpoHistogram
export declare class PpoHistogram {
constructor(fast: number, slow: number, signal: number)
update(value: number): number | null
batch(prices: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type TsiNode = TSI
export declare class TSI {
constructor(long: number, short: number)
File diff suppressed because one or more lines are too long
+77
View File
@@ -219,6 +219,7 @@ node_scalar_indicator!(
"TREND_STRENGTH_INDEX",
wc::TrendStrengthIndex
);
node_scalar_indicator!(TsfOscillatorNode, "TsfOscillator", wc::TsfOscillator);
#[napi(js_name = "JumpIndicator")]
pub struct JumpIndicatorNode {
inner: wc::JumpIndicator,
@@ -4533,6 +4534,82 @@ impl DerivativeOscillatorNode {
}
}
// ============================== MacdHistogram ==============================
#[napi(js_name = "MacdHistogram")]
pub struct MacdHistogramNode {
inner: wc::MacdHistogram,
}
#[napi]
impl MacdHistogramNode {
#[napi(constructor)]
pub fn new(fast: u32, slow: u32, signal: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::MacdHistogram::new(fast as usize, slow as usize, signal as usize)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
flatten(self.inner.batch(&prices))
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// ============================== PpoHistogram ==============================
#[napi(js_name = "PpoHistogram")]
pub struct PpoHistogramNode {
inner: wc::PpoHistogram,
}
#[napi]
impl PpoHistogramNode {
#[napi(constructor)]
pub fn new(fast: u32, slow: u32, signal: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::PpoHistogram::new(fast as usize, slow as usize, signal as usize)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
flatten(self.inner.batch(&prices))
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// ============================== TSI ==============================
#[napi(js_name = "TSI")]
@@ -25,6 +25,9 @@ from __future__ import annotations
from ._wickra import (
__version__,
PpoHistogram,
MacdHistogram,
TsfOscillator,
Qstick,
GatorOscillator,
KasePermissionStochastic,
@@ -473,6 +476,9 @@ from ._wickra import (
)
__all__ = [
"PpoHistogram",
"MacdHistogram",
"TsfOscillator",
"Qstick",
"GatorOscillator",
"KasePermissionStochastic",
+141
View File
@@ -3295,6 +3295,144 @@ impl PyKasePermissionStochastic {
}
}
// ============================== TsfOscillator ==============================
#[pyclass(name = "TsfOscillator", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyTsfOscillator {
inner: wc::TsfOscillator,
}
#[pymethods]
impl PyTsfOscillator {
#[new]
#[pyo3(signature = (period=14))]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::TsfOscillator::new(period).map_err(map_err)?,
})
}
fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
fn batch<'py>(
&mut self,
py: Python<'py>,
prices: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let s = prices
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
Ok(flatten(self.inner.batch(s)).into_pyarray(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!("TsfOscillator(period={})", self.inner.period())
}
}
// ============================== MacdHistogram ==============================
#[pyclass(name = "MacdHistogram", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyMacdHistogram {
inner: wc::MacdHistogram,
}
#[pymethods]
impl PyMacdHistogram {
#[new]
#[pyo3(signature = (fast=12, slow=26, signal=9))]
fn new(fast: usize, slow: usize, signal: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::MacdHistogram::new(fast, slow, signal).map_err(map_err)?,
})
}
fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
fn batch<'py>(
&mut self,
py: Python<'py>,
prices: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let s = prices
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
}
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 (fast, slow, signal) = self.inner.periods();
