F9: add Accumulation/Distribution Line and Volume-Price Trend

Completes the F9 family (Cumulative volume) end to end:

- Rust core: adl.rs (Accumulation/Distribution Line — cumulative
  range-weighted volume) and vpt.rs (Volume-Price Trend — cumulative
  volume scaled by percentage price change). Each with a full Indicator
  impl, runnable doctest and reference / cumulative-property / warmup /
  reset / batch==streaming tests.
- Python: PyAdl / PyVolumePriceTrend PyO3 classes + module registration
  + .pyi stubs (no parameters, like OBV/VWAP).
- Node: explicit AdlNode and VolumePriceTrendNode; index.d.ts and
  index.js updated.
- WASM: WasmAdl and WasmVolumePriceTrend.
- Wiki: Indicator-Adl.md and Indicator-VolumePriceTrend.md plus rows in
  Indicators-Overview.md and entries in Home.md.

cargo fmt + clippy (core/wickra/data/wasm/node) clean; 373 core tests,
25 data tests and 53 doctests green.
This commit is contained in:
kingchenc
2026-05-22 18:38:21 +02:00
parent 99dd144576
commit 81962485af
13 changed files with 1088 additions and 8 deletions
+185
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@@ -0,0 +1,185 @@
//! Accumulation/Distribution Line.
use crate::ohlcv::Candle;
use crate::traits::Indicator;
/// Accumulation/Distribution Line — Marc Chaikin's cumulative volume-flow
/// indicator.
///
/// Each bar contributes a *money-flow volume*: the bar's volume weighted by
/// where the close fell within the bar's range.
///
/// ```text
/// MFM_t = ((close low) (high close)) / (high low) (the money-flow multiplier, 1..+1)
/// MFV_t = MFM_t · volume_t
/// ADL_t = ADL_{t1} + MFV_t
/// ```
///
/// A close near the high makes the multiplier near `+1` (accumulation), near
/// the low near `1` (distribution). The running total is unbounded and drifts
/// with cumulative volume — what matters is its slope and its divergence from
/// price. A bar with `high == low` contributes `0`.
///
/// # Example
///
/// ```
/// use wickra_core::{Candle, Indicator, Adl};
///
/// let mut indicator = Adl::new();
/// let mut last = None;
/// for i in 0..80 {
/// let base = 100.0 + f64::from(i);
/// let candle =
/// Candle::new(base, base + 2.0, base - 2.0, base + 1.0, 10.0, i64::from(i)).unwrap();
/// last = indicator.update(candle);
/// }
/// assert!(last.is_some());
/// ```
#[derive(Debug, Clone, Default)]
pub struct Adl {
total: f64,
has_emitted: bool,
}
impl Adl {
/// Construct a new Accumulation/Distribution Line starting at zero.
pub const fn new() -> Self {
Self {
total: 0.0,
has_emitted: false,
}
}
/// Current cumulative value if at least one candle has been ingested.
pub const fn value(&self) -> Option<f64> {
if self.has_emitted {
Some(self.total)
} else {
None
}
}
}
impl Indicator for Adl {
type Input = Candle;
type Output = f64;
fn update(&mut self, candle: Candle) -> Option<f64> {
let range = candle.high - candle.low;
let mfv = if range == 0.0 {
// A zero-range bar carries no positional information.
0.0
} else {
let mfm = ((candle.close - candle.low) - (candle.high - candle.close)) / range;
mfm * candle.volume
};
self.total += mfv;
self.has_emitted = true;
Some(self.total)
}
fn reset(&mut self) {
self.total = 0.0;
self.has_emitted = false;
}
fn warmup_period(&self) -> usize {
1
}
fn is_ready(&self) -> bool {
self.has_emitted
}
fn name(&self) -> &'static str {
"ADL"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::traits::BatchExt;
use approx::assert_relative_eq;
fn candle(open: f64, high: f64, low: f64, close: f64, volume: f64, ts: i64) -> Candle {
Candle::new(open, high, low, close, volume, ts).unwrap()
}
#[test]
fn reference_values() {
// bar 1: close at high -> MFM = +1 -> MFV = +100; ADL = 100.
// bar 2: h=12 l=8 c=9 -> MFM = ((9-8)-(12-9))/4 = -0.5 -> MFV = -100;
// ADL = 100 - 100 = 0.
let mut adl = Adl::new();
let out = adl.batch(&[
candle(8.0, 10.0, 8.0, 10.0, 100.0, 0),
candle(10.0, 12.0, 8.0, 9.0, 200.0, 1),
]);
assert_relative_eq!(out[0].unwrap(), 100.0, epsilon = 1e-12);
assert_relative_eq!(out[1].unwrap(), 0.0, epsilon = 1e-12);
}
#[test]
fn emits_from_first_candle() {
let mut adl = Adl::new();
assert_eq!(adl.warmup_period(), 1);
assert!(adl.update(candle(8.0, 10.0, 8.0, 9.0, 50.0, 0)).is_some());
}
#[test]
fn close_at_high_accumulates_full_volume() {
// Every bar closes at its high: MFM = +1, so ADL grows by `volume`.
