c78b84e186fa57b35977cababe664f4103f4e884
60 Commits
| Author | SHA1 | Message | Date | |
|---|---|---|---|---|
 kingchenc
|
c78b84e186 |
Add B8 Volume family deepening (7 indicators) (#195)
Deepens the **Volume** family (B8) with seven indicators (440 -> 447):
- **VolumeRsi** — Wilder RSI computed on signed volume flow.
- **WilliamsAd** — Williams Accumulation/Distribution cumulative line (distinct from Chaikin A/D).
- **TwiggsMoneyFlow** — true-range volume accumulation with Wilder smoothing (distinct from CMF).
- **TradeVolumeIndex** — tick-direction volume accumulation past a min-tick threshold (distinct from TSV).
- **IntradayIntensity** — volume weighted by close position within the bar range.
- **BetterVolume** — VSA volume-vs-spread effort/result classifier.
- **VolumeWeightedMacd** — MACD computed on VWMA with signal line and histogram (struct output).
("Up/Down Volume Ratio" already ships from A2.) All Candle input; the six scalar stops emit f64, VolumeWeightedMacd a {macd, signal, histogram} struct. Hand-written Python/Node/WASM bindings for the volume signature. Verified locally: 3620 core lib + 405 doc tests, clippy clean, 522 node tests, 865 pytest, counter 447.
|
||
|
kingchenc
|
2991ba411d |
Add B7 Trailing Stops family (6 indicators) (#193)
Adds the **Trailing Stops** family deepening (B7), six new indicators (434 -> 440):
- **KaseDevStop** — Cynthia Kase's volatility stop on the standard deviation of the two-bar true range.
- **ElderSafeZone** — Alexander Elder's stop offset by a multiple of average market noise.
- **AtrRatchet** — Kaufman ATR ratchet that tightens its multiple by a per-bar increment.
- **Nrtr** — Nick Rypock Trailing Reverse (percentage band).
- **TimeBasedStop** — exits after a fixed number of bars (scalar fraction of elapsed life).
- **ModifiedMaStop** — moving-average based trailing stop.
("Wilder Volatility System" is intentionally skipped — it overlaps the existing VoltyStop/Psar/SarExt.)
Each takes Candle input; the five band/structure stops emit a {value, direction} struct, TimeBasedStop a scalar. Wired across core, Python/Node/WASM bindings, fuzz target and tests. Verified locally: 3560 core lib + 398 doc tests, clippy clean, 515 node tests, 852 pytest, counter 440.
|
||
|
kingchenc
|
67feec598a |
feat(indicators): add B6 Bands & Channels family (429 -> 434) (#191)
Adds the **B6 Bands & Channels** batch — five band/channel indicators, taking the catalogue from 429 to 434.
| Indicator | Input → Output | Summary |
|-----------|----------------|---------|
| `ProjectionBands` | `Candle` → `{upper,middle,lower}` | Widner forward-projected high/low regression envelope |
| `ProjectionOscillator` | `Candle` → `f64` | Close position inside the projection bands, scaled 0..100 |
| `QuartileBands` | `f64` → `{upper,middle,lower}` | Rolling 25th/50th/75th-percentile (Q1/median/Q3) envelope |
| `BomarBands` | `f64` → `{upper,middle,lower}` | Adaptive percentage bands containing a target coverage fraction of recent closes |
| `MedianChannel` | `f64` → `{upper,middle,lower}` | Robust median ± multiplier·MAD envelope |
All five are distinct from existing indicators (verified against the core: `LinRegChannel`, `StandardErrorBands`, `Donchian`, `RollingQuantile`, `HurstChannel`). SKIPped from the roadmap: Price Channel (= `Donchian`) and Moving-Average Channel (≈ `MaEnvelope`/`Keltner`).
Each ships:
- Core indicator with per-branch unit tests (Codecov-strict 100%).
- python / node / wasm bindings (struct outputs are hand-written; `ProjectionOscillator` uses the generated candle→f64 path).
- Fuzz drives, python (`MULTI`/`SCALAR_MULTI`/`CANDLE_SCALAR`) + node test registries, README + CHANGELOG counter bump to 434.
