feat(family-08): Pivots & Support/Resistance (7 indicators) (#47)

* feat(family-08): add Classic, Fibonacci, Camarilla, Woodie and DeMark pivots + Williams Fractals + ZigZag

Seven new indicators land the previously empty Pivots & S/R family
(family 08), each implemented in wickra-core with the full Indicator
trait surface (update / reset / warmup_period / is_ready / name),
exposed across Python (PyO3), Node (napi-rs) and WASM (wasm-bindgen)
with the standard streaming + batch APIs, and covered by Rust unit
tests, Python streaming-vs-batch + reference-value tests, Node
streaming-vs-batch tests, the candle-input fuzz target and Rust
microbenchmarks.

- ClassicPivots (7 levels): PP = (H+L+C)/3, three R/S tiers per the
  floor-trader formulas.
- FibonacciPivots (7 levels): PP plus R/S spaced by 0.382 / 0.618 /
  1.000 of the prior range.
- Camarilla (9 levels): Nick Stott's four-tier `C +/- (H - L) * 1.1 /
  {12, 6, 4, 2}` levels.
- WoodiePivots (5 levels): close-weighted PP = (H + L + 2*C) / 4 plus
  two R/S tiers.
- DemarkPivots (3 levels): conditional X sum based on the previous
  bar's open-vs-close relationship.
- WilliamsFractals: five-bar swing detector emitting optional up/down
  fractal prices at the centre of each window.
- ZigZag: percent-threshold swing tracker, non-repainting; emits the
  just-completed extreme and direction on confirmed reversals only.

README family table updated to nine families / 78 indicators;
CHANGELOG records the family-08 addition under [Unreleased].

* fix(family-08 tests): unify MULTI dict to 3-tuple (factory, batch_call, k)

The HEAD-side family-08 test parametrised MULTI[name] as
`(factory, batch_call, output_arity)` so that pivots with arity 3/5/7/9
fit the same harness. Main's entries arrived as 2-tuples; convert them
all to the 3-tuple shape so `make, batch_call, k = MULTI[name]` unpacks
cleanly. Lifecycle test now indexes the tuple instead of destructuring.

* test(zig_zag): tighten flat-oscillation test (drop dead counter branch)

The previous version of `small_oscillations_yield_no_swings` counted
emitted swings, but the assertion proves the counter never increments
so codecov flagged `emitted += 1` as uncovered. Switch to a per-bar
`assert!(...is_none())` — same coverage of the no-swing path, no dead
branch.
This commit is contained in:
kingchenc
2026-05-25 20:06:46 +02:00
committed by GitHub
parent f10b8c2e2d
commit 7e1e988596
19 changed files with 3379 additions and 45 deletions
+18 -8
View File
@@ -25,15 +25,16 @@ use libfuzzer_sys::fuzz_target;
use wickra_core::{
AccelerationBands, AcceleratorOscillator, AdOscillator, Adl, Adx, Adxr, Alligator,
AnchoredVwap, Aroon, AroonOscillator, Atr, AtrBands, AtrTrailingStop, AwesomeOscillator,
AwesomeOscillatorHistogram, BalanceOfPower, BatchExt, Candle, Cci, ChaikinMoneyFlow,
AwesomeOscillatorHistogram, BalanceOfPower, BatchExt, Camarilla, Candle, Cci, ChaikinMoneyFlow,
ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit, ChoppinessIndex,
DemandIndex, Donchian, DonchianStop, EaseOfMovement, Evwma, ForceIndex, FractalChaosBands,
GarmanKlassVolatility, HiLoActivator, HurstChannel, Indicator, Inertia, Keltner, Kvo,
MarketFacilitationIndex, MassIndex, MedianPrice, Mfi, Natr, Nvi, Obv, ParkinsonVolatility, Pgo,
Psar, Pvi, RogersSatchellVolatility, RollingVwap, Rvi, Rwi, Smi, StarcBands, Stochastic,
SuperTrend, TrueRange, Tsv, TtmSqueeze, TypicalPrice, UltimateOscillator, VoltyStop,
VolumeOscillator, VolumePriceTrend, Vortex, Vwap, VwapStdDevBands, Vwma, Vzo, WaveTrend,
WeightedClose, WilliamsR, YangZhangVolatility, YoyoExit,
ClassicPivots, DemandIndex, DemarkPivots, Donchian, DonchianStop, EaseOfMovement, Evwma,
FibonacciPivots, ForceIndex, FractalChaosBands, GarmanKlassVolatility, HiLoActivator,
HurstChannel, Indicator, Inertia, Keltner, Kvo, MarketFacilitationIndex, MassIndex, MedianPrice,
Mfi, Natr, Nvi, Obv, ParkinsonVolatility, Pgo, Psar, Pvi, RogersSatchellVolatility, RollingVwap,
Rvi, Rwi, Smi, StarcBands, Stochastic, SuperTrend, TrueRange, Tsv, TtmSqueeze, TypicalPrice,
UltimateOscillator, VoltyStop, VolumeOscillator, VolumePriceTrend, Vortex, Vwap, VwapStdDevBands,
Vwma, Vzo, WaveTrend, WeightedClose, WilliamsFractals, WilliamsR, WoodiePivots,
YangZhangVolatility, YoyoExit, ZigZag,
};
/// Convert a flat `f64` stream into a `Vec<Candle>` by chunking it into
@@ -163,6 +164,15 @@ fuzz_target!(|data: Vec<f64>| {
let _ = Stochastic::new(14, 3).unwrap().batch(&candles);
}
// --- Pivots & Support/Resistance (multi-output) ---
drive(ClassicPivots::new, &candles);
drive(FibonacciPivots::new, &candles);
drive(Camarilla::new, &candles);
drive(WoodiePivots::new, &candles);
drive(DemarkPivots::new, &candles);
drive(WilliamsFractals::new, &candles);
drive(|| ZigZag::new(0.05).unwrap(), &candles);
// --- Donchian Stop (multi-output) ---
{
let mut s = DonchianStop::new(10).unwrap();