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
2026-05-25 15:28:56 +02:00
committed by GitHub
parent a39adb9dae
commit 24e723fa7d
22 changed files with 3185 additions and 25 deletions
+17 -4
View File
@@ -15,10 +15,11 @@
use libfuzzer_sys::fuzz_target;
use wickra_core::{
Alma, BatchExt, BollingerBands, Cmo, Coppock, Dema, Dpo, Ema, Frama, HistoricalVolatility, Hma,
Indicator, Jma, Kama, LinRegAngle, LinRegSlope, LinearRegression, MacdIndicator,
McGinleyDynamic, Mom, Pmo, Ppo, Roc, Rsi, Sma, Smma, StdDev, StochRsi, T3, Tema, Trima, Trix,
Tsi, UlcerIndex, VerticalHorizontalFilter, Vidya, Wma, ZScore, Zlema,
Alma, BatchExt, BollingerBands, Cmo, ConnorsRsi, Coppock, Dema, Dpo, Ema, Frama,
HistoricalVolatility, Hma, Indicator, Jma, Kama, Kst, LaguerreRsi, LinRegAngle, LinRegSlope,
LinearRegression, MacdIndicator, McGinleyDynamic, Mom, Pmo, Ppo, Roc, Rsi, Sma, Smma, StdDev,
StochRsi, T3, Tema, Trima, Trix, Tsi, UlcerIndex, VerticalHorizontalFilter, Vidya, Wma, ZScore,
Zlema,
};
/// Drive a single streaming + batch run through one scalar indicator. Marked
@@ -75,6 +76,18 @@ fuzz_target!(|data: Vec<f64>| {
drive(|| LinRegAngle::new(14).unwrap(), &data);
drive(|| VerticalHorizontalFilter::new(14).unwrap(), &data);
drive(|| ZScore::new(14).unwrap(), &data);
drive(|| LaguerreRsi::new(0.5).unwrap(), &data);
drive(|| ConnorsRsi::classic(), &data);
// KST is scalar-input but emits `KstOutput`, so it bypasses the generic
// `drive` helper. Streaming + batch are still both exercised.
{
let mut kst = Kst::classic();
for &x in &data {
let _ = kst.update(x);
}
let _ = Kst::classic().batch(&data);
}
// MACD and Bollinger Bands have non-`f64` outputs, so they cannot use the
// generic `drive` helper above. Streaming + batch are still both exercised.
+6 -2
View File
@@ -26,8 +26,8 @@ use wickra_core::{
AcceleratorOscillator, Adl, Adx, Alligator, Aroon, AroonOscillator, Atr, AtrTrailingStop,
AwesomeOscillator, BalanceOfPower, BatchExt, Candle, Cci, ChaikinMoneyFlow, ChaikinOscillator,
ChaikinVolatility, ChandeKrollStop, ChandelierExit, ChoppinessIndex, Donchian, EaseOfMovement,
Evwma, ForceIndex, Indicator, Keltner, MassIndex, MedianPrice, Mfi, Natr, Obv, Psar,
RollingVwap,
Evwma, ForceIndex, Indicator, Inertia, Keltner, MassIndex, MedianPrice, Mfi, Natr, Obv, Pgo,
Psar, RollingVwap, Rvi, Smi,
Stochastic, SuperTrend, TrueRange, TypicalPrice, UltimateOscillator, VolumePriceTrend, Vortex,
Vwap, Vwma, WeightedClose, WilliamsR,
};
@@ -97,6 +97,10 @@ fuzz_target!(|data: Vec<f64>| {
// --- Momentum & Oscillators ---
drive(|| Cci::new(20).unwrap(), &candles);
drive(|| Rvi::new(10).unwrap(), &candles);
drive(|| Inertia::new(14, 20).unwrap(), &candles);
drive(|| Pgo::new(14).unwrap(), &candles);
drive(|| Smi::classic(), &candles);
drive(|| WilliamsR::new(14).unwrap(), &candles);
drive(|| AwesomeOscillator::new(5, 34).unwrap(), &candles);
drive(|| AcceleratorOscillator::new(5, 34, 5).unwrap(), &candles);