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feat: TA-Lib parity — 19 standalone indicators (DM components, price transforms, ROC/LinReg/MACD/SAR variants, Hilbert outputs) (#148)

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Closes the remaining TA-Lib function-name gap by shipping each missing or
bundled-only function as a real, standalone, fully-covered indicator. 19 new
indicators across 5 families; mod-count 295 -> 314.

### Trend & Directional — Directional Movement components
- `PlusDm` (`PLUS_DM`), `MinusDm` (`MINUS_DM`) — Wilder-smoothed ±DM.
- `PlusDi` (`PLUS_DI`), `MinusDi` (`MINUS_DI`) — `100·smoothed(±DM)/ATR`.
- `Dx` (`DX`) — `100·|+DI−−DI|/(+DI+−DI)`.

### Price Statistics
- `AvgPrice` (`AVGPRICE`) — `(O+H+L+C)/4`.
- `MidPoint` (`MIDPOINT`) — `(max+min)/2` of a scalar series over N.
- `MidPrice` (`MIDPRICE`) — `(highestHigh+lowestLow)/2` over N.
- `LinRegIntercept` (`LINEARREG_INTERCEPT`) — OLS intercept.
- `Tsf` (`TSF`) — time series forecast `a + b·period`.

### Momentum Oscillators
- `Rocp` (`ROCP`), `Rocr` (`ROCR`), `Rocr100` (`ROCR100`) — ROC ratio forms.

### Trailing Stops
- `SarExt` (`SAREXT`) — Parabolic SAR with start value, reversal offset,
  separate long/short acceleration, signed output.

### Trend & Directional — MACD variants
- `MacdFix` (`MACDFIX`) — MACD fixed 12/26.
- `MacdExt` (`MACDEXT`) — MACD with a selectable moving-average type per line
  (new public `MaType` enum: SMA/EMA/WMA/DEMA/TEMA/TRIMA).

### Ehlers / Cycle (DSP) — Hilbert transform outputs
- `HtPhasor` (`HT_PHASOR`) — in-phase / quadrature components.
- `HtDcPhase` (`HT_DCPHASE`) — dominant-cycle phase (degrees).
- `HtTrendMode` (`HT_TRENDMODE`) — trend (1) vs cycle (0) classification.

