feat(patterns): add the Chart Patterns family (8 swing-based detectors) (#166)
## Summary Adds a new **Chart Patterns** indicator family (counter 351 → 359, families 21 → 22), the first half of the A4 roadmap item (the harmonic patterns follow in a second PR). All eight detectors are built on a shared, non-repainting swing-pivot tracker — the internal, **uncounted** `indicators::pattern_swing` module (declared `pub(crate) mod`, re-exported nowhere). Each consumes candles and emits the uniform pattern sign convention already used by the candlestick family — `+1.0` bullish / `-1.0` bearish / `0.0` otherwise, never `None`. They are parameter-free, baking the swing threshold (5%) and level tolerance (3%) in as documented constants, mirroring how candlestick patterns bake in their geometric thresholds. ## Detectors | Indicator | Signal | |-----------|--------| | `DoubleTopBottom` | twin-peak / twin-trough reversal | | `TripleTopBottom` | three matching extremes (stronger reversal) | | `HeadAndShoulders` | central head + matching shoulders + flat neckline (and inverse) | | `Triangle` | ascending (+1) / descending (-1) / symmetrical | | `Wedge` | rising wedge (-1) / falling wedge (+1) | | `FlagPennant` | shallow consolidation against a pole → continuation | | `RectangleRange` | flat support/resistance mean-reversion | | `CupAndHandle` | rounded base + shallow handle (and inverse) | ## Touchpoints Core modules + `FAMILIES` group and assert, crate root re-exports, Python/Node/WASM bindings via the candle-pattern macros (Node `index.d.ts`/`index.js` regenerated), the candle fuzz target, Python reference + `CANDLE_SCALAR` registry tests and the Node candle-scalar factory, README catalogue counter + banner cache-buster + family table row + family-count word, `docs/README.md` counter, and the changelog. ## Verification - `cargo test -p wickra-core --lib` — 2915 passed - `cargo test -p wickra-core --doc` — 335 passed - `cargo clippy --workspace --all-targets --all-features -- -D warnings` — clean - Node `npm run build && npm test` — 436 passed - Python `maturin develop --release` + `pytest` — 732 passed Every detector branch is unit-tested; multi-condition predicates were flattened to single-line precomputed booleans to keep patch coverage at 100%.
This commit is contained in:
kingchenc
@@ -297,6 +297,14 @@ const candleScalar = {
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TasukiGap: { make: () => new wickra.TasukiGap(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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UniqueThreeRiver: { make: () => new wickra.UniqueThreeRiver(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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ConcealingBabySwallow: { make: () => new wickra.ConcealingBabySwallow(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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DoubleTopBottom: { make: () => new wickra.DoubleTopBottom(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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TripleTopBottom: { make: () => new wickra.TripleTopBottom(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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HeadAndShoulders: { make: () => new wickra.HeadAndShoulders(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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Triangle: { make: () => new wickra.Triangle(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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Wedge: { make: () => new wickra.Wedge(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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FlagPennant: { make: () => new wickra.FlagPennant(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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RectangleRange: { make: () => new wickra.RectangleRange(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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CupAndHandle: { make: () => new wickra.CupAndHandle(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
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};
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for (const [name, d] of Object.entries(candleScalar)) {
