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F11: add SuperTrend, Chandelier Exit, Chande Kroll Stop and ATR Trailing Stop

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- Rust core: super_trend.rs (SuperTrend — ATR-banded trailing stop with
  flip logic; SuperTrendOutput { value, direction }), chandelier_exit.rs
  (Chandelier Exit — ATR stop hung off the window's highest high / lowest
  low; ChandelierExitOutput { long_stop, short_stop }),
  chande_kroll_stop.rs (Chande Kroll Stop — a two-stage ATR stop;
  ChandeKrollStopOutput { stop_long, stop_short }), atr_trailing_stop.rs
  (ATR Trailing Stop — a single ratcheting close-based stop). Each with a
  full Indicator impl, runnable doctest and reference / property / warmup
  / reset / batch==streaming tests.
- Python: PySuperTrend / PyChandelierExit / PyChandeKrollStop /
  PyAtrTrailingStop PyO3 classes (struct outputs as tuples and (n, 2)
  arrays) + module registration + .pyi stubs.
- Node: explicit SuperTrendNode / ChandelierExitNode / ChandeKrollStopNode
  / AtrTrailingStopNode with SuperTrendValue / ChandelierExitValue /
  ChandeKrollStopValue objects; index.d.ts and index.js updated.
- WASM: WasmSuperTrend / WasmChandelierExit / WasmChandeKrollStop /
  WasmAtrTrailingStop.
- Wiki: Indicator-SuperTrend/ChandelierExit/ChandeKrollStop/
  AtrTrailingStop.md plus rows in the "Trailing stop" table of
  Indicators-Overview.md and entries in Home.md.
- Add clippy.toml with doc-valid-idents for the proper noun "LeBeau".

cargo fmt + clippy (core/wickra/data/wasm/node) clean; 427 core tests,
25 data tests and 61 doctests green.
This commit is contained in:
kingchenc
2026-05-22 19:42:14 +02:00
parent 0b11a523a0
commit 21bbd521b3
18 changed files with 2643 additions and 13 deletions
Download Patch File Download Diff File Expand all files Collapse all files
bindings/python/src/lib.rs
+304
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@@ -3277,6 +3277,306 @@ impl PyEaseOfMovement {
}
}
// ============================== SuperTrend ==============================
#[pyclass(name = "SuperTrend", module = "wickra._wickra")]
#[derive(Clone)]
struct PySuperTrend {
inner: wc::SuperTrend,
}
#[pymethods]
impl PySuperTrend {
#[new]
#[pyo3(signature = (atr_period=10, multiplier=3.0))]
fn new(atr_period: usize, multiplier: f64) -> PyResult<Self> {
Ok(Self {
inner: wc::SuperTrend::new(atr_period, multiplier).map_err(map_err)?,
})
}
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
let c = extract_candle(candle)?;
Ok(self.inner.update(c).map(|o| (o.value, o.direction)))
}
/// Batch over numpy columns high, low, close. Returns shape `(n, 2)` with
/// columns `[value, direction]`; warmup rows are `NaN`.
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.value;
out[i * 2 + 1] = o.direction;
}
}
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
.expect("shape consistent")
.into_pyarray_bound(py))
}
#[getter]
fn params(&self) -> (usize, f64) {
self.inner.params()
}
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 (atr_period, multiplier) = self.inner.params();
format!("SuperTrend(atr_period={atr_period}, multiplier={multiplier})")
}
}
// ============================== Chandelier Exit ==============================
#[pyclass(name = "ChandelierExit", module = "wickra._wickra")]
#[derive(Clone)]
struct PyChandelierExit {
inner: wc::ChandelierExit,
}
#[pymethods]
impl PyChandelierExit {
#[new]
#[pyo3(signature = (period=22, multiplier=3.0))]
fn new(period: usize, multiplier: f64) -> PyResult<Self> {
Ok(Self {
inner: wc::ChandelierExit::new(period, multiplier).map_err(map_err)?,
})
}
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
let c = extract_candle(candle)?;
Ok(self.inner.update(c).map(|o| (o.long_stop, o.short_stop)))
}
/// Batch over numpy columns high, low, close. Returns shape `(n, 2)` with
/// columns `[long_stop, short_stop]`; warmup rows are `NaN`.
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.long_stop;
out[i * 2 + 1] = o.short_stop;
}
}
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
.expect("shape consistent")
.into_pyarray_bound(py))
}
#[getter]
fn params(&self) -> (usize, f64) {
self.inner.params()
}
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 (period, multiplier) = self.inner.params();
format!("ChandelierExit(period={period}, multiplier={multiplier})")
}
}
// ============================== Chande Kroll Stop ==============================
#[pyclass(name = "ChandeKrollStop", module = "wickra._wickra")]
#[derive(Clone)]
struct PyChandeKrollStop {
inner: wc::ChandeKrollStop,
}
#[pymethods]
impl PyChandeKrollStop {
#[new]
#[pyo3(signature = (atr_period=10, atr_multiplier=1.0, stop_period=9))]
fn new(atr_period: usize, atr_multiplier: f64, stop_period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::ChandeKrollStop::new(atr_period, atr_multiplier, stop_period)
.map_err(map_err)?,
})
}
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<(f64, f64)>> {
let c = extract_candle(candle)?;
Ok(self.inner.update(c).map(|o| (o.stop_long, o.stop_short)))
}
/// Batch over numpy columns high, low, close. Returns shape `(n, 2)` with
/// columns `[stop_long, stop_short]`; warmup rows are `NaN`.
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.stop_long;
out[i * 2 + 1] = o.stop_short;
}
}
Ok(numpy::ndarray::Array2::from_shape_vec((n, 2), out)
.expect("shape consistent")
.into_pyarray_bound(py))
}
#[getter]
fn params(&self) -> (usize, f64, usize) {
self.inner.params()
}
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 (atr_period, atr_multiplier, stop_period) = self.inner.params();
format!(
"ChandeKrollStop(atr_period={atr_period}, atr_multiplier={atr_multiplier}, stop_period={stop_period})"
)
}
}
// ============================== ATR Trailing Stop ==============================
#[pyclass(name = "AtrTrailingStop", module = "wickra._wickra")]
#[derive(Clone)]
struct PyAtrTrailingStop {
inner: wc::AtrTrailingStop,
}
#[pymethods]
impl PyAtrTrailingStop {
#[new]
#[pyo3(signature = (atr_period=14, multiplier=3.0))]
fn new(atr_period: usize, multiplier: f64) -> PyResult<Self> {
Ok(Self {
inner: wc::AtrTrailingStop::new(atr_period, multiplier).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 columns high, low, close (all equal length).
fn batch<'py>(
&mut self,
py: Python<'py>,
high: PyReadonlyArray1<'py, f64>,
low: PyReadonlyArray1<'py, f64>,
close: 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))?;
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 mut out = Vec::with_capacity(h.len());
for i in 0..h.len() {
let candle = wc::Candle::new(c[i], h[i], l[i], c[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 params(&self) -> (usize, f64) {
self.inner.params()
}
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 (atr_period, multiplier) = self.inner.params();
format!("AtrTrailingStop(atr_period={atr_period}, multiplier={multiplier})")
}
}
// ============================== Module ==============================
#[pymodule]
@@ -3336,5 +3636,9 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyChaikinOscillator>()?;
m.add_class::<PyForceIndex>()?;
m.add_class::<PyEaseOfMovement>()?;
m.add_class::<PySuperTrend>()?;
m.add_class::<PyChandelierExit>()?;
m.add_class::<PyChandeKrollStop>()?;
m.add_class::<PyAtrTrailingStop>()?;
Ok(())
}