feat: Family 03 MACD & Price Oscillators — APO / AO-Hist / CFO / Zero-Lag MACD / Elder Impulse / STC (#41)

* feat(apo): add Absolute Price Oscillator

EMA(close, fast) - EMA(close, slow). Like MACD without the signal EMA.
Defaults to (fast = 12, slow = 26); fast must be strictly less than
slow.

Touchpoints: apo.rs + mod.rs + lib.rs re-export, PyApo + __init__.py
+ test_new_indicators SCALAR + test_known_values flat reference,
ApoNode + index.d.ts/index.js + indicators.test.js factory + reference,
WasmApo via scalar macro, scalar-fuzz target, README + CHANGELOG.

* fix(apo): add PyApo + ApoNode + WasmApo bindings missed from ec269d8

The previous APO commit (ec269d8) only registered APO in the Python
__init__.py / Node index.js / Node index.d.ts / fuzz / tests / docs.
The actual PyApo pyclass, ApoNode napi class, and WasmApo wasm class
edits silently no-op'd because the underlying lib.rs files had been
touched by a branch switch between Read and Edit. The bindings were
therefore advertising APO from the Python module / Node package /
WASM module but not actually exposing it.

Fix: insert PyApo block + add_class call in bindings/python/src/lib.rs,
ApoNode block in bindings/node/src/lib.rs, WasmApo macro line in
bindings/wasm/src/lib.rs. cargo test workspace stays at 615 (no new
tests added; the existing test_known_values + indicators.test.js
references would have failed at import once the bindings rebuilt
without these classes).

* feat(ao-histogram): add Awesome Oscillator Histogram

AO - SMA(AO, sma_period). A configurable variant of the existing
AcceleratorOscillator (which fixes fast=5, slow=34, sma=5).
Three parameters; defaults match Bill Williams' Accelerator.

Touchpoints: awesome_oscillator_histogram.rs + mod.rs + lib.rs
re-export, PyAoHist + __init__.py + test_new_indicators CANDLE_SCALAR
+ test_known_values flat reference, AwesomeOscillatorHistogramNode +
index.d.ts/index.js + indicators.test.js factory + reference,
WasmAoHist, candle-fuzz target, README + CHANGELOG.

* feat(cfo): add Chande Forecast Oscillator

100 * (close - LinReg(close, period)) / close. Positive when close
overshoots the linear forecast, negative when it undershoots. Holds
the previous value if the close is zero (percentage form undefined).
Single param period (default 14).

Touchpoints: cfo.rs + mod.rs + lib.rs re-export, PyCfo + __init__.py
+ test_new_indicators SCALAR + test_known_values linear reference,
CfoNode + index.d.ts/index.js + indicators.test.js factory + reference,
WasmCfo via scalar macro, scalar-fuzz target, README + CHANGELOG.

* fix(cfo): add WasmCfo binding missed from 733afd9

* feat(zero-lag-macd): add Zero-Lag MACD

Classic MACD topology with ZLEMA substituted for EMA everywhere:
faster reaction to trend changes at the cost of slightly noisier
readings. Multi-output ZeroLagMacdOutput { macd, signal, histogram }.
Three parameters (fast = 12, slow = 26, signal = 9); fast must be
strictly less than slow.

Touchpoints: zero_lag_macd.rs + mod.rs + lib.rs re-export, PyZeroLagMacd
+ __init__.py + test_new_indicators MULTI + test_known_values flat
reference, ZeroLagMacdNode + ZeroLagMacdValue + index.d.ts/index.js +
indicators.test.js multi factory + reference, WasmZeroLagMacd, scalar
fuzz with hand-rolled drive (multi-output bypasses the f64-only
helper), README + CHANGELOG.

* feat(elder-impulse): add Alexander Elder Impulse System

Tri-state momentum gauge: +1 (green/buy) when EMA trend and MACD
histogram both rise, -1 (red/sell) when both fall, 0 (blue/neutral)
on disagreement. Four parameters (ema_period, macd_fast, macd_slow,
macd_signal); defaults (13, 12, 26, 9) match Elder.

Internally feeds both branches on every input so they warm in parallel;
needs one bar past the slowest branch to seed direction state.

Touchpoints: elder_impulse.rs + mod.rs + lib.rs re-export, PyElderImpulse
+ __init__.py + test_new_indicators SCALAR + test_known_values neutral
reference, ElderImpulseNode + index.d.ts/index.js + indicators.test.js
factory + reference, WasmElderImpulse via scalar macro, scalar-fuzz
target, README + CHANGELOG.

