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
+34
View File
@@ -13,6 +13,7 @@ mod adx;
mod adxr;
mod alligator;
mod alma;
mod alpha;
mod anchored_vwap;
mod apo;
mod aroon;
@@ -21,12 +22,14 @@ mod atr;
mod atr_bands;
mod atr_trailing_stop;
mod autocorrelation;
mod average_drawdown;
mod awesome_oscillator;
mod awesome_oscillator_histogram;
mod balance_of_power;
mod beta;
mod bollinger;
mod bollinger_bandwidth;
mod calmar_ratio;
mod camarilla_pivots;
mod cci;
mod center_of_gravity;
@@ -40,6 +43,7 @@ mod classic_pivots;
mod cmf;
mod cmo;
mod coefficient_of_variation;
mod conditional_value_at_risk;
mod connors_rsi;
mod coppock;
mod cybernetic_cycle;
@@ -54,6 +58,7 @@ mod donchian;
mod donchian_stop;
mod double_bollinger;
mod dpo;
mod drawdown_duration;
mod ease_of_movement;
mod ehlers_stochastic;
mod elder_impulse;
@@ -67,6 +72,7 @@ mod fisher_transform;
mod force_index;
mod fractal_chaos_bands;
mod frama;
mod gain_loss_ratio;
mod garman_klass;
mod hammer;
mod hanging_man;
@@ -80,12 +86,14 @@ mod hurst_channel;
mod hurst_exponent;
mod ichimoku;
mod inertia;
mod information_ratio;
mod initial_balance;
mod instantaneous_trendline;
mod inverse_fisher_transform;
mod inverted_hammer;
mod jma;
mod kama;
mod kelly_criterion;
mod keltner;
mod kst;
mod kurtosis;
@@ -101,6 +109,7 @@ mod mama;
mod market_facilitation_index;
mod marubozu;
mod mass_index;
mod max_drawdown;
mod mcginley_dynamic;
mod median_absolute_deviation;
mod median_price;
@@ -110,7 +119,9 @@ mod morning_evening_star;
mod natr;
mod nvi;
mod obv;
mod omega_ratio;
mod opening_range;
mod pain_index;
mod parkinson;
mod pearson_correlation;
mod percent_b;
@@ -119,9 +130,11 @@ mod pgo;
mod piercing_dark_cloud;
mod pmo;
mod ppo;
mod profit_factor;
mod psar;
mod pvi;
mod r_squared;
mod recovery_factor;
mod renko_trailing_stop;
mod roc;
mod rogers_satchell;
@@ -130,12 +143,14 @@ mod rsi;
mod rvi;
mod rvi_volatility;
mod rwi;
mod sharpe_ratio;
mod shooting_star;
mod sine_wave;
mod skewness;
mod sma;
mod smi;
mod smma;
mod sortino_ratio;
mod spearman_correlation;
mod spinning_top;
mod standard_error;
@@ -166,6 +181,7 @@ mod three_inside;
mod three_outside;
mod three_soldiers_or_crows;
mod tii;
mod treynor_ratio;
mod trima;
mod trix;
mod true_range;
@@ -177,6 +193,7 @@ mod typical_price;
mod ulcer_index;
mod ultimate_oscillator;
mod value_area;
mod value_at_risk;
mod variance;
mod vertical_horizontal_filter;
mod vidya;
@@ -210,6 +227,7 @@ pub use adx::{Adx, AdxOutput};
pub use adxr::Adxr;
pub use alligator::{Alligator, AlligatorOutput};
pub use alma::Alma;
pub use alpha::Alpha;
pub use anchored_vwap::AnchoredVwap;
pub use apo::Apo;
pub use aroon::{Aroon, AroonOutput};
@@ -218,12 +236,14 @@ pub use atr::Atr;
pub use atr_bands::{AtrBands, AtrBandsOutput};
pub use atr_trailing_stop::AtrTrailingStop;
pub use autocorrelation::Autocorrelation;
pub use average_drawdown::AverageDrawdown;
pub use awesome_oscillator::AwesomeOscillator;
pub use awesome_oscillator_histogram::AwesomeOscillatorHistogram;
pub use balance_of_power::BalanceOfPower;
pub use beta::Beta;
pub use bollinger::{BollingerBands, BollingerOutput};
pub use bollinger_bandwidth::BollingerBandwidth;
pub use calmar_ratio::CalmarRatio;
pub use camarilla_pivots::{Camarilla, CamarillaPivotsOutput};
pub use cci::Cci;
pub use center_of_gravity::CenterOfGravity;
@@ -237,6 +257,7 @@ pub use classic_pivots::{ClassicPivots, ClassicPivotsOutput};
pub use cmf::ChaikinMoneyFlow;
pub use cmo::Cmo;
pub use coefficient_of_variation::CoefficientOfVariation;
pub use conditional_value_at_risk::ConditionalValueAtRisk;
pub use connors_rsi::ConnorsRsi;
