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
@@ -4136,6 +4136,350 @@ impl PyAdaptiveCci {
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}
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}
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// ============================== SterlingRatio ==============================
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#[pyclass(name = "SterlingRatio", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PySterlingRatio {
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inner: wc::SterlingRatio,
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}
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#[pymethods]
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impl PySterlingRatio {
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#[new]
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#[pyo3(signature = (period=12))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::SterlingRatio::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let s = prices
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(self.inner.batch_nan(s).into_pyarray(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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||||
fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("SterlingRatio(period={})", self.inner.period())
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}
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}
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// ============================== BurkeRatio ==============================
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#[pyclass(name = "BurkeRatio", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyBurkeRatio {
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inner: wc::BurkeRatio,
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}
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#[pymethods]
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impl PyBurkeRatio {
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#[new]
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#[pyo3(signature = (period=12))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::BurkeRatio::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let s = prices
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(self.inner.batch_nan(s).into_pyarray(py))
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}
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#[getter]
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fn period(&self) -> usize {
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self.inner.period()
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}
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fn reset(&mut self) {
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self.inner.reset();
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}
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fn is_ready(&self) -> bool {
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self.inner.is_ready()
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}
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fn warmup_period(&self) -> usize {
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self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("BurkeRatio(period={})", self.inner.period())
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}
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}
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// ============================== MartinRatio ==============================
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#[pyclass(name = "MartinRatio", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyMartinRatio {
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inner: wc::MartinRatio,
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}
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#[pymethods]
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impl PyMartinRatio {
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#[new]
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#[pyo3(signature = (period=14))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::MartinRatio::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
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&mut self,
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py: Python<'py>,
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prices: PyReadonlyArray1<'py, f64>,
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) -> PyResult<Bound<'py, PyArray1<f64>>> {
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let s = prices
|
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.as_slice()
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.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(self.inner.batch_nan(s).into_pyarray(py))
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}
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||||
#[getter]
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||||
fn period(&self) -> usize {
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||||
self.inner.period()
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||||
}
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||||
fn reset(&mut self) {
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||||
self.inner.reset();
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||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
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||||
self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("MartinRatio(period={})", self.inner.period())
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}
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}
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// ============================== TailRatio ==============================
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#[pyclass(name = "TailRatio", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyTailRatio {
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inner: wc::TailRatio,
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}
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#[pymethods]
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impl PyTailRatio {
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#[new]
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#[pyo3(signature = (period=20))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::TailRatio::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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}
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fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
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prices: PyReadonlyArray1<'py, f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
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let s = prices
|
||||
.as_slice()
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||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(self.inner.batch_nan(s).into_pyarray(py))
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||||
}
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||||
#[getter]
|
||||
fn period(&self) -> usize {
|
||||
self.inner.period()
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
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||||
fn warmup_period(&self) -> usize {
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||||
self.inner.warmup_period()
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}
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fn __repr__(&self) -> String {
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format!("TailRatio(period={})", self.inner.period())
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}
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}
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// ============================== KRatio ==============================
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#[pyclass(name = "KRatio", module = "wickra._wickra", skip_from_py_object)]
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#[derive(Clone)]
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struct PyKRatio {
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inner: wc::KRatio,
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}
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#[pymethods]
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impl PyKRatio {
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#[new]
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#[pyo3(signature = (period=30))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
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inner: wc::KRatio::new(period).map_err(map_err)?,
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})
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}