* feat(stc): add Schaff Trend Cycle

Doug Schaff's doubly-Stochastic-smoothed MACD. Bounded [0, 100]
reading that reacts faster than MACD by extracting the percentile of
MACD within a recent window, half-EMA-smoothing it, and re-stochasing
the smoothed series. Four parameters (fast = 23, slow = 50,
schaff_period = 10, factor = 0.5); fast must be strictly less than
slow and factor must lie in (0, 1].

Output clamped to [0, 100] to absorb floating-point rounding. The
stochastic stages clamp to 0 when their rolling range collapses (flat
input or perfectly monotone trend), so a flat series settles
deterministically at 0 after warmup.

Touchpoints: stc.rs + mod.rs + lib.rs re-export, PyStc + __init__.py
+ test_new_indicators SCALAR + test_known_values flat reference,
StcNode + index.d.ts/index.js + indicators.test.js factory + reference,
WasmStc via scalar macro, scalar-fuzz target, README + CHANGELOG.

* fix(stc): rename last_stc -> last_value to satisfy clippy

* ci: Retry setup-node and setup-python on CDN flakes

Setup-node on Windows runners and setup-python across all OSes
occasionally fail with a silent hang or 5xx mid-download ("Attempting
to download 18..." → fail in <1s) — pure upstream CDN flake. The fix
ran on this branch's previous merge commit (24e723f) had to be
re-triggered manually via `gh run rerun --failed`.

Wrap both setup actions with continue-on-error and a follow-up retry
step that waits 30s and re-runs the same setup. The retry only fires
when the first attempt failed (steps.<id>.outcome == 'failure'), so a
green setup costs nothing extra. The retry uses the identical pinned
SHA so we still get supply-chain verification on both attempts.

Applied to ci.yml (Python matrix and Node matrix). release.yml has
the same setup-node / setup-python steps but is rarely re-run, so
the existing manual rerun pattern stays sufficient for now.

* test(zero-lag-macd): Fix MULTI dict shape mismatch + cover warmup_period

ZeroLagMACD was registered in the Python MULTI dict (which asserts a
(n, 2) batch shape) but actually emits (n, 3) — macd, signal,
histogram — like MACD. Moved out into its own standalone test
test_zero_lag_macd_streaming_matches_batch (3-tuple shape), and
included in the lifecycle sweep. Mirrors the existing Alligator
pattern for 3-output candle indicators.

