feat: add 9 Risk / Performance indicators (B18) (#218)
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
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@@ -1,5 +1,5 @@
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<p align="center">
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<a href="https://wickra.org"><img src="https://raw.githubusercontent.com/wickra-lib/.github/main/profile/wickra-banner.webp?v=498" alt="Wickra — streaming-first technical indicators" width="100%"></a>
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<a href="https://wickra.org"><img src="https://raw.githubusercontent.com/wickra-lib/.github/main/profile/wickra-banner.webp?v=507" alt="Wickra — streaming-first technical indicators" width="100%"></a>
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</p>
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[](https://github.com/wickra-lib/wickra/actions/workflows/ci.yml)
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@@ -48,7 +48,7 @@ Full documentation lives at **[docs.wickra.org](https://docs.wickra.org)**:
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[Node](https://docs.wickra.org/Quickstart-Node),
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[WASM](https://docs.wickra.org/Quickstart-WASM).
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- **Indicators** — a per-indicator deep dive (formula, parameters, warmup) for
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every one of the 498 indicators; start at the
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every one of the 507 indicators; start at the
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[indicators overview](https://docs.wickra.org/Indicators-Overview).
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- **Reference** — [warmup periods](https://docs.wickra.org/Warmup-Periods),
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[streaming vs batch](https://docs.wickra.org/Streaming-vs-Batch),
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@@ -66,7 +66,7 @@ an afterthought — **live, tick-by-tick data** — without giving up the breadt
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a full batch library, and without making you reimplement your indicators four
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times to get there.
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- **The biggest streaming-native catalogue, period.** 498 indicators across 24
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- **The biggest streaming-native catalogue, period.** 507 indicators across 24
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families — candlesticks, harmonic & chart patterns, market profile, market
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breadth, Renko/Kagi/Point&Figure bars, Ehlers DSP cycles, risk/performance
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metrics — every single one updating in **O(1) per tick**. TA-Lib ships ~150 and
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@@ -77,7 +77,7 @@ times to get there.
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- **Correct by construction, not by hope.** Every `update` validates its input,
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runs a real warmup, and returns an `Option` so a single bad tick can't silently
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poison state. `batch == streaming` is **bit-exact, fuzzed and 100 %-line-covered
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for all 498 indicators**.
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for all 507 indicators**.
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- **Orders of magnitude faster where it counts.** In streaming Wickra is **11–56×**
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faster than the only other incremental peer and **thousands of times** faster
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than recompute-on-every-tick libraries. On batch it wins several rows outright
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@@ -95,7 +95,7 @@ Every other library forces one of those compromises. Wickra doesn't:
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| Library | Install | Streaming | Languages | Indicators | Active |
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|------------------|-------------|-------------|-----------------------------|-----------:|--------|
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| **★ Wickra**| **clean** | **yes, O(1)** | **Python · Node · WASM · Rust** | **498** | **yes** |
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| **★ Wickra**| **clean** | **yes, O(1)** | **Python · Node · WASM · Rust** | **507** | **yes** |
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| kand | clean | yes | Python · WASM · Rust | ~60 | yes |
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| ta-rs | clean | yes | Rust only | ~30 | stale |
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| yata | clean | partial | Rust only | ~35 | yes |
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@@ -128,7 +128,7 @@ Full tables (Rust + Python, streaming + batch) and how to reproduce them live in
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## Indicators
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498 streaming-first indicators across twenty-four families. Every one passes the
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507 streaming-first indicators across twenty-four families. Every one passes the
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`batch == streaming` equivalence test, reference-value tests, and reset
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semantics tests. Each has a per-indicator deep dive (formula, parameters,
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warmup) at [docs.wickra.org](https://docs.wickra.org/Indicators-Overview).
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@@ -237,7 +237,7 @@ A Python live-trading example using the public `websockets` package lives at
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```
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wickra/
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├── crates/
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│ ├── wickra-core/ core engine + all 498 indicators
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│ ├── wickra-core/ core engine + all 507 indicators
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│ ├── wickra/ top-level facade crate (publishes on crates.io) + benches/
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│ ├── wickra-data/ CSV reader, tick aggregator, live exchange feeds
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│ └── wickra-bench/ internal cross-library benchmark harness (not published)
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