Add B9 Price Statistics deepening (5 indicators) (#197)

Deepens the **Price Statistics** family (B9) with five rolling-statistics indicators (447 -> 452):

- **ShannonEntropy** — Shannon entropy of a binned rolling value distribution.
- **SampleEntropy** — Richman-Moorman sample entropy (regularity/complexity of a window).
- **KendallTau** — Kendall rank correlation (tau-b) over paired observations (pairwise; distinct from Pearson/Spearman).
- **JarqueBera** — Jarque-Bera normality test statistic over a rolling window.
- **RollingMinMaxScaler** — maps the latest value to 0..1 over a rolling window.

All scalar f64 input except KendallTau (pairwise). Multi-arg scalars (Shannon/Sample entropy) use hand-written Python/Node bindings + the variadic wasm macro; KendallTau uses the pair macros. Verified locally: 3668 core lib + 410 doc tests, clippy clean, 527 node tests, 871 pytest, counter 452.
This commit is contained in:
kingchenc
2026-06-07 03:08:53 +02:00
committed by GitHub
parent 81406e7a1b
commit 389200f855
20 changed files with 1922 additions and 43 deletions
@@ -28,6 +28,10 @@ function num(v) {
// --- Scalar indicators: update(value) vs batch(prices) ---
const scalarFactories = {
SAMPLEENT: () => new wickra.SAMPLEENT(20, 2, 0.2),
SHANNONENT: () => new wickra.SHANNONENT(20, 8),
ROLLINGMINMAX: () => new wickra.ROLLINGMINMAX(20),
JARQUEBERA: () => new wickra.JARQUEBERA(20),
BipowerVariation: () => new wickra.BipowerVariation(20),
VolatilityOfVolatility: () => new wickra.VolatilityOfVolatility(20, 20),
Garch11: () => new wickra.Garch11(0.000002, 0.1, 0.88),
@@ -629,6 +633,7 @@ const pairFactories = {
VarianceRatio: () => new wickra.VarianceRatio(60, 2),
GrangerCausality: () => new wickra.GrangerCausality(60, 1),
SpreadAr1Coefficient: () => new wickra.SpreadAr1Coefficient(40),
KendallTau: () => new wickra.KendallTau(20),
};
for (const [name, make] of Object.entries(pairFactories)) {
+49
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@@ -1052,6 +1052,42 @@ export declare class BipowerVariation {
isReady(): boolean
warmupPeriod(): number
}
export type JarqueBeraNode = JARQUEBERA
export declare class JARQUEBERA {
constructor(period: number)
update(value: number): number | null
batch(prices: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type RollingMinMaxScalerNode = ROLLINGMINMAX
export declare class ROLLINGMINMAX {
constructor(period: number)
update(value: number): number | null
batch(prices: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type ShannonEntropyNode = SHANNONENT
export declare class SHANNONENT {
constructor(period: number, bins: number)
update(value: number): number | null
batch(prices: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type SampleEntropyNode = SAMPLEENT
export declare class SAMPLEENT {
constructor(period: number, m: number, rFactor: number)
update(value: number): number | null
batch(prices: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type EwmaVolatilityNode = EwmaVolatility
export declare class EwmaVolatility {
constructor(lambda: number)
@@ -1263,6 +1299,19 @@ export declare class DistanceSsd {
isReady(): boolean
warmupPeriod(): number
}
export type KendallTauNode = KendallTau
export declare class KendallTau {
constructor(period: number)
update(x: number, y: number): number | null
/**
* Batch over two equally-sized arrays. Returns a length-`n` array
* with `NaN` for warmup positions.
*/
batch(x: Array<number>, y: Array<number>): Array<number>
reset(): void
isReady(): boolean
warmupPeriod(): number
}
export type BetaNeutralSpreadNode = BetaNeutralSpread
export declare class BetaNeutralSpread {
constructor(period: number)
File diff suppressed because one or more lines are too long
+81
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@@ -225,6 +225,86 @@ node_scalar_indicator!(
"BipowerVariation",
wc::BipowerVariation
);
node_scalar_indicator!(JarqueBeraNode, "JARQUEBERA", wc::JarqueBera);
node_scalar_indicator!(
RollingMinMaxScalerNode,
"ROLLINGMINMAX",
wc::RollingMinMaxScaler
);
// Shannon Entropy / Sample Entropy: multi-arg scalar ctors, hand-written
// (node_scalar_indicator! only generates a single-period constructor).
#[napi(js_name = "SHANNONENT")]
pub struct ShannonEntropyNode {
inner: wc::ShannonEntropy,
}
#[napi]
impl ShannonEntropyNode {
#[napi(constructor)]
pub fn new(period: u32, bins: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::ShannonEntropy::new(period as usize, bins as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
flatten(self.inner.batch(&prices))
}
#[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 = "SAMPLEENT")]
pub struct SampleEntropyNode {
inner: wc::SampleEntropy,
}
#[napi]
impl SampleEntropyNode {
#[napi(constructor)]
pub fn new(period: u32, m: u32, r_factor: f64) -> napi::Result<Self> {
Ok(Self {
inner: wc::SampleEntropy::new(period as usize, m as usize, r_factor)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
flatten(self.inner.batch(&prices))
}
#[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 = "EwmaVolatility")]
pub struct EwmaVolatilityNode {
@@ -675,6 +755,7 @@ node_pair_indicator!(
node_pair_indicator!(OuHalfLifeNode, "OuHalfLife", wc::OuHalfLife);
node_pair_indicator!(SpreadHurstNode, "SpreadHurst", wc::SpreadHurst);
node_pair_indicator!(DistanceSsdNode, "DistanceSsd", wc::DistanceSsd);
node_pair_indicator!(KendallTauNode, "KendallTau", wc::KendallTau);
node_pair_indicator!(
BetaNeutralSpreadNode,
"BetaNeutralSpread",