feat(mcginley): add McGinley Dynamic moving average

John McGinley's self-adjusting moving average with the recurrence
MD + (price - MD) / (0.6 * period * (price / MD)^4). Speeds up when
price falls below the indicator and damps when price runs above the
indicator. Seeded with the simple average of the first period inputs.

Reference: McGinley, Technical Analysis of Stocks & Commodities, 1990.

Touchpoints:
- crates/wickra-core: mcginley_dynamic.rs + mod.rs + lib.rs re-export
- bindings/python: PyMcGinleyDynamic + __init__.py + test_new_indicators
  + test_known_values reference
- bindings/node: McGinleyDynamicNode (scalar macro) + index.d.ts/index.js
  + indicators.test.js factory + reference value
- bindings/wasm: wasm_scalar_indicator! macro
- fuzz: indicator_update target covers McGinleyDynamic(10)
- crates/wickra/benches: bench_scalar entry
- README + CHANGELOG: Moving Averages row + Unreleased entry
This commit is contained in:
kingchenc
2026-05-24 12:26:08 +02:00
parent 2454d7cf92
commit 3287146f44
15 changed files with 331 additions and 10 deletions
@@ -38,6 +38,7 @@ const scalarFactories = {
TRIX: () => new wickra.TRIX(9),
KAMA: () => new wickra.KAMA(10, 2, 30),
ALMA: () => new wickra.ALMA(9, 0.85, 6.0),
McGinleyDynamic: () => new wickra.McGinleyDynamic(10),
SMMA: () => new wickra.SMMA(14),
TRIMA: () => new wickra.TRIMA(20),
ZLEMA: () => new wickra.ZLEMA(14),
@@ -260,6 +261,15 @@ test('LinRegAngle of a unit-slope series is 45 degrees', () => {
assert.ok(Math.abs(out[4] - 45) < 1e-9);
});
test('McGinleyDynamic(3) seeds with SMA and recurses on the next price', () => {
// Seed = SMA([10, 20, 30]) = 20. On 40: ratio = 2, divisor = 0.6*3*16 = 28.8.
const out = new wickra.McGinleyDynamic(3).batch([10, 20, 30, 40]);
assert.ok(Number.isNaN(out[0]) && Number.isNaN(out[1]));
assert.ok(Math.abs(out[2] - 20) < 1e-12);
const expected = 20 + 20 / (0.6 * 3 * 16);
assert.ok(Math.abs(out[3] - expected) < 1e-12);
});
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]);