Add 10 pairwise stat-arb indicators to Price Statistics (#154)

Adds ten pairwise `(f64, f64)` indicators to the **Price Statistics** family, completing the A1 stat-arb expansion block. ## Indicators **Scalar output:** - **RollingCorrelation** — rolling Pearson correlation of period-over-period *returns* (distinct from level-based `PearsonCorrelation`). - **RollingCovariance** — rolling covariance of returns. - **OuHalfLife** — Ornstein–Uhlenbeck half-life of mean reversion of the spread `a − b`. - **SpreadHurst** — Hurst exponent of the spread (variance-of-lagged-differences fit) for regime detection. - **DistanceSsd** — Gatev sum-of-squared-deviations between two start-normalised series. - **BetaNeutralSpread** — rolling OLS regression residual `a − (α + β·b)`. - **VarianceRatio** — Lo–MacKinlay variance-ratio test on the spread (two params: `period`, `q`). - **GrangerCausality** — F-statistic for whether `b` predicts `a` (two params: `period`, `lag`). **Struct output (custom bindings):** - **KalmanHedgeRatio** — dynamic hedge ratio via a Kalman filter → `{ hedgeRatio, intercept, spread }`. - **SpreadBollingerBands** — Bollinger bands on the spread → `{ middle, upper, lower, percentB }`. ## Notes - No new traits or input families: all use the native `Indicator<Input = (f64, f64)>` (precedent `Beta`, `Cointegration`). - Adds `Error::InvalidParameter` for floating-point constructor parameters (Kalman `delta`/`observation_var`, `num_std`). - Full Python/Node/WASM bindings; the two struct-output indicators are hand-written, the rest use the pair macros. - Indicator count 315 → 325; README, family rows, `__init__`, fuzz target, and CHANGELOG updated. ## Verification - `cargo test --workspace --all-features` — green (2676 core lib + 308 doc). - `cargo clippy --workspace --all-targets --all-features -- -D warnings` — clean. - Node: `npm run build && npm test` — 410 passing (`index.d.ts`/`index.js` regenerated). - Python: `pytest` — 684 passing.
2026-06-03 15:39:55 +02:00
parent 53941b7b07
commit a3a1ae4dba
25 changed files with 4313 additions and 51 deletions
@@ -60,28 +60,29 @@ pub use indicators::{
    AlligatorOutput, Alma, Alpha, AnchoredRsi, AnchoredVwap, Apo, Aroon, AroonOscillator,
    AroonOutput, Atr, AtrBands, AtrBandsOutput, AtrTrailingStop, Autocorrelation, AverageDrawdown,
    AvgPrice, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, BeltHold, Beta,
-    BollingerBands, BollingerBandwidth, BollingerOutput, Breakaway, CalendarSpread, CalmarRatio,
-    Camarilla, CamarillaPivotsOutput, Cci, CenterOfGravity, Cfo, ChaikinMoneyFlow,
-    ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit,
-    ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput, ClosingMarubozu,
-    Cmo, CoefficientOfVariation, Cointegration, CointegrationOutput, ConcealingBabySwallow,
-    ConditionalValueAtRisk, ConnorsRsi, Coppock, Counterattack, CumulativeVolumeDelta,
-    CyberneticCycle, Decycler, DecyclerOscillator, Dema, DemandIndex, DemarkPivots,
-    DemarkPivotsOutput, DepthSlope, DetrendedStdDev, Doji, DojiStar, Donchian, DonchianOutput,
-    DonchianStop, DonchianStopOutput, DoubleBollinger, DoubleBollingerOutput,
-    DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, Dx, EaseOfMovement,
-    EffectiveSpread, EhlersStochastic, ElderImpulse, Ema, EmpiricalModeDecomposition, Engulfing,
-    EveningDojiStar, Evwma, FallingThreeMethods, Fama, FibonacciPivots, FibonacciPivotsOutput,
-    FisherTransform, Footprint, FootprintOutput, ForceIndex, FractalChaosBands,
-    FractalChaosBandsOutput, Frama, FundingBasis, FundingRate, FundingRateMean, FundingRateZScore,