Also adds a unit test for ZeroLagMacd::warmup_period that pins both
the (12, 26, 9) classic case and a small-period config — these four
lines were the codecov/patch miss on PR 41.
This commit is contained in:
kingchenc
2026-05-25 17:26:46 +02:00
committed by GitHub
parent 7f1a6df202
commit d9d3ad18aa
21 changed files with 2303 additions and 22 deletions
@@ -52,6 +52,10 @@ const scalarFactories = {
PMO: () => new wickra.PMO(35, 20),
StochRSI: () => new wickra.StochRSI(14, 14),
PPO: () => new wickra.PPO(12, 26),
APO: () => new wickra.APO(12, 26),
CFO: () => new wickra.CFO(14),
ElderImpulse: () => new wickra.ElderImpulse(13, 12, 26, 9),
STC: () => new wickra.STC(23, 50, 10, 0.5),
DPO: () => new wickra.DPO(20),
Coppock: () => new wickra.Coppock(14, 11, 10),
StdDev: () => new wickra.StdDev(20),
@@ -113,6 +117,7 @@ const candleScalar = {
MedianPrice: { make: () => new wickra.MedianPrice(), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
WeightedClose: { make: () => new wickra.WeightedClose(), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
AcceleratorOscillator: { make: () => new wickra.AcceleratorOscillator(5, 34, 5), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
AwesomeOscillatorHistogram: { make: () => new wickra.AwesomeOscillatorHistogram(5, 34, 5), step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
BalanceOfPower: { make: () => new wickra.BalanceOfPower(), step: (ind, i) => ind.update(open[i], high[i], low[i], close[i]), batch: (ind) => ind.batch(open, high, low, close) },
ChoppinessIndex: { make: () => new wickra.ChoppinessIndex(14), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
TrueRange: { make: () => new wickra.TrueRange(), step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
@@ -136,6 +141,7 @@ for (const [name, d] of Object.entries(candleScalar)) {
const multi = {
KST: { make: () => new wickra.KST(10, 15, 20, 30, 10, 10, 10, 15, 9), fields: ['kst', 'signal'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
Alligator: { make: () => new wickra.Alligator(13, 8, 5), fields: ['jaw', 'teeth', 'lips'], step: (ind, i) => ind.update(high[i], low[i]), batch: (ind) => ind.batch(high, low) },
ZeroLagMACD: { make: () => new wickra.ZeroLagMACD(12, 26, 9), fields: ['macd', 'signal', 'histogram'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
MACD: { make: () => new wickra.MACD(12, 26, 9), fields: ['macd', 'signal', 'histogram'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
BollingerBands: { make: () => new wickra.BollingerBands(20, 2), fields: ['upper', 'middle', 'lower', 'stddev'], step: (ind, i) => ind.update(close[i]), batch: (ind) => ind.batch(close) },
Stochastic: { make: () => new wickra.Stochastic(14, 3), fields: ['k', 'd'], step: (ind, i) => ind.update(high[i], low[i], close[i]), batch: (ind) => ind.batch(high, low, close) },
@@ -273,6 +279,54 @@ test('LinRegAngle of a unit-slope series is 45 degrees', () => {
assert.ok(Math.abs(out[4] - 45) < 1e-9);
});
test('ZeroLagMACD on a flat series converges to zero', () => {
const out = new wickra.ZeroLagMACD(3, 5, 3).batch(Array(60).fill(42));
// Last interleaved row: macd, signal, histogram all 0.
const n = 60;
assert.ok(Math.abs(out[(n - 1) * 3]) < 1e-12);
assert.ok(Math.abs(out[(n - 1) * 3 + 1]) < 1e-12);
assert.ok(Math.abs(out[(n - 1) * 3 + 2]) < 1e-12);
});
test('AwesomeOscillatorHistogram on a flat median converges to zero', () => {
const n = 50;
const out = new wickra.AwesomeOscillatorHistogram(3, 5, 3).batch(
Array(n).fill(11),
Array(n).fill(9),
);
// warmup = 5 + 3 - 1 = 7.
for (let i = 6; i < n; i++) assert.ok(Math.abs(out[i]) < 1e-12);
});
test('STC on a flat series stays at zero', () => {
const out = new wickra.STC(3, 5, 4, 0.5).batch(Array(60).fill(42));
// Latest values must be exactly zero.
for (let i = out.length - 5; i < out.length; i++) {
if (Number.isNaN(out[i])) continue;
assert.equal(out[i], 0);
}
});
test('ElderImpulse on a flat series stays neutral (0)', () => {
const out = new wickra.ElderImpulse(13, 12, 26, 9).batch(Array(120).fill(42));
