F3: add MOM, CMO, TSI and PMO momentum indicators
Completes the F3 family (Momentum) end to end: - Rust core: mom.rs (raw price-difference momentum), cmo.rs (Chande Momentum Oscillator — unsmoothed gain/loss sum, bounded [-100,100]), tsi.rs (True Strength Index — double-EMA-smoothed momentum ratio), pmo.rs (DecisionPoint Price Momentum Oscillator — doubly-smoothed ROC with the 2/period custom smoothing). Each with a full Indicator impl, runnable doctest and reference-value / saturation / warmup / reset / batch==streaming / non-finite tests. - Python: PyMom / PyCmo / PyTsi / PyPmo PyO3 classes + module registration + .pyi stubs (defaults MOM=10, CMO=14, TSI=(25,13), PMO=(35,20)). - Node: MomNode / CmoNode via the scalar macro, explicit TsiNode and PmoNode; index.d.ts and index.js updated. - WASM: WasmMom / WasmCmo / WasmTsi / WasmPmo via the scalar macro. - Wiki: Indicator-Mom/Cmo/Tsi/Pmo.md plus rows in Indicators-Overview.md and entries in Home.md. cargo fmt + clippy (core/wickra/data/wasm/node) clean; 262 core tests, 25 data tests and 37 doctests green.
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kingchenc
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//! Chande Momentum Oscillator.
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use std::collections::VecDeque;
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use crate::error::{Error, Result};
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use crate::traits::Indicator;
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/// Chande Momentum Oscillator — Tushar Chande's bounded momentum gauge.
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///
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/// Over the last `period` price *changes* it sums the gains and the losses
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/// separately and reports:
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///
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/// ```text
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/// CMO = 100 · (Σ gains − Σ losses) / (Σ gains + Σ losses)
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/// ```
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///
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/// The result is bounded in `[−100, 100]`: `+100` is a window of pure gains,
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/// `−100` a window of pure losses, `0` a perfect balance. Unlike RSI the sums
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/// are *unsmoothed* — every change in the window carries equal weight — so CMO
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/// reacts faster and swings wider.
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///
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/// # Example
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///
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/// ```
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/// use wickra_core::{Indicator, Cmo};
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///
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/// let mut indicator = Cmo::new(14).unwrap();
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/// let mut last = None;
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/// for i in 0..80 {
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/// last = indicator.update(100.0 + f64::from(i));
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/// }
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/// assert_eq!(last, Some(100.0)); // pure uptrend saturates at +100
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/// ```
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#[derive(Debug, Clone)]
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pub struct Cmo {
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period: usize,
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prev_price: Option<f64>,
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/// Rolling window of `(gain, loss)` pairs, oldest at the front.
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window: VecDeque<(f64, f64)>,
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sum_gain: f64,
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sum_loss: f64,
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current: Option<f64>,
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}
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impl Cmo {
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/// Construct a new CMO with the given period.
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///
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/// # Errors
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///
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/// Returns [`Error::PeriodZero`] if `period == 0`.
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pub fn new(period: usize) -> Result<Self> {
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if period == 0 {
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return Err(Error::PeriodZero);
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}
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Ok(Self {
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period,
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prev_price: None,
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window: VecDeque::with_capacity(period),
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sum_gain: 0.0,
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sum_loss: 0.0,
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current: 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.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.current
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}
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}
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impl Indicator for Cmo {
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type Input = f64;
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type Output = f64;
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fn update(&mut self, input: f64) -> Option<f64> {
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if !input.is_finite() {
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// Non-finite input is ignored; state is left untouched.
