feat(alma): add Arnaud Legoux Moving Average

Gaussian-weighted moving average with configurable centre (offset in
[0, 1]) and kernel width (sigma > 0). Pre-computes normalised weights
at construction so each update is a single rolling window dot product.

Reference: Arnaud Legoux and Dimitrios Kouzis-Loukas, 2009.

Touchpoints:
- crates/wickra-core: alma.rs + mod.rs + lib.rs re-export
- bindings/python: PyAlma + __init__.py + test_new_indicators +
  test_known_values reference
- bindings/node: AlmaNode + index.d.ts/index.js + indicators.test.js
  factory + reference value
- bindings/wasm: wasm_scalar_indicator! macro
- fuzz: indicator_update target covers ALMA(9, 0.85, 6.0)
- crates/wickra/benches: bench_scalar entry
- README + CHANGELOG: Moving Averages row + Unreleased entry
This commit is contained in:
kingchenc
2026-05-24 12:21:18 +02:00
parent e30b3c6b35
commit 2454d7cf92
15 changed files with 494 additions and 9 deletions
@@ -37,6 +37,7 @@ const scalarFactories = {
ROC: () => new wickra.ROC(12),
TRIX: () => new wickra.TRIX(9),
KAMA: () => new wickra.KAMA(10, 2, 30),
ALMA: () => new wickra.ALMA(9, 0.85, 6.0),
SMMA: () => new wickra.SMMA(14),
TRIMA: () => new wickra.TRIMA(20),
ZLEMA: () => new wickra.ZLEMA(14),
@@ -258,3 +259,16 @@ test('LinRegAngle of a unit-slope series is 45 degrees', () => {
const out = new wickra.LinRegAngle(5).batch([1, 2, 3, 4, 5, 6]);
assert.ok(Math.abs(out[4] - 45) < 1e-9);
});
test('ALMA(3, 0.85, 6) reference value on [10, 20, 30]', () => {
// m = 0.85 * 2 = 1.7; s = 3 / 6 = 0.5; 2*s^2 = 0.5.
const out = new wickra.ALMA(3, 0.85, 6).batch([10, 20, 30]);
assert.ok(Number.isNaN(out[0]) && Number.isNaN(out[1]));
const w = [0, 1, 2].map((i) => Math.exp(-Math.pow(i - 1.7, 2) / 0.5));
const s = w[0] + w[1] + w[2];
const expected = (10 * w[0] + 20 * w[1] + 30 * w[2]) / s;
assert.ok(Math.abs(out[2] - expected) < 1e-12);
// The heavy offset toward the newest sample lifts the average above the
// simple mean of 20.
assert.ok(out[2] > 20);
});
+2 -1
View File
@@ -310,7 +310,7 @@ if (!nativeBinding) {
throw new Error(`Failed to load native binding`)
}
const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, KAMA, T3, TSI, PMO, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA } = nativeBinding
const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, KAMA, ALMA, T3, TSI, PMO, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA } = nativeBinding
module.exports.version = version
module.exports.SMA = SMA
@@ -349,6 +349,7 @@ module.exports.RollingVWAP = RollingVWAP
module.exports.AwesomeOscillator = AwesomeOscillator
module.exports.Aroon = Aroon
module.exports.KAMA = KAMA
module.exports.ALMA = ALMA
module.exports.T3 = T3
module.exports.TSI = TSI
module.exports.PMO = PMO
+36
View File
@@ -1103,6 +1103,42 @@ impl KamaNode {
}
}
// ============================== ALMA ==============================
#[napi(js_name = "ALMA")]
pub struct AlmaNode {
inner: wc::Alma,
}
#[napi]
impl AlmaNode {
#[napi(constructor)]
pub fn new(period: u32, offset: f64, sigma: f64) -> napi::Result<Self> {
Ok(Self {
inner: wc::Alma::new(clamp_period(period), offset, sigma).map_err(map_err)?,
})
}
#[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
}
#[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))
}
}
// ============================== T3 ==============================
#[napi(js_name = "T3")]