pub use coppock::Coppock;
pub use cybernetic_cycle::CyberneticCycle;
@@ -251,6 +272,7 @@ pub use donchian::{Donchian, DonchianOutput};
pub use donchian_stop::{DonchianStop, DonchianStopOutput};
pub use double_bollinger::{DoubleBollinger, DoubleBollingerOutput};
pub use dpo::Dpo;
pub use drawdown_duration::DrawdownDuration;
pub use ease_of_movement::EaseOfMovement;
pub use ehlers_stochastic::EhlersStochastic;
pub use elder_impulse::ElderImpulse;
@@ -264,6 +286,7 @@ pub use fisher_transform::FisherTransform;
pub use force_index::ForceIndex;
pub use fractal_chaos_bands::{FractalChaosBands, FractalChaosBandsOutput};
pub use frama::Frama;
pub use gain_loss_ratio::GainLossRatio;
pub use garman_klass::GarmanKlassVolatility;
pub use hammer::Hammer;
pub use hanging_man::HangingMan;
@@ -277,12 +300,14 @@ pub use hurst_channel::{HurstChannel, HurstChannelOutput};
pub use hurst_exponent::HurstExponent;
pub use ichimoku::{Ichimoku, IchimokuOutput};
pub use inertia::Inertia;
pub use information_ratio::InformationRatio;
pub use initial_balance::{InitialBalance, InitialBalanceOutput};
pub use instantaneous_trendline::InstantaneousTrendline;
pub use inverse_fisher_transform::InverseFisherTransform;
pub use inverted_hammer::InvertedHammer;
pub use jma::Jma;
pub use kama::Kama;
pub use kelly_criterion::KellyCriterion;
pub use keltner::{Keltner, KeltnerOutput};
pub use kst::{Kst, KstOutput};
pub use kurtosis::Kurtosis;
@@ -298,6 +323,7 @@ pub use mama::{Mama, MamaOutput};
pub use market_facilitation_index::MarketFacilitationIndex;
pub use marubozu::Marubozu;
pub use mass_index::MassIndex;
pub use max_drawdown::MaxDrawdown;
pub use mcginley_dynamic::McGinleyDynamic;
pub use median_absolute_deviation::MedianAbsoluteDeviation;
pub use median_price::MedianPrice;
@@ -307,7 +333,9 @@ pub use morning_evening_star::MorningEveningStar;
pub use natr::Natr;
pub use nvi::Nvi;
pub use obv::Obv;
pub use omega_ratio::OmegaRatio;
pub use opening_range::{OpeningRange, OpeningRangeOutput};
pub use pain_index::PainIndex;
pub use parkinson::ParkinsonVolatility;
pub use pearson_correlation::PearsonCorrelation;
pub use percent_b::PercentB;
@@ -316,9 +344,11 @@ pub use pgo::Pgo;
pub use piercing_dark_cloud::PiercingDarkCloud;
pub use pmo::Pmo;
pub use ppo::Ppo;
pub use profit_factor::ProfitFactor;
pub use psar::Psar;
pub use pvi::Pvi;
pub use r_squared::RSquared;
pub use recovery_factor::RecoveryFactor;
pub use renko_trailing_stop::RenkoTrailingStop;
pub use roc::Roc;
pub use rogers_satchell::RogersSatchellVolatility;
@@ -327,12 +357,14 @@ pub use rsi::Rsi;
pub use rvi::Rvi;
pub use rvi_volatility::RviVolatility;
pub use rwi::{Rwi, RwiOutput};
pub use sharpe_ratio::SharpeRatio;
pub use shooting_star::ShootingStar;
pub use sine_wave::SineWave;
pub use skewness::Skewness;
pub use sma::Sma;
pub use smi::Smi;
pub use smma::Smma;
pub use sortino_ratio::SortinoRatio;
pub use spearman_correlation::SpearmanCorrelation;
pub use spinning_top::SpinningTop;
pub use standard_error::StandardError;
@@ -363,6 +395,7 @@ pub use three_inside::ThreeInside;
pub use three_outside::ThreeOutside;
pub use three_soldiers_or_crows::ThreeSoldiersOrCrows;
pub use tii::Tii;
pub use treynor_ratio::TreynorRatio;
pub use trima::Trima;
pub use trix::Trix;
pub use true_range::TrueRange;
@@ -374,6 +407,7 @@ pub use typical_price::TypicalPrice;
pub use ulcer_index::UlcerIndex;
pub use ultimate_oscillator::UltimateOscillator;
pub use value_area::{ValueArea, ValueAreaOutput};
pub use value_at_risk::ValueAtRisk;
pub use variance::Variance;
pub use vertical_horizontal_filter::VerticalHorizontalFilter;
pub use vidya::Vidya;