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
+14
View File
@@ -25,6 +25,7 @@ from __future__ import annotations
from ._wickra import (
__version__,
TimeBasedStop,
ProjectionOscillator,
VolatilityCone,
VolatilityRatio,
@@ -168,6 +169,11 @@ from ._wickra import (
HistoricalVolatility,
BollingerBandwidth,
PercentB,
# Trailing Stops
ModifiedMaStop,
Nrtr,
AtrRatchet,
ElderSafeZone,
SuperTrend,
ChandelierExit,
ChandeKrollStop,
@@ -179,6 +185,7 @@ from ._wickra import (
PercentageTrailingStop,
StepTrailingStop,
RenkoTrailingStop,
KaseDevStop,
TrueRange,
ChaikinVolatility,
RVIVolatility,
@@ -487,6 +494,7 @@ from ._wickra import (
)
__all__ = [
"TimeBasedStop",
"ProjectionOscillator",
"VolatilityCone",
"VolatilityRatio",
@@ -631,6 +639,11 @@ __all__ = [
"HistoricalVolatility",
"BollingerBandwidth",
"PercentB",
# Trailing Stops
"ModifiedMaStop",
"Nrtr",
"AtrRatchet",
"ElderSafeZone",
"SuperTrend",
"ChandelierExit",
"ChandeKrollStop",
@@ -642,6 +655,7 @@ __all__ = [
"PercentageTrailingStop",
"StepTrailingStop",
"RenkoTrailingStop",
"KaseDevStop",
"TrueRange",
"ChaikinVolatility",
"RVIVolatility",
+459
View File
@@ -3631,6 +3631,75 @@ impl PyProjectionOscillator {
}
}
// ============================== TimeBasedStop ==============================
#[pyclass(name = "TimeBasedStop", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyTimeBasedStop {
inner: wc::TimeBasedStop,
}
#[pymethods]
impl PyTimeBasedStop {
#[new]
#[pyo3(signature = (max_bars=5))]
fn new(max_bars: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::TimeBasedStop::new(max_bars).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 1-D, equal length).
/// Ignores price; counts bars. Returns progress in `[0, 1]`.
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(py))
}
#[getter]
fn max_bars(&self) -> usize {
self.inner.max_bars()
}
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 {
format!("TimeBasedStop(max_bars={})", self.inner.max_bars())
}
}
// ============================== Stochastic ==============================
#[pyclass(name = "IMI", module = "wickra._wickra", skip_from_py_object)]
@@ -9813,6 +9882,390 @@ impl PyRenkoTrailingStop {
}
}
// ============================== Kase DevStop ==============================
#[pyclass(name = "KaseDevStop", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyKaseDevStop {
inner: wc::KaseDevStop,
}
#[pymethods]
impl PyKaseDevStop {
#[new]
#[pyo3(signature = (period=30, dev=1.0))]
fn new(period: usize, dev: f64) -> PyResult<Self> {
Ok(Self {
inner: wc::KaseDevStop::new(period, dev).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(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, dev) = self.inner.params();
format!("KaseDevStop(period={period}, dev={dev})")
}
}
// ============================== Elder SafeZone ==============================
#[pyclass(name = "ElderSafeZone", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyElderSafeZone {
inner: wc::ElderSafeZone,
}
#[pymethods]
impl PyElderSafeZone {
#[new]
#[pyo3(signature = (period=14, coeff=2.0))]
fn new(period: usize, coeff: f64) -> PyResult<Self> {
Ok(Self {
inner: wc::ElderSafeZone::new(period, coeff).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(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, coeff) = self.inner.params();
format!("ElderSafeZone(period={period}, coeff={coeff})")
}
}
// ============================== ATR Ratchet ==============================
#[pyclass(name = "AtrRatchet", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyAtrRatchet {
inner: wc::AtrRatchet,
}
#[pymethods]
impl PyAtrRatchet {
#[new]
#[pyo3(signature = (atr_period=14, start_mult=4.0, increment=0.1))]
fn new(atr_period: usize, start_mult: f64, increment: f64) -> PyResult<Self> {
Ok(Self {
inner: wc::AtrRatchet::new(atr_period, start_mult, increment).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(py))
}
#[getter]
fn params(&self) -> (usize, f64, 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, start_mult, increment) = self.inner.params();
format!(
"AtrRatchet(atr_period={atr_period}, start_mult={start_mult}, increment={increment})"
)
}
}
// ============================== NRTR ==============================
#[pyclass(name = "Nrtr", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyNrtr {
inner: wc::Nrtr,
}
#[pymethods]
impl PyNrtr {
#[new]
#[pyo3(signature = (pct=2.0))]
fn new(pct: f64) -> PyResult<Self> {
Ok(Self {
inner: wc::Nrtr::new(pct).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(py))
}
#[getter]
fn pct(&self) -> f64 {
self.inner.pct()
}
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 {
format!("Nrtr(pct={})", self.inner.pct())
}
}
// ============================== Modified MA Stop ==============================
#[pyclass(
name = "ModifiedMaStop",
module = "wickra._wickra",
skip_from_py_object
)]
#[derive(Clone)]
struct PyModifiedMaStop {
inner: wc::ModifiedMaStop,
}
#[pymethods]
impl PyModifiedMaStop {
#[new]
#[pyo3(signature = (period=14))]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::ModifiedMaStop::new(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.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(py))
}
#[getter]
fn period(&self) -> usize {
self.inner.period()
}
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 {
format!("ModifiedMaStop(period={})", self.inner.period())
}
}
// ============================== Typical Price ==============================
#[pyclass(name = "TypicalPrice", module = "wickra._wickra", skip_from_py_object)]
@@ -21894,6 +22347,11 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyPercentageTrailingStop>()?;
m.add_class::<PyStepTrailingStop>()?;
m.add_class::<PyRenkoTrailingStop>()?;
m.add_class::<PyKaseDevStop>()?;
m.add_class::<PyElderSafeZone>()?;
m.add_class::<PyAtrRatchet>()?;
m.add_class::<PyNrtr>()?;
m.add_class::<PyModifiedMaStop>()?;
m.add_class::<PyTypicalPrice>()?;
m.add_class::<PyMedianPrice>()?;
m.add_class::<PyWeightedClose>()?;
@@ -22238,5 +22696,6 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyVolatilityOfVolatility>()?;
m.add_class::<PyVolatilityCone>()?;
m.add_class::<PyProjectionOscillator>()?;
m.add_class::<PyTimeBasedStop>()?;
Ok(())
}
@@ -368,6 +368,7 @@ def test_relative_strength_streaming_matches_batch():
