feat: Family 02 Momentum Oscillators — RVI / PGO / KST / SMI / Laguerre / Connors / Inertia (#40)
* feat(rvi): add Relative Vigor Index
Dorsey's RVI = SMA(close - open, period) / SMA(high - low, period) over
a rolling window of period candles. Candle input, single parameter
period (default 10). Positive on average-bullish windows, negative on
average-bearish. Holds the previous value if the entire window has
zero range (denominator undefined).
Reference: Donald Dorsey, also pandas-ta rvi.
Touchpoints: rvi.rs + mod.rs + lib.rs re-export, PyRvi + __init__.py
+ test_new_indicators CANDLE_SCALAR + test_known_values reference,
RviNode (4-column OHLC batch) + index.d.ts/index.js + indicators.test
.js factory + reference, WasmRvi + make_candle_ohlc helper, candle-fuzz
target + criterion bench, README + CHANGELOG.
* feat(pgo): add Pretty Good Oscillator
Mark Johnson's PGO = (close - SMA(close, period)) / EMA(TR, period).
Counts roughly how many ATR-equivalents the close sits from its
period-bar mean. Candle input, single parameter period (default 14).
Johnson's heuristic uses +3/-3 crossings as entry signals.
Touchpoints: pgo.rs + mod.rs + lib.rs re-export, PyPgo + __init__.py
+ test_new_indicators CANDLE_SCALAR + test_known_values flat-close
reference, PgoNode (h/l/c) + index.d.ts/index.js + indicators.test.js
factory + reference, WasmPgo, candle-fuzz target + bench, README +
CHANGELOG.
* feat(kst): add Know Sure Thing (Pring)
Pring's long-horizon momentum oscillator: weighted sum of four
SMA-smoothed ROC series with fixed weights 1, 2, 3, 4, plus an SMA
signal line. Nine parameters (four ROC periods, four SMA periods, one
signal period); classic() applies Pring's recommended defaults.
Multi-output indicator emitting KstOutput { kst, signal }.
Touchpoints: kst.rs + mod.rs + lib.rs re-export, PyKst + __init__.py
+ test_new_indicators MULTI + test_known_values flat-input reference,
KstNode + KstValue + index.d.ts/index.js + indicators.test.js multi
factory + reference, WasmKst (manual JsValue object), scalar-fuzz
target (handled outside the f64-output drive helper), README +
CHANGELOG.
* feat(smi): add Stochastic Momentum Index (Blau)
Blau's doubly-EMA-smoothed bounded oscillator: measures the close's
displacement from the centre of the recent high-low range, scaled by
the smoothed range. Candle input, three parameters (period, d_period,
d2_period) with defaults 5 / 3 / 3.
Internally feeds both the displacement-EMA stack and the range-EMA
stack on every candle so they warm up in parallel (gating either
behind the other starves the second by one input).
Touchpoints: smi.rs + mod.rs + lib.rs re-export, PySmi + __init__.py
+ test_new_indicators CANDLE_SCALAR + test_known_values flat-input
reference, SmiNode + index.d.ts/index.js + indicators.test.js factory
+ reference, WasmSmi, candle-fuzz target, README + CHANGELOG.
* feat(laguerre-rsi): add Ehlers Laguerre RSI
Four-stage Laguerre polynomial filter wrapped in an RSI-style up/down
accumulator. Single gamma in [0, 1] (default 0.5) trades lag for
smoothness. State is seeded by setting all four L_i to the first input
so a constant series stays at the neutral 50. Output clamped to
[0, 100] to absorb floating-point rounding.
Reference: Ehlers, Time Warp - Without Space Travel, 2002.
Touchpoints: laguerre_rsi.rs + mod.rs + lib.rs re-export, PyLaguerreRsi
+ __init__.py + test_new_indicators SCALAR + test_known_values neutral
reference, LaguerreRsiNode + index.d.ts/index.js + indicators.test.js
factory + reference, WasmLaguerreRsi via scalar macro, scalar-fuzz
target, README + CHANGELOG.
* feat(connors-rsi): add Connors RSI (CRSI)
Larry Connors' 3-component aggregate: RSI(close), RSI(streak), and
PercentRank of the 1-period return over the last period_rank returns.
Each component is bounded in [0, 100] so the aggregate is too.
Three parameters (period_rsi, period_streak, period_rank) with
defaults 3 / 2 / 100. Streak tracks consecutive up/down runs (resets
to 0 on unchanged close).