Each indicator ships the full chain: core + every-branch unit tests, Python /
Node / WASM bindings, fuzz coverage, README counter + family rows, CHANGELOG.
`cargo test`, doctests, `clippy -D warnings`, `npm test` and pytest all green
locally; mod-count == lib-block == README counter (314), FAMILIES total 309.
This commit is contained in:
kingchenc
2026-06-03 02:26:38 +02:00
committed by GitHub
parent 9a98e9bf55
commit 9eb46f144a
36 changed files with 6869 additions and 51 deletions
Download Patch File Download Diff File Expand all files Collapse all files
fuzz/fuzz_targets/indicator_update.rs
+39 -15
View File
@@ -15,21 +15,7 @@
use libfuzzer_sys::fuzz_target;
use wickra_core::{
AdaptiveCycle, Alma, AnchoredRsi, Apo, Autocorrelation, AverageDrawdown, BatchExt, Beta,
BollingerBands,
CalmarRatio, CenterOfGravity, Cfo, Cmo, CoefficientOfVariation, ConditionalValueAtRisk,
ConnorsRsi, Coppock, CyberneticCycle, Decycler, DecyclerOscillator, Dema, DetrendedStdDev,
DoubleBollinger, Dpo, DrawdownDuration, EhlersStochastic, ElderImpulse, Ema,
EmpiricalModeDecomposition, Fama, FisherTransform, Frama, GainLossRatio, HilbertDominantCycle,
HistoricalVolatility, Hma, HurstExponent, Indicator, InstantaneousTrendline,
InverseFisherTransform, Jma, Kama, KellyCriterion, Kst, Kurtosis, LaguerreRsi, LinRegAngle,
LinRegChannel, LinRegSlope, LinearRegression, MaEnvelope, MacdIndicator, Mama, MaxDrawdown,
McGinleyDynamic, MedianAbsoluteDeviation, Mom, OmegaRatio, PainIndex, PearsonCorrelation,
PercentageTrailingStop, Pmo, Ppo, ProfitFactor, RSquared, RecoveryFactor, RenkoTrailingStop,
Roc, RoofingFilter, Rsi, RviVolatility, SharpeRatio, SineWave, Skewness, Sma, Smma,
SortinoRatio, SpearmanCorrelation, StandardError, StandardErrorBands, Stc, StdDev,
StepTrailingStop, StochRsi, SuperSmoother, Tema, Tii, Trima, Trix, Tsi, UlcerIndex,
ValueAtRisk, Variance, VerticalHorizontalFilter, Vidya, Wma, ZScore, ZeroLagMacd, Zlema, T3,
AdaptiveCycle, Alma, AnchoredRsi, Apo, Autocorrelation, AverageDrawdown, BatchExt, Beta, BollingerBands, CalmarRatio, CenterOfGravity, Cfo, Cmo, CoefficientOfVariation, ConditionalValueAtRisk, ConnorsRsi, Coppock, CyberneticCycle, Decycler, DecyclerOscillator, Dema, DetrendedStdDev, DoubleBollinger, Dpo, DrawdownDuration, EhlersStochastic, ElderImpulse, Ema, EmpiricalModeDecomposition, Fama, FisherTransform, Frama, GainLossRatio, HilbertDominantCycle, HistoricalVolatility, Hma, HtDcPhase, HtPhasor, HtTrendMode, HurstExponent, Indicator, InstantaneousTrendline, InverseFisherTransform, Jma, Kama, KellyCriterion, Kst, Kurtosis, LaguerreRsi, LinRegAngle, LinRegChannel, LinRegIntercept, LinRegSlope, LinearRegression, MaEnvelope, MaType, MacdExt, MacdFix, MacdIndicator, Mama, MaxDrawdown, McGinleyDynamic, MedianAbsoluteDeviation, MidPoint, Mom, OmegaRatio, PainIndex, PearsonCorrelation, PercentageTrailingStop, Pmo, Ppo, ProfitFactor, RSquared, RecoveryFactor, RenkoTrailingStop, Roc, Rocp, Rocr, Rocr100, RoofingFilter, Rsi, RviVolatility, SharpeRatio, SineWave, Skewness, Sma, Smma, SortinoRatio, SpearmanCorrelation, StandardError, StandardErrorBands, Stc, StdDev, StepTrailingStop, StochRsi, SuperSmoother, Tema, Tii, Trima, Trix, Tsf, Tsi, UlcerIndex, ValueAtRisk, Variance, VerticalHorizontalFilter, Vidya, Wma, ZScore, ZeroLagMacd, Zlema, T3
};
/// Drive a single streaming + batch run through one scalar indicator. Marked
@@ -60,6 +46,9 @@ fuzz_target!(|data: Vec<f64>| {
drive(|| Tema::new(14).unwrap(), &data);
drive(|| Hma::new(14).unwrap(), &data);
drive(|| Roc::new(14).unwrap(), &data);
drive(|| Rocp::new(14).unwrap(), &data);
drive(|| Rocr::new(14).unwrap(), &data);
drive(|| Rocr100::new(14).unwrap(), &data);
drive(|| Trix::new(14).unwrap(), &data);
