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

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
+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 {