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Vendored
+72
@@ -3032,6 +3032,78 @@ export declare class ConcealingBabySwallow {
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isReady(): boolean
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warmupPeriod(): number
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}
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export type DoubleTopBottomNode = DoubleTopBottom
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export declare class DoubleTopBottom {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type TripleTopBottomNode = TripleTopBottom
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export declare class TripleTopBottom {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type HeadAndShouldersNode = HeadAndShoulders
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export declare class HeadAndShoulders {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type TriangleNode = Triangle
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export declare class Triangle {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type WedgeNode = Wedge
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export declare class Wedge {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type FlagPennantNode = FlagPennant
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export declare class FlagPennant {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type RectangleRangeNode = RectangleRange
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export declare class RectangleRange {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type CupAndHandleNode = CupAndHandle
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export declare class CupAndHandle {
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constructor()
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update(open: number, high: number, low: number, close: number): number | null
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batch(open: Array<number>, high: Array<number>, low: Array<number>, close: Array<number>): Array<number>
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reset(): void
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isReady(): boolean
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warmupPeriod(): number
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}
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export type OrderBookImbalanceTop1Node = OrderBookImbalanceTop1
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export declare class OrderBookImbalanceTop1 {
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constructor()
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@@ -310,7 +310,7 @@ if (!nativeBinding) {
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throw new Error(`Failed to load native binding`)
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}
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const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, McGinleyDynamic, FRAMA, SuperSmoother, FisherTransform, Decycler, CenterOfGravity, CyberneticCycle, InstantaneousTrendline, EhlersStochastic, RVIVolatility, Variance, CoefficientOfVariation, Skewness, Kurtosis, StandardError, DetrendedStdDev, RSquared, MedianAbsoluteDeviation, MIDPOINT, ROCP, ROCR, ROCR100, LINEARREG_INTERCEPT, TSF, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, PairwiseBeta, SpearmanCorrelation, RollingCorrelation, RollingCovariance, OuHalfLife, SpreadHurst, DistanceSsd, BetaNeutralSpread, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration, RelativeStrengthAB, VarianceRatio, GrangerCausality, KalmanHedgeRatio, SpreadBollingerBands, MACD, MACDFIX, MACDEXT, BollingerBands, ATR, PLUS_DM, MINUS_DM, PLUS_DI, MINUS_DI, DX, MIDPRICE, AVGPRICE, SAREXT, HT_PHASOR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, Inertia, ConnorsRSI, LaguerreRSI, SMI, KST, PGO, RVI, AwesomeOscillatorHistogram, STC, ElderImpulse, ZeroLagMACD, CFO, APO, KAMA, EVWMA, Alligator, JMA, VIDYA, ALMA, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, NVI, PVI, VolumeOscillator, KVO, WilliamsAD, AnchoredRSI, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, YangZhangVolatility, RogersSatchellVolatility, GarmanKlassVolatility, ParkinsonVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, WaveTrend, RWI, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands, ClassicPivots, FibonacciPivots, Camarilla, WoodiePivots, DemarkPivots, WilliamsFractals, ZigZag, TDSetup, TDSequential, TDDeMarker, TDREI, TDPressure, TDCombo, TDCountdown, TDLines, TDRangeProjection, TDDifferential, TDOpen, TDRiskLevel, InverseFisherTransform, DecyclerOscillator, RoofingFilter, EmpiricalModeDecomposition, HT_DCPHASE, HT_TRENDMODE, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, ValueArea, VolumeProfile, TpoProfile, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, TwoCrows, UpsideGapTwoCrows, IdenticalThreeCrows, ThreeLineStrike, ThreeStarsInSouth, AbandonedBaby, AdvanceBlock, BeltHold, Breakaway, Counterattack, DojiStar, DragonflyDoji, GravestoneDoji, LongLeggedDoji, RickshawMan, EveningDojiStar, MorningDojiStar, GapSideBySideWhite, HighWave, Hikkake, HikkakeModified, HomingPigeon, OnNeck, InNeck, Thrusting, SeparatingLines, Kicking, KickingByLength, LadderBottom, MatHold, MatchingLow, LongLine, ShortLine, RisingThreeMethods, FallingThreeMethods, UpsideGapThreeMethods, DownsideGapThreeMethods, StalledPattern, StickSandwich, Takuri, ClosingMarubozu, OpeningMarubozu, TasukiGap, UniqueThreeRiver, ConcealingBabySwallow, OrderBookImbalanceTop1, OrderBookImbalanceFull, Microprice, QuotedSpread, DepthSlope, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, EffectiveSpread, RealizedSpread, KylesLambda, Footprint, FundingRate, FundingRateMean, FundingRateZScore, FundingBasis, OpenInterestDelta, OIPriceDivergence, OIWeighted, LongShortRatio, TakerBuySellRatio, LiquidationFeatures, TermStructureBasis, CalendarSpread, AdvanceDecline, AdvanceDeclineRatio, AdVolumeLine, McClellanOscillator, McClellanSummationIndex, Trin, BreadthThrust, NewHighsNewLows, HighLowIndex, PercentAboveMa, UpDownVolumeRatio, BullishPercentIndex, CumulativeVolumeIndex, AbsoluteBreadthIndex, TickIndex, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, RenkoBars, KagiBars, PointAndFigureBars, Alpha, SessionVwap, OvernightGap, SeasonalZScore, TimeOfDayReturnProfile, IntradayVolatilityProfile, VolumeByTimeProfile, DayOfWeekProfile, AverageDailyRange, TurnOfMonth, SessionHighLow, SessionRange, OvernightIntradayReturn } = nativeBinding
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const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, McGinleyDynamic, FRAMA, SuperSmoother, FisherTransform, Decycler, CenterOfGravity, CyberneticCycle, InstantaneousTrendline, EhlersStochastic, RVIVolatility, Variance, CoefficientOfVariation, Skewness, Kurtosis, StandardError, DetrendedStdDev, RSquared, MedianAbsoluteDeviation, MIDPOINT, ROCP, ROCR, ROCR100, LINEARREG_INTERCEPT, TSF, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, PairwiseBeta, SpearmanCorrelation, RollingCorrelation, RollingCovariance, OuHalfLife, SpreadHurst, DistanceSsd, BetaNeutralSpread, PairSpreadZScore, LeadLagCrossCorrelation, Cointegration, RelativeStrengthAB, VarianceRatio, GrangerCausality, KalmanHedgeRatio, SpreadBollingerBands, MACD, MACDFIX, MACDEXT, BollingerBands, ATR, PLUS_DM, MINUS_DM, PLUS_DI, MINUS_DI, DX, MIDPRICE, AVGPRICE, SAREXT, HT_PHASOR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, Inertia, ConnorsRSI, LaguerreRSI, SMI, KST, PGO, RVI, AwesomeOscillatorHistogram, STC, ElderImpulse, ZeroLagMACD, CFO, APO, KAMA, EVWMA, Alligator, JMA, VIDYA, ALMA, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, NVI, PVI, VolumeOscillator, KVO, WilliamsAD, AnchoredRSI, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, YangZhangVolatility, RogersSatchellVolatility, GarmanKlassVolatility, ParkinsonVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, WaveTrend, RWI, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands, ClassicPivots, FibonacciPivots, Camarilla, WoodiePivots, DemarkPivots, WilliamsFractals, ZigZag, TDSetup, TDSequential, TDDeMarker, TDREI, TDPressure, TDCombo, TDCountdown, TDLines, TDRangeProjection, TDDifferential, TDOpen, TDRiskLevel, InverseFisherTransform, DecyclerOscillator, RoofingFilter, EmpiricalModeDecomposition, HT_DCPHASE, HT_TRENDMODE, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, ValueArea, VolumeProfile, TpoProfile, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, TwoCrows, UpsideGapTwoCrows, IdenticalThreeCrows, ThreeLineStrike, ThreeStarsInSouth, AbandonedBaby, AdvanceBlock, BeltHold, Breakaway, Counterattack, DojiStar, DragonflyDoji, GravestoneDoji, LongLeggedDoji, RickshawMan, EveningDojiStar, MorningDojiStar, GapSideBySideWhite, HighWave, Hikkake, HikkakeModified, HomingPigeon, OnNeck, InNeck, Thrusting, SeparatingLines, Kicking, KickingByLength, LadderBottom, MatHold, MatchingLow, LongLine, ShortLine, RisingThreeMethods, FallingThreeMethods, UpsideGapThreeMethods, DownsideGapThreeMethods, StalledPattern, StickSandwich, Takuri, ClosingMarubozu, OpeningMarubozu, TasukiGap, UniqueThreeRiver, ConcealingBabySwallow, DoubleTopBottom, TripleTopBottom, HeadAndShoulders, Triangle, Wedge, FlagPennant, RectangleRange, CupAndHandle, OrderBookImbalanceTop1, OrderBookImbalanceFull, Microprice, QuotedSpread, DepthSlope, OrderBookImbalanceTopN, SignedVolume, CumulativeVolumeDelta, TradeImbalance, EffectiveSpread, RealizedSpread, KylesLambda, Footprint, FundingRate, FundingRateMean, FundingRateZScore, FundingBasis, OpenInterestDelta, OIPriceDivergence, OIWeighted, LongShortRatio, TakerBuySellRatio, LiquidationFeatures, TermStructureBasis, CalendarSpread, AdvanceDecline, AdvanceDeclineRatio, AdVolumeLine, McClellanOscillator, McClellanSummationIndex, Trin, BreadthThrust, NewHighsNewLows, HighLowIndex, PercentAboveMa, UpDownVolumeRatio, BullishPercentIndex, CumulativeVolumeIndex, AbsoluteBreadthIndex, TickIndex, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, RenkoBars, KagiBars, PointAndFigureBars, Alpha, SessionVwap, OvernightGap, SeasonalZScore, TimeOfDayReturnProfile, IntradayVolatilityProfile, VolumeByTimeProfile, DayOfWeekProfile, AverageDailyRange, TurnOfMonth, SessionHighLow, SessionRange, OvernightIntradayReturn } = nativeBinding
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module.exports.version = version
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module.exports.SMA = SMA
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@@ -592,6 +592,14 @@ module.exports.OpeningMarubozu = OpeningMarubozu
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module.exports.TasukiGap = TasukiGap
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module.exports.UniqueThreeRiver = UniqueThreeRiver
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module.exports.ConcealingBabySwallow = ConcealingBabySwallow
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module.exports.DoubleTopBottom = DoubleTopBottom
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module.exports.TripleTopBottom = TripleTopBottom
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module.exports.HeadAndShoulders = HeadAndShoulders
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module.exports.Triangle = Triangle
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module.exports.Wedge = Wedge
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module.exports.FlagPennant = FlagPennant
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module.exports.RectangleRange = RectangleRange
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module.exports.CupAndHandle = CupAndHandle
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module.exports.OrderBookImbalanceTop1 = OrderBookImbalanceTop1
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module.exports.OrderBookImbalanceFull = OrderBookImbalanceFull
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module.exports.Microprice = Microprice
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@@ -10014,6 +10014,18 @@ node_candle_pattern!(
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wc::ConcealingBabySwallow,
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"ConcealingBabySwallow"
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);
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node_candle_pattern!(DoubleTopBottomNode, wc::DoubleTopBottom, "DoubleTopBottom");
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node_candle_pattern!(TripleTopBottomNode, wc::TripleTopBottom, "TripleTopBottom");
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node_candle_pattern!(
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HeadAndShouldersNode,
