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
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kingchenc
@@ -45,39 +45,42 @@ pub mod indicators;
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pub use error::{Error, Result};
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pub use indicators::{
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AccelerationBands, AccelerationBandsOutput, AcceleratorOscillator, AdOscillator, AdaptiveCycle,
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Adl, Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma, AnchoredVwap, Apo, Aroon,
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Adl, Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma, Alpha, AnchoredVwap, Apo, Aroon,
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AroonOscillator, AroonOutput, Atr, AtrBands, AtrBandsOutput, AtrTrailingStop, Autocorrelation,
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AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, Beta, BollingerBands,
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BollingerBandwidth, BollingerOutput, Camarilla, CamarillaPivotsOutput, Cci, CenterOfGravity,
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Cfo, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop,
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ChandeKrollStopOutput, ChandelierExit, ChandelierExitOutput, ChoppinessIndex, ClassicPivots,
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ClassicPivotsOutput, Cmo, CoefficientOfVariation, ConnorsRsi, Coppock, CyberneticCycle,
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Decycler, DecyclerOscillator, Dema, DemandIndex, DemarkPivots, DemarkPivotsOutput,
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DetrendedStdDev, Doji, Donchian, DonchianOutput, DonchianStop, DonchianStopOutput,
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DoubleBollinger, DoubleBollingerOutput, Dpo, EaseOfMovement, EhlersStochastic, ElderImpulse,
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AverageDrawdown, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, Beta,
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BollingerBands, BollingerBandwidth, BollingerOutput, CalmarRatio, Camarilla,
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CamarillaPivotsOutput, Cci, CenterOfGravity, Cfo, ChaikinMoneyFlow, ChaikinOscillator,
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ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit,
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ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput, Cmo,
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CoefficientOfVariation, ConditionalValueAtRisk, ConnorsRsi, Coppock, CyberneticCycle, Decycler,
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DecyclerOscillator, Dema, DemandIndex, DemarkPivots, DemarkPivotsOutput, DetrendedStdDev, Doji,
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Donchian, DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger,
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DoubleBollingerOutput, Dpo, DrawdownDuration, EaseOfMovement, EhlersStochastic, ElderImpulse,
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Ema, EmpiricalModeDecomposition, Engulfing, Evwma, Fama, FibonacciPivots,
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FibonacciPivotsOutput, FisherTransform, ForceIndex, FractalChaosBands, FractalChaosBandsOutput,
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Frama, GarmanKlassVolatility, Hammer, HangingMan, Harami, HeikinAshi, HeikinAshiOutput,
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HiLoActivator, HilbertDominantCycle, HistoricalVolatility, Hma, HurstChannel,
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HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, Inertia, InitialBalance,
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InitialBalanceOutput, InstantaneousTrendline, InverseFisherTransform, InvertedHammer, Jma,
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Kama, Keltner, KeltnerOutput, Kst, KstOutput, Kurtosis, Kvo, LaguerreRsi, LinRegAngle,
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LinRegChannel, LinRegChannelOutput, LinRegSlope, LinearRegression, MaEnvelope,
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MaEnvelopeOutput, MacdIndicator, MacdOutput, Mama, MamaOutput, MarketFacilitationIndex,
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Marubozu, MassIndex, McGinleyDynamic, MedianAbsoluteDeviation, MedianPrice, Mfi, Mom,
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MorningEveningStar, Natr, Nvi, Obv, OpeningRange, OpeningRangeOutput, ParkinsonVolatility,
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PearsonCorrelation, PercentB, PercentageTrailingStop, Pgo, PiercingDarkCloud, Pmo, Ppo, Psar,
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Pvi, RSquared, RenkoTrailingStop, Roc, RogersSatchellVolatility, RollingVwap, RoofingFilter,
