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
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//! Volume-Weighted Moving Average.
use std::collections::VecDeque;
use crate::error::{Error, Result};
use crate::ohlcv::Candle;
use crate::traits::Indicator;
/// Volume-Weighted Moving Average over a rolling window of `period` candles.
///
/// Each close is weighted by its own bar volume:
///
/// ```text
/// VWMA_t = Σ(close_i · volume_i) / Σ(volume_i) over the last `period` bars
/// ```
///
/// High-volume bars pull the average toward their close, so VWMA reacts to
/// price moves that the market actually participated in and largely ignores
/// thin, low-conviction bars.
///
/// If every candle in the window has zero volume the weighted mean is
/// undefined; the indicator then falls back to the **unweighted** mean of the
/// `period` closes, so the output is always finite. The first output lands
/// after exactly `period` candles.
///
/// # Example
///
/// ```
/// use wickra_core::{Candle, Indicator, Vwma};
///
/// let mut indicator = Vwma::new(5).unwrap();
/// let mut last = None;
/// for i in 0..40 {
/// let p = 100.0 + f64::from(i);
/// let candle = Candle::new(p, p + 1.0, p - 1.0, p, 10.0, i64::from(i)).unwrap();
/// last = indicator.update(candle);
/// }
/// assert!(last.is_some());
/// ```
#[derive(Debug, Clone)]
pub struct Vwma {
period: usize,
/// Rolling window of `(close, volume)` pairs, oldest at the front.
window: VecDeque<(f64, f64)>,
sum_pv: f64,
sum_v: f64,
sum_close: f64,
current: Option<f64>,
}
impl Vwma {
/// Construct a new VWMA with the given period.
///
/// # Errors
///
/// Returns [`Error::PeriodZero`] if `period == 0`.
pub fn new(period: usize) -> Result<Self> {
if period == 0 {
return Err(Error::PeriodZero);
}
Ok(Self {
period,
window: VecDeque::with_capacity(period),
sum_pv: 0.0,
sum_v: 0.0,
sum_close: 0.0,
current: None,
})
}
/// Configured period.
pub const fn period(&self) -> usize {
self.period
}
/// Current value if available.
pub const fn value(&self) -> Option<f64> {
self.current
}
}
impl Indicator for Vwma {
type Input = Candle;
type Output = f64;
fn update(&mut self, candle: Candle) -> Option<f64> {
let close = candle.close;
let volume = candle.volume;
if self.window.len() == self.period {
let (old_close, old_volume) = self.window.pop_front().expect("window is non-empty");
self.sum_pv -= old_close * old_volume;
self.sum_v -= old_volume;
self.sum_close -= old_close;
}
self.window.push_back((close, volume));
self.sum_pv += close * volume;
self.sum_v += volume;
self.sum_close += close;
if self.window.len() < self.period {
return None;
}
let value = if self.sum_v > 0.0 {
self.sum_pv / self.sum_v
} else {
// Degenerate window: every bar had zero volume. Fall back to the
// plain mean of the closes so the output stays finite.
self.sum_close / self.period as f64
};
self.current = Some(value);
Some(value)
}
fn reset(&mut self) {
self.window.clear();
self.sum_pv = 0.0;
self.sum_v = 0.0;
self.sum_close = 0.0;
self.current = None;
}
fn warmup_period(&self) -> usize {
self.period
}
fn is_ready(&self) -> bool {
self.current.is_some()
}
fn name(&self) -> &'static str {
"VWMA"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::traits::BatchExt;
use approx::assert_relative_eq;
/// Build a flat candle with a given close and volume.
fn candle(close: f64, volume: f64, ts: i64) -> Candle {
Candle::new(close, close, close, close, volume, ts).unwrap()
}
#[test]
fn new_rejects_zero_period() {
assert!(matches!(Vwma::new(0), Err(Error::PeriodZero)));
}
#[test]
fn reference_value() {
// VWMA(2): (10·1 + 20·3) / (1 + 3) = 70 / 4 = 17.5.
let mut vwma = Vwma::new(2).unwrap();
assert_eq!(vwma.update(candle(10.0, 1.0, 0)), None);
assert_relative_eq!(
vwma.update(candle(20.0, 3.0, 1)).unwrap(),
17.5,
epsilon = 1e-12
);
// Window slides: (20·3 + 30·1) / (3 + 1) = 90 / 4 = 22.5.
assert_relative_eq!(
vwma.update(candle(30.0, 1.0, 2)).unwrap(),
22.5,
epsilon = 1e-12
);
}
#[test]
fn zero_volume_window_falls_back_to_unweighted_mean() {
let mut vwma = Vwma::new(2).unwrap();
assert_eq!(vwma.update(candle(10.0, 0.0, 0)), None);
// Both bars have zero volume: fall back to mean(10, 20) = 15.
assert_relative_eq!(
vwma.update(candle(20.0, 0.0, 1)).unwrap(),
15.0,
epsilon = 1e-12
);
}
#[test]
fn constant_series_yields_the_constant() {
let mut vwma = Vwma::new(5).unwrap();
let candles: Vec<Candle> = (0..30).map(|i| candle(42.0, 3.0, i)).collect();
let out = vwma.batch(&candles);
for x in out.iter().skip(4).flatten() {
assert_relative_eq!(*x, 42.0, epsilon = 1e-12);
}
}
#[test]
fn high_volume_bar_pulls_the_average() {
// A heavy bar at a higher close drags VWMA above the simple mean.
let mut vwma = Vwma::new(3).unwrap();
vwma.update(candle(10.0, 1.0, 0));
vwma.update(candle(10.0, 1.0, 1));
let v = vwma.update(candle(20.0, 100.0, 2)).unwrap();
let simple_mean = (10.0 + 10.0 + 20.0) / 3.0;
assert!(
v > simple_mean,
"{v} should exceed simple mean {simple_mean}"
);
}
#[test]
fn first_emission_at_warmup_period() {
let mut vwma = Vwma::new(4).unwrap();
assert_eq!(vwma.warmup_period(), 4);
for i in 0..3 {
assert_eq!(vwma.update(candle(10.0, 1.0, i)), None);
}
assert!(vwma.update(candle(10.0, 1.0, 3)).is_some());
}
#[test]
fn reset_clears_state() {
let mut vwma = Vwma::new(3).unwrap();
let candles: Vec<Candle> = (0..10).map(|i| candle(10.0 + i as f64, 2.0, i)).collect();
vwma.batch(&candles);
assert!(vwma.is_ready());
vwma.reset();
assert!(!vwma.is_ready());
assert_eq!(vwma.update(candle(10.0, 1.0, 0)), None);
}
#[test]
fn batch_equals_streaming() {
let candles: Vec<Candle> = (0..50_i64)
.map(|i| {
let c = 100.0 + (i as f64 * 0.3).sin() * 8.0;
candle(c, 1.0 + (i % 7) as f64, i)
})
.collect();
let batch = Vwma::new(8).unwrap().batch(&candles);
let mut b = Vwma::new(8).unwrap();
let streamed: Vec<_> = candles.iter().map(|c| b.update(*c)).collect();
assert_eq!(batch, streamed);
}
}