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wc::HeadAndShoulders,
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"HeadAndShoulders"
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);
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node_candle_pattern!(TriangleNode, wc::Triangle, "Triangle");
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node_candle_pattern!(WedgeNode, wc::Wedge, "Wedge");
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node_candle_pattern!(FlagPennantNode, wc::FlagPennant, "FlagPennant");
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node_candle_pattern!(RectangleRangeNode, wc::RectangleRange, "RectangleRange");
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node_candle_pattern!(CupAndHandleNode, wc::CupAndHandle, "CupAndHandle");
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// ============================== Microstructure: Order Book ==============================
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//
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@@ -321,6 +321,15 @@ from ._wickra import (
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TasukiGap,
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UniqueThreeRiver,
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ConcealingBabySwallow,
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# Chart patterns
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CupAndHandle,
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RectangleRange,
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FlagPennant,
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Wedge,
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Triangle,
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HeadAndShoulders,
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TripleTopBottom,
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DoubleTopBottom,
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# Microstructure: order book
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OrderBookImbalanceTop1,
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OrderBookImbalanceTopN,
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@@ -698,6 +707,15 @@ __all__ = [
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"TasukiGap",
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"UniqueThreeRiver",
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"ConcealingBabySwallow",
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# Chart patterns
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"CupAndHandle",
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"RectangleRange",
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"FlagPennant",
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"Wedge",
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"Triangle",
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"HeadAndShoulders",
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"TripleTopBottom",
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"DoubleTopBottom",
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# Microstructure: order book
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"OrderBookImbalanceTop1",
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"OrderBookImbalanceTopN",
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@@ -13675,6 +13675,14 @@ candle_pattern_no_param!(
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wc::ConcealingBabySwallow,
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"ConcealingBabySwallow"
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);
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candle_pattern_no_param!(PyDoubleTopBottom, wc::DoubleTopBottom, "DoubleTopBottom");
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candle_pattern_no_param!(PyTripleTopBottom, wc::TripleTopBottom, "TripleTopBottom");
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candle_pattern_no_param!(PyHeadAndShoulders, wc::HeadAndShoulders, "HeadAndShoulders");
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candle_pattern_no_param!(PyTriangle, wc::Triangle, "Triangle");
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candle_pattern_no_param!(PyWedge, wc::Wedge, "Wedge");
