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feat: add 9 Risk / Performance indicators (B18) (#218)

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Adds nine risk/performance metrics to the existing **Risk / Performance** family, all consuming a per-period return series (`f64` in, `f64` out). Indicator count **498 → 507**.

## Indicators

Single-param (`new(period)`, macro bindings):
- **SterlingRatio** — mean return over average drawdown of the equity curve.
- **BurkeRatio** — return over root-sum-squared drawdowns.
- **MartinRatio** — Ulcer Performance Index; return over RMS percentage drawdown.
- **TailRatio** — 95th percentile over the absolute 5th percentile return.
- **KRatio** — Kestner; equity-curve OLS slope over the standard error of that slope.
- **CommonSenseRatio** — tail ratio times gain-to-pain.
- **GainToPainRatio** — sum of returns over the sum of absolute losses.

Multi-param (hand-written Python/Node bindings, variadic WASM macro):
- **UpsidePotentialRatio** — `new(period, mar)`; upside mean over downside deviation (Sortino philosophy).
- **M2Measure** — `new(period, risk_free, benchmark_stddev)`; Modigliani M², Sharpe rescaled into benchmark return units.

## Touchpoints
Core modules + unit tests, `mod.rs`/`lib.rs` wiring, Python/Node/WASM bindings (`index.d.ts`/`index.js` regenerated), fuzz drive lines, Python `SCALAR` registry + Node factories, CHANGELOG, and the indicator counters.

## Verification
- `cargo test -p wickra-core --lib` — 4149 passed
- `cargo test -p wickra-core --doc` — 457 passed
- `cargo clippy --workspace --all-targets --all-features -- -D warnings` — clean
- `npm test` (node) — 577 passed
- `pytest` (python) — 947 passed
This commit is contained in:
kingchenc
2026-06-08 13:23:01 +02:00
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parent fc6f619550
commit bca61322b5
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CHANGELOG.md
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@@ -6,6 +6,15 @@ The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.1.0/),
and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
## [Unreleased]
- **M2Measure** — M2 measure (Modigliani; Sharpe expressed in benchmark return units) (`M2Measure`).
- **UpsidePotentialRatio** — Upside Potential Ratio (upside mean over downside deviation) (`UpsidePotentialRatio`).
- **GainToPainRatio** — Gain-to-Pain Ratio (sum of returns over sum of losses) (`GainToPainRatio`).
- **CommonSenseRatio** — Common Sense Ratio (tail ratio times gain-to-pain) (`CommonSenseRatio`).
- **KRatio** — K-Ratio (Kestner; equity-curve slope over its standard error) (`KRatio`).
- **TailRatio** — Tail Ratio (95th over absolute 5th return percentile) (`TailRatio`).
- **MartinRatio** — Martin Ratio (Ulcer Performance Index; return over RMS drawdown) (`MartinRatio`).
- **BurkeRatio** — Burke Ratio (return over root-sum-squared drawdowns) (`BurkeRatio`).
- **SterlingRatio** — Sterling Ratio (mean return over average drawdown) (`SterlingRatio`).
## [0.7.2] - 2026-06-08
- **Composite Profile** — multi-session composite volume profile exposing POC, VAH and VAL (`CompositeProfile`).