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