for (let i = 0; i < out.length; i++) {
if (Number.isNaN(out[i])) continue;
assert.equal(out[i], 0);
}
});
test('CFO(5) on a perfectly linear series yields zero', () => {
const prices = Array.from({ length: 20 }, (_, i) => (i + 1) * 2);
const out = new wickra.CFO(5).batch(prices);
for (let i = 4; i < 20; i++) assert.ok(Math.abs(out[i]) < 1e-9);
});
test('APO(3, 5) on a flat series converges to zero', () => {
const out = new wickra.APO(3, 5).batch(Array(30).fill(42));
for (let i = 0; i < 4; i++) assert.ok(Number.isNaN(out[i]));
for (let i = 4; i < 30; i++) assert.ok(Math.abs(out[i]) < 1e-12);
});
test('Inertia(3, 4) on a constant RVI series equals that RVI', () => {
const n = 60;
// Every bar (open, high, low, close) = (10, 11, 9, 10.5) -> RVI = 0.25.
+7 -1
View File
@@ -310,7 +310,7 @@ if (!nativeBinding) {
throw new Error(`Failed to load native binding`)
}
const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, KAMA, RVI, PGO, KST, SMI, LaguerreRSI, ConnorsRSI, Inertia, ALMA, McGinleyDynamic, FRAMA, VIDYA, JMA, Alligator, EVWMA, T3, TSI, PMO, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA } = nativeBinding
const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, KAMA, RVI, PGO, KST, SMI, LaguerreRSI, ConnorsRSI, Inertia, ALMA, McGinleyDynamic, FRAMA, VIDYA, JMA, Alligator, EVWMA, APO, AwesomeOscillatorHistogram, CFO, ZeroLagMACD, ElderImpulse, STC, T3, TSI, PMO, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, EaseOfMovement, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, Vortex, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA } = nativeBinding
module.exports.version = version
module.exports.SMA = SMA
@@ -363,6 +363,12 @@ module.exports.VIDYA = VIDYA
module.exports.JMA = JMA
module.exports.Alligator = Alligator
module.exports.EVWMA = EVWMA
module.exports.APO = APO
module.exports.AwesomeOscillatorHistogram = AwesomeOscillatorHistogram
module.exports.CFO = CFO
module.exports.ZeroLagMACD = ZeroLagMACD
module.exports.ElderImpulse = ElderImpulse
module.exports.STC = STC
module.exports.T3 = T3
module.exports.TSI = TSI
module.exports.PMO = PMO
+264
View File
@@ -1450,6 +1450,270 @@ impl RviNode {
}
}
#[napi(js_name = "AwesomeOscillatorHistogram")]
pub struct AwesomeOscillatorHistogramNode {
inner: wc::AwesomeOscillatorHistogram,
}
#[napi]
impl AwesomeOscillatorHistogramNode {
#[napi(constructor)]
pub fn new(fast: u32, slow: u32, sma_period: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::AwesomeOscillatorHistogram::new(
clamp_period(fast),
clamp_period(slow),
clamp_period(sma_period),
)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, high: f64, low: f64) -> napi::Result<Option<f64>> {
Ok(self.inner.update(cnd(high, low, low, 0.0)?))
}
#[napi]
pub fn batch(&mut self, high: Vec<f64>, low: Vec<f64>) -> napi::Result<Vec<f64>> {
if high.len() != low.len() {
return Err(NapiError::from_reason(
"high and low must be equal length".to_string(),
));
}
let mut out = Vec::with_capacity(high.len());
for i in 0..high.len() {
out.push(
self.inner
.update(cnd(high[i], low[i], low[i], 0.0)?)
.unwrap_or(f64::NAN),
);
}
Ok(out)
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
#[napi(js_name = "STC")]
pub struct StcNode {
inner: wc::Stc,
}
#[napi]
impl StcNode {
#[napi(constructor)]
pub fn new(fast: u32, slow: u32, schaff_period: u32, factor: f64) -> napi::Result<Self> {
Ok(Self {
inner: wc::Stc::new(
clamp_period(fast),
clamp_period(slow),
clamp_period(schaff_period),
factor,
)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
flatten(self.inner.batch(&prices))
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
#[napi(js_name = "ElderImpulse")]
pub struct ElderImpulseNode {
inner: wc::ElderImpulse,
}
#[napi]
impl ElderImpulseNode {
#[napi(constructor)]
pub fn new(
ema_period: u32,
macd_fast: u32,
macd_slow: u32,
macd_signal: u32,
) -> napi::Result<Self> {
Ok(Self {
inner: wc::ElderImpulse::new(
clamp_period(ema_period),
clamp_period(macd_fast),
clamp_period(macd_slow),
clamp_period(macd_signal),
)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