Verified locally: `cargo fmt`, `clippy --workspace --all-targets --all-features -D warnings` (clean), `wickra-core` 3511 lib + 392 doc tests, node 509 tests, pytest 840.
|
||
|
kingchenc
|
6b8c6a0e7f |
B5 volatility & bands batch (423 -> 429) (#189)
Adds six **Volatility & Bands** indicators (Part B5 of the expansion roadmap), 423 → 429. | Indicator | Input → Output | Summary | |-----------|----------------|---------| | `EwmaVolatility` | `f64` → `f64` | RiskMetrics exponentially-weighted volatility (λ decay) | | `Garch11` | `f64` → `f64` | GARCH(1,1) conditional volatility with a long-run-variance anchor | | `BipowerVariation` | `f64` → `f64` | jump-robust realized bipower variation (π/2 · Σ\|rₜ\|\|rₜ₋₁\|) | | `VolatilityRatio` | `Candle` → `f64` | Schwager's true range over the EMA of prior true ranges (>2 = wide-ranging day) | | `VolatilityCone` | `Candle` → `VolatilityConeOutput` | current realized volatility within its min/median/max envelope + percentile | | `VolatilityOfVolatility` | `f64` → `f64` | sample stddev of a rolling realized-volatility series | ### Notes - Two B5 roadmap items were dropped as duplicates/by-construction: `RealizedVolatility` already ships (v0.5.4); `Downside Semi-Deviation` is internal to Sortino. `Bipower Variation` confirmed distinct from `JumpIndicator` (a ±1 flag, not a variance measure). - `VolatilityRatio` implements the widely-charted EMA-of-true-range convention (denominator excludes the current bar so the 2.0 threshold means "twice typical"), distinct from the existing pairwise `variance_ratio`. - `Garch11` mean-reverts to `ω/(1−β)` on a flat series (does not decay to 0 like EWMA) — pinned by a dedicated test. ### Coverage / verification - Full core + Python/Node/WASM bindings, fuzz drivers (scalar + candle), registries, CHANGELOG, README + docs counter sync. - 100% unit-test coverage per indicator (every branch). - Green locally: `cargo clippy --workspace --all-targets --all-features -D warnings`, core lib (3479) + doc (387), node (504), python (830). Deep-dive docs for all six are staged for `wickra-docs` and pushed after release (gated). |
||
|
kingchenc
|
1f4bf9e3a6 |
feat(core): B4 price oscillators (TsfOscillator, MacdHistogram, PpoHistogram) (#184)
Adds three **Price Oscillators** family indicators (420 → 423). ## Indicators - **TsfOscillator** — `100·(close − TSF)/close`, the percentage gap of the close to the **one-bar-ahead** time-series forecast. Close-relative companion to `Cfo`, which measures the same gap against the regression value at the *current* bar; the two differ by exactly the slope term `100·b/close`. - **MacdHistogram** — the standalone `macd − signal` bar of MACD exposed as a plain `f64` series. - **PpoHistogram** — the Percentage Price Oscillator with its 9-period signal EMA and the resulting scale-free, zero-centered histogram (PPO itself only emits the line). All three are scalar `f64` indicators wrapping existing, already-tested building blocks (`MacdIndicator`, `Ppo` + `Ema`, `Tsf`). ## Scope notes (VORAB-CHECK) The B4 roadmap listed six items; three were dropped to avoid duplicates: - *Forecast Oscillator* already ships as `Cfo`. - *Derivative Oscillator* already ships (`DerivativeOscillator`, B2). - *Detrended Synthetic Price* deferred — no citable formula distinct from the existing `Apo`/`Dpo`. ## Touchpoints Core (`tsf_oscillator.rs`, `macd_histogram.rs`, `ppo_histogram.rs`) with full per-branch unit tests, `mod.rs`/`lib.rs`, python/node/wasm bindings (wasm via typed-arg macro, python/node hand-written for the multi-arg histograms), fuzz drivers, python reference + streaming-vs-batch tests, node factories, README family row + counter, CHANGELOG. Local verify: `cargo test --workspace` green, `clippy -D warnings` clean, node 498 tests, full python suite green. |
||
|
kingchenc
|
13bc801f89 |
feat(indicators): B3 Trend & Directional batch (413 -> 420) (#181)