Touchpoints: connors_rsi.rs + mod.rs + lib.rs re-export, PyConnorsRsi
+ __init__.py + test_new_indicators SCALAR + test_known_values bounded
reference, ConnorsRsiNode + index.d.ts/index.js + indicators.test.js
factory + reference, WasmConnorsRsi via scalar macro, scalar-fuzz
target, README + CHANGELOG.
* feat(inertia): add Dorsey Inertia (RVI + LinReg)
Donald Dorsey's Inertia — a LinearRegression smoothing of the RVI
series. Endpoint of an n-bar least-squares fit of RVI is the indicator
reading. Preserves trend direction while damping the ratio. Candle
input, two parameters (rvi_period, linreg_period) with defaults 14 / 20.
Touchpoints: inertia.rs + mod.rs + lib.rs re-export, PyInertia +
__init__.py + test_new_indicators CANDLE_SCALAR + test_known_values
constant reference, InertiaNode (4-column OHLC batch) + index.d.ts /
index.js + indicators.test.js factory + reference, WasmInertia,
candle-fuzz target, README + CHANGELOG.
* test(kst): Move KST out of MULTI dict (it is scalar-input)
KST sits in the MULTI dict (candle-input, multi-output) but its
update() takes a single f64, not a candle tuple. The shared streaming
loop in test_multi_streaming_matches_batch fed the OHLCV tuple in,
which crashed with `TypeError: argument 'value': must be real number,
not tuple` on every Python matrix entry.
Split into a new MULTI_SCALAR_INPUT dict with its own test function
that feeds the close-price stream as floats. KST is currently the
only such indicator; structure is ready for future scalar-input
multi-output additions (e.g. some MACD-shaped indicators).
* test(coverage): Cover SMI zero-range and ConnorsRsi zero-prev cold paths
codecov/patch on PR 40 flagged two uncovered defensive branches:
- SMI returns self.current early when the smoothed range collapses to
zero (`r2 <= 0.0`) so the formula stays defined. Exercised by feeding
bars where high == low.
- ConnorsRsi skips the ROC ring-buffer update when the previous price
is exactly zero so the divide-by-zero in `(input - prev) / prev` is
impossible. Exercised by seeding the first bar at 0.0.
This commit is contained in:
kingchenc
@@ -1070,6 +1070,386 @@ impl AroonNode {
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}
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}
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// Helper for OHLC-input indicators that need the open price (not provided
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// by `cnd` which fakes open == close).
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fn cnd4(open: f64, high: f64, low: f64, close: f64) -> napi::Result<wc::Candle> {
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wc::Candle::new(open, high, low, close, 0.0, 0).map_err(map_err)
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}
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#[napi(js_name = "Inertia")]
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pub struct InertiaNode {
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inner: wc::Inertia,
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}
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#[napi]
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impl InertiaNode {
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#[napi(constructor)]
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pub fn new(rvi_period: u32, linreg_period: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::Inertia::new(clamp_period(rvi_period), clamp_period(linreg_period))
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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(
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&mut self,
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open: f64,
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high: f64,
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low: f64,
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close: f64,
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) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(cnd4(open, high, low, close)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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open: Vec<f64>,
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high: Vec<f64>,
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low: Vec<f64>,
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close: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if !(open.len() == high.len() && high.len() == low.len() && low.len() == close.len()) {
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return Err(NapiError::from_reason(
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"open, high, low and close must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(close.len());
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for i in 0..close.len() {
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out.push(
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self.inner
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.update(cnd4(open[i], high[i], low[i], close[i])?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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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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#[napi(js_name = "ConnorsRSI")]
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pub struct ConnorsRsiNode {
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inner: wc::ConnorsRsi,
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}
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#[napi]
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impl ConnorsRsiNode {
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#[napi(constructor)]
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pub fn new(period_rsi: u32, period_streak: u32, period_rank: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::ConnorsRsi::new(
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clamp_period(period_rsi),
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clamp_period(period_streak),
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clamp_period(period_rank),
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)
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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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#[napi(js_name = "LaguerreRSI")]
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pub struct LaguerreRsiNode {
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inner: wc::LaguerreRsi,
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}
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#[napi]
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impl LaguerreRsiNode {
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#[napi(constructor)]
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pub fn new(gamma: f64) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::LaguerreRsi::new(gamma).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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#[napi(js_name = "SMI")]
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pub struct SmiNode {
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inner: wc::Smi,
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}
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#[napi]
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impl SmiNode {
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#[napi(constructor)]
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pub fn new(period: u32, d_period: u32, d2_period: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::Smi::new(
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clamp_period(period),
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clamp_period(d_period),
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clamp_period(d2_period),
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)
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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, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(cnd(high, low, close, 0.0)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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high: Vec<f64>,
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low: Vec<f64>,
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close: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if !(high.len() == low.len() && low.len() == close.len()) {
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return Err(NapiError::from_reason(
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"high, low and close must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(close.len());
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for i in 0..close.len() {
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out.push(
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self.inner
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.update(cnd(high[i], low[i], close[i], 0.0)?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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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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#[napi(object)]