# 6-tuple candle; the batch helper takes only the columns it needs.
CANDLE_SCALAR = {
"TimeBasedStop": (lambda: ta.TimeBasedStop(5), lambda ind, h, l, c, v: ind.batch(h, l, c)),
"ProjectionOscillator": (lambda: ta.ProjectionOscillator(14), lambda ind, h, l, c, v: ind.batch(h, l, c)),
"VolatilityRatio": (lambda: ta.VolatilityRatio(14), lambda ind, h, l, c, v: ind.batch(h, l, c)),
"TTM_TREND": (lambda: ta.TTM_TREND(6), lambda ind, h, l, c, v: ind.batch(h, l, c)),
@@ -908,6 +909,31 @@ def test_candle_scalar_streaming_matches_batch(name, ohlcv):
# --- Candle-input, multi-output indicators --------------------------------
MULTI = {
"ModifiedMaStop": (
lambda: ta.ModifiedMaStop(14),
lambda ind, h, l, c, v: ind.batch(h, l, c),
2,
),
"Nrtr": (
lambda: ta.Nrtr(2.0),
lambda ind, h, l, c, v: ind.batch(h, l, c),
2,
),
"AtrRatchet": (
lambda: ta.AtrRatchet(14, 4.0, 0.1),
lambda ind, h, l, c, v: ind.batch(h, l, c),
2,
),
"ElderSafeZone": (
lambda: ta.ElderSafeZone(14, 2.0),
lambda ind, h, l, c, v: ind.batch(h, l, c),
2,
),
"KaseDevStop": (
lambda: ta.KaseDevStop(3, 1.0),
lambda ind, h, l, c, v: ind.batch(h, l, c),
2,
),
"ProjectionBands": (
lambda: ta.ProjectionBands(3),
lambda ind, h, l, c, v: ind.batch(h, l),
@@ -2967,6 +2993,53 @@ def test_projection_oscillator_reference():
assert t.update((9.0, 12.0, 9.0, 11.0, 1.0, 1)) is None
assert t.update((10.0, 11.0, 10.0, 11.0, 1.0, 2)) == pytest.approx(40.0)
def test_kase_devstop_reference():
t = ta.KaseDevStop(3, 1.0)
assert t.update((100.0, 101.0, 99.0, 100.0, 1.0, 0)) is None
assert t.update((101.0, 102.0, 100.0, 101.0, 1.0, 1)) is None
assert t.update((102.0, 103.0, 101.0, 102.0, 1.0, 2)) is None
assert t.update((102.5, 104.0, 102.0, 103.0, 1.0, 3)) == pytest.approx((101.0, 1.0))
def _stop_candles(n):
# Gently rising, valid OHLC: high >= open/close, low <= open/close.
return [(100.0 + i, 101.5 + i, 98.5 + i, 100.5 + i, 1.0, i) for i in range(n)]
def test_elder_safezone_reference():
t = ta.ElderSafeZone(14, 2.0)
candles = _stop_candles(15)
for c in candles[:14]:
assert t.update(c) is None
assert t.update(candles[14]) == pytest.approx((112.5, 1.0))
def test_atr_ratchet_reference():
t = ta.AtrRatchet(14, 4.0, 0.1)
candles = _stop_candles(14)
for c in candles[:13]:
assert t.update(c) is None
assert t.update(candles[13]) == pytest.approx((101.5, 1.0))
def test_nrtr_reference():
t = ta.Nrtr(2.0)
assert t.update((100.0, 100.0, 100.0, 100.0, 1.0, 0)) == pytest.approx((98.0, 1.0))
def test_time_based_stop_reference():
t = ta.TimeBasedStop(5)
assert t.update((100.0, 101.0, 99.0, 100.0, 1.0, 0)) == pytest.approx(0.2)
def test_modified_ma_stop_reference():
t = ta.ModifiedMaStop(14)
candles = _stop_candles(14)
for c in candles[:13]:
assert t.update(c) is None
assert t.update(candles[13]) == pytest.approx((107.0, 1.0))
# --- Lifecycle ------------------------------------------------------------