Adds the **B3 — Trend & Directional** batch: seven new indicators, taking the catalog from 413 to 420 (Trend & Directional family). | Indicator | Input → Output | Summary | |-----------|----------------|---------| | `Qstick` | candle → f64 | Chande's SMA of the candle body (close − open) | | `TtmTrend` | candle → f64 (±1) | John Carter close-vs-median-SMA trend filter | | `TrendStrengthIndex` | f64 → f64 | signed r² of an OLS regression of price vs time | | `PolarizedFractalEfficiency` | f64 → f64 | Hannula directional trend efficiency | | `WavePm` | f64 → f64 | Kase variance-normalised peak-momentum statistic (reconstruction) | | `GatorOscillator` | candle → struct | Bill Williams Alligator convergence/divergence histogram | | `KasePermissionStochastic` | candle → struct | double-smoothed stochastic permission filter | Note: the roadmap's "Directional Indicator +DI/−DI" item is already covered by the existing standalone `PlusDi` / `MinusDi` / `Dx`, so it is intentionally not re-added. All touchpoints wired: core (every-branch unit tests), Python/Node/WASM bindings, fuzz drivers, Python test registries + reference tests, Node factories, README/CHANGELOG counters. Local verify: `cargo test -p wickra-core` (lib 3389 + doc 378), `cargo clippy --workspace --all-targets --all-features -- -D warnings`, node build + 495 tests, maturin + 815 pytest, counter 420 == 420. |
||
|
kingchenc
|
4f81222aed |
Deepen Momentum Oscillators family with ten additions (#179)
Deepens the **Momentum Oscillators** family with ten widely-used oscillators (403 → 413 indicators), the second batch of Part B (family deepening). | Indicator | Binding | Input → Output | |-----------|---------|----------------| | `DisparityIndex` | `DisparityIndex` | scalar → scalar | | `FisherRsi` | `FisherRSI` | scalar → scalar | | `Rmi` | `RMI` | scalar (period, momentum) → scalar | | `DerivativeOscillator` | `DerivativeOscillator` | scalar (4 periods) → scalar | | `Rsx` | `RSX` | scalar → scalar | | `DynamicMomentumIndex` | `DynamicMomentumIndex` | scalar → scalar | | `IntradayMomentumIndex` | `IMI` | candle (open+close) → scalar | | `StochasticCci` | `StochasticCCI` | candle → scalar | | `ElderRay` | `ElderRay` | candle → struct (bull/bear) | | `Qqe` | `QQE` | scalar → struct (rsi_ma/trailing) | LSMA was dropped from the planned set: it already ships as `LinearRegression`. The single-period scalars use generated macro bindings; `Rmi` / `DerivativeOscillator` use hand node/python bindings with the typed wasm macro; `ElderRay`/`Qqe` use custom struct bindings; `IntradayMomentumIndex` uses custom candle bindings carrying the open. Full coverage: core modules with per-branch unit tests, mod/lib catalogue, FAMILIES + assert, README + docs counters, CHANGELOG, all three bindings (regenerated `index.d.ts`/`index.js`), fuzz drivers, and the python/node test registries. Local verification: `cargo test -p wickra-core` (lib 3335 + doc 371), `cargo clippy --workspace --all-targets --all-features -D warnings` clean, node `npm run build && npm test` (488), python `pytest` (802). |
||
|
kingchenc
|
b228a70d7d |
Deepen Moving Averages family with seven additions (#177)
Deepens the **Moving Averages** family with seven widely-used variants (396 → 403 indicators), the first batch of Part B (family deepening). All are scalar `f64 → f64`: | Indicator | Binding | Notes | |-----------|---------|-------| | `SineWeightedMa` | `SWMA` | symmetric half-cycle sine-weighted window | | `GeometricMa` | `GMA` | rolling geometric mean (log-space average) | | `Ehma` | `EHMA` | exponential Hull MA (Hull construction over EMAs) | | `MedianMa` | `MedianMA` | rolling median, robust to single outliers | | `AdaptiveLaguerreFilter` | `AdaptiveLaguerre` | Ehlers' adaptive Laguerre filter (median-of-normalised-error γ) | | `GeneralizedDema` | `GD` | Tillson's volume-factor double EMA; `v=1` is DEMA, `v=0` is EMA | | `HoltWinters` | `HoltWinters` | Holt's linear double exponential smoothing (level + trend) | LSMA was dropped from the planned set: it already ships as `LinearRegression` (TA-Lib `LINEARREG`, the rolling least-squares endpoint). The five single-period filters use the generated scalar macro bindings; `GeneralizedDema` (period, v) and `HoltWinters` (alpha, beta) use hand-written node/python bindings with the typed wasm macro (precedent `T3` / `Alma`). Full coverage: core modules with per-branch unit tests (100% intent), mod/lib catalogue, FAMILIES group + assert, README + docs counters, CHANGELOG, all three bindings (regenerated `index.d.ts` / `index.js`), fuzz drivers, and the python/node test registries. Local verification: `cargo test -p wickra-core` (lib 3255 + doc 361), `cargo clippy --workspace --all-targets --all-features -D warnings` clean, node `npm run build && npm test` (478), python `pytest` (791). |