flatten(self.inner.batch(&prices))
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
#[napi(object)]
pub struct ZeroLagMacdValue {
pub macd: f64,
pub signal: f64,
pub histogram: f64,
}
#[napi(js_name = "ZeroLagMACD")]
pub struct ZeroLagMacdNode {
inner: wc::ZeroLagMacd,
}
#[napi]
impl ZeroLagMacdNode {
#[napi(constructor)]
pub fn new(fast: u32, slow: u32, signal: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::ZeroLagMacd::new(
clamp_period(fast),
clamp_period(slow),
clamp_period(signal),
)
.map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<ZeroLagMacdValue> {
self.inner.update(value).map(|o| ZeroLagMacdValue {
macd: o.macd,
signal: o.signal,
histogram: o.histogram,
})
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
let n = prices.len();
let mut out = vec![f64::NAN; n * 3];
for (i, p) in prices.iter().enumerate() {
if let Some(o) = self.inner.update(*p) {
out[i * 3] = o.macd;
out[i * 3 + 1] = o.signal;
out[i * 3 + 2] = o.histogram;
}
}
out
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
#[napi(js_name = "CFO")]
pub struct CfoNode {
inner: wc::Cfo,
}
#[napi]
impl CfoNode {
#[napi(constructor)]
pub fn new(period: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::Cfo::new(clamp_period(period)).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
flatten(self.inner.batch(&prices))
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
#[napi(js_name = "APO")]
pub struct ApoNode {
inner: wc::Apo,
}
#[napi]
impl ApoNode {
#[napi(constructor)]
pub fn new(fast: u32, slow: u32) -> napi::Result<Self> {
Ok(Self {
inner: wc::Apo::new(clamp_period(fast), clamp_period(slow)).map_err(map_err)?,
})
}
#[napi]
pub fn update(&mut self, value: f64) -> Option<f64> {
self.inner.update(value)
}
#[napi]
pub fn batch(&mut self, prices: Vec<f64>) -> Vec<f64> {
flatten(self.inner.batch(&prices))
}
#[napi]
pub fn reset(&mut self) {
self.inner.reset();
}
#[napi(js_name = "isReady")]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[napi(js_name = "warmupPeriod")]
pub fn warmup_period(&self) -> u32 {
self.inner.warmup_period() as u32
}
}
#[napi(js_name = "KAMA")]
pub struct KamaNode {
inner: wc::Kama,
+12
View File
@@ -70,6 +70,12 @@ from ._wickra import (
LaguerreRSI,
ConnorsRSI,
Inertia,
APO,
AwesomeOscillatorHistogram,
CFO,
ZeroLagMACD,
ElderImpulse,
STC,
PPO,
DPO,
Coppock,
@@ -165,6 +171,12 @@ __all__ = [
"LaguerreRSI",
"ConnorsRSI",
"Inertia",
"APO",
"AwesomeOscillatorHistogram",
"CFO",
"ZeroLagMACD",
"ElderImpulse",
"STC",
"PPO",
"DPO",
"Coppock",
+315
View File
@@ -1620,6 +1620,315 @@ impl PyAlma {
}
}
// ============================== AwesomeOscillatorHistogram ==============================
#[pyclass(
name = "AwesomeOscillatorHistogram",
module = "wickra._wickra",
skip_from_py_object
)]
#[derive(Clone)]
struct PyAoHist {
inner: wc::AwesomeOscillatorHistogram,
}
#[pymethods]
impl PyAoHist {
#[new]
#[pyo3(signature = (fast=5, slow=34, sma_period=5))]
fn new(fast: usize, slow: usize, sma_period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::AwesomeOscillatorHistogram::new(fast, slow, sma_period).map_err(map_err)?,
})
}
fn update(&mut self, candle: &Bound<'_, PyAny>) -> PyResult<Option<f64>> {
let c = extract_candle(candle)?;
Ok(self.inner.update(c))
}
fn batch<'py>(
&mut self,
py: Python<'py>,
high: PyReadonlyArray1<'py, f64>,
low: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray1<f64>>> {
let h = high
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
let l = low
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
if h.len() != l.len() {
return Err(PyValueError::new_err("high and low must be equal length"));
}
let mut out = Vec::with_capacity(h.len());
for i in 0..h.len() {
let candle = wc::Candle::new(l[i], h[i], l[i], l[i], 0.0, 0).map_err(map_err)?;
out.push(self.inner.update(candle).unwrap_or(f64::NAN));
}
Ok(out.into_pyarray(py))
}
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 {
let (f, s, k) = self.inner.periods();
format!("AwesomeOscillatorHistogram(fast={f}, slow={s}, sma_period={k})")
}
}
