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
+49
View File
@@ -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)