||
|
kingchenc
|
fcb221ec03 |
feat: add 19 indicators for external feature-extractor coverage (377 -> 396) (#175)
Adds 19 streaming indicators so an external trading-bot feature extractor can replace its hand-built features with native, batch/streaming-equivalent ones. Each is a real gap (verified against the existing catalogue), production-only, with full Python/Node/WASM bindings, fuzz drivers, and tests. Five commits, one per family group; counter 377 -> 396. ## What's added **Price Statistics (6)** — `LogReturn`, `RealizedVolatility` (raw quadratic variation, the un-annualised counterpart to `HistoricalVolatility`), `RollingQuantile`, `RollingIqr`, `RollingPercentileRank`, `SpreadAr1Coefficient` (pairwise AR(1) rho of the spread; complements `OuHalfLife`). **Price Action (4)** — `CloseVsOpen`, `BodySizePct`, `WickRatio`, `HighLowRange` (stateless per-bar OHLC transforms). **Regime / Trend / Jump labels (3)** — `TrendLabel` (sign of the rolling OLS slope), `JumpIndicator` (return outliers vs trailing volatility, measured as deviation from the trailing mean so steady drift is not flagged), `RegimeLabel` (volatility-quantile regime split). **Risk / Performance (2)** — `WinRate`, `Expectancy` (R-multiple). **Microstructure (4)** — `OrderFlowImbalance` (Cont-Kukanov-Stoikov OFI), `Vpin`, `AmihudIlliquidity`, `RollMeasure`. These reuse the existing `OrderBook` / `Trade` inputs (no new input type). ## Intentionally NOT added (already present, would be duplicates) - **Population skew / kurtosis** — `skewness.rs` / `kurtosis.rs` are already population moments (divisor n). - **Hurst R/S** — `hurst_exponent.rs` already uses rescaled-range (R/S) analysis. - **Queue Imbalance** — exactly `OrderBookImbalanceTop1` ((bidSize - askSize) / (bidSize + askSize)). ## Verification `cargo test -p wickra-core` (lib 3187 + doc 354), `cargo clippy --workspace --all-targets --all-features -D warnings` clean, node `npm run build && npm test` (471), python `pytest` (784). Counter consistent across `mod.rs`, lib block, README, and docs/README at 396. |
||
|
kingchenc
|
5a1d607807 |
feat(indicators): A5b Fibonacci tools (geometric) (#172)
Completes the **Fibonacci** family with the four geometric/time tools (catalogue 373 -> 377). All extend the internal `pattern_swing` ZigZag tracker with a per-pivot bar index and a current-bar counter (additive — the chart/harmonic detectors are unaffected), and emit `Candle -> struct` outputs via custom Python/Node/WASM bindings. | Tool | Output | |------|--------| | `FibFan` | three trendlines fanning from a swing start through its 38.2/50/61.8% retracement levels, extended to the current bar | | `FibArcs` | semicircular retracement levels centred on the swing end, normalised by the leg's bar-width (chart-scale-free) | | `FibChannel` | a sloped base trendline plus parallel lines at Fibonacci multiples of the channel width | | `FibTimeZones` | markers at Fibonacci bar-distances (1/2/3/5/8/...) from the latest swing pivot | The geometric tools are novel as streaming indicators; each normalises its geometry to the swing leg's bar-width so the output is chart-scale-free. Formulas are documented in each module and deep-dive. Fully wired: core (100% unit-tested branches incl. the new `pattern_swing` bar tracking), Python/Node/WASM struct bindings, fuzz, reference + streaming-vs-batch tests. Verification: `cargo test --workspace` green, clippy `-D warnings` clean, node 454 tests, python 768 tests. |
||
|
kingchenc
|
716eb40206 |
feat(indicators): A5a Fibonacci tools (price-level) (#171)
