feat(family-10): add 16 Ehlers / Cycle (DSP) indicators (#49)

Implements Family 10 (Ehlers / Cycle) end-to-end across Rust core, Python / Node / WASM bindings, fuzz, tests, benches and docs. This is an entirely new family covering John Ehlers' digital-signal- processing school of cycle analytics — a strong differentiator versus TA-Lib and pandas-ta, which ship only fragments. Indicators: - MAMA (Mesa Adaptive MA) — multi-output { mama, fama } - FAMA (Following Adaptive MA) — scalar wrapper around MAMA's slow line - Fisher Transform — Gaussian-normalising price transform - Inverse Fisher Transform — bounded oscillator (tanh-based) - SuperSmoother — 2-pole Butterworth lowpass - Roofing Filter — high-pass + SuperSmoother bandpass - Decycler — price minus 2-pole high-pass (lag-free trend) - Decycler Oscillator — fast / slow Decycler difference (MACD-like) - Hilbert Dominant Cycle — phase-derived period estimator [6, 50] - Sine Wave Indicator — sin(phase) with 45° lead companion - Adaptive Cycle Indicator — half-period driver for adaptive oscillators - Center of Gravity Oscillator — weighted-mass momentum - Cybernetic Cycle Component — EasyLanguage classic - Empirical Mode Decomposition — bandpass + envelope mean - Ehlers Stochastic — Stochastic on Roofing Filter input, [-1, +1] - Instantaneous Trendline — Ehlers 2-pole lag-free trend Indicator count rises 71 -> 87 across nine families (was eight). All sixteen pass batch == streaming equivalence, expose the standard Indicator surface (update / batch / reset / is_ready / warmup_period / name), are fuzz-tested, benchmarked against the checked-in BTCUSDT 1-minute dataset and reach across all four bindings. Wiki deep-dive drafts for every indicator + Sidebar / Overview / Home / Warmup updates are staged under indicator-ideas/families/ wiki/family-10-ehlers-cycle/ in the main repo (ghost-ignored) for the maintainer to publish to the wiki repo manually.
2026-05-25 22:14:27 +02:00
parent 4f9ed34884
commit 7a18a26daf
34 changed files with 4947 additions and 46 deletions
@@ -448,6 +448,20 @@ impl WasmParkinsonVolatility {
    }
 }

+// Family 10 — Ehlers / Cycle scalars
+wasm_scalar_indicator!(WasmSuperSmoother, "SuperSmoother", wc::SuperSmoother, period: usize);
+wasm_scalar_indicator!(WasmFisherTransform, "FisherTransform", wc::FisherTransform, period: usize);
+wasm_scalar_indicator!(WasmInverseFisherTransform, "InverseFisherTransform", wc::InverseFisherTransform, scale: f64);
+wasm_scalar_indicator!(WasmDecycler, "Decycler", wc::Decycler, period: usize);
+wasm_scalar_indicator!(WasmDecyclerOscillator, "DecyclerOscillator", wc::DecyclerOscillator, fast: usize, slow: usize);
+wasm_scalar_indicator!(WasmRoofingFilter, "RoofingFilter", wc::RoofingFilter, lp_period: usize, hp_period: usize);
+wasm_scalar_indicator!(WasmCenterOfGravity, "CenterOfGravity", wc::CenterOfGravity, period: usize);
+wasm_scalar_indicator!(WasmCyberneticCycle, "CyberneticCycle", wc::CyberneticCycle, period: usize);
+wasm_scalar_indicator!(WasmInstantaneousTrendline, "InstantaneousTrendline", wc::InstantaneousTrendline, period: usize);
+wasm_scalar_indicator!(WasmEhlersStochastic, "EhlersStochastic", wc::EhlersStochastic, period: usize);
+wasm_scalar_indicator!(WasmEmpiricalModeDecomposition, "EmpiricalModeDecomposition", wc::EmpiricalModeDecomposition, period: usize, fraction: f64);
+wasm_scalar_indicator!(WasmFama, "FAMA", wc::Fama, fast_limit: f64, slow_limit: f64);
+
 // ---------- KAMA (three params) ----------

 #[wasm_bindgen(js_name = KAMA)]
@@ -3486,6 +3500,159 @@ impl WasmAroon {
    }
 }

