feat(breadth): complete the Market Breadth family (14 indicators) (#157)
Completes expansion-roadmap block **A2 — Market Breadth**: the 14 indicators that remained after the `AdvanceDecline` bootstrap, all built on the existing `CrossSection` input. ## Indicators (all scalar `Indicator<Input = CrossSection, Output = f64>`) | Indicator | Reading | |-----------|---------| | `AdvanceDeclineRatio` | advancers / decliners | | `AdVolumeLine` | cumulative net advancing volume | | `McClellanOscillator` | 19/39 EMAs of ratio-adjusted net advances | | `McClellanSummationIndex` | running total of the oscillator | | `Trin` (Arms Index) | A/D ratio over up/down volume ratio | | `BreadthThrust` (Zweig) | SMA of the advancing-issues share | | `NewHighsNewLows` | new highs − new lows | | `HighLowIndex` | SMA of the record-high percent | | `PercentAboveMa` | % of the universe above its MA | | `UpDownVolumeRatio` | advancing / declining volume | | `BullishPercentIndex` | % on a point-and-figure buy signal | | `CumulativeVolumeIndex` | volume-normalised cumulative net advancing volume | | `AbsoluteBreadthIndex` | \|advancers − decliners\| | | `TickIndex` | instantaneous net advancers − decliners | ## Input model `AdVolumeLine` and `CumulativeVolumeIndex` are kept distinct (the latter normalises each tick's net advancing volume by total volume, so it stays comparable across volume regimes). `PercentAboveMa` and `BullishPercentIndex` need a per-symbol state signal that `Member` did not carry, so `Member` gains two additive flags (`above_ma`, `on_buy_signal`) via a new `Member::with_signals` constructor; the 4-arg `Member::new` leaves both cleared, so every existing caller and binding is unchanged. `CrossSection` gains volume / new-extreme / state aggregation helpers. ## Wiring Fully wired across the Rust core, the python/node/wasm bindings, the cross-section fuzz target, the README + docs indicator counters (325 → 339), and dedicated python/node streaming-vs-batch tests. `fmt` / `test --workspace --all-features` / `clippy --workspace -D warnings` / node build+test / pytest all green locally.
This commit is contained in:
kingchenc
@@ -5,13 +5,16 @@
|
||||
//! from the crate root for convenience.
|
||||
|
||||
mod abandoned_baby;
|
||||
mod absolute_breadth_index;
|
||||
mod acceleration_bands;
|
||||
mod accelerator_oscillator;
|
||||
mod ad_oscillator;
|
||||
mod ad_volume_line;
|
||||
mod adaptive_cycle;
|
||||
mod adl;
|
||||
mod advance_block;
|
||||
mod advance_decline;
|
||||
mod advance_decline_ratio;
|
||||
mod adx;
|
||||
mod adxr;
|
||||
mod alligator;
|
||||
@@ -36,7 +39,9 @@ mod beta;
|
||||
mod beta_neutral_spread;
|
||||
mod bollinger;
|
||||
mod bollinger_bandwidth;
|
||||
mod breadth_thrust;
|
||||
mod breakaway;
|
||||
mod bullish_percent_index;
|
||||
mod calendar_spread;
|
||||
mod calmar_ratio;
|
||||
mod camarilla_pivots;
|
||||
@@ -59,6 +64,7 @@ mod conditional_value_at_risk;
|
||||
mod connors_rsi;
|
||||
mod coppock;
|
||||
mod counterattack;
|
||||
mod cumulative_volume_index;
|
||||
mod cvd;
|
||||
mod cybernetic_cycle;
|
||||
mod decycler;
|
||||
@@ -109,6 +115,7 @@ mod hammer;
|
||||
mod hanging_man;
|
||||
mod harami;
|
||||
mod heikin_ashi;
|
||||
mod high_low_index;
|
||||
mod high_wave;
|
||||
mod hikkake;
|
||||
mod hikkake_modified;
|
||||
@@ -166,6 +173,8 @@ mod mass_index;
|
||||
mod mat_hold;