Adds the six price-level Fibonacci tools as a new **Fibonacci** family (catalogue 367 -> 373, twenty-four families). All build on the internal `pattern_swing` ZigZag tracker, are parameter-free (baked 5% swing threshold), and emit `Candle -> struct` outputs via custom Python/Node/WASM bindings. | Tool | Output | |------|--------| | `FibRetracement` | seven levels (0/23.6/38.2/50/61.8/78.6/100%) of the last swing leg | | `FibExtension` | five extension ratios (127.2/141.4/161.8/200/261.8%) projected beyond the leg | | `FibProjection` | A-B-C measured-move target zone (61.8/100/161.8/261.8%) | | `AutoFib` | retracement anchored on the dominant (largest-magnitude) recent leg | | `GoldenPocket` | the 0.618-0.65 optimal-trade-entry band (low/mid/high) | | `FibConfluence` | densest cluster of retracement levels across recent legs (price + strength) | Fully wired: core (100% unit-tested branches), Python/Node/WASM struct bindings, fuzz driver, reference + streaming-vs-batch tests, README/docs counter. The four geometric/time tools (Fan, Arcs, Channel, Time Zones) follow in A5b. Verification: `cargo test --workspace` green, clippy `-D warnings` clean, node 450 tests, python 760 tests. |
||
|
kingchenc
|
4250ed99f4 |
feat(patterns): add the Harmonic Patterns family (8 XABCD detectors) (#169)
## Summary Adds a new **Harmonic Patterns** indicator family (counter 359 → 367, families 22 → 23) — the second half of the A4 roadmap item, following the Chart Patterns family in #166. Eight Fibonacci-ratio detectors built on the shared swing-pivot tracker (`indicators::pattern_swing`) plus two new helpers there — `xabcd` (reads the last five pivots as X-A-B-C-D) and `ratios_in` (checks a list of `(value, low, high)` Fibonacci windows in one expression, no multi-line `&&` coverage gaps). Each consumes candles and emits the uniform pattern sign convention — `+1.0` bullish (terminal point D a swing low), `-1.0` bearish (D a swing high), `0.0` otherwise, never `None`. Parameter-free, with the Fibonacci windows documented as constants per detector. ## Detectors | Indicator | Defining ratio | |-----------|----------------| | `Abcd` | four-point AB=CD (BC retraces AB, CD ≈ AB) | | `Gartley` | AD/XA ≈ 0.786 | | `Butterfly` | AD/XA ∈ 1.27–1.618 (extended D) | | `Bat` | AD/XA ≈ 0.886, shallow B | | `Crab` | AD/XA ≈ 1.618 (deepest D) | | `Shark` | expansion AB, AD/XA 0.886–1.13 | | `Cypher` | BC on XA, CD/XC ≈ 0.786 | | `ThreeDrives` | two symmetric extension drives | ## Touchpoints Core modules + `FAMILIES` group/assert, crate root re-exports, Python/Node/WASM bindings via the candle-pattern macros (Node `index.d.ts`/`index.js` regenerated), the candle fuzz target (`// --- Harmonic Patterns ---` section), Python reference + `CANDLE_SCALAR` registry tests and the Node candle-scalar factory, README catalogue counter + banner cache-buster + family table row + family-count word, `docs/README.md` counter, and the changelog. ## Verification - `cargo test -p wickra-core --lib` — 2966 passed - `cargo test -p wickra-core --doc` — 335 passed - `cargo clippy --workspace --all-targets --all-features -- -D warnings` — clean - Node `npm run build && npm test` — 444 passed - Python `maturin develop --release` + `pytest` — 748 passed Every detector branch is unit-tested, including a bullish and a bearish match per pattern to cover both output arms, plus an out-of-ratio non-match. Fibonacci windows use standard harmonic-trading ranges with documented tolerance bands. |
||
|
kingchenc
|
995f119010 |
feat(patterns): add the Chart Patterns family (8 swing-based detectors) (#166)