// ============================== STC ==============================
#[pyclass(name = "STC", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyStc {
inner: wc::Stc,
}
#[pymethods]
impl PyStc {
#[new]
#[pyo3(signature = (fast=23, slow=50, schaff_period=10, factor=0.5))]
fn new(fast: usize, slow: usize, schaff_period: usize, factor: f64) -> PyResult<Self> {
Ok(Self {
inner: wc::Stc::new(fast, slow, schaff_period, factor).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(flatten(self.inner.batch(s)).into_pyarray(py))
}
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 {
let (f, s, p, k) = self.inner.params();
format!("STC(fast={f}, slow={s}, schaff_period={p}, factor={k})")
}
}
// ============================== ElderImpulse ==============================
#[pyclass(name = "ElderImpulse", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyElderImpulse {
inner: wc::ElderImpulse,
}
#[pymethods]
impl PyElderImpulse {
#[new]
#[pyo3(signature = (ema_period=13, macd_fast=12, macd_slow=26, macd_signal=9))]
fn new(
ema_period: usize,
macd_fast: usize,
macd_slow: usize,
macd_signal: usize,
) -> PyResult<Self> {
Ok(Self {
inner: wc::ElderImpulse::new(ema_period, macd_fast, macd_slow, macd_signal)
.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(flatten(self.inner.batch(s)).into_pyarray(py))
}
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 {
let (e, f, s, sig) = self.inner.periods();
format!("ElderImpulse(ema_period={e}, macd_fast={f}, macd_slow={s}, macd_signal={sig})")
}
}
// ============================== ZeroLagMACD ==============================
#[pyclass(name = "ZeroLagMACD", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyZeroLagMacd {
inner: wc::ZeroLagMacd,
}
#[pymethods]
impl PyZeroLagMacd {
#[new]
#[pyo3(signature = (fast=12, slow=26, signal=9))]
fn new(fast: usize, slow: usize, signal: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::ZeroLagMacd::new(fast, slow, signal).map_err(map_err)?,
})
}
fn update(&mut self, value: f64) -> Option<(f64, f64, f64)> {
self.inner
.update(value)
.map(|o| (o.macd, o.signal, o.histogram))
}
fn batch<'py>(
&mut self,
py: Python<'py>,
prices: PyReadonlyArray1<'py, f64>,
) -> PyResult<Bound<'py, PyArray2<f64>>> {
let slice = prices
.as_slice()
.map_err(|_| PyValueError::new_err(NON_CONTIGUOUS))?;
let n = slice.len();
let mut out = vec![f64::NAN; n * 3];
for (i, p) in slice.iter().enumerate() {
if let Some(o) = self.inner.update(*p) {
out[i * 3] = o.macd;
out[i * 3 + 1] = o.signal;
out[i * 3 + 2] = o.histogram;
}
}
Ok(numpy::ndarray::Array2::from_shape_vec((n, 3), out)
.expect("shape consistent")
.into_pyarray(py))
}
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 {
let (f, s, sig) = self.inner.periods();
format!("ZeroLagMACD(fast={f}, slow={s}, signal={sig})")
}
}
// ============================== CFO ==============================
#[pyclass(name = "CFO", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyCfo {
inner: wc::Cfo,
}
#[pymethods]
impl PyCfo {
#[new]
#[pyo3(signature = (period=14))]
fn new(period: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::Cfo::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(flatten(self.inner.batch(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!("CFO(period={})", self.inner.period())
}
}
// ============================== APO ==============================
#[pyclass(name = "APO", module = "wickra._wickra", skip_from_py_object)]
#[derive(Clone)]
struct PyApo {
inner: wc::Apo,
}
#[pymethods]
impl PyApo {
#[new]
#[pyo3(signature = (fast=12, slow=26))]
fn new(fast: usize, slow: usize) -> PyResult<Self> {
Ok(Self {
inner: wc::Apo::new(fast, slow).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(flatten(self.inner.batch(s)).into_pyarray(py))
}
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 {
let (f, s) = self.inner.periods();
format!("APO(fast={f}, slow={s})")
}
}
// ============================== CCI ==============================
#[pyclass(name = "CCI", module = "wickra._wickra", skip_from_py_object)]
