feat(frama): add Fractal Adaptive Moving Average

Ehlers' FRAMA adapts its smoothing constant to the fractal dimension of
the recent window: tight tracking in trends, heavy smoothing in chop.
Uses the close-only variant where max/min over each window half drive
the dimension estimate. Period must be even (default 16).

Reference: Ehlers, Fractal Adaptive Moving Average, 2005.

Touchpoints:
- crates/wickra-core: frama.rs + mod.rs + lib.rs re-export
- bindings/python: PyFrama + __init__.py + test_new_indicators +
  test_known_values reference (constant series + uptrend tracking)
- bindings/node: FramaNode (scalar macro) + index.d.ts/index.js +
  indicators.test.js factory + reference value
- bindings/wasm: wasm_scalar_indicator! macro
- fuzz: indicator_update target covers Frama(16)
- crates/wickra/benches: bench_scalar entry
- README + CHANGELOG: Moving Averages row + Unreleased entry
This commit is contained in:
kingchenc
2026-05-24 12:31:34 +02:00
parent 3287146f44
commit d37fbd10f6
14 changed files with 307 additions and 13 deletions
@@ -40,6 +40,7 @@ from ._wickra import (
VWMA,
ALMA,
McGinleyDynamic,
FRAMA,
# Momentum
RSI,
MACD,
@@ -123,6 +124,7 @@ __all__ = [
"VWMA",
"ALMA",
"McGinleyDynamic",
"FRAMA",
# Momentum
"RSI",
"MACD",
@@ -105,6 +105,20 @@ def test_mcginley_dynamic_reference_value():
assert math.isclose(out[3], expected, abs_tol=1e-12)
def test_frama_constant_series_yields_the_constant():
# Flat input -> degenerate ranges -> alpha clamps to 0.01 and the EMA
# recurrence holds the seed value.
out = ta.FRAMA(4).batch(np.full(20, 42.0, dtype=np.float64))
assert np.all(np.isnan(out[:3]))
np.testing.assert_allclose(out[3:], 42.0, atol=1e-12)
def test_frama_pure_uptrend_hugs_latest():
# Monotonic uptrend -> alpha pushed toward 1.0, FRAMA tracks close.
out = ta.FRAMA(4).batch(np.arange(1.0, 9.0, dtype=np.float64))
assert math.isclose(out[-1], 8.0, abs_tol=0.05)
def test_macd_constant_series_converges_to_zero():
out = ta.MACD().batch(np.full(200, 100.0))
# Last row's MACD and signal must be ~0.
@@ -46,6 +46,7 @@ SCALAR = [
(ta.ZLEMA, (14,)),
(ta.ALMA, (9, 0.85, 6.0)),
(ta.McGinleyDynamic, (10,)),
(ta.FRAMA, (16,)),
(ta.T3, (5, 0.7)),
(ta.MOM, (10,)),
(ta.CMO, (14,)),