feat(family-15): add 17 risk/performance metrics (#54)

* feat(family-15): add 17 risk/performance metrics

Implements Family 15 pragmatically as standard `Indicator`s instead of a
separate `wickra-metrics` crate. Input is scalar `f64` per bar — period
return, equity sample, or per-trade P&L depending on the metric.

Scalar `Indicator<f64>` (14):
- SharpeRatio(period, risk_free)
- SortinoRatio(period, mar)
- CalmarRatio(period)
- OmegaRatio(period, threshold)
- MaxDrawdown(period)          — rolling, peak-to-trough
- AverageDrawdown(period)
- DrawdownDuration             — cumulative, bars under water (u32 output)
- PainIndex(period)
- ValueAtRisk(period, confidence)
- ConditionalValueAtRisk(period, confidence)
- ProfitFactor(period)
- GainLossRatio(period)
- RecoveryFactor               — cumulative, net return / max drawdown
- KellyCriterion(period)

Two-series `Indicator<(f64, f64)>` for (asset, benchmark) returns (3):
- TreynorRatio(period, risk_free)
- InformationRatio(period)
- Alpha(period, risk_free)     — Jensen / CAPM

Touchpoints:
- 17 new files under `crates/wickra-core/src/indicators/`.
- `mod.rs` + `lib.rs` re-exports.
- Python bindings (`bindings/python/src/lib.rs`, `__init__.py`).
- Node bindings (`bindings/node/src/lib.rs`, `index.js`).
- WASM bindings (`bindings/wasm/src/lib.rs`).
- Fuzz: scalar metrics appended to `indicator_update.rs`; new
  `indicator_update_pair.rs` fuzz target for `(f64, f64)` indicators.
- Python tests: SCALAR + new PAIR parameter lists in `test_new_indicators.py`,
  reference-value cases in `test_known_values.py`.
- Node tests: scalar factories + new pair-factory block in
  `bindings/node/__tests__/indicators.test.js`.
- Benches: 5 Family-15 benches added in `crates/wickra/benches/indicators.rs`.
- Docs: README family-table row + counter (71 -> 88), CHANGELOG entry under
  [Unreleased].

Note: Family 12 (statistik-regression, PR #51) introduces
`node_pair_indicator!` and `wasm_pair_indicator!` macros for Pearson /
Beta / Spearman. Family 15 needs the same pair-input pattern but Family 12
is not yet in main, so the three pair wrappers below are written by hand
in this PR. When PR #51 lands, the trivial merge-conflict is resolved by
keeping the macros from Family 12 and re-using them for Treynor / IR /
Alpha (drop the three handwritten wrappers).

cargo check --workspace --all-features: green.

* fix(family-15): satisfy clippy doc_markdown / if_not_else / digit_grouping

* fix(family-15): unused TreynorRatio import, duplicate pairFactories, _eq_nan inf handling

* fix(family-15): node eq() handles matching infinities for ratio indicators

* test(family-15): cover cold paths flagged by codecov patch
This commit is contained in:
kingchenc
2026-05-26 20:44:21 +02:00
committed by GitHub
parent 55284a3042
commit 4e3c41ea80
34 changed files with 5727 additions and 73 deletions
+3 -2
View File
@@ -109,7 +109,7 @@ python -m benchmarks.compare_libraries
## Indicators
196 streaming-first indicators across fifteen families. Every one passes the
213 streaming-first indicators across sixteen families. Every one passes the
`batch == streaming` equivalence test, reference-value tests, and reset
semantics tests.
@@ -130,6 +130,7 @@ semantics tests.
| Ichimoku & Charts | Ichimoku Kinko Hyo (Tenkan, Kijun, Senkou A/B, Chikou), Heikin-Ashi |
| Candlestick Patterns | Doji, Hammer, Inverted Hammer, Hanging Man, Shooting Star, Engulfing, Harami, Morning/Evening Star, Three White Soldiers/Black Crows, Piercing Line/Dark Cloud Cover, Marubozu, Tweezer, Spinning Top, Three Inside Up/Down, Three Outside Up/Down |
| Market Profile | Value Area (POC / VAH / VAL), Initial Balance, Opening Range |
| Risk / Performance | Sharpe Ratio, Sortino Ratio, Calmar Ratio, Omega Ratio, Max Drawdown, Average Drawdown, Drawdown Duration, Pain Index, Value at Risk, Conditional Value at Risk (CVaR), Profit Factor, Gain/Loss Ratio, Recovery Factor, Kelly Criterion, Treynor Ratio, Information Ratio, Alpha (Jensen) |
Adding a new indicator means implementing one trait in Rust; all four bindings
inherit it automatically.
@@ -202,7 +203,7 @@ A Python live-trading example using the public `websockets` package lives at
```
wickra/
├── crates/
│ ├── wickra-core/ core engine + all 196 indicators
│ ├── wickra-core/ core engine + all 213 indicators
│ ├── wickra/ top-level facade crate (publishes on crates.io) + benches/
│ └── wickra-data/ CSV reader, tick aggregator, live exchange feeds
├── bindings/