gavindiaz/wickra
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

F7: add NATR, StdDev, Ulcer Index and Historical Volatility

Browse Source 
Completes the F7 family (Volatility) end to end:

- Rust core: natr.rs (ATR as a percentage of close), std_dev.rs
  (rolling population standard deviation), ulcer_index.rs (RMS of
  trailing-high drawdowns — downside-only risk), historical_volatility.rs
  (annualised sample stddev of log returns). Each with a full Indicator
  impl, runnable doctest and reference / constant-series / warmup /
  reset / batch==streaming tests.
- Python: PyNatr / PyStdDev / PyUlcerIndex / PyHistoricalVolatility
  PyO3 classes + module registration + .pyi stubs.
- Node: StdDevNode / UlcerIndexNode via the scalar macro, explicit
  NatrNode and HistoricalVolatilityNode; index.d.ts and index.js updated.
- WASM: WasmStdDev / WasmUlcerIndex / WasmHistoricalVolatility via the
  scalar macro, explicit WasmNatr.
- Wiki: Indicator-Natr/StdDev/UlcerIndex/HistoricalVolatility.md plus
  rows in Indicators-Overview.md and entries in Home.md.

cargo fmt + clippy (core/wickra/data/wasm/node) clean; 350 core tests,
25 data tests and 49 doctests green.
This commit is contained in:
kingchenc
2026-05-22 18:26:29 +02:00
parent 16c0639f0c
commit 6c58d3827c
17 changed files with 1943 additions and 6 deletions
Download Patch File Download Diff File Expand all files Collapse all files
bindings/node/index.js
+5 -1
View File
@@ -310,7 +310,7 @@ if (!nativeBinding) {
throw new Error(`Failed to load native binding`)
}
const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, T3, VWMA, MOM, CMO, TSI, PMO, StochRSI, UltimateOscillator, PPO, DPO, Coppock, AroonOscillator, Vortex, MassIndex, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, AwesomeOscillator, Aroon, KAMA } = nativeBinding
const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, T3, VWMA, MOM, CMO, TSI, PMO, StochRSI, UltimateOscillator, PPO, DPO, Coppock, AroonOscillator, Vortex, MassIndex, NATR, StdDev, UlcerIndex, HistoricalVolatility, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, AwesomeOscillator, Aroon, KAMA } = nativeBinding
module.exports.version = version
module.exports.SMA = SMA
@@ -339,6 +339,10 @@ module.exports.Coppock = Coppock
module.exports.AroonOscillator = AroonOscillator
module.exports.Vortex = Vortex
module.exports.MassIndex = MassIndex
module.exports.NATR = NATR
module.exports.StdDev = StdDev
module.exports.UlcerIndex = UlcerIndex
module.exports.HistoricalVolatility = HistoricalVolatility
module.exports.MACD = MACD
module.exports.BollingerBands = BollingerBands
module.exports.ATR = ATR
bindings/node/src/lib.rs
+95
View File
@@ -108,6 +108,8 @@ node_scalar_indicator!(ZlemaNode, "ZLEMA", wc::Zlema);
node_scalar_indicator!(MomNode, "MOM", wc::Mom);
node_scalar_indicator!(CmoNode, "CMO", wc::Cmo);
node_scalar_indicator!(DpoNode, "DPO", wc::Dpo);
node_scalar_indicator!(StdDevNode, "StdDev", wc::StdDev);
node_scalar_indicator!(UlcerIndexNode, "UlcerIndex", wc::UlcerIndex);
// ============================== MACD ==============================
@@ -1145,6 +1147,99 @@ impl PmoNode {
// ============================== VWMA ==============================
// ============================== NATR ==============================
#[napi(js_name = "NATR")]
pub struct NatrNode {
inner: wc::Natr,
}
#[napi]
impl NatrNode {
#[napi(constructor)]
pub fn new(period: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::Natr::new(period as usize).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, high: f64, low: f64, close: f64) -> napi::Result<Option<f64>> {
Ok(self.inner.update(cnd(high, low, close, 0.0)?))
}
#[napi]
pub fn batch(
&mut self,
high: Vec<f64>,
low: Vec<f64>,
close: Vec<f64>,
) -> napi::Result<Vec<f64>> {
if high.len() != low.len() || low.len() != close.len() {
return Err(NapiError::from_reason(
"high, low, close must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(high.len());
for i in 0..high.len() {
out.push(
self.inner
.update(cnd(high[i], low[i], close[i], 0.0)?)
