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
+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,