-    GainLossRatio, GapSideBySideWhite, GarmanKlassVolatility, GravestoneDoji, Hammer, HangingMan,
-    Harami, HeikinAshi, HeikinAshiOutput, HiLoActivator, HighWave, Hikkake, HikkakeModified,
-    HilbertDominantCycle, HistoricalVolatility, Hma, HomingPigeon, HtDcPhase, HtPhasor,
-    HtPhasorOutput, HtTrendMode, HurstChannel, HurstChannelOutput, HurstExponent, Ichimoku,
-    IchimokuOutput, IdenticalThreeCrows, InNeck, Inertia, InformationRatio, InitialBalance,
-    InitialBalanceOutput, InstantaneousTrendline, InverseFisherTransform, InvertedHammer, Jma,
-    KagiBars, Kama, KellyCriterion, Keltner, KeltnerOutput, Kicking, KickingByLength, Kst,
-    KstOutput, Kurtosis, Kvo, KylesLambda, LadderBottom, LaguerreRsi, LeadLagCrossCorrelation,
+    BetaNeutralSpread, BollingerBands, BollingerBandwidth, BollingerOutput, Breakaway,
+    CalendarSpread, CalmarRatio, Camarilla, CamarillaPivotsOutput, Cci, CenterOfGravity, Cfo,
+    ChaikinMoneyFlow, ChaikinOscillator, ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput,
+    ChandelierExit, ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput,
+    ClosingMarubozu, Cmo, CoefficientOfVariation, Cointegration, CointegrationOutput,
+    ConcealingBabySwallow, ConditionalValueAtRisk, ConnorsRsi, Coppock, Counterattack,
+    CumulativeVolumeDelta, CyberneticCycle, Decycler, DecyclerOscillator, Dema, DemandIndex,
+    DemarkPivots, DemarkPivotsOutput, DepthSlope, DetrendedStdDev, DistanceSsd, Doji, DojiStar,
+    Donchian, DonchianOutput, DonchianStop, DonchianStopOutput, DoubleBollinger,
+    DoubleBollingerOutput, DownsideGapThreeMethods, Dpo, DragonflyDoji, DrawdownDuration, Dx,
+    EaseOfMovement, EffectiveSpread, EhlersStochastic, ElderImpulse, Ema,
+    EmpiricalModeDecomposition, Engulfing, EveningDojiStar, Evwma, FallingThreeMethods, Fama,
+    FibonacciPivots, FibonacciPivotsOutput, FisherTransform, Footprint, FootprintOutput,
+    ForceIndex, FractalChaosBands, FractalChaosBandsOutput, Frama, FundingBasis, FundingRate,
+    FundingRateMean, FundingRateZScore, GainLossRatio, GapSideBySideWhite, GarmanKlassVolatility,
+    GrangerCausality, GravestoneDoji, Hammer, HangingMan, Harami, HeikinAshi, HeikinAshiOutput,
+    HiLoActivator, HighWave, Hikkake, HikkakeModified, HilbertDominantCycle, HistoricalVolatility,
+    Hma, HomingPigeon, HtDcPhase, HtPhasor, HtPhasorOutput, HtTrendMode, HurstChannel,
+    HurstChannelOutput, HurstExponent, Ichimoku, IchimokuOutput, IdenticalThreeCrows, InNeck,
+    Inertia, InformationRatio, InitialBalance, InitialBalanceOutput, InstantaneousTrendline,
+    InverseFisherTransform, InvertedHammer, Jma, KagiBars, KalmanHedgeRatio,
+    KalmanHedgeRatioOutput, Kama, KellyCriterion, Keltner, KeltnerOutput, Kicking, KickingByLength,
+    Kst, KstOutput, Kurtosis, Kvo, KylesLambda, LadderBottom, LaguerreRsi, LeadLagCrossCorrelation,
    LeadLagCrossCorrelationOutput, LinRegAngle, LinRegChannel, LinRegChannelOutput,
    LinRegIntercept, LinRegSlope, LinearRegression, LiquidationFeatures, LiquidationFeaturesOutput,
    LongLeggedDoji, LongLine, LongShortRatio, MaEnvelope, MaEnvelopeOutput, MacdExt, MacdFix,
@@ -90,25 +91,27 @@ pub use indicators::{
    Microprice, MidPoint, MidPrice, MinusDi, MinusDm, Mom, MorningDojiStar, MorningEveningStar,
    Natr, Nvi, OIPriceDivergence, OIWeighted, Obv, OmegaRatio, OnNeck, OpenInterestDelta,
    OpeningMarubozu, OpeningRange, OpeningRangeOutput, OrderBookImbalanceFull,
-    OrderBookImbalanceTop1, OrderBookImbalanceTopN, PainIndex, PairSpreadZScore, PairwiseBeta,