## Summary Adds a new **Chart Patterns** indicator family (counter 351 → 359, families 21 → 22), the first half of the A4 roadmap item (the harmonic patterns follow in a second PR). All eight detectors are built on a shared, non-repainting swing-pivot tracker — the internal, **uncounted** `indicators::pattern_swing` module (declared `pub(crate) mod`, re-exported nowhere). Each consumes candles and emits the uniform pattern sign convention already used by the candlestick family — `+1.0` bullish / `-1.0` bearish / `0.0` otherwise, never `None`. They are parameter-free, baking the swing threshold (5%) and level tolerance (3%) in as documented constants, mirroring how candlestick patterns bake in their geometric thresholds. ## Detectors | Indicator | Signal | |-----------|--------| | `DoubleTopBottom` | twin-peak / twin-trough reversal | | `TripleTopBottom` | three matching extremes (stronger reversal) | | `HeadAndShoulders` | central head + matching shoulders + flat neckline (and inverse) | | `Triangle` | ascending (+1) / descending (-1) / symmetrical | | `Wedge` | rising wedge (-1) / falling wedge (+1) | | `FlagPennant` | shallow consolidation against a pole → continuation | | `RectangleRange` | flat support/resistance mean-reversion | | `CupAndHandle` | rounded base + shallow handle (and inverse) | ## Touchpoints Core modules + `FAMILIES` group and assert, crate root re-exports, Python/Node/WASM bindings via the candle-pattern macros (Node `index.d.ts`/`index.js` regenerated), the candle fuzz target, Python reference + `CANDLE_SCALAR` registry tests and the Node candle-scalar factory, README catalogue counter + banner cache-buster + family table row + family-count word, `docs/README.md` counter, and the changelog. ## Verification - `cargo test -p wickra-core --lib` — 2915 passed - `cargo test -p wickra-core --doc` — 335 passed - `cargo clippy --workspace --all-targets --all-features -- -D warnings` — clean - Node `npm run build && npm test` — 436 passed - Python `maturin develop --release` + `pytest` — 732 passed Every detector branch is unit-tested; multi-condition predicates were flattened to single-line precomputed booleans to keep patch coverage at 100%. |
||
|
kingchenc
|
3ab2d6ec2d |
feat(seasonality): add the Seasonality & Session family (12 indicators) (#161)
## Summary Adds the **Seasonality & Session** family — the first family that reads the wall-clock fields of `Candle::timestamp`. A new private `calendar` module decomposes an epoch-millisecond instant (shifted by a per-indicator `utc_offset_minutes`) into civil fields via Howard Hinnant's branch-light `civil_from_days` algorithm. Session / day / month rollovers are detected automatically, so callers never have to invoke `reset()` at a boundary. Indicator counter **339 → 351**; family count **20 → 21**. ## Indicators | Shape | Indicators | |-------|-----------| | Scalar (`f64`) | `SessionVwap`, `AverageDailyRange`, `OvernightGap`, `TurnOfMonth`, `SeasonalZScore` | | Struct | `SessionHighLow`, `SessionRange` (Asia/EU/US), `OvernightIntradayReturn` | | Profile (`Vec<f64>`) | `TimeOfDayReturnProfile`, `DayOfWeekProfile`, `IntradayVolatilityProfile`, `VolumeByTimeProfile` | ## Bindings The input is the **full** candle (`open, high, low, close, volume, timestamp`), not the `high/low/close` slice the value-indicator helper assumes, so the Python / Node / WASM bindings are custom full-candle implementations: - **Python** — `update((o,h,l,c,v,ts))`; `batch(open, high, low, close, volume, timestamp)` → `PyArray1` (scalar) / `PyArray2` (struct & profile), warmup rows `NaN`. - **Node** — `update(open, high, low, close, volume, timestamp)`; `batch(...)` → flat `Vec<f64>`; struct outputs as `#[napi(object)]` values. - **WASM** — `update` only (multi-input precedent); profiles as `Float64Array`, structs as camelCase objects, `timestamp` as `BigInt`. ## Verification - `wickra-core`: full per-branch unit tests, **100%** coverage target; 2852 lib tests + 334 doctests green. - `cargo clippy --workspace --all-targets --all-features -- -D warnings`: clean. - Node: 428 tests (dedicated `seasonality.test.js` streaming-vs-batch). - Python: full suite + dedicated `test_seasonality.py` streaming-vs-batch. - Counter check: mod-count == counted lib block == 351. |
||
|
kingchenc
|
c096943bdf |
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. |
||
|
kingchenc
|
a3a1ae4dba |
Add 10 pairwise stat-arb indicators to Price Statistics (#154)
Adds ten pairwise `(f64, f64)` indicators to the **Price Statistics** family, completing the A1 stat-arb expansion block.
