F13b: add True Range, Chaikin Volatility, Z-Score and Linear Regression Angle
Second half of the eight indicators that fill out the new family taxonomy. - Rust core: true_range.rs (TrueRange — the raw single-bar volatility ATR averages), chaikin_volatility.rs (ChaikinVolatility — rate of change of a smoothed high-low spread), z_score.rs (ZScore — price normalised against its rolling mean and standard deviation) and linreg_angle.rs (LinRegAngle — the rolling regression slope as a degree angle). Each with a full Indicator impl, runnable doctest and reference / property / warmup / reset / batch==streaming tests. - Python / Node / WASM: classes wired through all three bindings (ZScore and LinRegAngle ride the scalar macros where possible) plus .pyi stubs and __init__.py / __all__ entries. - Wiki: four new Indicator-*.md pages. The eight-family taxonomy restructure (Overview / Home / README / folder layout) lands next in F13c. cargo fmt + clippy (core/wickra/data/wasm/node) clean; 508 core tests, 25 data tests and 74 doctests green.
This commit is contained in:
@@ -4103,6 +4103,228 @@ impl PyVerticalHorizontalFilter {
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}
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}
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// ============================== True Range ==============================
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#[pyclass(name = "TrueRange", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyTrueRange {
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inner: wc::TrueRange,
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}
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#[pymethods]
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impl PyTrueRange {
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#[new]
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fn new() -> Self {
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Self {
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inner: wc::TrueRange::new(),
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}
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c))
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}
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/// Batch over numpy columns high, low, close (all equal length).
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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close: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let h = high
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let l = low
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let c = close
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if h.len() != l.len() || l.len() != c.len() {
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return Err(PyValueError::new_err(
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"high, low, close must be equal length",
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));
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}
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let mut out = Vec::with_capacity(h.len());
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for i in 0..h.len() {
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let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
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out.push(self.inner.update(candle).unwrap_or(f64::NAN));
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}
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Ok(out.into_pyarray_bound(py))
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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"TrueRange()".to_string()
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}
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}
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// ============================== Chaikin Volatility ==============================
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#[pyclass(name = "ChaikinVolatility", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyChaikinVolatility {
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inner: wc::ChaikinVolatility,
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}
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#[pymethods]
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impl PyChaikinVolatility {
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#[new]
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#[pyo3(signature = (ema_period=10, roc_period=10))]
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fn new(ema_period: usize, roc_period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::ChaikinVolatility::new(ema_period, roc_period).map_err(map_err)?,
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})
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}
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fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
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let c = extract_candle(candle)?;
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Ok(self.inner.update(c))
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}
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/// Batch over numpy columns high, low (both equal length).
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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high: PyReadonlyArray1<'py, f64>,
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low: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let h = high
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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let l = low
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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if h.len() != l.len() {
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return Err(PyValueError::new_err("high and low must be equal length"));
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}
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let mut out = Vec::with_capacity(h.len());
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for i in 0..h.len() {
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let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
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out.push(self.inner.update(candle).unwrap_or(f64::NAN));
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}
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Ok(out.into_pyarray_bound(py))
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}
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#[getter]
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fn periods(&self) -> (usize, usize) {
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self.inner.periods()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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let (ema, roc) = self.inner.periods();
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format!("ChaikinVolatility(ema_period={ema}, roc_period={roc})")
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}
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}
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// ============================== Z-Score ==============================
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#[pyclass(name = "ZScore", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyZScore {
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inner: wc::ZScore,
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}
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#[pymethods]
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impl PyZScore {
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#[new]
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#[pyo3(signature = (period=20))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::ZScore::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let slice = prices
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(flatten(self.inner.batch(slice)).into_pyarray_bound(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("ZScore(period={})", self.inner.period())
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}
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}
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// ============================== Linear Regression Angle ==============================
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#[pyclass(name = "LinRegAngle", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyLinRegAngle {
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inner: wc::LinRegAngle,
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}
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#[pymethods]
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impl PyLinRegAngle {
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#[new]
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#[pyo3(signature = (period=14))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::LinRegAngle::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let slice = prices
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(flatten(self.inner.batch(slice)).into_pyarray_bound(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("LinRegAngle(period={})", self.inner.period())
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}
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}
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// ============================== Module ==============================
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#[pymodule]
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@@ -4175,5 +4397,9 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyBalanceOfPower>()?;
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m.add_class::<PyChoppinessIndex>()?;
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m.add_class::<PyVerticalHorizontalFilter>()?;
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m.add_class::<PyTrueRange>()?;
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m.add_class::<PyChaikinVolatility>()?;
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m.add_class::<PyZScore>()?;
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m.add_class::<PyLinRegAngle>()?;
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Ok(())
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}
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