.unwrap_or(f64::NAN),
);
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// ============================== Historical Volatility ==============================
#[napi(js_name = "HistoricalVolatility")]
pub struct HistoricalVolatilityNode {
inner: wc::HistoricalVolatility,
}
#[napi]
impl HistoricalVolatilityNode {
#[napi(constructor)]
pub fn new(period: u32, trading_periods: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::HistoricalVolatility::new(period as usize, trading_periods as usize)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
flatten(self.inner.batch(&prices))
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
// ============================== Aroon Oscillator ==============================
#[napi(js_name = "AroonOscillator")]
bindings/python/python/wickra/__init__.pyi
+53
View File
@@ -76,6 +76,59 @@ class TRIMA:
@property
def value(self) -> Optional[float]: ...
class NATR:
def __init__(self, period: int = 14) -> None: ...
def update(self, candle: CandleLike) -> Optional[float]: ...
def batch(
self,
high: NDArray[np.float64],
low: NDArray[np.float64],
close: NDArray[np.float64],
) -> NDArray[np.float64]: ...
def reset(self) -> None: ...
def is_ready(self) -> bool: ...
def warmup_period(self) -> int: ...
@property
def period(self) -> int: ...
@property
def value(self) -> Optional[float]: ...
class StdDev:
def __init__(self, period: int = 20) -> None: ...
def update(self, value: float) -> Optional[float]: ...
def batch(self, prices: NDArray[np.float64]) -> NDArray[np.float64]: ...
def reset(self) -> None: ...
def is_ready(self) -> bool: ...
def warmup_period(self) -> int: ...
@property
def period(self) -> int: ...
@property
def value(self) -> Optional[float]: ...
class UlcerIndex:
def __init__(self, period: int = 14) -> None: ...
def update(self, value: float) -> Optional[float]: ...
def batch(self, prices: NDArray[np.float64]) -> NDArray[np.float64]: ...
def reset(self) -> None: ...
def is_ready(self) -> bool: ...
def warmup_period(self) -> int: ...
@property
def period(self) -> int: ...
@property
def value(self) -> Optional[float]: ...
class HistoricalVolatility:
def __init__(self, period: int = 20, trading_periods: int = 252) -> None: ...
def update(self, value: float) -> Optional[float]: ...
def batch(self, prices: NDArray[np.float64]) -> NDArray[np.float64]: ...
def reset(self) -> None: ...
def is_ready(self) -> bool: ...
def warmup_period(self) -> int: ...
@property
def periods(self) -> Tuple[int, int]: ...
@property
def value(self) -> Optional[float]: ...
class AroonOscillator:
def __init__(self, period: int = 14) -> None: ...
def update(self, candle: CandleLike) -> Optional[float]: ...
bindings/python/src/lib.rs
+233
View File
@@ -1519,6 +1519,235 @@ impl PyAroon {
}
}
// ============================== NATR ==============================
#[pyclass(name = "NATR", module = "wickra._wickra")]
#[derive(Clone)]
struct PyNatr {
inner: wc::Natr,
}
#[pymethods]
impl PyNatr {
#[new]
#[pyo3(signature = (period=14))]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::Natr::new(period).map_err(map_err)?,
})
}
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
let c = extract_candle(candle)?;
Ok(self.inner.update(c))
}
/// Batch over numpy columns: high, low, close (all 1-D, equal length).
fn batch<'py>(
&mut self,
py: Python<'py>,
high: PyReadonlyArray1<'py, f64>,
low: PyReadonlyArray1<'py, f64>,
close: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let h = high
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
let l = low
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
let c = close
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
if h.len() != l.len() || l.len() != c.len() {
return Err(PyValueError::new_err(
"high, low, close must be equal length",
));
}
let mut out = Vec::with_capacity(h.len());
for i in 0..h.len() {
let candle = wc::Candle::new(c[i], h[i], l[i], c[i], 0.0, 0).map_err(map_err)?;
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
}
Ok(out.into_pyarray_bound(py))
}
#[getter]
fn period(&self) -> usize {
self.inner.period()
}
#[getter]
fn value(&self) -> Option<f64> {
self.inner.value()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
format!("NATR(period={})", self.inner.period())
}
}
// ============================== StdDev ==============================
#[pyclass(name = "StdDev", module = "wickra._wickra")]
#[derive(Clone)]
struct PyStdDev {
inner: wc::StdDev,
}
#[pymethods]
impl PyStdDev {
#[new]
#[pyo3(signature = (period=20))]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::StdDev::new(period).map_err(map_err)?,
})
}
fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
fn batch<'py>(
&mut self,
py: Python<'py>,
