F7: add NATR, StdDev, Ulcer Index and Historical Volatility
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
@@ -1519,6 +1519,235 @@ impl PyAroon {
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}
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}
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// ============================== NATR ==============================
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#[pyclass(name = "NATR", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyNatr {
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inner: wc::Natr,
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}
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#[pymethods]
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impl PyNatr {
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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::Natr::new(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, close (all 1-D, 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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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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#[getter]
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fn value(&self) -> Option<f64> {
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self.inner.value()
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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!("NATR(period={})", self.inner.period())
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}
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}
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// ============================== StdDev ==============================
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#[pyclass(name = "StdDev", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyStdDev {
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inner: wc::StdDev,
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}
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#[pymethods]
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impl PyStdDev {
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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::StdDev::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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#[getter]
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fn value(&self) -> Option<f64> {
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self.inner.value()
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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!("StdDev(period={})", self.inner.period())
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}
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}
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// ============================== Ulcer Index ==============================
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#[pyclass(name = "UlcerIndex", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyUlcerIndex {
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inner: wc::UlcerIndex,
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}
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#[pymethods]
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impl PyUlcerIndex {
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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::UlcerIndex::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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#[getter]
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fn value(&self) -> Option<f64> {
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self.inner.value()
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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!("UlcerIndex(period={})", self.inner.period())
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}
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}
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// ============================== Historical Volatility ==============================
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#[pyclass(name = "HistoricalVolatility", module = "wickra._wickra")]
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#[derive(Clone)]
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struct PyHistoricalVolatility {
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inner: wc::HistoricalVolatility,
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}
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#[pymethods]
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impl PyHistoricalVolatility {
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#[new]
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#[pyo3(signature = (period=20, trading_periods=252))]
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fn new(period: usize, trading_periods: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::HistoricalVolatility::new(period, trading_periods).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 periods(&self) -> (usize, usize) {
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self.inner.periods()
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}
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#[getter]
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fn value(&self) -> Option<f64> {
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self.inner.value()
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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 (p, t) = self.inner.periods();
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format!("HistoricalVolatility(period={p}, trading_periods={t})")
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}
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}
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// ============================== Aroon Oscillator ==============================
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#[pyclass(name = "AroonOscillator", module = "wickra._wickra")]
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@@ -2556,5 +2785,9 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyAroonOscillator>()?;
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m.add_class::<PyVortex>()?;
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m.add_class::<PyMassIndex>()?;
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m.add_class::<PyNatr>()?;
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m.add_class::<PyStdDev>()?;
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m.add_class::<PyUlcerIndex>()?;
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m.add_class::<PyHistoricalVolatility>()?;
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Ok(())
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}
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