feat(family-09): add 7 trailing stops (HiLo, Volty, Yo-Yo, Donchian, Pct, Step, Renko) (#46)
* feat(family-09): add 7 trailing stops (HiLo, Volty, Yo-Yo, Donchian, Pct, Step, Renko)
Rounds out the Trailing Stops family from 5 to 12 indicators:
- HiLoActivator (Crabel): SMA-of-high/SMA-of-low trail with a one-bar
lag; emits the opposite-side SMA as the trailing stop.
- VoltyStop (Cynthia Kase): ATR trail anchored on the extreme close
since the trade was opened — tighter than AtrTrailingStop on
pullbacks.
- YoyoExit: long-only ATR trail with an explicit re-entry trigger at
trail + multiplier*ATR; exposes an in_trade flag.
- DonchianStop (Turtle): lowest low / highest high over the window;
multi-output {stop_long, stop_short}.
- PercentageTrailingStop: fixed-percent trail that scales across
instruments without per-asset tuning.
- StepTrailingStop: snaps to a step_size-aligned grid; mirrors
discretionary stop-by-hand workflow.
- RenkoTrailingStop: block-anchored trail; only moves on full-block
advances, ignores intra-block noise.
All seven are wired into wickra-core, the Python / Node / WASM
bindings, the indicator_update + indicator_update_candle fuzz targets,
the wickra bench harness, and the Python + Node test suites. README
counter bumps from 71 to 78; CHANGELOG entry under [Unreleased].
* fix(family-09): satisfy pedantic clippy lints
- hilo_activator: rewrite match-Some/None as if-let-else (single_match_else),
add backticks around the HiLo identifier in module/struct doc (doc_markdown).
- percentage / step / renko trailing stop tests: use f64::from(i32) instead
of `as f64` (cast_lossless).
- bench `benches()` is now >100 lines after Family 09 was wired in; allow
too_many_lines (matches the python pymodule fn).
This commit is contained in:
@@ -332,6 +332,78 @@ def test_obv_cumulative_known_sequence():
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np.testing.assert_allclose(out, [0.0, 20.0, -10.0, -10.0, 0.0])
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def test_percentage_trailing_stop_seed_and_ratchet():
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# 10% trail: first close 100 -> stop 90; next 110 -> stop max(90, 99) = 99.
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s = ta.PercentageTrailingStop(10.0)
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assert math.isclose(s.update(100.0), 90.0, abs_tol=1e-12)
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assert math.isclose(s.update(110.0), 99.0, abs_tol=1e-12)
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def test_step_trailing_stop_snaps_below_close():
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# step 1: floor((100.4 - 1) / 1) = 99.
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s = ta.StepTrailingStop(1.0)
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assert math.isclose(s.update(100.4), 99.0, abs_tol=1e-12)
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def test_renko_trailing_stop_holds_until_full_block():
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# block 1: seed 100 -> stop 99; 100.5 still 99; 101 -> stop 100.
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s = ta.RenkoTrailingStop(1.0)
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assert math.isclose(s.update(100.0), 99.0, abs_tol=1e-12)
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assert math.isclose(s.update(100.5), 99.0, abs_tol=1e-12)
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assert math.isclose(s.update(101.0), 100.0, abs_tol=1e-12)
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def test_donchian_stop_window_extremes():
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# 5-bar window of highs 1..5 and lows 0..4.
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high = np.array([1.0, 2.0, 3.0, 4.0, 5.0])
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low = np.array([0.0, 1.0, 2.0, 3.0, 4.0])
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out = ta.DonchianStop(5).batch(high, low)
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# First 4 rows NaN, fifth row: stop_long = 0, stop_short = 5.
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for i in range(4):
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assert math.isnan(out[i, 0])
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assert math.isnan(out[i, 1])
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assert math.isclose(out[4, 0], 0.0, abs_tol=1e-12)
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assert math.isclose(out[4, 1], 5.0, abs_tol=1e-12)
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def test_hilo_activator_flat_market_holds_low_sma():
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# Flat candles H=11, L=9, C=10 -> close (10) sits between bands, so the
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# initial long seed is preserved: emitted stop = lo_sma = 9.
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h = np.full(15, 11.0)
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l = np.full(15, 9.0)
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c = np.full(15, 10.0)
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out = ta.HiLoActivator(3).batch(h, l, c)
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# warmup_period == period + 1 == 4, so indices 0..2 are NaN; index 3 onwards is 9.
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for i in range(3):
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assert math.isnan(out[i])
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for i in range(3, 15):
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assert math.isclose(out[i], 9.0, abs_tol=1e-12)
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def test_volty_stop_flat_market_constant_level():
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# ATR=2, mult=2 -> band 4; anchor stays at close 10 -> stop = 10 - 4 = 6.
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h = np.full(20, 11.0)
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l = np.full(20, 9.0)
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c = np.full(20, 10.0)
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out = ta.VoltyStop(5, 2.0).batch(h, l, c)
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for i in range(4):
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assert math.isnan(out[i])
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for i in range(4, 20):
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assert math.isclose(out[i], 6.0, abs_tol=1e-12)
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def test_yoyo_exit_flat_market_constant_level():
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# ATR=2, mult=2 -> band 4; trail = close - band = 10 - 4 = 6 and holds.
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h = np.full(20, 11.0)
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l = np.full(20, 9.0)
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c = np.full(20, 10.0)
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out = ta.YoyoExit(5, 2.0).batch(h, l, c)
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for i in range(4):
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assert math.isnan(out[i])
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for i in range(4, 20):
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assert math.isclose(out[i], 6.0, abs_tol=1e-12)
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def test_rvi_volatility_pure_uptrend_saturates_at_one_hundred():
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# Strictly rising closes -> every stddev sample classified as "up" ->
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# RVIVolatility saturates at 100. Renamed from the original ta.RVI in
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@@ -73,6 +73,9 @@ SCALAR = [
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(ta.VerticalHorizontalFilter, (28,)),
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(ta.ZScore, (20,)),
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(ta.LinRegAngle, (14,)),
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(ta.PercentageTrailingStop, (5.0,)),
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(ta.StepTrailingStop, (1.0,)),
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(ta.RenkoTrailingStop, (1.0,)),
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(ta.LaguerreRSI, (0.5,)),
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(ta.ConnorsRSI, (3, 2, 100)),
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(ta.RVIVolatility, (10,)),
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@@ -199,6 +202,18 @@ CANDLE_SCALAR = {
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lambda: ta.AtrTrailingStop(14, 3.0),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"HiLoActivator": (
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lambda: ta.HiLoActivator(3),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"VoltyStop": (
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lambda: ta.VoltyStop(14, 2.0),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"YoyoExit": (
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lambda: ta.YoyoExit(14, 2.0),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"TypicalPrice": (
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lambda: ta.TypicalPrice(),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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@@ -307,6 +322,10 @@ MULTI = {
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lambda: ta.ChandeKrollStop(10, 1.0, 9),
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lambda ind, h, l, c, v: ind.batch(h, l, c),
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),
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"DonchianStop": (
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lambda: ta.DonchianStop(10),
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lambda ind, h, l, c, v: ind.batch(h, l),
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),
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# Family 05 candle-input bands. Each entry is
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# `(factory, batch_call, output_arity, streaming_fields)` where
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# `streaming_fields` is the tuple shape returned by `update(...)`.
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