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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@@ -28,6 +28,15 @@ function num(v) {
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// --- Scalar indicators: update(value) vs batch(prices) ---
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const scalarFactories = {
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M2Measure: () => new wickra.M2Measure(20, 0.0, 0.02),
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UpsidePotentialRatio: () => new wickra.UpsidePotentialRatio(20, 0.0),
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GainToPainRatio: () => new wickra.GainToPainRatio(12),
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CommonSenseRatio: () => new wickra.CommonSenseRatio(20),
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KRatio: () => new wickra.KRatio(30),
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TailRatio: () => new wickra.TailRatio(20),
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MartinRatio: () => new wickra.MartinRatio(14),
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BurkeRatio: () => new wickra.BurkeRatio(12),
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SterlingRatio: () => new wickra.SterlingRatio(12),
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AUTOCORRPGRAM: () => new wickra.AUTOCORRPGRAM(10, 48),
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EVENBETTERSINE: () => new wickra.EVENBETTERSINE(40, 10),
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BANDPASS: () => new wickra.BANDPASS(20, 0.3),
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