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candle_pattern_no_param!(PyFlagPennant, wc::FlagPennant, "FlagPennant");
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candle_pattern_no_param!(PyRectangleRange, wc::RectangleRange, "RectangleRange");
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candle_pattern_no_param!(PyCupAndHandle, wc::CupAndHandle, "CupAndHandle");
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// ============================== Microstructure: Order Book ==============================
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//
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// Order-book indicators consume a depth snapshot rather than OHLCV. Streaming
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@@ -18196,5 +18204,13 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
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m.add_class::<PyDayOfWeekProfile>()?;
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m.add_class::<PyIntradayVolatilityProfile>()?;
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m.add_class::<PyVolumeByTimeProfile>()?;
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m.add_class::<PyDoubleTopBottom>()?;
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m.add_class::<PyTripleTopBottom>()?;
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m.add_class::<PyHeadAndShoulders>()?;
|
||||
m.add_class::<PyTriangle>()?;
|
||||
m.add_class::<PyWedge>()?;
|
||||
m.add_class::<PyFlagPennant>()?;
|
||||
m.add_class::<PyRectangleRange>()?;
|
||||
m.add_class::<PyCupAndHandle>()?;
|
||||
Ok(())
|
||||
}
|
||||
|
||||
@@ -330,6 +330,38 @@ def test_relative_strength_streaming_matches_batch():
|
||||
# 6-tuple candle; the batch helper takes only the columns it needs.
|
||||
|
||||
CANDLE_SCALAR = {
|
||||
"CupAndHandle": (
|
||||
lambda: ta.CupAndHandle(),
|
||||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||||
),
|
||||
"RectangleRange": (
|
||||
lambda: ta.RectangleRange(),
|
||||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||||
),
|
||||
"FlagPennant": (
|
||||
lambda: ta.FlagPennant(),
|
||||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||||
),
|
||||
"Wedge": (
|
||||
lambda: ta.Wedge(),
|
||||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||||
),
|
||||
"Triangle": (
|
||||
lambda: ta.Triangle(),
|
||||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||||
),
|
||||
"HeadAndShoulders": (
|
||||
lambda: ta.HeadAndShoulders(),
|
||||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||||
),
|
||||
"TripleTopBottom": (
|
||||
lambda: ta.TripleTopBottom(),
|
||||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||||
),
|
||||
"DoubleTopBottom": (
|
||||
lambda: ta.DoubleTopBottom(),
|
||||
lambda ind, h, l, c, v: ind.batch(c, h, l, c),
|
||||
),
|
||||
"MIDPRICE": (lambda: ta.MIDPRICE(14), lambda ind, h, l, c, v: ind.batch(h, l, c)),
|
||||
"AVGPRICE": (lambda: ta.AVGPRICE(), lambda ind, h, l, c, v: ind.batch(c, h, l, c)),
|
||||
"DX": (lambda: ta.DX(14), lambda ind, h, l, c, v: ind.batch(h, l, c)),
|
||||
@@ -2354,6 +2386,81 @@ def test_granger_causality_reference():
|
||||
assert t.update(1.0, 1.0) is None
|
||||
assert t.update(2.0, 1.5) is None
|
||||
|
||||
|
||||
def test_double_top_bottom_reference():
|
||||
t = ta.DoubleTopBottom()
|
||||
assert t.update((119.88, 120.0, 119.88, 119.88, 1.0, 0)) == pytest.approx(0.0)
|
||||
assert t.update((100.0, 118.8, 100.0, 100.0, 1.0, 1)) == pytest.approx(0.0)
|
||||
assert t.update((101.0, 120.0, 101.0, 101.0, 1.0, 2)) == pytest.approx(0.0)
|
||||
assert t.update((108.0, 118.8, 108.0, 108.0, 1.0, 3)) == pytest.approx(-1.0)
|
||||
|
||||
|
||||
def test_triple_top_bottom_reference():
|
||||
t = ta.TripleTopBottom()
|
||||
assert t.update((119.88, 120.0, 119.88, 119.88, 1.0, 0)) == pytest.approx(0.0)
|
||||
assert t.update((100.0, 118.8, 100.0, 100.0, 1.0, 1)) == pytest.approx(0.0)
|
||||
assert t.update((101.0, 121.0, 101.0, 101.0, 1.0, 2)) == pytest.approx(0.0)
|
||||
assert t.update((99.0, 119.79, 99.0, 99.0, 1.0, 3)) == pytest.approx(0.0)
|
||||
assert t.update((99.99, 119.0, 99.99, 99.99, 1.0, 4)) == pytest.approx(0.0)
|
||||
assert t.update((107.1, 117.81, 107.1, 107.1, 1.0, 5)) == pytest.approx(-1.0)
