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

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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
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docs/wiki/Indicators-Overview.md
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@@ -1,6 +1,6 @@
# Indicators Overview
Wickra ships 42 indicators, organised in source under the four classical
Wickra ships 46 indicators, organised in source under the four classical
families — trend, momentum, volatility, volume — that map directly to the
directory structure of `crates/wickra-core/src/indicators/`. The same family
labels are used here, plus a second-level grouping that reflects how the
@@ -136,6 +136,10 @@ measure — that lives in the volatility module by source convention.
| Indicator | One-liner | Input | Output | Range | Defaults | Warmup | Deep dive |
|-----------|-----------|-------|--------|-------|----------|--------|-----------|
| `Atr` | Wilder-smoothed True Range; per-bar absolute volatility. | `Candle` | `f64` | `[0, ∞)` (price scale) | `period = 14` (Python) | `period` | [Indicator-Atr.md](indicators/volatility/Indicator-Atr.md) |
| `Natr` | `100·ATR/close`; ATR as a percentage, comparable across instruments. | `Candle` | `f64` | `[0, ∞)` (percent) | `period = 14` (Python) | `period` | [Indicator-Natr.md](indicators/volatility/Indicator-Natr.md) |
| `StdDev` | Rolling population standard deviation of price. | `f64` | `f64` | `[0, ∞)` (price scale) | `period = 20` (Python) | `period` | [Indicator-StdDev.md](indicators/volatility/Indicator-StdDev.md) |
| `UlcerIndex` | RMS of trailing-high drawdowns; downside-only risk. | `f64` | `f64` | `[0, ∞)` (percent) | `period = 14` (Python) | `2·period − 1` | [Indicator-UlcerIndex.md](indicators/volatility/Indicator-UlcerIndex.md) |
| `HistoricalVolatility` | Annualised sample stddev of log returns. | `f64` | `f64` | `[0, ∞)` (annualised percent) | `(period=20, trading_periods=252)` (Python) | `period + 1` | [Indicator-HistoricalVolatility.md](indicators/volatility/Indicator-HistoricalVolatility.md) |
### Trailing stop