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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@@ -25,18 +25,18 @@ use libfuzzer_sys::fuzz_target;
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use wickra_core::{
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AccelerationBands, AcceleratorOscillator, AdOscillator, Adl, Adx, Adxr, Alligator,
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AnchoredVwap, Aroon, AroonOscillator, Atr, AtrBands, AtrTrailingStop, AwesomeOscillator,
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AwesomeOscillatorHistogram, BalanceOfPower, BatchExt, Camarilla, Candle, Cci,
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ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit,
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ChoppinessIndex, ClassicPivots, DemandIndex, DemarkPivots, Doji, Donchian, DonchianStop,
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EaseOfMovement, Engulfing, Evwma, FibonacciPivots, ForceIndex, FractalChaosBands,
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GarmanKlassVolatility, Hammer, HangingMan, Harami, HeikinAshi, HiLoActivator, HurstChannel, Ichimoku,
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Indicator, Inertia, InitialBalance, InvertedHammer, Keltner, Kvo, MarketFacilitationIndex,
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Marubozu, MassIndex, MedianPrice, Mfi, MorningEveningStar, Natr, Nvi, Obv, OpeningRange,
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AwesomeOscillatorHistogram, BalanceOfPower, BatchExt, Camarilla, Candle, Cci, ChaikinMoneyFlow,
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ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit, ChoppinessIndex,
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ClassicPivots, DemandIndex, DemarkPivots, Doji, Donchian, DonchianStop, EaseOfMovement,
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Engulfing, Evwma, FibonacciPivots, ForceIndex, FractalChaosBands, GarmanKlassVolatility,
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Hammer, HangingMan, Harami, HeikinAshi, HiLoActivator, HurstChannel, Ichimoku, Indicator,
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Inertia, InitialBalance, InvertedHammer, Keltner, Kvo, MarketFacilitationIndex, Marubozu,
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MassIndex, MedianPrice, Mfi, MorningEveningStar, Natr, Nvi, Obv, OpeningRange,
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ParkinsonVolatility, Pgo, PiercingDarkCloud, Psar, Pvi, RogersSatchellVolatility, RollingVwap,
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Rvi, Rwi, ShootingStar, Smi, SpinningTop, StarcBands, Stochastic, SuperTrend, TdCombo,
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TdCountdown, TdDeMarker, TdDifferential, TdLines, TdOpen, TdPressure, TdRangeProjection,
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TdRei, TdRiskLevel, TdSequential, TdSetup, ThreeInside, ThreeOutside, ThreeSoldiersOrCrows,
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TrueRange, Tsv, TtmSqueeze, Tweezer, TypicalPrice, UltimateOscillator, ValueArea, VoltyStop,
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TdCountdown, TdDeMarker, TdDifferential, TdLines, TdOpen, TdPressure, TdRangeProjection, TdRei,
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TdRiskLevel, TdSequential, TdSetup, ThreeInside, ThreeOutside, ThreeSoldiersOrCrows, TrueRange,
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Tsv, TtmSqueeze, Tweezer, TypicalPrice, UltimateOscillator, ValueArea, VoltyStop,
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VolumeOscillator, VolumePriceTrend, Vortex, Vwap, VwapStdDevBands, Vwma, Vzo, WaveTrend,
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WeightedClose, WilliamsFractals, WilliamsR, WoodiePivots, YangZhangVolatility, YoyoExit,
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ZigZag,
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