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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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fuzz/fuzz_targets/indicator_update_pair.rs
+2 -1
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@@ -8,7 +8,7 @@
//! panic.
use libfuzzer_sys::fuzz_target;
use wickra_core::{Alpha, BatchExt, BetaNeutralSpread, Cointegration, DistanceSsd, GrangerCausality, Indicator, InformationRatio, KalmanHedgeRatio, LeadLagCrossCorrelation, OuHalfLife, PairSpreadZScore, PairwiseBeta, RelativeStrengthAB, RollingCorrelation, RollingCovariance, SpreadAr1Coefficient, SpreadBollingerBands, SpreadHurst, TreynorRatio, VarianceRatio};
use wickra_core::{Alpha, BatchExt, BetaNeutralSpread, Cointegration, DistanceSsd, GrangerCausality, Indicator, InformationRatio, KalmanHedgeRatio, KendallTau, LeadLagCrossCorrelation, OuHalfLife, PairSpreadZScore, PairwiseBeta, RelativeStrengthAB, RollingCorrelation, RollingCovariance, SpreadAr1Coefficient, SpreadBollingerBands, SpreadHurst, TreynorRatio, VarianceRatio};
#[inline(never)]
fn drive<I>(make: impl Fn() -> I, data: &[(f64, f64)])
@@ -47,6 +47,7 @@ fuzz_target!(|data: &[u8]| {
drive(|| VarianceRatio::new(60, 2).unwrap(), &pairs);
drive(|| GrangerCausality::new(60, 1).unwrap(), &pairs);
drive(|| SpreadAr1Coefficient::new(40).unwrap(), &pairs);
drive(|| KendallTau::new(20).unwrap(), &pairs);
// Struct-output pair indicator: drive update + batch directly (the generic
// `drive` above only covers `Output = f64`).