-    ParkinsonVolatility, PearsonCorrelation, PercentB, PercentageTrailingStop, Pgo,
+    OrderBookImbalanceTop1, OrderBookImbalanceTopN, OuHalfLife, PainIndex, PairSpreadZScore,
+    PairwiseBeta, ParkinsonVolatility, PearsonCorrelation, PercentB, PercentageTrailingStop, Pgo,
    PiercingDarkCloud, PlusDi, PlusDm, Pmo, PointAndFigureBars, Ppo, ProfitFactor, Psar, Pvi,
    QuotedSpread, RSquared, RealizedSpread, RecoveryFactor, RelativeStrengthAB,
    RelativeStrengthOutput, RenkoBars, RenkoTrailingStop, RickshawMan, RisingThreeMethods, Roc,
-    Rocp, Rocr, Rocr100, RogersSatchellVolatility, RollingVwap, RoofingFilter, Rsi, Rvi,
-    RviVolatility, Rwi, RwiOutput, SarExt, SeparatingLines, SharpeRatio, ShootingStar, ShortLine,
-    SignedVolume, SineWave, Skewness, Sma, Smi, Smma, SortinoRatio, SpearmanCorrelation,
-    SpinningTop, StalledPattern, StandardError, StandardErrorBands, StandardErrorBandsOutput,
-    StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop, StickSandwich, StochRsi,
-    Stochastic, StochasticOutput, SuperSmoother, SuperTrend, SuperTrendOutput, TakerBuySellRatio,
-    Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker, TdDifferential, TdLines, TdLinesOutput,
-    TdOpen, TdPressure, TdRangeProjection, TdRangeProjectionOutput, TdRei, TdRiskLevel,
-    TdRiskLevelOutput, TdSequential, TdSequentialOutput, TdSetup, Tema, TermStructureBasis,
-    ThreeInside, ThreeLineStrike, ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting,
-    Tii, TpoProfile, TpoProfileOutput, TradeImbalance, TreynorRatio, Trima, Trix, TrueRange, Tsf,
-    Tsi, Tsv, TtmSqueeze, TtmSqueezeOutput, Tweezer, TwoCrows, TypicalPrice, UlcerIndex,
-    UltimateOscillator, UniqueThreeRiver, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea,
-    ValueAreaOutput, ValueAtRisk, Variance, VerticalHorizontalFilter, Vidya, VoltyStop,
+    Rocp, Rocr, Rocr100, RogersSatchellVolatility, RollingCorrelation, RollingCovariance,
+    RollingVwap, RoofingFilter, Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SarExt, SeparatingLines,
+    SharpeRatio, ShootingStar, ShortLine, SignedVolume, SineWave, Skewness, Sma, Smi, Smma,
+    SortinoRatio, SpearmanCorrelation, SpinningTop, SpreadBollingerBands,
+    SpreadBollingerBandsOutput, SpreadHurst, StalledPattern, StandardError, StandardErrorBands,
+    StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc, StdDev, StepTrailingStop,
+    StickSandwich, StochRsi, Stochastic, StochasticOutput, SuperSmoother, SuperTrend,
+    SuperTrendOutput, TakerBuySellRatio, Takuri, TasukiGap, TdCombo, TdCountdown, TdDeMarker,
+    TdDifferential, TdLines, TdLinesOutput, TdOpen, TdPressure, TdRangeProjection,
+    TdRangeProjectionOutput, TdRei, TdRiskLevel, TdRiskLevelOutput, TdSequential,
+    TdSequentialOutput, TdSetup, Tema, TermStructureBasis, ThreeInside, ThreeLineStrike,
+    ThreeOutside, ThreeSoldiersOrCrows, ThreeStarsInSouth, Thrusting, Tii, TpoProfile,
+    TpoProfileOutput, TradeImbalance, TreynorRatio, Trima, Trix, TrueRange, Tsf, Tsi, Tsv,
+    TtmSqueeze, TtmSqueezeOutput, Tweezer, TwoCrows, TypicalPrice, UlcerIndex, UltimateOscillator,
+    UniqueThreeRiver, UpsideGapThreeMethods, UpsideGapTwoCrows, ValueArea, ValueAreaOutput,
+    ValueAtRisk, Variance, VarianceRatio, VerticalHorizontalFilter, Vidya, VoltyStop,
    VolumeOscillator, VolumePriceTrend, VolumeProfile, VolumeProfileOutput, Vortex, VortexOutput,
    Vwap, VwapStdDevBands, VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend, WaveTrendOutput,
    WeightedClose, WilliamsFractals, WilliamsFractalsOutput, WilliamsR, Wma, WoodiePivots,