let mut adl = Adl::new();
let mut expected = 0.0;
for i in 0..10 {
let c = candle(8.0, 10.0, 8.0, 10.0, 25.0, i);
expected += 25.0;
assert_relative_eq!(adl.update(c).unwrap(), expected, epsilon = 1e-9);
}
}
#[test]
fn zero_range_bar_contributes_nothing() {
let mut adl = Adl::new();
adl.update(candle(8.0, 10.0, 8.0, 10.0, 100.0, 0));
let before = adl.value().unwrap();
// A flat candle (high == low) adds zero.
let after = adl.update(candle(9.0, 9.0, 9.0, 9.0, 999.0, 1)).unwrap();
assert_relative_eq!(after, before, epsilon = 1e-12);
}
#[test]
fn reset_clears_state() {
let mut adl = Adl::new();
adl.batch(&[
candle(8.0, 10.0, 8.0, 9.0, 100.0, 0),
candle(9.0, 11.0, 9.0, 10.0, 100.0, 1),
]);
assert!(adl.is_ready());
adl.reset();
assert!(!adl.is_ready());
assert_eq!(adl.value(), None);
}
#[test]
fn batch_equals_streaming() {
let candles: Vec<Candle> = (0..60)
.map(|i| {
let mid = 100.0 + (i as f64 * 0.3).sin() * 8.0;
candle(
mid,
mid + 2.0,
mid - 2.0,
mid + 0.5,
10.0 + (i % 5) as f64,
i,
)
})
.collect();
let batch = Adl::new().batch(&candles);
let mut b = Adl::new();
let streamed: Vec<_> = candles.iter().map(|c| b.update(*c)).collect();
assert_eq!(batch, streamed);
}
}
+4
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@@ -4,6 +4,7 @@
//! volume) but every public name is also re-exported flat from this module and
//! from the crate root for convenience.
mod adl;
mod adx;
mod aroon;
mod aroon_oscillator;
@@ -47,12 +48,14 @@ mod tsi;
mod ulcer_index;
mod ultimate_oscillator;
mod vortex;
mod vpt;
mod vwap;
mod vwma;
mod williams_r;
mod wma;
mod zlema;
pub use adl::Adl;
pub use adx::{Adx, AdxOutput};
pub use aroon::{Aroon, AroonOutput};
pub use aroon_oscillator::AroonOscillator;
@@ -96,6 +99,7 @@ pub use tsi::Tsi;
pub use ulcer_index::UlcerIndex;
pub use ultimate_oscillator::UltimateOscillator;
pub use vortex::{Vortex, VortexOutput};
pub use vpt::VolumePriceTrend;
pub use vwap::{RollingVwap, Vwap};
pub use vwma::Vwma;
pub use williams_r::WilliamsR;
+179
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@@ -0,0 +1,179 @@
//! Volume-Price Trend.
use crate::ohlcv::Candle;
use crate::traits::Indicator;
/// Volume-Price Trend — a cumulative volume line weighted by percentage price
/// change.
///
/// VPT is a close relative of [`Obv`](crate::Obv), but instead of adding the
/// full bar volume on every up-close it adds volume scaled by the *size* of
/// the move:
///
/// ```text
/// VPT_t = VPT_{t1} + volume_t · (close_t close_{t1}) / close_{t1}
/// ```
///
/// A big move on heavy volume moves the line far; a small move on the same
/// volume barely nudges it. The running total is unbounded — its slope and its
/// divergence from price are what carry the signal. The first bar establishes
/// the baseline at `0`.
///
/// # Example
///
/// ```
/// use wickra_core::{Candle, Indicator, VolumePriceTrend};
///
/// let mut indicator = VolumePriceTrend::new();
/// let mut last = None;
/// for i in 0..80 {
/// let base = 100.0 + f64::from(i);
/// let candle =
/// Candle::new(base, base + 2.0, base - 2.0, base + 1.0, 10.0, i64::from(i)).unwrap();
/// last = indicator.update(candle);
/// }
/// assert!(last.is_some());
/// ```
#[derive(Debug, Clone, Default)]
pub struct VolumePriceTrend {
prev_close: Option<f64>,
total: f64,
has_emitted: bool,
}
impl VolumePriceTrend {
/// Construct a new Volume-Price Trend starting at zero.
pub const fn new() -> Self {
Self {
prev_close: None,
total: 0.0,
has_emitted: false,
}
}
/// Current cumulative value if at least one candle has been ingested.
pub const fn value(&self) -> Option<f64> {
if self.has_emitted {
Some(self.total)
} else {
None
}
}
}
impl Indicator for VolumePriceTrend {
type Input = Candle;
type Output = f64;
fn update(&mut self, candle: Candle) -> Option<f64> {
self.has_emitted = true;
let Some(prev) = self.prev_close else {
// The first candle establishes the baseline at 0.
self.prev_close = Some(candle.close);
return Some(self.total);
};
let roc = if prev == 0.0 {
// Undefined ratio against a zero previous close.