drive(|| Smma::new(14).unwrap(), &data);
drive(|| Trima::new(14).unwrap(), &data);
@@ -88,7 +77,10 @@ fuzz_target!(|data: Vec<f64>| {
drive(|| UlcerIndex::new(14).unwrap(), &data);
drive(|| HistoricalVolatility::new(14, 252).unwrap(), &data);
drive(|| LinearRegression::new(14).unwrap(), &data);
drive(|| MidPoint::new(14).unwrap(), &data);
drive(|| LinRegSlope::new(14).unwrap(), &data);
drive(|| LinRegIntercept::new(14).unwrap(), &data);
drive(|| Tsf::new(14).unwrap(), &data);
drive(|| LinRegAngle::new(14).unwrap(), &data);
drive(|| VerticalHorizontalFilter::new(14).unwrap(), &data);
drive(|| ZScore::new(14).unwrap(), &data);
@@ -146,6 +138,8 @@ fuzz_target!(|data: Vec<f64>| {
drive(|| EhlersStochastic::new(20).unwrap(), &data);
drive(|| EmpiricalModeDecomposition::new(20, 0.5).unwrap(), &data);
drive(HilbertDominantCycle::new, &data);
drive(HtDcPhase::new, &data);
drive(HtTrendMode::new, &data);
drive(AdaptiveCycle::new, &data);
drive(SineWave::new, &data);
drive(|| Fama::new(0.5, 0.05).unwrap(), &data);
@@ -191,6 +185,36 @@ fuzz_target!(|data: Vec<f64>| {
}
let _ = MacdIndicator::new(12, 26, 9).unwrap().batch(&data);
}
// MACDFIX wraps MacdIndicator(12, 26, signal); same multi-output topology.
{
let mut fix = MacdFix::new(9).unwrap();
for &x in &data {
let _ = fix.update(x);
}
let _ = MacdFix::new(9).unwrap().batch(&data);
}
// MACDEXT: selectable MA types per line, multi-output topology.
{
let mut ext = MacdExt::new(12, MaType::Ema, 26, MaType::Ema, 9, MaType::Sma).unwrap();
for &x in &data {
let _ = ext.update(x);
}
let _ = MacdExt::new(12, MaType::Ema, 26, MaType::Ema, 9, MaType::Sma)
.unwrap()
.batch(&data);
}
// HT_PHASOR is scalar-input but emits a {inphase, quadrature} struct, so it
// bypasses the generic `drive` helper.
{
let mut ph = HtPhasor::new();
for &x in &data {
let _ = ph.update(x);
}
let _ = HtPhasor::new().batch(&data);
}
{
let mut bb = BollingerBands::new(20, 2.0).unwrap();
for &x in &data {
fuzz/fuzz_targets/indicator_update_candle.rs
+9 -1
View File
@@ -23,7 +23,7 @@
use libfuzzer_sys::fuzz_target;
use wickra_core::{
AbandonedBaby, AccelerationBands, AcceleratorOscillator, AdOscillator, Adl, AdvanceBlock, Adx, Adxr, Alligator, AnchoredVwap, Aroon, AroonOscillator, Atr, AtrBands, AtrTrailingStop, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, BatchExt, BeltHold, Breakaway, Camarilla, Candle, Cci, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit, ChoppinessIndex, ClassicPivots, ClosingMarubozu, ConcealingBabySwallow, Counterattack, DemandIndex, DemarkPivots, Doji, DojiStar, Donchian, DonchianStop, DownsideGapThreeMethods, DragonflyDoji, EaseOfMovement, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, FibonacciPivots, ForceIndex, FractalChaosBands, GapSideBySideWhite, GarmanKlassVolatility, GravestoneDoji, Hammer, HangingMan, Harami, HeikinAshi, HiLoActivator, HighWave, Hikkake, HikkakeModified, HomingPigeon, HurstChannel, Ichimoku, IdenticalThreeCrows, InNeck, Indicator, Inertia, InitialBalance, InvertedHammer, Keltner, Kicking, KickingByLength, Kvo, LadderBottom, LongLeggedDoji, LongLine, MarketFacilitationIndex, Marubozu, MassIndex, MatHold, MatchingLow, MedianPrice, Mfi, MorningDojiStar, MorningEveningStar, Natr, Nvi, Obv, OnNeck, OpeningMarubozu, OpeningRange, ParkinsonVolatility, Pgo, PiercingDarkCloud, Psar, Pvi, RickshawMan, RisingThreeMethods, RogersSatchellVolatility, RollingVwap, Rvi, Rwi, SeparatingLines, ShootingStar, ShortLine, Smi, SpinningTop, StalledPattern, StarcBands, StickSandwich, Stochastic, SuperTrend, Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker, TdDifferential, TdLines, TdOpen, TdPressure, TdRangeProjection, TdRei, TdRiskLevel, TdSequential, TdSetup, ThreeInside, ThreeLineStrike, ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TpoProfile, TrueRange, Tsv, TtmSqueeze, Tweezer, TwoCrows, TypicalPrice, UltimateOscillator, UniqueThreeRiver, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea, VoltyStop, VolumeOscillator, VolumePriceTrend, VolumeProfile, Vortex, Vwap, VwapStdDevBands, Vwma, Vzo, WaveTrend, WeightedClose, WilliamsFractals, WilliamsR, WoodiePivots, YangZhangVolatility, YoyoExit, ZigZag
