Add B7 Trailing Stops family (6 indicators) (#193)

Adds the **Trailing Stops** family deepening (B7), six new indicators (434 -> 440):

- **KaseDevStop** — Cynthia Kase's volatility stop on the standard deviation of the two-bar true range.
- **ElderSafeZone** — Alexander Elder's stop offset by a multiple of average market noise.
- **AtrRatchet** — Kaufman ATR ratchet that tightens its multiple by a per-bar increment.
- **Nrtr** — Nick Rypock Trailing Reverse (percentage band).
- **TimeBasedStop** — exits after a fixed number of bars (scalar fraction of elapsed life).
- **ModifiedMaStop** — moving-average based trailing stop.

("Wilder Volatility System" is intentionally skipped — it overlaps the existing VoltyStop/Psar/SarExt.)

Each takes Candle input; the five band/structure stops emit a {value, direction} struct, TimeBasedStop a scalar. Wired across core, Python/Node/WASM bindings, fuzz target and tests. Verified locally: 3560 core lib + 398 doc tests, clippy clean, 515 node tests, 852 pytest, counter 440.
This commit is contained in:
kingchenc
2026-06-07 01:32:15 +02:00
committed by GitHub
parent 83e34c6f71
commit 2991ba411d
20 changed files with 3131 additions and 53 deletions
@@ -356,6 +356,7 @@ const candleScalar = {
Qstick: { make: () => new wickra.Qstick(10), step: (ind, i) => ind.update(open[i], close[i]), batch: (ind) => ind.batch(open, close) },
VolatilityRatio: { make: () => new wickra.VolatilityRatio(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ProjectionOscillator: { make: () => new wickra.ProjectionOscillator(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TimeBasedStop: { make: () => new wickra.TimeBasedStop(5), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
};
for (const [name, d] of Object.entries(candleScalar)) {
@@ -447,6 +448,11 @@ const multi = {
BomarBands: { make: () => new wickra.BomarBands(4, 0.85), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
MedianChannel: { make: () => new wickra.MedianChannel(5, 2.0), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
ProjectionBands: { make: () => new wickra.ProjectionBands(3), fields: ['upper', 'middle', 'lower'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
KaseDevStop: { make: () => new wickra.KaseDevStop(3, 1.0), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ElderSafeZone: { make: () => new wickra.ElderSafeZone(14, 2.0), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
AtrRatchet: { make: () => new wickra.AtrRatchet(14, 4.0, 0.1), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
Nrtr: { make: () => new wickra.Nrtr(2.0), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
ModifiedMaStop: { make: () => new wickra.ModifiedMaStop(14), fields: ['value', 'direction'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
};
for (const [name, d] of Object.entries(multi)) {
+94
View File
@@ -149,6 +149,26 @@ export interface DonchianStopValue {
stopLong: number
stopShort: number
}
export interface KaseDevStopValue {
value: number
direction: number
}
export interface ElderSafeZoneValue {
value: number
direction: number
}
export interface AtrRatchetValue {
value: number
direction: number
}
export interface NrtrValue {
value: number
direction: number
}
export interface ModifiedMaStopValue {
value: number
direction: number
}
/** Vortex Indicator pair: `VI+` and `VI-`. */
export interface VortexValue {
plus: number
@@ -1668,6 +1688,15 @@ export declare class ProjectionOscillator {
isReady(): boolean
warmupPeriod(): number
}
export type TimeBasedStopNode = TimeBasedStop
export declare class TimeBasedStop {
constructor(maxBars: number)
update(high: number, low: number, close: number): number | null
batch(high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type StochNode = Stochastic
export declare class Stochastic {
constructor(kPeriod: number, dPeriod: number)
@@ -2328,6 +2357,71 @@ export declare class RenkoTrailingStop {
isReady(): boolean
warmupPeriod(): number
}
export type KaseDevStopNode = KaseDevStop
export declare class KaseDevStop {
constructor(period: number, dev: number)
update(high: number, low: number, close: number): KaseDevStopValue | null
/**
* Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
* Warmup positions are `NaN`.
*/
batch(high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type ElderSafeZoneNode = ElderSafeZone
export declare class ElderSafeZone {
constructor(period: number, coeff: number)
update(high: number, low: number, close: number): ElderSafeZoneValue | null
/**
* Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
* Warmup positions are `NaN`.