format!("MacdHistogram(fast={fast}, slow={slow}, signal={signal})")
}
}
// ============================== PpoHistogram ==============================
#[pyclass(name = "PpoHistogram", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyPpoHistogram {
inner: wc::PpoHistogram,
}
#[pymethods]
impl PyPpoHistogram {
#[new]
#[pyo3(signature = (fast=12, slow=26, signal=9))]
fn new(fast: usize, slow: usize, signal: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::PpoHistogram::new(fast, slow, signal).map_err(map_err)?,
})
}
fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
fn batch<'py>(
&mut self,
py: Python<'py>,
prices: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let s = prices
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
Ok(flatten(self.inner.batch(s)).into_pyarray(py))
}
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 (fast, slow, signal) = self.inner.periods();
format!("PpoHistogram(fast={fast}, slow={slow}, signal={signal})")
}
}
// ============================== Stochastic ==============================
#[pyclass(name = "IMI", module = "wickra._wickra", skip_from_py_object)]
@@ -21422,5 +21560,8 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyWavePm>()?;
m.add_class::<PyGatorOscillator>()?;
m.add_class::<PyKasePermissionStochastic>()?;
m.add_class::<PyTsfOscillator>()?;
m.add_class::<PyMacdHistogram>()?;
m.add_class::<PyPpoHistogram>()?;
Ok(())
}
@@ -45,6 +45,9 @@ def ohlcv() -> tuple[np.ndarray, np.ndarray, np.ndarray, np.ndarray]:
# --- Scalar (f64 -> f64) indicators ---------------------------------------
SCALAR = [
(ta.PpoHistogram, (3, 6, 3)),
(ta.MacdHistogram, (3, 6, 3)),
(ta.TsfOscillator, (3,)),
(ta.WAVE_PM, (32, 3)),
(ta.POLARIZED_FRACTAL_EFFICIENCY, (10, 5)),
(ta.TREND_STRENGTH_INDEX, (20,)),
@@ -2862,6 +2865,31 @@ def test_kase_permission_stochastic_reference():
assert out[-1][0] == pytest.approx(50.0)
assert out[-1][1] == pytest.approx(50.0)
def test_tsf_oscillator_reference():
t = ta.TsfOscillator(3)
assert t.update(1.0) is None
assert t.update(2.0) is None
assert t.update(9.0) == pytest.approx(-33.33333333333333)
def test_macd_histogram_reference():
# On a constant-slope ramp the MACD line is flat once seeded, so the
# signal EMA catches up and the histogram collapses to 0.
t = ta.MacdHistogram(3, 6, 3)
for i in range(7):
assert t.update(100.0 + i * 2.0) is None
assert t.update(100.0 + 7 * 2.0) == pytest.approx(0.0, abs=1e-9)
def test_ppo_histogram_reference():
# PPO divides the EMA gap by the slow EMA, so on the same ramp the ratio
# keeps drifting and the histogram stays non-zero.
t = ta.PpoHistogram(3, 6, 3)
for i in range(7):
assert t.update(100.0 + i * 2.0) is None
assert t.update(100.0 + 7 * 2.0) == pytest.approx(-0.052098, abs=1e-6)
# --- Lifecycle ------------------------------------------------------------
+3
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@@ -10653,6 +10653,9 @@ wasm_scalar_indicator!(WasmDynamicMomentumIndex, "DynamicMomentumIndex", wc::Dyn
wasm_scalar_indicator!(WasmRmi, "RMI", wc::Rmi, period: usize, momentum: usize);
wasm_scalar_indicator!(WasmDerivativeOscillator, "DerivativeOscillator", wc::DerivativeOscillator, rsi_period: usize, smooth1: usize, smooth2: usize, signal_period: usize);
wasm_scalar_indicator!(WasmTrendStrengthIndex, "TREND_STRENGTH_INDEX", wc::TrendStrengthIndex, period: usize);
wasm_scalar_indicator!(WasmTsfOscillator, "TsfOscillator", wc::TsfOscillator, period: usize);
wasm_scalar_indicator!(WasmMacdHistogram, "MacdHistogram", wc::MacdHistogram, fast: usize, slow: usize, signal: usize);
wasm_scalar_indicator!(WasmPpoHistogram, "PpoHistogram", wc::PpoHistogram, fast: usize, slow: usize, signal: usize);
// --- DrawdownDuration: u32 output, no constructor args ---