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pub struct KstValue {
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pub kst: f64,
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pub signal: f64,
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}
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#[napi(js_name = "KST")]
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pub struct KstNode {
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inner: wc::Kst,
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}
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#[napi]
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impl KstNode {
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#[napi(constructor)]
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#[allow(clippy::too_many_arguments)]
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pub fn new(
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roc1: u32,
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roc2: u32,
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roc3: u32,
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roc4: u32,
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sma1: u32,
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sma2: u32,
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sma3: u32,
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sma4: u32,
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signal: u32,
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) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::Kst::new(
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clamp_period(roc1),
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clamp_period(roc2),
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clamp_period(roc3),
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clamp_period(roc4),
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clamp_period(sma1),
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clamp_period(sma2),
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clamp_period(sma3),
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clamp_period(sma4),
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clamp_period(signal),
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)
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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<KstValue> {
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self.inner.update(value).map(|o| KstValue {
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kst: o.kst,
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signal: o.signal,
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})
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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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let n = prices.len();
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let mut out = vec![f64::NAN; n * 2];
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for (i, p) in prices.iter().enumerate() {
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if let Some(o) = self.inner.update(*p) {
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out[i * 2] = o.kst;
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out[i * 2 + 1] = o.signal;
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}
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}
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out
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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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#[napi(js_name = "PGO")]
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pub struct PgoNode {
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inner: wc::Pgo,
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}
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#[napi]
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impl PgoNode {
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#[napi(constructor)]
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pub fn new(period: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::Pgo::new(clamp_period(period)).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, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(cnd(high, low, close, 0.0)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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high: Vec<f64>,
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low: Vec<f64>,
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close: Vec<f64>,
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) -> napi::Result<Vec<f64>> {
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if !(high.len() == low.len() && low.len() == close.len()) {
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return Err(NapiError::from_reason(
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"high, low and close must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(close.len());
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for i in 0..close.len() {
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out.push(
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self.inner
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.update(cnd(high[i], low[i], close[i], 0.0)?)
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.unwrap_or(f64::NAN),
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);
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}
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Ok(out)
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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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#[napi(js_name = "RVI")]
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pub struct RviNode {
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inner: wc::Rvi,
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}
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#[napi]
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impl RviNode {
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#[napi(constructor)]
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pub fn new(period: u32) -> napi::Result<Self> {
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Ok(Self {
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inner: wc::Rvi::new(clamp_period(period)).map_err(map_err)?,
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})
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}
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#[napi]
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pub fn update(
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&mut self,
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open: f64,
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high: f64,
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low: f64,
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close: f64,
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) -> napi::Result<Option<f64>> {
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Ok(self.inner.update(cnd4(open, high, low, close)?))
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}
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#[napi]
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pub fn batch(
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&mut self,
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open: Vec<f64>,
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high: Vec<f64>,
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low: Vec<f64>,
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close: Vec<f64>,
|
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) -> napi::Result<Vec<f64>> {
|
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if !(open.len() == high.len() && high.len() == low.len() && low.len() == close.len()) {
|
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return Err(NapiError::from_reason(
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"open, high, low and close must be equal length".to_string(),
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));
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}
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let mut out = Vec::with_capacity(close.len());
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for i in 0..close.len() {
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out.push(
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self.inner
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.update(cnd4(open[i], high[i], low[i], close[i])?)
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.unwrap_or(f64::NAN),
|
||||
);
|
||||
}
|
||||
Ok(out)
|
||||
}
|
||||
#[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(js_name = "KAMA")]
|
||||
pub struct KamaNode {
|
||||
inner: wc::Kama,
|
||||
|
||||
Reference in New Issue
Block a user