B5 volatility & bands batch (423 -> 429) (#189)
Adds six **Volatility & Bands** indicators (Part B5 of the expansion roadmap), 423 → 429. | Indicator | Input → Output | Summary | |-----------|----------------|---------| | `EwmaVolatility` | `f64` → `f64` | RiskMetrics exponentially-weighted volatility (λ decay) | | `Garch11` | `f64` → `f64` | GARCH(1,1) conditional volatility with a long-run-variance anchor | | `BipowerVariation` | `f64` → `f64` | jump-robust realized bipower variation (π/2 · Σ\|rₜ\|\|rₜ₋₁\|) | | `VolatilityRatio` | `Candle` → `f64` | Schwager's true range over the EMA of prior true ranges (>2 = wide-ranging day) | | `VolatilityCone` | `Candle` → `VolatilityConeOutput` | current realized volatility within its min/median/max envelope + percentile | | `VolatilityOfVolatility` | `f64` → `f64` | sample stddev of a rolling realized-volatility series | ### Notes - Two B5 roadmap items were dropped as duplicates/by-construction: `RealizedVolatility` already ships (v0.5.4); `Downside Semi-Deviation` is internal to Sortino. `Bipower Variation` confirmed distinct from `JumpIndicator` (a ±1 flag, not a variance measure). - `VolatilityRatio` implements the widely-charted EMA-of-true-range convention (denominator excludes the current bar so the 2.0 threshold means "twice typical"), distinct from the existing pairwise `variance_ratio`. - `Garch11` mean-reverts to `ω/(1−β)` on a flat series (does not decay to 0 like EWMA) — pinned by a dedicated test. ### Coverage / verification - Full core + Python/Node/WASM bindings, fuzz drivers (scalar + candle), registries, CHANGELOG, README + docs counter sync. - 100% unit-test coverage per indicator (every branch). - Green locally: `cargo clippy --workspace --all-targets --all-features -D warnings`, core lib (3479) + doc (387), node (504), python (830). Deep-dive docs for all six are staged for `wickra-docs` and pushed after release (gated).
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kingchenc
@@ -1,5 +1,5 @@
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<p align="center">
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<a href="https://wickra.org"><img src="https://raw.githubusercontent.com/wickra-lib/.github/main/profile/wickra-banner.webp?v=423" alt="Wickra — streaming-first technical indicators" width="100%"></a>
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<a href="https://wickra.org"><img src="https://raw.githubusercontent.com/wickra-lib/.github/main/profile/wickra-banner.webp?v=429" alt="Wickra — streaming-first technical indicators" width="100%"></a>
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</p>
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[](https://github.com/wickra-lib/wickra/actions/workflows/ci.yml)
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@@ -48,7 +48,7 @@ Full documentation lives at **[docs.wickra.org](https://docs.wickra.org)**:
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[Node](https://docs.wickra.org/Quickstart-Node),
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[WASM](https://docs.wickra.org/Quickstart-WASM).
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- **Indicators** — a per-indicator deep dive (formula, parameters, warmup) for
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every one of the 423 indicators; start at the
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every one of the 429 indicators; start at the
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[indicators overview](https://docs.wickra.org/Indicators-Overview).
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- **Reference** — [warmup periods](https://docs.wickra.org/Warmup-Periods),
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[streaming vs batch](https://docs.wickra.org/Streaming-vs-Batch),
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@@ -79,7 +79,7 @@ Plenty of TA libraries are fast. Each one forces a trade-off Wickra does not:
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| finta | clean | no | Python | ~80 | stale |
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| talipp | clean | yes | Python | ~40 | yes |
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Wickra's edge is **breadth with reach**: 423 indicators that all update in O(1)
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Wickra's edge is **breadth with reach**: 429 indicators that all update in O(1)
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per tick and ship natively to Python, Node.js, WebAssembly and Rust from a
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single engine.