|
||||
mod matching_low;
|
||||
mod max_drawdown;
|
||||
mod mcclellan_oscillator;
|
||||
mod mcclellan_summation_index;
|
||||
mod mcginley_dynamic;
|
||||
mod median_absolute_deviation;
|
||||
mod median_price;
|
||||
@@ -179,6 +188,7 @@ mod mom;
|
||||
mod morning_doji_star;
|
||||
mod morning_evening_star;
|
||||
mod natr;
|
||||
mod new_highs_new_lows;
|
||||
mod nvi;
|
||||
mod ob_imbalance_full;
|
||||
mod ob_imbalance_top1;
|
||||
@@ -197,6 +207,7 @@ mod pair_spread_zscore;
|
||||
mod pairwise_beta;
|
||||
mod parkinson;
|
||||
mod pearson_correlation;
|
||||
mod percent_above_ma;
|
||||
mod percent_b;
|
||||
mod percentage_trailing_stop;
|
||||
mod pgo;
|
||||
@@ -282,11 +293,13 @@ mod three_outside;
|
||||
mod three_soldiers_or_crows;
|
||||
mod three_stars_in_south;
|
||||
mod thrusting;
|
||||
mod tick_index;
|
||||
mod tii;
|
||||
mod tpo_profile;
|
||||
mod trade_imbalance;
|
||||
mod treynor_ratio;
|
||||
mod trima;
|
||||
mod trin;
|
||||
mod trix;
|
||||
mod true_range;
|
||||
mod tsf;
|
||||
@@ -299,6 +312,7 @@ mod typical_price;
|
||||
mod ulcer_index;
|
||||
mod ultimate_oscillator;
|
||||
mod unique_three_river;
|
||||
mod up_down_volume_ratio;
|
||||
mod upside_gap_three_methods;
|
||||
mod upside_gap_two_crows;
|
||||
mod value_area;
|
||||
@@ -330,13 +344,16 @@ mod zig_zag;
|
||||
mod zlema;
|
||||
|
||||
pub use abandoned_baby::AbandonedBaby;
|
||||
pub use absolute_breadth_index::AbsoluteBreadthIndex;
|
||||
pub use acceleration_bands::{AccelerationBands, AccelerationBandsOutput};
|
||||
pub use accelerator_oscillator::AcceleratorOscillator;
|
||||
pub use ad_oscillator::AdOscillator;
|
||||
pub use ad_volume_line::AdVolumeLine;
|
||||
pub use adaptive_cycle::AdaptiveCycle;
|
||||
pub use adl::Adl;
|
||||
pub use advance_block::AdvanceBlock;
|
||||
pub use advance_decline::AdvanceDecline;
|
||||
pub use advance_decline_ratio::AdvanceDeclineRatio;
|
||||
pub use adx::{Adx, AdxOutput};
|
||||
pub use adxr::Adxr;
|
||||
pub use alligator::{Alligator, AlligatorOutput};
|
||||
@@ -361,7 +378,9 @@ pub use beta::Beta;
|
||||
pub use beta_neutral_spread::BetaNeutralSpread;
|
||||
pub use bollinger::{BollingerBands, BollingerOutput};
|
||||
pub use bollinger_bandwidth::BollingerBandwidth;
|
||||
pub use breadth_thrust::BreadthThrust;
|
||||
pub use breakaway::Breakaway;
|
||||
pub use bullish_percent_index::BullishPercentIndex;
|
||||
pub use calendar_spread::CalendarSpread;
|
||||
pub use calmar_ratio::CalmarRatio;
|
||||
pub use camarilla_pivots::{Camarilla, CamarillaPivotsOutput};
|
||||
@@ -384,6 +403,7 @@ pub use conditional_value_at_risk::ConditionalValueAtRisk;
|
||||
pub use connors_rsi::ConnorsRsi;
|
||||
pub use coppock::Coppock;
|
||||
pub use counterattack::Counterattack;
|
||||
pub use cumulative_volume_index::CumulativeVolumeIndex;
|
||||
pub use cvd::CumulativeVolumeDelta;
|
||||
pub use cybernetic_cycle::CyberneticCycle;
|
||||
pub use decycler::Decycler;
|
||||
@@ -434,6 +454,7 @@ pub use hammer::Hammer;
|
||||
pub use hanging_man::HangingMan;
|
||||
pub use harami::Harami;
|
||||
pub use heikin_ashi::{HeikinAshi, HeikinAshiOutput};
|
||||
pub use high_low_index::HighLowIndex;
|
||||
pub use high_wave::HighWave;
|
||||
pub use hikkake::Hikkake;
|
||||
pub use hikkake_modified::HikkakeModified;
|
||||
@@ -491,6 +512,8 @@ pub use mass_index::MassIndex;
|
||||
pub use mat_hold::MatHold;