AbandonedBaby, AccelerationBands, AcceleratorOscillator, AdOscillator, Adl, AdvanceBlock, Adx, Adxr, Alligator, AnchoredVwap, Aroon, AroonOscillator, Atr, AtrBands, AtrTrailingStop, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, BatchExt, BeltHold, Breakaway, Camarilla, Candle, Cci, ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandelierExit, ChoppinessIndex, ClassicPivots, ClosingMarubozu, ConcealingBabySwallow, Counterattack, DemandIndex, DemarkPivots, Doji, DojiStar, Donchian, DonchianStop, DownsideGapThreeMethods, DragonflyDoji, Dx, EaseOfMovement, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, FibonacciPivots, ForceIndex, FractalChaosBands, GapSideBySideWhite, GarmanKlassVolatility, GravestoneDoji, Hammer, HangingMan, Harami, HeikinAshi, HiLoActivator, HighWave, Hikkake, HikkakeModified, HomingPigeon, HurstChannel, Ichimoku, IdenticalThreeCrows, InNeck, Indicator, Inertia, InitialBalance, InvertedHammer, Keltner, Kicking, KickingByLength, Kvo, LadderBottom, LongLeggedDoji, LongLine, MarketFacilitationIndex, Marubozu, MassIndex, MatHold, MatchingLow, AvgPrice, MedianPrice, Mfi, MidPrice, MinusDi, MinusDm, MorningDojiStar, MorningEveningStar, Natr, Nvi, Obv, OnNeck, OpeningMarubozu, OpeningRange, ParkinsonVolatility, Pgo, PiercingDarkCloud, PlusDi, PlusDm, Psar, Pvi, RickshawMan, RisingThreeMethods, RogersSatchellVolatility, RollingVwap, Rvi, Rwi, SarExt, SeparatingLines, ShootingStar, ShortLine, Smi, SpinningTop, StalledPattern, StarcBands, StickSandwich, Stochastic, SuperTrend, Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker, TdDifferential, TdLines, TdOpen, TdPressure, TdRangeProjection, TdRei, TdRiskLevel, TdSequential, TdSetup, ThreeInside, ThreeLineStrike, ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, TpoProfile, TrueRange, Tsv, TtmSqueeze, Tweezer, TwoCrows, TypicalPrice, UltimateOscillator, UniqueThreeRiver, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea, VoltyStop, VolumeOscillator, VolumePriceTrend, VolumeProfile, 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
@@ -79,6 +79,7 @@ fuzz_target!(|data: Vec<f64>| {
// --- Trailing Stops ---
drive(|| Psar::new(0.02, 0.02, 0.20).unwrap(), &candles);
drive(SarExt::classic, &candles);
drive(|| SuperTrend::new(14, 3.0).unwrap(), &candles);
drive(|| ChandelierExit::new(22, 3.0).unwrap(), &candles);
drive(|| ChandeKrollStop::new(10, 1.0, 9).unwrap(), &candles);
@@ -90,6 +91,11 @@ fuzz_target!(|data: Vec<f64>| {
// --- Trend & Directional ---
drive(|| Adx::new(14).unwrap(), &candles);
drive(|| Adxr::new(14).unwrap(), &candles);
drive(|| PlusDm::new(14).unwrap(), &candles);
drive(|| MinusDm::new(14).unwrap(), &candles);
drive(|| PlusDi::new(14).unwrap(), &candles);
drive(|| MinusDi::new(14).unwrap(), &candles);
drive(|| Dx::new(14).unwrap(), &candles);
drive(|| Aroon::new(14).unwrap(), &candles);
drive(|| Alligator::new(13, 8, 5).unwrap(), &candles);
drive(|| AroonOscillator::new(14).unwrap(), &candles);
@@ -143,6 +149,8 @@ fuzz_target!(|data: Vec<f64>| {
drive(TypicalPrice::new, &candles);
drive(MedianPrice::new, &candles);
drive(WeightedClose::new, &candles);
drive(|| MidPrice::new(14).unwrap(), &candles);
drive(AvgPrice::new, &candles);
// --- Stochastic (multi-output) ---
{