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
@@ -2476,6 +2476,44 @@ impl WasmKasePermissionStochastic {
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}
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}
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#[wasm_bindgen(js_name = VolatilityRatio)]
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pub struct WasmVolatilityRatio {
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inner: wc::VolatilityRatio,
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}
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#[wasm_bindgen(js_class = VolatilityRatio)]
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impl WasmVolatilityRatio {
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#[wasm_bindgen(constructor)]
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pub fn new(period: usize) -> Result<WasmVolatilityRatio, JsError> {
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Ok(Self {
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inner: wc::VolatilityRatio::new(period).map_err(map_err)?,
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})
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}
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pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<Option<f64>, JsError> {
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let c = make_candle(high, low, close, 0.0)?;
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Ok(self.inner.update(c))
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}
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pub fn batch(
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&mut self,
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high: &[f64],
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low: &[f64],
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close: &[f64],
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) -> Result<Float64Array, JsError> {
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if high.len() != low.len() || low.len() != close.len() {
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return Err(JsError::new("high, low, close must be equal length"));
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}
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let mut out = Vec::with_capacity(high.len());
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for i in 0..high.len() {
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let c = make_candle(high[i], low[i], close[i], 0.0)?;
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out.push(self.inner.update(c).unwrap_or(f64::NAN));
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}
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Ok(Float64Array::from(out.as_slice()))
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}
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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}
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#[wasm_bindgen(js_name = Stochastic)]
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pub struct WasmStoch {
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inner: wc::Stochastic,
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@@ -10656,6 +10694,76 @@ wasm_scalar_indicator!(WasmTrendStrengthIndex, "TREND_STRENGTH_INDEX", wc::Trend
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wasm_scalar_indicator!(WasmTsfOscillator, "TsfOscillator", wc::TsfOscillator, period: usize);
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wasm_scalar_indicator!(WasmMacdHistogram, "MacdHistogram", wc::MacdHistogram, fast: usize, slow: usize, signal: usize);
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wasm_scalar_indicator!(WasmPpoHistogram, "PpoHistogram", wc::PpoHistogram, fast: usize, slow: usize, signal: usize);
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wasm_scalar_indicator!(WasmBipowerVariation, "BipowerVariation", wc::BipowerVariation, period: usize);
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wasm_scalar_indicator!(WasmEwmaVolatility, "EwmaVolatility", wc::EwmaVolatility, lambda: f64);
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wasm_scalar_indicator!(WasmGarch11, "Garch11", wc::Garch11, omega: f64, alpha: f64, beta: f64);
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wasm_scalar_indicator!(WasmVolatilityOfVolatility, "VolatilityOfVolatility", wc::VolatilityOfVolatility, vol_window: usize, vov_window: usize);
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// --- VolatilityCone: Candle in, struct out (current/min/median/max/percentile) ---
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#[wasm_bindgen(js_name = VolatilityCone)]
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pub struct WasmVolatilityCone {
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inner: wc::VolatilityCone,
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}
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#[wasm_bindgen(js_class = VolatilityCone)]
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impl WasmVolatilityCone {
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#[wasm_bindgen(constructor)]
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pub fn new(window: usize, lookback: usize) -> Result<WasmVolatilityCone, JsError> {
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Ok(Self {
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inner: wc::VolatilityCone::new(window, lookback).map_err(map_err)?,
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})
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}
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pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<JsValue, JsError> {
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let c = make_candle(high, low, close, 0.0)?;
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Ok(match self.inner.update(c) {
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Some(o) => {
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let obj = Object::new();
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Reflect::set(&obj, &"current".into(), &o.current.into()).ok();
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Reflect::set(&obj, &"min".into(), &o.min.into()).ok();
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Reflect::set(&obj, &"median".into(), &o.median.into()).ok();
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Reflect::set(&obj, &"max".into(), &o.max.into()).ok();
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Reflect::set(&obj, &"percentile".into(), &o.percentile.into()).ok();
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obj.into()
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}
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None => JsValue::NULL,
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})
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}
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pub fn batch(
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&mut self,
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high: &[f64],
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low: &[f64],
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close: &[f64],
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) -> Result<Float64Array, JsError> {
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let n = high.len();
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if low.len() != n || close.len() != n {
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return Err(JsError::new("high, low, close must be equal length"));
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}
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let mut out = vec![f64::NAN; n * 5];
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for i in 0..n {
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let c = make_candle(high[i], low[i], close[i], 0.0)?;
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if let Some(o) = self.inner.update(c) {
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out[i * 5] = o.current;
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out[i * 5 + 1] = o.min;
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out[i * 5 + 2] = o.median;
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out[i * 5 + 3] = o.max;
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out[i * 5 + 4] = o.percentile;
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}
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}
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Ok(Float64Array::from(out.as_slice()))
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}
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pub fn reset(&mut self) {
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self.inner.reset();
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}
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#[wasm_bindgen(js_name = isReady)]
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pub fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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#[wasm_bindgen(js_name = warmupPeriod)]
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pub fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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}
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// --- DrawdownDuration: u32 output, no constructor args ---
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