|
||||
|
||||
|
||||
def test_head_and_shoulders_reference():
|
||||
t = ta.HeadAndShoulders()
|
||||
assert t.update((99.9, 100.0, 99.9, 99.9, 1.0, 0)) == pytest.approx(0.0)
|
||||
assert t.update((90.0, 99.0, 90.0, 90.0, 1.0, 1)) == pytest.approx(0.0)
|
||||
assert t.update((90.9, 120.0, 90.9, 90.9, 1.0, 2)) == pytest.approx(0.0)
|
||||
assert t.update((92.0, 118.8, 92.0, 92.0, 1.0, 3)) == pytest.approx(0.0)
|
||||
assert t.update((92.92, 101.0, 92.92, 92.92, 1.0, 4)) == pytest.approx(0.0)
|
||||
assert t.update((90.9, 99.99, 90.9, 90.9, 1.0, 5)) == pytest.approx(-1.0)
|
||||
|
||||
|
||||
def test_triangle_reference():
|
||||
t = ta.Triangle()
|
||||
assert t.update((129.87, 130.0, 129.87, 129.87, 1.0, 0)) == pytest.approx(0.0)
|
||||
assert t.update((100.0, 128.7, 100.0, 100.0, 1.0, 1)) == pytest.approx(0.0)
|
||||
assert t.update((101.0, 120.0, 101.0, 101.0, 1.0, 2)) == pytest.approx(0.0)
|
||||
assert t.update((110.0, 118.8, 110.0, 110.0, 1.0, 3)) == pytest.approx(0.0)
|
||||
assert t.update((111.1, 120.0, 111.1, 111.1, 1.0, 4)) == pytest.approx(1.0)
|
||||
assert t.update((108.0, 118.8, 108.0, 108.0, 1.0, 5)) == pytest.approx(1.0)
|
||||
|
||||
|
||||
def test_wedge_reference():
|
||||
t = ta.Wedge()
|
||||
assert t.update((109.89, 110.0, 109.89, 109.89, 1.0, 0)) == pytest.approx(0.0)
|
||||
assert t.update((90.0, 108.9, 90.0, 90.0, 1.0, 1)) == pytest.approx(0.0)
|
||||
assert t.update((90.9, 100.0, 90.9, 90.9, 1.0, 2)) == pytest.approx(0.0)
|
||||
assert t.update((94.0, 99.0, 94.0, 94.0, 1.0, 3)) == pytest.approx(0.0)
|
||||
assert t.update((94.94, 103.0, 94.94, 94.94, 1.0, 4)) == pytest.approx(0.0)
|
||||
assert t.update((92.7, 101.97, 92.7, 92.7, 1.0, 5)) == pytest.approx(-1.0)
|
||||
|
||||
|
||||
def test_flag_pennant_reference():
|
||||
t = ta.FlagPennant()
|
||||
assert t.update((149.85, 150.0, 149.85, 149.85, 1.0, 0)) == pytest.approx(0.0)
|
||||
assert t.update((100.0, 148.5, 100.0, 100.0, 1.0, 1)) == pytest.approx(0.0)
|
||||
assert t.update((101.0, 140.0, 101.0, 101.0, 1.0, 2)) == pytest.approx(0.0)
|
||||
assert t.update((130.0, 138.6, 130.0, 130.0, 1.0, 3)) == pytest.approx(0.0)
|
||||
assert t.update((131.3, 143.0, 131.3, 131.3, 1.0, 4)) == pytest.approx(1.0)
|
||||
|
||||
|
||||
def test_rectangle_range_reference():
|
||||
t = ta.RectangleRange()
|
||||
assert t.update((119.88, 120.0, 119.88, 119.88, 1.0, 0)) == pytest.approx(0.0)
|
||||
assert t.update((100.0, 118.8, 100.0, 100.0, 1.0, 1)) == pytest.approx(0.0)
|
||||
assert t.update((101.0, 121.0, 101.0, 101.0, 1.0, 2)) == pytest.approx(0.0)
|
||||
assert t.update((99.0, 119.79, 99.0, 99.0, 1.0, 3)) == pytest.approx(0.0)
|
||||
assert t.update((99.99, 108.9, 99.99, 99.99, 1.0, 4)) == pytest.approx(1.0)
|
||||
|
||||
|
||||
def test_cup_and_handle_reference():
|
||||
t = ta.CupAndHandle()
|
||||
assert t.update((119.88, 120.0, 119.88, 119.88, 1.0, 0)) == pytest.approx(0.0)
|
||||
assert t.update((90.0, 118.8, 90.0, 90.0, 1.0, 1)) == pytest.approx(0.0)
|
||||
assert t.update((90.9, 121.0, 90.9, 90.9, 1.0, 2)) == pytest.approx(0.0)
|
||||
assert t.update((110.0, 119.79, 110.0, 110.0, 1.0, 3)) == pytest.approx(0.0)
|
||||
assert t.update((111.1, 121.0, 111.1, 111.1, 1.0, 4)) == pytest.approx(1.0)
|
||||
|
||||
# --- Lifecycle ------------------------------------------------------------
|
||||
|
||||
|
||||
|
||||
@@ -7354,6 +7354,14 @@ wasm_candle_pattern!(
|
||||
wc::ConcealingBabySwallow,
|
||||
ConcealingBabySwallow
|
||||
);
|
||||
wasm_candle_pattern!(WasmDoubleTopBottom, wc::DoubleTopBottom, DoubleTopBottom);
|
||||
wasm_candle_pattern!(WasmTripleTopBottom, wc::TripleTopBottom, TripleTopBottom);
|
||||
wasm_candle_pattern!(WasmHeadAndShoulders, wc::HeadAndShoulders, HeadAndShoulders);
|
||||
wasm_candle_pattern!(WasmTriangle, wc::Triangle, Triangle);
|
||||
wasm_candle_pattern!(WasmWedge, wc::Wedge, Wedge);
|
||||
wasm_candle_pattern!(WasmFlagPennant, wc::FlagPennant, FlagPennant);
|
||||
wasm_candle_pattern!(WasmRectangleRange, wc::RectangleRange, RectangleRange);
|
||||
wasm_candle_pattern!(WasmCupAndHandle, wc::CupAndHandle, CupAndHandle);
|
||||
|
||||
// ============================== Microstructure: Order Book ==============================
|
||||
//
|
||||
|
||||
Reference in New Issue
Block a user