*/
batch(high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type AtrRatchetNode = AtrRatchet
export declare class AtrRatchet {
constructor(atrPeriod: number, startMult: number, increment: number)
update(high: number, low: number, close: number): AtrRatchetValue | null
/**
* Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
* Warmup positions are `NaN`.
*/
batch(high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type NrtrNode = Nrtr
export declare class Nrtr {
constructor(pct: number)
update(high: number, low: number, close: number): NrtrValue | null
/**
* Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
* Warmup positions are `NaN`.
*/
batch(high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type ModifiedMaStopNode = ModifiedMaStop
export declare class ModifiedMaStop {
constructor(period: number)
update(high: number, low: number, close: number): ModifiedMaStopValue | null
/**
* Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
* Warmup positions are `NaN`.
*/
batch(high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type TypicalPriceNode = TypicalPrice
export declare class TypicalPrice {
constructor()
File diff suppressed because one or more lines are too long
+419
View File
@@ -2922,6 +2922,59 @@ impl ProjectionOscillatorNode {
}
}
#[napi(js_name = "TimeBasedStop")]
pub struct TimeBasedStopNode {
inner: wc::TimeBasedStop,
}
#[napi]
impl TimeBasedStopNode {
#[napi(constructor)]
pub fn new(max_bars: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::TimeBasedStop::new(max_bars as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
Ok(self.inner.update(cnd(high, low, close, 0.0)?))
}
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() {
return Err(NapiError::from_reason(
"high, low, close must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(high.len());
for i in 0..high.len() {
out.push(
self.inner
.update(cnd(high[i], low[i], close[i], 0.0)?)
.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(object)]
pub struct StochValue {
pub k: f64,
@@ -6591,6 +6644,372 @@ impl RenkoTrailingStopNode {
}
}
// ============================== Kase DevStop ==============================
#[napi(object)]
pub struct KaseDevStopValue {
pub value: f64,
pub direction: f64,
}
#[napi(js_name = "KaseDevStop")]
pub struct KaseDevStopNode {
inner: wc::KaseDevStop,
}
#[napi]
impl KaseDevStopNode {
#[napi(constructor)]
pub fn new(period: u32, dev: f64) -> napi::Result<Self> {
Ok(Self {
inner: wc::KaseDevStop::new(period as usize, dev).map_err(map_err)?,
})
}
#[napi]
pub fn update(
&mut self,
high: f64,
low: f64,
close: f64,
) -> napi::Result<Option<KaseDevStopValue>> {
Ok(self
.inner
.update(cnd(high, low, close, 0.0)?)
.map(|o| KaseDevStopValue {
value: o.value,
direction: o.direction,
}))
}
/// Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
/// Warmup positions are `NaN`.
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() {
return Err(NapiError::from_reason(
"high, low, close must be equal length".to_string(),
));
}
let n = high.len();
let mut out = vec![f64::NAN; n * 2];
for i in 0..n {
if let Some(o) = self.inner.update(cnd(high[i], low[i], close[i], 0.0)?) {
out[i * 2] = o.value;
out[i * 2 + 1] = o.direction;
}
}
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
}
}
// ============================== Elder SafeZone ==============================
#[napi(object)]
pub struct ElderSafeZoneValue {
pub value: f64,
pub direction: f64,
}
#[napi(js_name = "ElderSafeZone")]
pub struct ElderSafeZoneNode {
inner: wc::ElderSafeZone,
}
#[napi]
impl ElderSafeZoneNode {
#[napi(constructor)]
pub fn new(period: u32, coeff: f64) -> napi::Result<Self> {
Ok(Self {
inner: wc::ElderSafeZone::new(period as usize, coeff).map_err(map_err)?,
})
}
#[napi]
pub fn update(
&mut self,
high: f64,
low: f64,
close: f64,
) -> napi::Result<Option<ElderSafeZoneValue>> {
Ok(self
.inner
.update(cnd(high, low, close, 0.0)?)
.map(|o| ElderSafeZoneValue {
value: o.value,
direction: o.direction,
}))
}
/// Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
/// Warmup positions are `NaN`.