|
||||
pub use matching_low::MatchingLow;
|
||||
pub use max_drawdown::MaxDrawdown;
|
||||
pub use mcclellan_oscillator::McClellanOscillator;
|
||||
pub use mcclellan_summation_index::McClellanSummationIndex;
|
||||
pub use mcginley_dynamic::McGinleyDynamic;
|
||||
pub use median_absolute_deviation::MedianAbsoluteDeviation;
|
||||
pub use median_price::MedianPrice;
|
||||
@@ -504,6 +527,7 @@ pub use mom::Mom;
|
||||
pub use morning_doji_star::MorningDojiStar;
|
||||
pub use morning_evening_star::MorningEveningStar;
|
||||
pub use natr::Natr;
|
||||
pub use new_highs_new_lows::NewHighsNewLows;
|
||||
pub use nvi::Nvi;
|
||||
pub use ob_imbalance_full::OrderBookImbalanceFull;
|
||||
pub use ob_imbalance_top1::OrderBookImbalanceTop1;
|
||||
@@ -522,6 +546,7 @@ pub use pair_spread_zscore::PairSpreadZScore;
|
||||
pub use pairwise_beta::PairwiseBeta;
|
||||
pub use parkinson::ParkinsonVolatility;
|
||||
pub use pearson_correlation::PearsonCorrelation;
|
||||
pub use percent_above_ma::PercentAboveMa;
|
||||
pub use percent_b::PercentB;
|
||||
pub use percentage_trailing_stop::PercentageTrailingStop;
|
||||
pub use pgo::Pgo;
|
||||
@@ -607,11 +632,13 @@ pub use three_outside::ThreeOutside;
|
||||
pub use three_soldiers_or_crows::ThreeSoldiersOrCrows;
|
||||
pub use three_stars_in_south::ThreeStarsInSouth;
|
||||
pub use thrusting::Thrusting;
|
||||
pub use tick_index::TickIndex;
|
||||
pub use tii::Tii;
|
||||
pub use tpo_profile::{TpoProfile, TpoProfileOutput};
|
||||
pub use trade_imbalance::TradeImbalance;
|
||||
pub use treynor_ratio::TreynorRatio;
|
||||
pub use trima::Trima;
|
||||
pub use trin::Trin;
|
||||
pub use trix::Trix;
|
||||
pub use true_range::TrueRange;
|
||||
pub use tsf::Tsf;
|
||||
@@ -624,6 +651,7 @@ pub use typical_price::TypicalPrice;
|
||||
pub use ulcer_index::UlcerIndex;
|
||||
pub use ultimate_oscillator::UltimateOscillator;
|
||||
pub use unique_three_river::UniqueThreeRiver;
|
||||
pub use up_down_volume_ratio::UpDownVolumeRatio;
|
||||
pub use upside_gap_three_methods::UpsideGapThreeMethods;
|
||||
pub use upside_gap_two_crows::UpsideGapTwoCrows;
|
||||
pub use value_area::{ValueArea, ValueAreaOutput};
|
||||
@@ -1070,7 +1098,26 @@ pub const FAMILIES: &[(&str, &[&str])] = &[
|
||||
"Alt-Chart Bars",
|
||||
&["RenkoBars", "KagiBars", "PointAndFigureBars"],
|
||||
),
|
||||
("Market Breadth", &["AdvanceDecline"]),
|
||||
(
|
||||
"Market Breadth",
|
||||
&[
|
||||
"AdvanceDecline",
|
||||
"AdvanceDeclineRatio",
|
||||
"AdVolumeLine",
|
||||
"McClellanOscillator",
|
||||
"McClellanSummationIndex",
|
||||
"Trin",
|
||||
"BreadthThrust",
|
||||
"NewHighsNewLows",
|
||||
"HighLowIndex",
|
||||
"PercentAboveMa",
|
||||
"UpDownVolumeRatio",
|
||||
"BullishPercentIndex",
|
||||
"CumulativeVolumeIndex",
|
||||
"AbsoluteBreadthIndex",
|
||||
"TickIndex",
|
||||
],
|
||||
),
|
||||
];
|
||||
|
||||
#[cfg(test)]
|
||||
@@ -1099,6 +1146,6 @@ mod family_tests {
|
||||
// the actual indicator count is the early-warning signal that an
|
||||
// indicator was added without being assigned a family.
|
||||
let total: usize = FAMILIES.iter().map(|(_, ns)| ns.len()).sum();
|
||||
assert_eq!(total, 325, "FAMILIES total drifted from indicator count");
|
||||
assert_eq!(total, 339, "FAMILIES total drifted from indicator count");
|
||||
}
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user