@@ -5375,5 +5684,11 @@ fn _wickra(_py: Python<'_>, m: &Bound<'_, PyModule>) -> PyResult<()> {
m.add_class::<PyJma>()?;
m.add_class::<PyAlligator>()?;
m.add_class::<PyEvwma>()?;
m.add_class::<PyApo>()?;
m.add_class::<PyAoHist>()?;
m.add_class::<PyCfo>()?;
m.add_class::<PyZeroLagMacd>()?;
m.add_class::<PyElderImpulse>()?;
m.add_class::<PyStc>()?;
Ok(())
}
@@ -234,6 +234,56 @@ def test_vidya_constant_series_holds_seed():
np.testing.assert_allclose(out[4:], 42.0, atol=1e-12)
def test_zero_lag_macd_constant_series_converges_to_zero():
# Each inner ZLEMA reproduces a constant, so macd, signal and histogram
# are all 0 once the slowest branch warms up.
out = ta.ZeroLagMACD(3, 5, 3).batch(np.full(60, 42.0, dtype=np.float64))
# Take the last row and verify all three columns are 0.
last = out[-1]
assert math.isclose(last[0], 0.0, abs_tol=1e-12)
assert math.isclose(last[1], 0.0, abs_tol=1e-12)
assert math.isclose(last[2], 0.0, abs_tol=1e-12)
def test_awesome_oscillator_histogram_flat_series_converges_to_zero():
# Flat median price -> AO = 0 -> SMA(AO) = 0 -> AOHist = 0.
n = 50
high = np.full(n, 11.0)
low = np.full(n, 9.0)
out = ta.AwesomeOscillatorHistogram(3, 5, 3).batch(high, low)
# warmup = slow + sma - 1 = 5 + 3 - 1 = 7.
np.testing.assert_allclose(out[6:], 0.0, atol=1e-12)
def test_stc_constant_series_yields_zero():
# Flat input collapses both stochastic stages to zero -> STC stays at 0.
out = ta.STC(3, 5, 4, 0.5).batch(np.full(60, 42.0, dtype=np.float64))
ready = out[~np.isnan(out)]
assert ready.size > 0
np.testing.assert_array_equal(ready[-5:], np.zeros(5))
def test_elder_impulse_constant_series_is_neutral():
# Flat input -> neither EMA nor MACD histogram moves -> Impulse stays at 0.
out = ta.ElderImpulse(13, 12, 26, 9).batch(np.full(120, 42.0, dtype=np.float64))
ready = out[~np.isnan(out)]
assert ready.size > 0
np.testing.assert_array_equal(ready, np.zeros_like(ready))
def test_cfo_perfect_linear_series_yields_zero():
# LinReg of a perfectly linear series fits exactly, so CFO = 0 after warmup.
out = ta.CFO(5).batch(np.arange(1.0, 21.0, dtype=np.float64) * 2.0)
np.testing.assert_allclose(out[4:], 0.0, atol=1e-9)
def test_apo_constant_series_converges_to_zero():
# Both EMAs reproduce a constant exactly, so APO = 0 after warmup.
out = ta.APO(3, 5).batch(np.full(30, 42.0, dtype=np.float64))
assert np.all(np.isnan(out[:4]))
np.testing.assert_allclose(out[4:], 0.0, atol=1e-12)
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.
@@ -56,6 +56,10 @@ SCALAR = [
(ta.PMO, (35, 20)),
(ta.StochRSI, (14, 14)),
(ta.PPO, (12, 26)),
(ta.APO, (12, 26)),
(ta.CFO, (14,)),
(ta.ElderImpulse, (13, 12, 26, 9)),
(ta.STC, (23, 50, 10, 0.5)),
(ta.DPO, (20,)),
(ta.Coppock, (14, 11, 10)),
(ta.StdDev, (20,)),
@@ -159,6 +163,10 @@ CANDLE_SCALAR = {
lambda: ta.AcceleratorOscillator(5, 34, 5),
lambda ind, h, l, c, v: ind.batch(h, l),
),
"AwesomeOscillatorHistogram": (
lambda: ta.AwesomeOscillatorHistogram(5, 34, 5),
lambda ind, h, l, c, v: ind.batch(h, l),
),
"BalanceOfPower": (
# The streaming 6-tuple feeds open == close, so batch matches with
# the close column standing in for open.
@@ -275,6 +283,22 @@ def test_multi_scalar_streaming_matches_batch(name, ohlcv):
assert _eq_nan(batch, np.array(rows, dtype=np.float64)), f"{name} mismatch"
# --- ZeroLagMACD (scalar input, 3-tuple output: macd / signal / histogram) -
def test_zero_lag_macd_streaming_matches_batch(ohlcv):
_, _, close, _ = ohlcv
batch = ta.ZeroLagMACD(12, 26, 9).batch(close)
assert batch.shape == (close.size, 3)
streamer = ta.ZeroLagMACD(12, 26, 9)
rows = []
for p in close:
v = streamer.update(float(p))
rows.append([math.nan, math.nan, math.nan] if v is None else list(v))
assert _eq_nan(batch, np.array(rows, dtype=np.float64)), "ZeroLagMACD mismatch"
# --- Alligator (3-tuple output) -------------------------------------------
@@ -362,8 +386,10 @@ def test_z_score_reference():
def test_new_indicators_expose_lifecycle():
instances = [make() for make, _ in CANDLE_SCALAR.values()]
instances += [make() for make, _ in MULTI.values()]