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() {
return Err(NapiError::from_reason(
"high, low, close must be equal length".to_string(),
));
}
let n = high.len();
let mut out = vec![f64::NAN; n * 2];
for i in 0..n {
if let Some(o) = self.inner.update(cnd(high[i], low[i], close[i], 0.0)?) {
out[i * 2] = o.value;
out[i * 2 + 1] = o.direction;
}
}
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
}
}
// ============================== ATR Ratchet ==============================
#[napi(object)]
pub struct AtrRatchetValue {
pub value: f64,
pub direction: f64,
}
#[napi(js_name = "AtrRatchet")]
pub struct AtrRatchetNode {
inner: wc::AtrRatchet,
}
#[napi]
impl AtrRatchetNode {
#[napi(constructor)]
pub fn new(atr_period: u32, start_mult: f64, increment: f64) -> napi::Result<Self> {
Ok(Self {
inner: wc::AtrRatchet::new(atr_period as usize, start_mult, increment)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(
&mut self,
high: f64,
low: f64,
close: f64,
) -> napi::Result<Option<AtrRatchetValue>> {
Ok(self
.inner
.update(cnd(high, low, close, 0.0)?)
.map(|o| AtrRatchetValue {
value: o.value,
direction: o.direction,
}))
}
/// Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
/// Warmup positions are `NaN`.
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() {
return Err(NapiError::from_reason(
"high, low, close must be equal length".to_string(),
));
}
let n = high.len();
let mut out = vec![f64::NAN; n * 2];
for i in 0..n {
if let Some(o) = self.inner.update(cnd(high[i], low[i], close[i], 0.0)?) {
out[i * 2] = o.value;
out[i * 2 + 1] = o.direction;
}
}
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
}
}
// ============================== NRTR ==============================
#[napi(object)]
pub struct NrtrValue {
pub value: f64,
pub direction: f64,
}
#[napi(js_name = "Nrtr")]
pub struct NrtrNode {
inner: wc::Nrtr,
}
#[napi]
impl NrtrNode {
#[napi(constructor)]
pub fn new(pct: f64) -> napi::Result<Self> {
Ok(Self {
inner: wc::Nrtr::new(pct).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, high: f64, low: f64, close: f64) -> napi::Result<Option<NrtrValue>> {
Ok(self
.inner
.update(cnd(high, low, close, 0.0)?)
.map(|o| NrtrValue {
value: o.value,
direction: o.direction,
}))
}
/// Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
/// Warmup positions are `NaN`.
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() {
return Err(NapiError::from_reason(
"high, low, close must be equal length".to_string(),
));
}
let n = high.len();
let mut out = vec![f64::NAN; n * 2];
for i in 0..n {
if let Some(o) = self.inner.update(cnd(high[i], low[i], close[i], 0.0)?) {
out[i * 2] = o.value;
out[i * 2 + 1] = o.direction;
}
}
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
}
}
// ============================== Modified MA Stop ==============================
#[napi(object)]
pub struct ModifiedMaStopValue {
pub value: f64,
pub direction: f64,
}
#[napi(js_name = "ModifiedMaStop")]
pub struct ModifiedMaStopNode {
inner: wc::ModifiedMaStop,
}
#[napi]
impl ModifiedMaStopNode {
#[napi(constructor)]
pub fn new(period: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::ModifiedMaStop::new(period as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(
&mut self,
high: f64,
low: f64,
close: f64,
) -> napi::Result<Option<ModifiedMaStopValue>> {
Ok(self
.inner
.update(cnd(high, low, close, 0.0)?)
.map(|o| ModifiedMaStopValue {
value: o.value,
direction: o.direction,
}))
}
/// Returns `[value0, direction0, value1, direction1, ...]`, length `2 * n`.
/// Warmup positions are `NaN`.
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() {
return Err(NapiError::from_reason(
"high, low, close must be equal length".to_string(),
));
}
let n = high.len();
let mut out = vec![f64::NAN; n * 2];
for i in 0..n {
if let Some(o) = self.inner.update(cnd(high[i], low[i], close[i], 0.0)?) {
out[i * 2] = o.value;
out[i * 2 + 1] = o.direction;
}
}
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
}
}
// ============================== Typical Price ==============================
#[napi(js_name = "TypicalPrice")]