F2: add ZLEMA, T3 and VWMA advanced moving averages

Completes the F2 family (Advanced MAs) end to end:

- Rust core: zlema.rs (Zero-Lag EMA over the de-lagged series
  2·price − price[lag]), t3.rs (Tillson's six-EMA cascade with the
  volume-factor polynomial), vwma.rs (volume-weighted rolling mean with
  a zero-volume fallback to the unweighted mean). Each with a full
  Indicator impl, runnable doctest and reference-value / warmup /
  reset / batch==streaming / non-finite tests.
- Python: PyZlema / PyT3 / PyVwma PyO3 classes + module registration
  + .pyi stubs (T3 defaults v=0.7).
- Node: ZlemaNode via the scalar macro, explicit T3Node and VwmaNode
  classes; index.d.ts and index.js updated.
- WASM: WasmZlema / WasmT3 via the scalar macro, explicit WasmVwma.
- Wiki: Indicator-Zlema.md, Indicator-T3.md, Indicator-Vwma.md plus
  rows in Indicators-Overview.md and entries in Home.md.

cargo fmt + clippy (core/wickra/data/wasm/node) clean; 232 core tests,
25 data tests and 33 doctests green.
This commit is contained in:
kingchenc
2026-05-22 17:45:02 +02:00
parent ed7324115c
commit 780a176072
15 changed files with 1573 additions and 3 deletions
@@ -76,6 +76,50 @@ class TRIMA:
@property
def value(self) -> Optional[float]: ...
class ZLEMA:
def __init__(self, period: int) -> None: ...
def update(self, value: float) -> Optional[float]: ...
def batch(self, prices: NDArray[np.float64]) -> NDArray[np.float64]: ...
def reset(self) -> None: ...
def is_ready(self) -> bool: ...
def warmup_period(self) -> int: ...
@property
def period(self) -> int: ...
@property
def lag(self) -> int: ...
@property
def value(self) -> Optional[float]: ...
class T3:
def __init__(self, period: int, v: float = 0.7) -> None: ...
def update(self, value: float) -> Optional[float]: ...
def batch(self, prices: NDArray[np.float64]) -> NDArray[np.float64]: ...
def reset(self) -> None: ...
def is_ready(self) -> bool: ...
def warmup_period(self) -> int: ...
@property
def period(self) -> int: ...
@property
def volume_factor(self) -> float: ...
@property
def value(self) -> Optional[float]: ...
class VWMA:
def __init__(self, period: int) -> None: ...
def update(self, candle: CandleLike) -> Optional[float]: ...
def batch(
self,
close: NDArray[np.float64],
volume: NDArray[np.float64],
) -> NDArray[np.float64]: ...
def reset(self) -> None: ...
def is_ready(self) -> bool: ...
def warmup_period(self) -> int: ...
@property
def period(self) -> int: ...
@property
def value(self) -> Optional[float]: ...
class RSI:
def __init__(self, period: int = 14) -> None: ...
def update(self, value: float) -> Optional[float]: ...
+185
View File
@@ -1519,6 +1519,188 @@ impl PyAroon {
}
}
// ============================== ZLEMA ==============================
#[pyclass(name = "ZLEMA", module = "wickra._wickra")]
#[derive(Clone)]
struct PyZlema {
inner: wc::Zlema,
}
#[pymethods]
impl PyZlema {
#[new]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::Zlema::new(period).map_err(map_err)?,
})
}
fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
fn batch<'py>(
&mut self,
py: Python<'py>,
prices: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let slice = prices
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
Ok(flatten(self.inner.batch(slice)).into_pyarray_bound(py))
}
#[getter]
fn period(&self) -> usize {
self.inner.period()
}
#[getter]
fn lag(&self) -> usize {
self.inner.lag()
}
#[getter]
fn value(&self) -> Option<f64> {
self.inner.value()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
format!("ZLEMA(period={})", self.inner.period())
}
}
// ============================== T3 ==============================
#[pyclass(name = "T3", module = "wickra._wickra")]
#[derive(Clone)]
struct PyT3 {
inner: wc::T3,
}
#[pymethods]
impl PyT3 {
#[new]
#[pyo3(signature = (period, v=0.7))]
fn new(period: usize, v: f64) -> PyResult<Self> {
Ok(Self {
inner: wc::T3::new(period, v).map_err(map_err)?,
})
}
fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
fn batch<'py>(
&mut self,
py: Python<'py>,
prices: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let slice = prices
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
Ok(flatten(self.inner.batch(slice)).into_pyarray_bound(py))
}
#[getter]
fn period(&self) -> usize {
self.inner.period()
}
#[getter]
fn volume_factor(&self) -> f64 {
self.inner.volume_factor()
}
#[getter]
fn value(&self) -> Option<f64> {
self.inner.value()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
format!(
"T3(period={}, v={})",
self.inner.period(),
self.inner.volume_factor()
)
}
}
// ============================== VWMA ==============================
#[pyclass(name = "VWMA", module = "wickra._wickra")]
#[derive(Clone)]
struct PyVwma {
inner: wc::Vwma,
}
#[pymethods]
impl PyVwma {
#[new]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::Vwma::new(period).map_err(map_err)?,
})
}
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
let c = extract_candle(candle)?;
Ok(self.inner.update(c))
}
/// Batch over numpy close + volume arrays (both 1-D, equal length).
fn batch<'py>(
&mut self,
py: Python<'py>,
close: PyReadonlyArray1<'py, f64>,
volume: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let c = close
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
let v = volume
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
if c.len() != v.len() {
return Err(PyValueError::new_err(
"close and volume must be equal length",
));
}
let mut out = Vec::with_capacity(c.len());
for i in 0..c.len() {
let candle = wc::Candle::new(c[i], c[i], c[i], c[i], v[i], 0).map_err(map_err)?;
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
}
Ok(out.into_pyarray_bound(py))
}
#[getter]
fn period(&self) -> usize {
self.inner.period()
}
#[getter]
fn value(&self) -> Option<f64> {
self.inner.value()
}
fn reset(&mut self) {
self.inner.reset();
}
fn is_ready(&self) -> bool {
self.inner.is_ready()
}
fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
fn __repr__(&self) -> String {
format!("VWMA(period={})", self.inner.period())
}
}
// ============================== SMMA ==============================
#[pyclass(name = "SMMA", module = "wickra._wickra")]
@@ -1653,5 +1835,8 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyAroon>()?;
m.add_class::<PySmma>()?;
m.add_class::<PyTrima>()?;
m.add_class::<PyZlema>()?;
m.add_class::<PyT3>()?;
m.add_class::<PyVwma>()?;
Ok(())
}