prices: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let slice = prices
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
Ok(flatten(self.inner.batch(slice)).into_pyarray_bound(py))
}
#[getter]
fn period(&self) -> usize {
self.inner.period()
}
#[getter]
fn value(&self) -> Option<f64> {
self.inner.value()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
format!("StdDev(period={})", self.inner.period())
}
}
// ============================== Ulcer Index ==============================
#[pyclass(name = "UlcerIndex", module = "wickra._wickra")]
#[derive(Clone)]
struct PyUlcerIndex {
inner: wc::UlcerIndex,
}
#[pymethods]
impl PyUlcerIndex {
#[new]
#[pyo3(signature = (period=14))]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::UlcerIndex::new(period).map_err(map_err)?,
})
}
fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
fn batch<'py>(
&mut self,
py: Python<'py>,
prices: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let slice = prices
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
Ok(flatten(self.inner.batch(slice)).into_pyarray_bound(py))
}
#[getter]
fn period(&self) -> usize {
self.inner.period()
}
#[getter]
fn value(&self) -> Option<f64> {
self.inner.value()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
format!("UlcerIndex(period={})", self.inner.period())
}
}
// ============================== Historical Volatility ==============================
#[pyclass(name = "HistoricalVolatility", module = "wickra._wickra")]
#[derive(Clone)]
struct PyHistoricalVolatility {
inner: wc::HistoricalVolatility,
}
#[pymethods]
impl PyHistoricalVolatility {
#[new]
#[pyo3(signature = (period=20, trading_periods=252))]
fn new(period: usize, trading_periods: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::HistoricalVolatility::new(period, trading_periods).map_err(map_err)?,
})
}
fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
fn batch<'py>(
&mut self,
py: Python<'py>,
prices: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let slice = prices
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
Ok(flatten(self.inner.batch(slice)).into_pyarray_bound(py))
}
#[getter]
fn periods(&self) -> (usize, usize) {
self.inner.periods()
}
#[getter]
fn value(&self) -> Option<f64> {
self.inner.value()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
let (p, t) = self.inner.periods();
format!("HistoricalVolatility(period={p}, trading_periods={t})")
}
}
// ============================== Aroon Oscillator ==============================
#[pyclass(name = "AroonOscillator", module = "wickra._wickra")]
@@ -2556,5 +2785,9 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyAroonOscillator>()?;
m.add_class::<PyVortex>()?;
m.add_class::<PyMassIndex>()?;
m.add_class::<PyNatr>()?;
m.add_class::<PyStdDev>()?;
m.add_class::<PyUlcerIndex>()?;
m.add_class::<PyHistoricalVolatility>()?;
Ok(())
}
bindings/wasm/src/lib.rs
+41
View File
@@ -87,6 +87,9 @@ wasm_scalar_indicator!(WasmStochRsi, "StochRSI", wc::StochRsi, rsi_period: usize
wasm_scalar_indicator!(WasmDpo, "DPO", wc::Dpo, period: usize);
wasm_scalar_indicator!(WasmPpo, "PPO", wc::Ppo, fast: usize, slow: usize);
wasm_scalar_indicator!(WasmCoppock, "Coppock", wc::Coppock, roc_long: usize, roc_short: usize, wma_period: usize);
wasm_scalar_indicator!(WasmStdDev, "StdDev", wc::StdDev, period: usize);
wasm_scalar_indicator!(WasmUlcerIndex, "UlcerIndex", wc::UlcerIndex, period: usize);
wasm_scalar_indicator!(WasmHistoricalVolatility, "HistoricalVolatility", wc::HistoricalVolatility, period: usize, trading_periods: usize);
// ---------- KAMA (three params) ----------
@@ -372,6 +375,44 @@ impl WasmUltimateOscillator {
}
}
#[wasm_bindgen(js_name = NATR)]
pub struct WasmNatr {
inner: wc::Natr,
}
#[wasm_bindgen(js_class = NATR)]
impl WasmNatr {
#[wasm_bindgen(constructor)]
pub fn new(period: usize) -> Result<WasmNatr, JsError> {
Ok(Self {
inner: wc::Natr::new(period).map_err(map_err)?,
})
}
pub fn update(&mut self, high: f64, low: f64, close: f64) -> Result<Option<f64>, JsError> {
let c = make_candle(high, low, close, 0.0)?;
Ok(self.inner.update(c))
}
pub fn batch(
&mut self,
high: &[f64],
low: &[f64],
close: &[f64],
) -> Result<Float64Array, JsError> {
if high.len() != low.len() || low.len() != close.len() {
return Err(JsError::new("high, low, close must be equal length"));
}
let mut out = Vec::with_capacity(high.len());
for i in 0..high.len() {
let c = make_candle(high[i], low[i], close[i], 0.0)?;
out.push(self.inner.update(c).unwrap_or(f64::NAN));
}
Ok(Float64Array::from(out.as_slice()))
}
pub fn reset(&mut self) {
self.inner.reset();
}
}
#[wasm_bindgen(js_name = AroonOscillator)]
pub struct WasmAroonOscillator {
inner: wc::AroonOscillator,