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
This commit is contained in:
kingchenc
2026-06-08 13:23:01 +02:00
committed by GitHub
parent fc6f619550
commit bca61322b5
23 changed files with 2843 additions and 58 deletions
@@ -28,6 +28,15 @@ function num(v) {
// --- Scalar indicators: update(value) vs batch(prices) ---
const scalarFactories = {
M2Measure: () => new wickra.M2Measure(20, 0.0, 0.02),
UpsidePotentialRatio: () => new wickra.UpsidePotentialRatio(20, 0.0),
GainToPainRatio: () => new wickra.GainToPainRatio(12),
CommonSenseRatio: () => new wickra.CommonSenseRatio(20),
KRatio: () => new wickra.KRatio(30),
TailRatio: () => new wickra.TailRatio(20),
MartinRatio: () => new wickra.MartinRatio(14),
BurkeRatio: () => new wickra.BurkeRatio(12),
SterlingRatio: () => new wickra.SterlingRatio(12),
AUTOCORRPGRAM: () => new wickra.AUTOCORRPGRAM(10, 48),
EVENBETTERSINE: () => new wickra.EVENBETTERSINE(40, 10),
BANDPASS: () => new wickra.BANDPASS(20, 0.3),