0.0
} else {
(candle.close - prev) / prev
};
self.total += candle.volume * roc;
self.prev_close = Some(candle.close);
Some(self.total)
}
fn reset(&mut self) {
self.prev_close = None;
self.total = 0.0;
self.has_emitted = false;
}
fn warmup_period(&self) -> usize {
1
}
fn is_ready(&self) -> bool {
self.has_emitted
}
fn name(&self) -> &'static str {
"VPT"
}
}
#[cfg(test)]
mod tests {
use super::*;
use crate::traits::BatchExt;
use approx::assert_relative_eq;
fn candle(close: f64, volume: f64, ts: i64) -> Candle {
Candle::new(close, close, close, close, volume, ts).unwrap()
}
#[test]
fn reference_values() {
// closes [10, 11, 9], volumes [100, 200, 300]:
// bar 1: baseline 0.
// bar 2: VPT += 200 · (11-10)/10 = 20 -> 20.
// bar 3: VPT += 300 · (9-11)/11 = -600/11 -> 20 - 600/11.
let mut vpt = VolumePriceTrend::new();
let out = vpt.batch(&[
candle(10.0, 100.0, 0),
candle(11.0, 200.0, 1),
candle(9.0, 300.0, 2),
]);
assert_relative_eq!(out[0].unwrap(), 0.0, epsilon = 1e-12);
assert_relative_eq!(out[1].unwrap(), 20.0, epsilon = 1e-12);
assert_relative_eq!(out[2].unwrap(), 20.0 - 600.0 / 11.0, epsilon = 1e-12);
}
#[test]
fn emits_from_first_candle_at_zero() {
let mut vpt = VolumePriceTrend::new();
assert_eq!(vpt.warmup_period(), 1);
assert_eq!(vpt.update(candle(100.0, 50.0, 0)), Some(0.0));
}
#[test]
fn constant_close_keeps_line_flat() {
// No price change -> no contribution regardless of volume.
let mut vpt = VolumePriceTrend::new();
let candles: Vec<Candle> = (0..20).map(|i| candle(100.0, 500.0, i)).collect();
for v in vpt.batch(&candles).into_iter().flatten() {
assert_relative_eq!(v, 0.0, epsilon = 1e-12);
}
}
#[test]
fn reset_clears_state() {
let mut vpt = VolumePriceTrend::new();
vpt.batch(&[
candle(10.0, 100.0, 0),
candle(11.0, 100.0, 1),
candle(12.0, 100.0, 2),
]);
assert!(vpt.is_ready());
vpt.reset();
assert!(!vpt.is_ready());
assert_eq!(vpt.value(), None);
}
#[test]
fn batch_equals_streaming() {
let candles: Vec<Candle> = (0..60)
.map(|i| {
candle(
100.0 + (i as f64 * 0.3).sin() * 8.0,
10.0 + (i % 5) as f64,
i,
)
})
.collect();
let batch = VolumePriceTrend::new().batch(&candles);
let mut b = VolumePriceTrend::new();
let streamed: Vec<_> = candles.iter().map(|c| b.update(*c)).collect();
assert_eq!(batch, streamed);
}
}
+7 -6
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@@ -44,12 +44,13 @@ pub mod indicators;
pub use error::{Error, Result};
pub use indicators::{
Adx, AdxOutput, Aroon, AroonOscillator, AroonOutput, Atr, AwesomeOscillator, BollingerBands,
BollingerBandwidth, BollingerOutput, Cci, Cmo, Coppock, Dema, Donchian, DonchianOutput, Dpo,
Ema, HistoricalVolatility, Hma, Kama, Keltner, KeltnerOutput, MacdIndicator, MacdOutput,
MassIndex, Mfi, Mom, Natr, Obv, PercentB, Pmo, Ppo, Psar, Roc, RollingVwap, Rsi, Sma, Smma,
StdDev, StochRsi, Stochastic, StochasticOutput, Tema, Trima, Trix, Tsi, UlcerIndex,
UltimateOscillator, Vortex, VortexOutput, Vwap, Vwma, WilliamsR, Wma, Zlema, T3,
Adl, Adx, AdxOutput, Aroon, AroonOscillator, AroonOutput, Atr, AwesomeOscillator,
BollingerBands, BollingerBandwidth, BollingerOutput, Cci, Cmo, Coppock, Dema, Donchian,
DonchianOutput, Dpo, Ema, HistoricalVolatility, Hma, Kama, Keltner, KeltnerOutput,
MacdIndicator, MacdOutput, MassIndex, Mfi, Mom, Natr, Obv, PercentB, Pmo, Ppo, Psar, Roc,
RollingVwap, Rsi, Sma, Smma, StdDev, StochRsi, Stochastic, StochasticOutput, Tema, Trima, Trix,
Tsi, UlcerIndex, UltimateOscillator, VolumePriceTrend, Vortex, VortexOutput, Vwap, Vwma,
WilliamsR, Wma, Zlema, T3,
};
pub use ohlcv::{Candle, Tick};
pub use traits::{BatchExt, Chain, Indicator};