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@@ -188,7 +188,7 @@ python -m benchmarks.compare_libraries
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## Indicators
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423 streaming-first indicators across twenty-four families. Every one passes the
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429 streaming-first indicators across twenty-four families. Every one passes the
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`batch == streaming` equivalence test, reference-value tests, and reset
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semantics tests. Each has a per-indicator deep dive (formula, parameters,
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warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
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@@ -199,7 +199,7 @@ warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
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| Momentum Oscillators | RSI (Wilder), Anchored RSI, Stochastic, CCI, ROC, Williams %R, MFI, Awesome Oscillator, MOM, CMO, TSI, PMO, StochRSI, Ultimate Oscillator, RVI, PGO, KST, SMI, Laguerre RSI, Connors RSI, Inertia, ROC Percentage (ROCP), ROC Ratio (ROCR), ROC Ratio 100 (ROCR100), Disparity Index, Fisher RSI, RSX, Dynamic Momentum Index, Stochastic CCI, RMI, Derivative Oscillator, Elder Ray, Intraday Momentum Index, QQE |
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| Trend & Directional | MACD, MACD Fixed (MACDFIX), MACD Extended (MACDEXT), ADX (+DI/-DI), ADXR, Aroon, TRIX, Aroon Oscillator, Vortex, Random Walk Index, Trend Intensity Index, Wave Trend Oscillator, Mass Index, Choppiness Index, Vertical Horizontal Filter, Plus DM, Minus DM, Plus DI, Minus DI, DX, TTM Trend, Trend Strength Index, Qstick, Polarized Fractal Efficiency, Wave PM, Gator Oscillator, Kase Permission Stochastic |
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| Price Oscillators | PPO, DPO, Coppock, Accelerator Oscillator, Balance of Power, APO, AO Histogram, CFO, Zero-Lag MACD, Elder Impulse, STC, TSF Oscillator, MACD Histogram, PPO Histogram |
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| Volatility & Bands | ATR, Bollinger Bands, Keltner Channels, Donchian Channels, NATR, StdDev, Ulcer Index, Historical Volatility, Bollinger Bandwidth, %B, True Range, Chaikin Volatility, RVI (Relative Volatility Index), Parkinson Volatility, Garman-Klass Volatility, Rogers-Satchell Volatility, Yang-Zhang Volatility |
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| Volatility & Bands | ATR, Bollinger Bands, Keltner Channels, Donchian Channels, NATR, StdDev, Ulcer Index, Historical Volatility, Bollinger Bandwidth, %B, True Range, Chaikin Volatility, RVI (Relative Volatility Index), Parkinson Volatility, Garman-Klass Volatility, Rogers-Satchell Volatility, Yang-Zhang Volatility, Volatility Cone |
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| Bands & Channels | MA Envelope, Acceleration Bands, STARC Bands, ATR Bands, Hurst Channel, LinReg Channel, Standard Error Bands, Double Bollinger Bands, TTM Squeeze, Fractal Chaos Bands, VWAP StdDev Bands |
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| Trailing Stops | Parabolic SAR, Parabolic SAR Extended (SAREXT), SuperTrend, Chandelier Exit, Chande Kroll Stop, ATR Trailing Stop, HiLo Activator, Volty Stop, Yo-Yo Exit, Donchian Channel Stop, Percentage Trailing Stop, Step Trailing Stop, Renko Trailing Stop |
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| Volume | OBV, VWAP (cumulative + rolling), ADL, Volume-Price Trend, Chaikin Money Flow, Chaikin Oscillator, Force Index, Ease of Movement, Klinger Volume Oscillator, Volume Oscillator, NVI, PVI, Williams A/D, Anchored VWAP, Demand Index, TSV, VZO, Market Facilitation Index |
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@@ -297,7 +297,7 @@ A Python live-trading example using the public `websockets` package lives at
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```
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wickra/
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├── crates/
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│ ├── wickra-core/ core engine + all 423 indicators
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│ ├── wickra-core/ core engine + all 429 indicators
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│ ├── wickra/ top-level facade crate (publishes on crates.io) + benches/
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│ ├── wickra-data/ CSV reader, tick aggregator, live exchange feeds
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│ └── wickra-bench/ internal cross-library benchmark harness (not published)
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