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
2026-05-22 18:26:29 +02:00
parent 16c0639f0c
commit 6c58d3827c
17 changed files with 1943 additions and 6 deletions
+185
View File
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//! Normalized Average True Range.
use crate::error::Result;
use crate::ohlcv::Candle;
use crate::traits::Indicator;
use super::Atr;
/// Normalized Average True Range — [`Atr`] expressed as a percentage of price.
///
/// `Atr` reports volatility in raw price units, which makes its readings
/// impossible to compare across instruments at different price levels. NATR
/// fixes that by dividing by the current close:
///
/// ```text
/// NATR = 100 · ATR / close
/// ```
///
/// A NATR of `2.0` always means "the average true range is 2 % of price",
/// whether the instrument trades at $10 or $10 000 — so NATR values are
/// directly comparable, and stop distances or position sizes expressed as a
/// NATR multiple behave consistently across a portfolio.
///
/// # Example
///
/// ```
/// use wickra_core::{Candle, Indicator, Natr};
///
/// let mut indicator = Natr::new(14).unwrap();
/// let mut last = None;
/// for i in 0..80 {
/// let base = 100.0 + f64::from(i);
/// let candle =
/// Candle::new(base, base + 2.0, base - 2.0, base, 10.0, i64::from(i)).unwrap();
/// last = indicator.update(candle);
/// }
/// assert!(last.is_some());
/// ```
#[derive(Debug, Clone)]
pub struct Natr {
atr: Atr,
last: Option<f64>,
}
impl Natr {
/// Construct a new NATR with the given ATR period.
///
/// # Errors
///
/// Returns [`crate::Error::PeriodZero`] if `period == 0`.
pub fn new(period: usize) -> Result<Self> {
Ok(Self {
atr: Atr::new(period)?,
last: None,
})
}
/// Configured period.
pub const fn period(&self) -> usize {
self.atr.period()
}
/// Current value if available.
pub const fn value(&self) -> Option<f64> {
self.last
}
}
impl Indicator for Natr {
type Input = Candle;
type Output = f64;
fn update(&mut self, candle: Candle) -> Option<f64> {
let atr = self.atr.update(candle)?;
let natr = if candle.close == 0.0 {
// NATR is undefined against a zero close.
0.0
} else {
100.0 * atr / candle.close
};
self.last = Some(natr);
Some(natr)
}
fn reset(&mut self) {
self.atr.reset();
self.last = None;
}
fn warmup_period(&self) -> usize {
self.atr.warmup_period()
}
fn is_ready(&self) -> bool {
self.last.is_some()
}
fn name(&self) -> &'static str {
"NATR"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::traits::BatchExt;
use approx::assert_relative_eq;
fn candle(open: f64, high: f64, low: f64, close: f64, ts: i64) -> Candle {
Candle::new(open, high, low, close, 1.0, ts).unwrap()
}
#[test]
fn new_rejects_zero_period() {
assert!(Natr::new(0).is_err());
}
#[test]
fn warmup_period_matches_atr() {
let natr = Natr::new(14).unwrap();
assert_eq!(natr.warmup_period(), 14);
}
#[test]
fn natr_is_atr_over_close_as_percent() {
// NATR must equal 100 * ATR / close, bar for bar.
let candles: Vec<Candle> = (0..60)
.map(|i| {
let mid = 100.0 + (i as f64 * 0.3).sin() * 10.0;
candle(mid, mid + 3.0, mid - 3.0, mid + 1.0, i)
})
.collect();
let natr_out = Natr::new(14).unwrap().batch(&candles);
let atr_out = Atr::new(14).unwrap().batch(&candles);
for (i, (n, a)) in natr_out.iter().zip(atr_out.iter()).enumerate() {
match (n, a) {
(Some(nv), Some(av)) => {
let want = 100.0 * av / candles[i].close;
assert_relative_eq!(*nv, want, epsilon = 1e-9);
}
(None, None) => {}
_ => panic!("warmup mismatch at {i}"),
}
}
}
#[test]
fn flat_market_yields_zero() {
// No range -> ATR is 0 -> NATR is 0.
let mut natr = Natr::new(5).unwrap();
let candles: Vec<Candle> = (0..30)
.map(|i| candle(100.0, 100.0, 100.0, 100.0, i))
.collect();
for v in natr.batch(&candles).into_iter().flatten() {
assert_relative_eq!(v, 0.0, epsilon = 1e-12);
}
}
#[test]
fn reset_clears_state() {
let mut natr = Natr::new(5).unwrap();
let candles: Vec<Candle> = (0..20)
.map(|i| candle(100.0, 102.0, 98.0, 101.0, i))
.collect();
natr.batch(&candles);
assert!(natr.is_ready());
natr.reset();
assert!(!natr.is_ready());
assert_eq!(natr.update(candles[0]), None);
}
#[test]
fn batch_equals_streaming() {
let candles: Vec<Candle> = (0..80)
.map(|i| {
let mid = 100.0 + (i as f64 * 0.35).sin() * 9.0;
candle(mid, mid + 2.5, mid - 2.5, mid + 0.5, i)
})
.collect();
let batch = Natr::new(14).unwrap().batch(&candles);
let mut b = Natr::new(14).unwrap();
let streamed: Vec<_> = candles.iter().map(|c| b.update(*c)).collect();
assert_eq!(batch, streamed);
}
}