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

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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
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bindings/wasm/src/lib.rs
+5
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@@ -557,6 +557,7 @@ wasm_pair_indicator!(
wasm_pair_indicator!(WasmOuHalfLife, "OuHalfLife", wc::OuHalfLife);
wasm_pair_indicator!(WasmSpreadHurst, "SpreadHurst", wc::SpreadHurst);
wasm_pair_indicator!(WasmDistanceSsd, "DistanceSsd", wc::DistanceSsd);
wasm_pair_indicator!(WasmKendallTau, "KendallTau", wc::KendallTau);
wasm_pair_indicator!(
WasmBetaNeutralSpread,
"BetaNeutralSpread",
@@ -11256,6 +11257,10 @@ wasm_scalar_indicator!(WasmBipowerVariation, "BipowerVariation", wc::BipowerVari
wasm_scalar_indicator!(WasmEwmaVolatility, "EwmaVolatility", wc::EwmaVolatility, lambda: f64);
wasm_scalar_indicator!(WasmGarch11, "Garch11", wc::Garch11, omega: f64, alpha: f64, beta: f64);
wasm_scalar_indicator!(WasmVolatilityOfVolatility, "VolatilityOfVolatility", wc::VolatilityOfVolatility, vol_window: usize, vov_window: usize);
wasm_scalar_indicator!(WasmJarqueBera, "JARQUEBERA", wc::JarqueBera, period: usize);
wasm_scalar_indicator!(WasmRollingMinMaxScaler, "ROLLINGMINMAX", wc::RollingMinMaxScaler, period: usize);
wasm_scalar_indicator!(WasmShannonEntropy, "SHANNONENT", wc::ShannonEntropy, period: usize, bins: usize);
wasm_scalar_indicator!(WasmSampleEntropy, "SAMPLEENT", wc::SampleEntropy, period: usize, m: usize, r_factor: f64);
// --- VolatilityCone: Candle in, struct out (current/min/median/max/percentile) ---