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fn update(&mut self, value: f64) -> Option<f64> {
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self.inner.update(value)
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||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
prices: PyReadonlyArray1<'py, f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
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let s = prices
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
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Ok(self.inner.batch_nan(s).into_pyarray(py))
|
||||
}
|
||||
#[getter]
|
||||
fn period(&self) -> usize {
|
||||
self.inner.period()
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
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format!("KRatio(period={})", self.inner.period())
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}
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}
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// ============================== CommonSenseRatio ==============================
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#[pyclass(
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name = "CommonSenseRatio",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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struct PyCommonSenseRatio {
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inner: wc::CommonSenseRatio,
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}
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#[pymethods]
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impl PyCommonSenseRatio {
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#[new]
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#[pyo3(signature = (period=20))]
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fn new(period: usize) -> PyResult<Self> {
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Ok(Self {
|
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inner: wc::CommonSenseRatio::new(period).map_err(map_err)?,
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})
|
||||
}
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fn update(&mut self, value: f64) -> Option<f64> {
|
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self.inner.update(value)
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
prices: PyReadonlyArray1<'py, f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
let s = prices
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
Ok(self.inner.batch_nan(s).into_pyarray(py))
|
||||
}
|
||||
#[getter]
|
||||
fn period(&self) -> usize {
|
||||
self.inner.period()
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
format!("CommonSenseRatio(period={})", self.inner.period())
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||||
}
|
||||
}
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||||
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||||
// ============================== GainToPainRatio ==============================
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||||
#[pyclass(
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name = "GainToPainRatio",
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module = "wickra._wickra",
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skip_from_py_object
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)]
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#[derive(Clone)]
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||||
struct PyGainToPainRatio {
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||||
inner: wc::GainToPainRatio,
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||||
}
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||||
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||||
#[pymethods]
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||||
impl PyGainToPainRatio {
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||||
#[new]
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||||
#[pyo3(signature = (period=12))]
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||||
fn new(period: usize) -> PyResult<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::GainToPainRatio::new(period).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
fn update(&mut self, value: f64) -> Option<f64> {
|
||||
self.inner.update(value)
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
prices: PyReadonlyArray1<'py, f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
let s = prices
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
Ok(self.inner.batch_nan(s).into_pyarray(py))
|
||||
}
|
||||
#[getter]
|
||||
fn period(&self) -> usize {
|
||||
self.inner.period()
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
format!("GainToPainRatio(period={})", self.inner.period())
|
||||
}
|
||||
}
|
||||
|
||||
// ============================== Stochastic ==============================
|
||||
|
||||
#[pyclass(name = "IMI", module = "wickra._wickra", skip_from_py_object)]
|
||||
@@ -21908,6 +22252,123 @@ impl PyTickIndex {
|
||||
|
||||
// ============================== Family 15: Risk / Performance ==============================
|
||||
|
||||
#[pyclass(
|
||||
name = "UpsidePotentialRatio",
|
||||
module = "wickra._wickra",
|
||||
skip_from_py_object
|
||||
)]
|
||||
#[derive(Clone)]
|
||||
struct PyUpsidePotentialRatio {
|
||||
inner: wc::UpsidePotentialRatio,
|
||||
}
|
||||
|
||||
#[pymethods]
|
||||
impl PyUpsidePotentialRatio {
|
||||
#[new]
|
||||
#[pyo3(signature = (period, mar=0.0))]
|
||||
fn new(period: usize, mar: f64) -> PyResult<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::UpsidePotentialRatio::new(period, mar).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
fn update(&mut self, value: f64) -> Option<f64> {
|
||||
self.inner.update(value)
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
prices: PyReadonlyArray1<'py, f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
let slice = prices
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
Ok(self.inner.batch_nan(slice).into_pyarray(py))
|
||||
}
|
||||
#[getter]
|
||||
fn period(&self) -> usize {
|
||||
self.inner.period()
|
||||
}
|
||||
#[getter]
|
||||
fn mar(&self) -> f64 {
|
||||
self.inner.mar()
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
format!(
|
||||
"UpsidePotentialRatio(period={}, mar={})",
|
||||
self.inner.period(),
|
||||
self.inner.mar()
|
||||
)
|
||||
}
|
||||
}
|
||||
|
||||
#[pyclass(name = "M2Measure", module = "wickra._wickra", skip_from_py_object)]
|
||||
#[derive(Clone)]
|
||||
struct PyM2Measure {
|
||||
inner: wc::M2Measure,
|
||||
}
|
||||
|
||||
#[pymethods]
|
||||
impl PyM2Measure {
|
||||
#[new]
|
||||
#[pyo3(signature = (period, risk_free, benchmark_stddev))]
|
||||
fn new(period: usize, risk_free: f64, benchmark_stddev: f64) -> PyResult<Self> {
|
||||
Ok(Self {
|
||||
inner: wc::M2Measure::new(period, risk_free, benchmark_stddev).map_err(map_err)?,
|
||||
})
|
||||
}
|
||||
fn update(&mut self, value: f64) -> Option<f64> {
|
||||
self.inner.update(value)
|
||||
}
|
||||
fn batch<'py>(
|
||||
&mut self,
|
||||
py: Python<'py>,
|
||||
prices: PyReadonlyArray1<'py, f64>,
|
||||
) -> PyResult<Bound<'py, PyArray1<f64>>> {
|
||||
let slice = prices
|
||||
.as_slice()
|
||||
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
|
||||
Ok(self.inner.batch_nan(slice).into_pyarray(py))
|
||||
}
|
||||
#[getter]
|
||||
fn period(&self) -> usize {
|
||||
self.inner.period()
|
||||
}
|
||||
#[getter]
|
||||
fn risk_free(&self) -> f64 {
|
||||
self.inner.risk_free()
|
||||
}
|
||||
#[getter]
|
||||
fn benchmark_stddev(&self) -> f64 {
|
||||
self.inner.benchmark_stddev()
|
||||
}
|
||||
fn reset(&mut self) {
|
||||
self.inner.reset();
|
||||
}
|
||||
fn is_ready(&self) -> bool {
|
||||
self.inner.is_ready()
|
||||
}
|
||||
fn warmup_period(&self) -> usize {
|
||||
self.inner.warmup_period()
|
||||
}
|
||||
fn __repr__(&self) -> String {
|
||||
format!(
|
||||
"M2Measure(period={}, risk_free={}, benchmark_stddev={})",
|
||||
self.inner.period(),
|
||||
self.inner.risk_free(),
|
||||
self.inner.benchmark_stddev()
|
||||
)
|
||||
}
|
||||
}
|
||||
|
||||
#[pyclass(name = "SharpeRatio", module = "wickra._wickra", skip_from_py_object)]
|
||||
#[derive(Clone)]
|
||||
struct PySharpeRatio {
|
||||
@@ -25881,5 +26342,14 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
|
||||
m.add_class::<PyFryPanBottom>()?;
|
||||
m.add_class::<PyDumplingTop>()?;
|
||||
m.add_class::<PyNewPriceLines>()?;
|
||||
m.add_class::<PySterlingRatio>()?;
|
||||
m.add_class::<PyBurkeRatio>()?;
|
||||
m.add_class::<PyMartinRatio>()?;
|
||||
m.add_class::<PyTailRatio>()?;
|
||||
m.add_class::<PyKRatio>()?;
|
||||
m.add_class::<PyCommonSenseRatio>()?;
|
||||
m.add_class::<PyGainToPainRatio>()?;
|
||||
m.add_class::<PyUpsidePotentialRatio>()?;
|
||||
m.add_class::<PyM2Measure>()?;
|
||||
Ok(())
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user