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return self.current;
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}
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let Some(prev) = self.prev_price else {
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self.prev_price = Some(input);
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return None;
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};
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self.prev_price = Some(input);
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let change = input - prev;
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let gain = change.max(0.0);
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let loss = (-change).max(0.0);
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if self.window.len() == self.period {
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let (old_gain, old_loss) = self.window.pop_front().expect("window is non-empty");
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self.sum_gain -= old_gain;
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self.sum_loss -= old_loss;
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}
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self.window.push_back((gain, loss));
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self.sum_gain += gain;
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self.sum_loss += loss;
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if self.window.len() < self.period {
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return None;
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}
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let denom = self.sum_gain + self.sum_loss;
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let cmo = if denom == 0.0 {
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// A flat window (no gains and no losses): momentum is exactly zero.
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0.0
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} else {
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100.0 * (self.sum_gain - self.sum_loss) / denom
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};
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self.current = Some(cmo);
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Some(cmo)
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}
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fn reset(&mut self) {
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self.prev_price = None;
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self.window.clear();
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self.sum_gain = 0.0;
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self.sum_loss = 0.0;
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self.current = None;
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}
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fn warmup_period(&self) -> usize {
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self.period + 1
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}
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fn is_ready(&self) -> bool {
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self.current.is_some()
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}
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fn name(&self) -> &'static str {
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"CMO"
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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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#[test]
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fn new_rejects_zero_period() {
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assert!(matches!(Cmo::new(0), Err(Error::PeriodZero)));
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}
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#[test]
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fn reference_value() {
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// CMO(3) over [10, 11, 10, 12]: changes +1, −1, +2.
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// Σgain = 3, Σloss = 1 -> 100·(3−1)/(3+1) = 50.
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let mut cmo = Cmo::new(3).unwrap();
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let out = cmo.batch(&[10.0, 11.0, 10.0, 12.0]);
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assert_eq!(cmo.warmup_period(), 4);
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assert_eq!(out[0], None);
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assert_eq!(out[2], None);
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assert_relative_eq!(out[3].unwrap(), 50.0, epsilon = 1e-12);
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}
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#[test]
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fn pure_uptrend_saturates_at_plus_100() {
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let mut cmo = Cmo::new(5).unwrap();
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let out = cmo.batch(&(1..=20).map(f64::from).collect::<Vec<_>>());
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for v in out.iter().skip(6).flatten() {
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assert_relative_eq!(*v, 100.0, epsilon = 1e-12);
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}
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}
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#[test]
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fn pure_downtrend_saturates_at_minus_100() {
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let mut cmo = Cmo::new(5).unwrap();
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let out = cmo.batch(&(1..=20).rev().map(f64::from).collect::<Vec<_>>());
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for v in out.iter().skip(6).flatten() {
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assert_relative_eq!(*v, -100.0, epsilon = 1e-12);
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}
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}
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#[test]
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fn constant_series_yields_zero() {
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let mut cmo = Cmo::new(5).unwrap();
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let out = cmo.batch(&[42.0; 20]);
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for v in out.iter().skip(6).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 ignores_non_finite_input() {
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let mut cmo = Cmo::new(3).unwrap();
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let out = cmo.batch(&[10.0, 11.0, 10.0, 12.0]);
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let ready = out[3].expect("CMO(3) ready after four inputs");
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assert_eq!(cmo.update(f64::NAN), Some(ready));
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assert_eq!(cmo.update(f64::INFINITY), Some(ready));
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}
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#[test]
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fn reset_clears_state() {
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let mut cmo = Cmo::new(3).unwrap();
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cmo.batch(&[10.0, 11.0, 12.0, 13.0, 14.0]);
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assert!(cmo.is_ready());
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cmo.reset();
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assert!(!cmo.is_ready());
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assert_eq!(cmo.update(10.0), None);
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}
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#[test]
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fn batch_equals_streaming() {
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let prices: Vec<f64> = (1..=60)
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.map(|i| 100.0 + (f64::from(i) * 0.4).sin() * 6.0)
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.collect();
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let batch = Cmo::new(9).unwrap().batch(&prices);
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let mut b = Cmo::new(9).unwrap();
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let streamed: Vec<_> = prices.iter().map(|p| b.update(*p)).collect();
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assert_eq!(batch, streamed);
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}
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}
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