+// ============================== Family 10: parameterless / multi-output ==============================
+
+#[wasm_bindgen(js_name = HilbertDominantCycle)]
+pub struct WasmHilbertDominantCycle {
+    inner: wc::HilbertDominantCycle,
+}
+
+#[wasm_bindgen(js_class = HilbertDominantCycle)]
+impl WasmHilbertDominantCycle {
+    #[wasm_bindgen(constructor)]
+    #[allow(clippy::new_without_default)]
+    pub fn new() -> WasmHilbertDominantCycle {
+        Self {
+            inner: wc::HilbertDominantCycle::new(),
+        }
+    }
+    pub fn update(&mut self, value: f64) -> Option<f64> {
+        self.inner.update(value)
+    }
+    pub fn batch(&mut self, prices: &[f64]) -> Float64Array {
+        Float64Array::from(flatten(self.inner.batch(prices)).as_slice())
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = AdaptiveCycle)]
+pub struct WasmAdaptiveCycle {
+    inner: wc::AdaptiveCycle,
+}
+
+#[wasm_bindgen(js_class = AdaptiveCycle)]
+impl WasmAdaptiveCycle {
+    #[wasm_bindgen(constructor)]
+    #[allow(clippy::new_without_default)]
+    pub fn new() -> WasmAdaptiveCycle {
+        Self {
+            inner: wc::AdaptiveCycle::new(),
+        }
+    }
+    pub fn update(&mut self, value: f64) -> Option<f64> {
+        self.inner.update(value)
+    }
+    pub fn batch(&mut self, prices: &[f64]) -> Float64Array {
+        Float64Array::from(flatten(self.inner.batch(prices)).as_slice())
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = SineWave)]
+pub struct WasmSineWave {
+    inner: wc::SineWave,
+}
+
+#[wasm_bindgen(js_class = SineWave)]
+impl WasmSineWave {
+    #[wasm_bindgen(constructor)]
+    #[allow(clippy::new_without_default)]
+    pub fn new() -> WasmSineWave {
+        Self {
+            inner: wc::SineWave::new(),
+        }
+    }
+    pub fn update(&mut self, value: f64) -> Option<f64> {
+        self.inner.update(value)
+    }
+    pub fn batch(&mut self, prices: &[f64]) -> Float64Array {
+        Float64Array::from(flatten(self.inner.batch(prices)).as_slice())
+    }
+    pub fn lead(&self) -> f64 {
+        self.inner.lead()
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
+#[wasm_bindgen(js_name = MAMA)]
+pub struct WasmMama {
+    inner: wc::Mama,
+}
+
+#[wasm_bindgen(js_class = MAMA)]
+impl WasmMama {
+    #[wasm_bindgen(constructor)]
+    pub fn new(fast_limit: f64, slow_limit: f64) -> Result<WasmMama, JsError> {
+        Ok(Self {
+            inner: wc::Mama::new(fast_limit, slow_limit).map_err(map_err)?,
+        })
+    }
+    pub fn update(&mut self, value: f64) -> JsValue {
+        match self.inner.update(value) {
+            Some(o) => {
+                let obj = Object::new();
+                Reflect::set(&obj, &"mama".into(), &o.mama.into()).ok();
+                Reflect::set(&obj, &"fama".into(), &o.fama.into()).ok();
+                obj.into()
+            }
+            None => JsValue::NULL,
+        }
+    }
+    /// Returns a flat `Float64Array` of length `2 * n`: `[mama0, fama0, mama1, fama1, ...]`.
+    pub fn batch(&mut self, prices: &[f64]) -> Float64Array {
+        let n = prices.len();
+        let mut out = vec![f64::NAN; n * 2];
+        for (i, p) in prices.iter().enumerate() {
+            if let Some(o) = self.inner.update(*p) {
+                out[i * 2] = o.mama;
+                out[i * 2 + 1] = o.fama;
+            }
+        }
+        Float64Array::from(out.as_slice())
+    }
+    pub fn reset(&mut self) {
+        self.inner.reset();
+    }
+    #[wasm_bindgen(js_name = isReady)]
+    pub fn is_ready(&self) -> bool {
+        self.inner.is_ready()
+    }
+    #[wasm_bindgen(js_name = warmupPeriod)]
+    pub fn warmup_period(&self) -> usize {
+        self.inner.warmup_period()
+    }
+}
+
 // ============================== Family 05: Bands & Channels ==============================

 // Every indicator below is multi-output (2-5 bands), so they bypass the
@@ -5335,6 +5502,7 @@ impl WasmTdRiskLevel {
        self.inner.warmup_period()
    }
 }
+
 #[cfg(test)]
 mod tests {
    use super::*;