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.
This commit is contained in:
kingchenc
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//! Price Momentum Oscillator (`DecisionPoint`).
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use crate::error::{Error, Result};
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use crate::traits::Indicator;
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use super::Ema;
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/// Price Momentum Oscillator — Carl Swenlin's `DecisionPoint` PMO line.
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///
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/// PMO is a doubly-smoothed rate of change. The 1-bar percentage change is
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/// smoothed once, scaled by `10`, then smoothed again:
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///
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/// ```text
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/// roc_t = (price_t / price_{t−1} − 1) · 100
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/// smoothed_t = customEMA(roc, smoothing1)_t
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/// PMO_t = customEMA(10 · smoothed, smoothing2)_t
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/// ```
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///
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/// `customEMA` is the `DecisionPoint` smoothing: an exponential average whose
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/// smoothing constant is `2 / period` (not the textbook `2 / (period + 1)`),
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/// seeded from the very first value. The conventional periods are `35` and
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/// `20`. The classic PMO **signal line** is simply a 10-period EMA of this
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/// PMO line — compose it with [`Chain`](crate::Chain) and an [`Ema`] if you
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/// need it.
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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, Pmo};
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///
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/// let mut indicator = Pmo::new(35, 20).unwrap();
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/// let mut last = None;
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/// for i in 0..120 {
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/// last = indicator.update(100.0 + f64::from(i));
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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 Pmo {
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smoothing1: usize,
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smoothing2: usize,
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prev_price: Option<f64>,
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ema1: Ema,
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ema2: Ema,
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current: Option<f64>,
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}
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impl Pmo {
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/// Construct a new PMO with the two smoothing periods.
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///
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/// # Errors
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///
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/// Returns [`Error::PeriodZero`] if either period is `0`, or
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/// [`Error::InvalidPeriod`] if either is `1` (the smoothing constant
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/// `2 / period` must not exceed `1`).
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pub fn new(smoothing1: usize, smoothing2: usize) -> Result<Self> {
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if smoothing1 == 0 || smoothing2 == 0 {
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return Err(Error::PeriodZero);
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}
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if smoothing1 < 2 || smoothing2 < 2 {
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return Err(Error::InvalidPeriod {
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message: "PMO smoothing periods must be >= 2",
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});
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}
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Ok(Self {
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smoothing1,
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smoothing2,
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prev_price: None,
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ema1: Ema::with_alpha(2.0 / smoothing1 as f64)?,
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ema2: Ema::with_alpha(2.0 / smoothing2 as f64)?,
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current: None,
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})
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}
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/// The `(smoothing1, smoothing2)` periods.
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pub const fn periods(&self) -> (usize, usize) {
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(self.smoothing1, self.smoothing2)
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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 Pmo {
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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 roc = if prev == 0.0 {
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// Undefined ratio against a zero price: treat momentum as flat.
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0.0
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} else {
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(input / prev - 1.0) * 100.0
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};
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let smoothed = self.ema1.update(roc)?;
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let pmo = self.ema2.update(10.0 * smoothed)?;
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self.current = Some(pmo);
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Some(pmo)
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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.ema1.reset();
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self.ema2.reset();
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self.current = None;
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}
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fn warmup_period(&self) -> usize {
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// The first ROC needs a previous price; both customEMAs seed from
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// their first input, so the first PMO lands on the second update.
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2
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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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"PMO"
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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!(Pmo::new(0, 20), Err(Error::PeriodZero)));
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assert!(matches!(Pmo::new(35, 0), Err(Error::PeriodZero)));
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}
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#[test]
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fn new_rejects_period_one() {
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assert!(matches!(Pmo::new(1, 20), Err(Error::InvalidPeriod { .. })));
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assert!(matches!(Pmo::new(35, 1), Err(Error::InvalidPeriod { .. })));
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}
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#[test]
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fn first_emission_at_second_update() {
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let mut pmo = Pmo::new(35, 20).unwrap();
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assert_eq!(pmo.warmup_period(), 2);
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assert_eq!(pmo.update(100.0), None);
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assert!(pmo.update(101.0).is_some());
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}
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#[test]
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fn constant_series_yields_zero() {
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// Flat prices -> ROC is always 0 -> both smoothings stay at 0.
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let mut pmo = Pmo::new(35, 20).unwrap();
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let out = pmo.batch(&[100.0; 60]);
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for v in out.iter().skip(2).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 steady_uptrend_is_positive() {
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let mut pmo = Pmo::new(35, 20).unwrap();
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let prices: Vec<f64> = (1..=120).map(|i| 100.0 * 1.01_f64.powi(i)).collect();
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let out = pmo.batch(&prices);
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let last = out.iter().rev().flatten().next().unwrap();
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assert!(
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*last > 0.0,
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"steady uptrend PMO should be positive, got {last}"
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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 pmo = Pmo::new(35, 20).unwrap();
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let out = pmo.batch(&(1..=60).map(f64::from).collect::<Vec<_>>());
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let last = *out.last().unwrap();
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assert!(last.is_some());
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assert_eq!(pmo.update(f64::NAN), last);
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assert_eq!(pmo.update(f64::INFINITY), last);
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}
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#[test]
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fn reset_clears_state() {
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let mut pmo = Pmo::new(35, 20).unwrap();
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pmo.batch(&(1..=60).map(f64::from).collect::<Vec<_>>());
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assert!(pmo.is_ready());
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pmo.reset();
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assert!(!pmo.is_ready());
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assert_eq!(pmo.update(1.0), 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..=120)
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.map(|i| 100.0 + (f64::from(i) * 0.25).sin() * 8.0)
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.collect();
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let batch = Pmo::new(35, 20).unwrap().batch(&prices);
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let mut b = Pmo::new(35, 20).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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