instances += [make() for make, _ in MULTI_SCALAR_INPUT.values()]
instances += [cls(*args) for cls, args in SCALAR]
instances.append(ta.Alligator(13, 8, 5))
instances.append(ta.ZeroLagMACD(12, 26, 9))
for ind in instances:
assert ind.is_ready() is False
assert ind.warmup_period() >= 1
+97
View File
@@ -91,6 +91,62 @@ wasm_scalar_indicator!(WasmPmo, "PMO", wc::Pmo, smoothing1: usize, smoothing2: u
wasm_scalar_indicator!(WasmStochRsi, "StochRSI", wc::StochRsi, rsi_period: usize, stoch_period: usize);
wasm_scalar_indicator!(WasmDpo, "DPO", wc::Dpo, period: usize);
wasm_scalar_indicator!(WasmPpo, "PPO", wc::Ppo, fast: usize, slow: usize);
wasm_scalar_indicator!(WasmApo, "APO", wc::Apo, fast: usize, slow: usize);
wasm_scalar_indicator!(WasmCfo, "CFO", wc::Cfo, period: usize);
wasm_scalar_indicator!(WasmElderImpulse, "ElderImpulse", wc::ElderImpulse, ema_period: usize, macd_fast: usize, macd_slow: usize, macd_signal: usize);
wasm_scalar_indicator!(WasmStc, "STC", wc::Stc, fast: usize, slow: usize, schaff_period: usize, factor: f64);
#[wasm_bindgen(js_name = ZeroLagMACD)]
pub struct WasmZeroLagMacd {
inner: wc::ZeroLagMacd,
}
#[wasm_bindgen(js_class = ZeroLagMACD)]
impl WasmZeroLagMacd {
#[wasm_bindgen(constructor)]
pub fn new(fast: usize, slow: usize, signal: usize) -> Result<WasmZeroLagMacd, JsError> {
Ok(Self {
inner: wc::ZeroLagMacd::new(fast, slow, signal).map_err(map_err)?,
})
}
/// Returns `[macd0, signal0, histogram0, ...]`, length `3n`.
pub fn batch(&mut self, prices: &[f64]) -> Float64Array {
let n = prices.len();
let mut out = vec![f64::NAN; n * 3];
for (i, p) in prices.iter().enumerate() {
if let Some(o) = self.inner.update(*p) {
out[i * 3] = o.macd;
out[i * 3 + 1] = o.signal;
out[i * 3 + 2] = o.histogram;
}
}
Float64Array::from(out.as_slice())
}
/// Returns `{ macd, signal, histogram }` once warm, else `null`.
pub fn update(&mut self, value: f64) -> JsValue {
match self.inner.update(value) {
Some(o) => {
let obj = Object::new();
Reflect::set(&obj, &"macd".into(), &o.macd.into()).ok();
Reflect::set(&obj, &"signal".into(), &o.signal.into()).ok();
Reflect::set(&obj, &"histogram".into(), &o.histogram.into()).ok();
obj.into()
}
None => JsValue::NULL,
}
}
pub fn reset(&mut self) {
self.inner.reset();
}
#[wasm_bindgen(js_name = isReady)]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[wasm_bindgen(js_name = warmupPeriod)]
pub fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
}
wasm_scalar_indicator!(WasmCoppock, "Coppock", wc::Coppock, roc_long: usize, roc_short: usize, wma_period: usize);
wasm_scalar_indicator!(WasmStdDev, "StdDev", wc::StdDev, period: usize);
wasm_scalar_indicator!(WasmUlcerIndex, "UlcerIndex", wc::UlcerIndex, period: usize);
@@ -2218,6 +2274,47 @@ impl WasmRollingVwap {
}
}
#[wasm_bindgen(js_name = AwesomeOscillatorHistogram)]
pub struct WasmAoHist {
inner: wc::AwesomeOscillatorHistogram,
}
#[wasm_bindgen(js_class = AwesomeOscillatorHistogram)]
impl WasmAoHist {
#[wasm_bindgen(constructor)]
pub fn new(fast: usize, slow: usize, sma_period: usize) -> Result<WasmAoHist, JsError> {
Ok(Self {
inner: wc::AwesomeOscillatorHistogram::new(fast, slow, sma_period).map_err(map_err)?,
})
}
pub fn update(&mut self, high: f64, low: f64) -> Result<Option<f64>, JsError> {
let c = make_candle(high, low, low, 0.0)?;
Ok(self.inner.update(c))
}
pub fn batch(&mut self, high: &[f64], low: &[f64]) -> Result<Float64Array, JsError> {
if high.len() != low.len() {
return Err(JsError::new("high and low must be equal length"));
}
let mut out = Vec::with_capacity(high.len());
for i in 0..high.len() {
let c = make_candle(high[i], low[i], low[i], 0.0)?;
out.push(self.inner.update(c).unwrap_or(f64::NAN));
}
Ok(Float64Array::from(out.as_slice()))
}
pub fn reset(&mut self) {
self.inner.reset();
}
#[wasm_bindgen(js_name = isReady)]
pub fn is_ready(&self) -> bool {
self.inner.is_ready()
}
#[wasm_bindgen(js_name = warmupPeriod)]
pub fn warmup_period(&self) -> usize {
self.inner.warmup_period()
}
}
#[wasm_bindgen(js_name = AwesomeOscillator)]
pub struct WasmAo {
inner: wc::AwesomeOscillator,