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Rsi, Rvi, RviVolatility, Rwi, RwiOutput, ShootingStar, SineWave, Skewness, Sma, Smi, Smma,
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SpearmanCorrelation, SpinningTop, StandardError, StandardErrorBands, StandardErrorBandsOutput,
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StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop, StochRsi, Stochastic,
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StochasticOutput, SuperSmoother, SuperTrend, SuperTrendOutput, TdCombo, TdCountdown,
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TdDeMarker, TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection,
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TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput, TdSequential,
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TdSequentialOutput, TdSetup, Tema, ThreeInside, ThreeOutside, ThreeSoldiersOrCrows, Tii, Trima,
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Trix, TrueRange, Tsi, Tsv, TtmSqueeze, TtmSqueezeOutput, Tweezer, TypicalPrice, UlcerIndex,
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UltimateOscillator, ValueArea, ValueAreaOutput, Variance, VerticalHorizontalFilter, Vidya,
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VoltyStop, VolumeOscillator, VolumePriceTrend, Vortex, VortexOutput, Vwap, VwapStdDevBands,
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Frama, GainLossRatio, GarmanKlassVolatility, Hammer, HangingMan, Harami, HeikinAshi,
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HeikinAshiOutput, HiLoActivator, HilbertDominantCycle, HistoricalVolatility, Hma, HurstChannel,
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HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, Inertia, InformationRatio,
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InitialBalance, InitialBalanceOutput, InstantaneousTrendline, InverseFisherTransform,
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InvertedHammer, Jma, Kama, KellyCriterion, Keltner, KeltnerOutput, Kst, KstOutput, Kurtosis,
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Kvo, LaguerreRsi, LinRegAngle, LinRegChannel, LinRegChannelOutput, LinRegSlope,
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LinearRegression, MaEnvelope, MaEnvelopeOutput, MacdIndicator, MacdOutput, Mama, MamaOutput,
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MarketFacilitationIndex, Marubozu, MassIndex, MaxDrawdown, McGinleyDynamic,
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MedianAbsoluteDeviation, MedianPrice, Mfi, Mom, MorningEveningStar, Natr, Nvi, Obv, OmegaRatio,
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OpeningRange, OpeningRangeOutput, PainIndex, ParkinsonVolatility, PearsonCorrelation, PercentB,
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PercentageTrailingStop, Pgo, PiercingDarkCloud, Pmo, Ppo, ProfitFactor, Psar, Pvi, RSquared,
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RecoveryFactor, RenkoTrailingStop, Roc, RogersSatchellVolatility, RollingVwap, RoofingFilter,
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Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SharpeRatio, ShootingStar, SineWave, Skewness, Sma,
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Smi, Smma, SortinoRatio, SpearmanCorrelation, SpinningTop, StandardError, StandardErrorBands,
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StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop,
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StochRsi, Stochastic, StochasticOutput, SuperSmoother, SuperTrend, SuperTrendOutput, TdCombo,
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TdCountdown, TdDeMarker, TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure,
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TdRangeProjection, TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput,
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TdSequential, TdSequentialOutput, TdSetup, Tema, ThreeInside, ThreeOutside,
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ThreeSoldiersOrCrows, Tii, TreynorRatio, Trima, Trix, TrueRange, Tsi, Tsv, TtmSqueeze,
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TtmSqueezeOutput, Tweezer, TypicalPrice, UlcerIndex, UltimateOscillator, ValueArea,
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ValueAreaOutput, ValueAtRisk, Variance, VerticalHorizontalFilter, Vidya, VoltyStop,
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VolumeOscillator, VolumePriceTrend, Vortex, VortexOutput, Vwap, VwapStdDevBands,
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VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend, WaveTrendOutput, WeightedClose, WilliamsFractals,
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WilliamsFractalsOutput, WilliamsR, Wma, WoodiePivots, WoodiePivotsOutput, YangZhangVolatility,
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YoyoExit, ZScore, ZeroLagMacd, ZeroLagMacdOutput, ZigZag, ZigZagOutput, Zlema, T3,
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