## Indicators
**Scalar output:**
- **RollingCorrelation** — rolling Pearson correlation of period-over-period *returns* (distinct from level-based `PearsonCorrelation`).
- **RollingCovariance** — rolling covariance of returns.
- **OuHalfLife** — Ornstein–Uhlenbeck half-life of mean reversion of the spread `a − b`.
- **SpreadHurst** — Hurst exponent of the spread (variance-of-lagged-differences fit) for regime detection.
- **DistanceSsd** — Gatev sum-of-squared-deviations between two start-normalised series.
- **BetaNeutralSpread** — rolling OLS regression residual `a − (α + β·b)`.
- **VarianceRatio** — Lo–MacKinlay variance-ratio test on the spread (two params: `period`, `q`).
- **GrangerCausality** — F-statistic for whether `b` predicts `a` (two params: `period`, `lag`).
**Struct output (custom bindings):**
- **KalmanHedgeRatio** — dynamic hedge ratio via a Kalman filter → `{ hedgeRatio, intercept, spread }`.
- **SpreadBollingerBands** — Bollinger bands on the spread → `{ middle, upper, lower, percentB }`.
## Notes
- No new traits or input families: all use the native `Indicator<Input = (f64, f64)>` (precedent `Beta`, `Cointegration`).
- Adds `Error::InvalidParameter` for floating-point constructor parameters (Kalman `delta`/`observation_var`, `num_std`).
- Full Python/Node/WASM bindings; the two struct-output indicators are hand-written, the rest use the pair macros.
- Indicator count 315 → 325; README, family rows, `__init__`, fuzz target, and CHANGELOG updated.
## Verification
- `cargo test --workspace --all-features` — green (2676 core lib + 308 doc).
- `cargo clippy --workspace --all-targets --all-features -- -D warnings` — clean.
- Node: `npm run build && npm test` — 410 passing (`index.d.ts`/`index.js` regenerated).
- Python: `pytest` — 684 passing.
|
||
|
kingchenc
|
53941b7b07 |
feat: add Market Breadth family with CrossSection input (#153)
## What Adds a new indicator input type and family for **market-breadth** analysis — indicators that aggregate the state of an entire universe of symbols at each tick, rather than a single instrument's price. This is the last open input-type on the expansion roadmap (S10) and unblocks the remaining breadth indicators (McClellan, TRIN, High-Low Index, ...). ## Core - **`CrossSection` input type** (`crates/wickra-core/src/cross_section.rs`) — one tick carrying the per-symbol state of the whole universe as a `Vec<Member>` + `timestamp`. Each `Member` precomputes a signed `change` (sign classifies advancing / declining / unchanged), a `volume`, and `new_high` / `new_low` extreme flags, so the breadth indicators stay stateless per tick. Both `Member` and `CrossSection` are `#[non_exhaustive]` for additive field growth. `CrossSection::new` validates the universe (non-empty, finite changes, finite non-negative volumes); `new_unchecked` skips validation for hot paths. `advancers()` / `decliners()` count by sign. - **`Error::InvalidCrossSection`** variant for the validation failures. - **`AdvanceDecline`** (`advance_decline.rs`) — the Advance/Decline Line: the running cumulative sum of net advancing-minus-declining issues. `Input = CrossSection`, `Output = f64`, ready after the first tick. - New **"Market Breadth"** `FAMILIES` group; indicator count **314 → 315**, family count nineteen → twenty. ## Bindings All custom (CrossSection is non-scalar, so no macros apply). The universe crosses each boundary as parallel arrays (`change`, `volume`, `new_high`, `new_low`): - **Python / Node** expose `update` + `batch` (one array group per tick). Node satisfies the completeness contract (`update`/`batch`/`reset`/`isReady`/`warmupPeriod`). - **WASM** exposes only `update` (the universe is ragged across ticks, matching the other multi-input wasm indicators) with numeric high/low flags. - Python `map_err` gains the new error arm; `__init__.py` gets a `# Market Breadth` section in both the import and `__all__` blocks. `index.d.ts` / `index.js` regenerated. ## Tests / Fuzz - Dedicated **streaming-vs-batch + reference-value + ragged-rejection** tests in Python (`test_new_indicators.py`) and Node (`indicators.test.js`) — kept out of the scalar/candle parametrize lists. - Rust unit tests cover every reject branch (empty / non-finite change / negative & non-finite volume) and every indicator branch. - New fuzz target `indicator_update_crosssection` drives `AdvanceDecline` over bounded ragged universes built with `new_unchecked`. ## Verify - `cargo fmt --all` clean - `cargo test -p wickra-core --lib` → 2593 passed; `--doc` → 298 passed - `cargo clippy --workspace --all-targets --all-features -- -D warnings` clean - `cd bindings/node && npm run build && npm test` → 398 passed - `maturin develop --release` + `pytest bindings/python/tests` → all passed - counter check: mod-count 315 == lib-block 315 |
||
|
kingchenc
|
9eb46f144a |
feat: TA-Lib parity — 19 standalone indicators (DM components, price transforms, ROC/LinReg/MACD/SAR variants, Hilbert outputs) (#148)
Closes the remaining TA-Lib function-name gap by shipping each missing or bundled-only function as a real, standalone, fully-covered indicator. 19 new indicators across 5 families; mod-count 295 -> 314. ### Trend & Directional — Directional Movement components - `PlusDm` (`PLUS_DM`), `MinusDm` (`MINUS_DM`) — Wilder-smoothed ±DM. - `PlusDi` (`PLUS_DI`), `MinusDi` (`MINUS_DI`) — `100·smoothed(±DM)/ATR`. - `Dx` (`DX`) — `100·|+DI−−DI|/(+DI+−DI)`. ### Price Statistics - `AvgPrice` (`AVGPRICE`) — `(O+H+L+C)/4`. - `MidPoint` (`MIDPOINT`) — `(max+min)/2` of a scalar series over N. - `MidPrice` (`MIDPRICE`) — `(highestHigh+lowestLow)/2` over N. - `LinRegIntercept` (`LINEARREG_INTERCEPT`) — OLS intercept. - `Tsf` (`TSF`) — time series forecast `a + b·period`. ### Momentum Oscillators - `Rocp` (`ROCP`), `Rocr` (`ROCR`), `Rocr100` (`ROCR100`) — ROC ratio forms. ### Trailing Stops - `SarExt` (`SAREXT`) — Parabolic SAR with start value, reversal offset, separate long/short acceleration, signed output. ### Trend & Directional — MACD variants - `MacdFix` (`MACDFIX`) — MACD fixed 12/26. - `MacdExt` (`MACDEXT`) — MACD with a selectable moving-average type per line (new public `MaType` enum: SMA/EMA/WMA/DEMA/TEMA/TRIMA). ### Ehlers / Cycle (DSP) — Hilbert transform outputs - `HtPhasor` (`HT_PHASOR`) — in-phase / quadrature components. - `HtDcPhase` (`HT_DCPHASE`) — dominant-cycle phase (degrees). - `HtTrendMode` (`HT_TRENDMODE`) — trend (1) vs cycle (0) classification. Each indicator ships the full chain: core + every-branch unit tests, Python / Node / WASM bindings, fuzz coverage, README counter + family rows, CHANGELOG. `cargo test`, doctests, `clippy -D warnings`, `npm test` and pytest all green locally; mod-count == lib-block == README counter (314), FAMILIES total 309. |
||
|
kingchenc
|
d4b3f9dbd1 |
feat: add Alt-Chart Bars (Renko, Kagi, Point & Figure) via a BarBuilder trait (#146)
Introduces a BarBuilder trait for price-driven chart constructors that emit a variable number of bars per candle (deliberately not Indicator). Adds Renko (box-size bricks, 2-box reversal), Kagi (reversal-amount segments) and Point & Figure (box-size X/O columns, N-box reversal) in a new Alt-Chart Bars family, with custom Python/Node/WASM bindings, a dedicated fuzz target, tests and docs. Indicator count 292 -> 295. |
||
|
kingchenc
|
f37eedd44e |
feat: add Volume Profile and TPO Profile to the market profile family (#145)
Volume Profile exposes the full per-bin volume histogram (price bounds plus raw distribution) that Value Area reduces to POC/VAH/VAL. TPO Profile is the volume-agnostic Time-Price-Opportunity letter count over a rolling window. Both candle-input, Vec-output, Market Profile family, with custom Python/Node/WASM bindings, fuzz, benches, tests and docs. Indicator count 290 -> 292. |
||
|
kingchenc
|
93097db482 |
feat: add Anchored RSI to the momentum oscillators family (#144)
Cumulative Relative Strength Index whose averaging begins at a runtime-chosen anchor bar (set_anchor), the momentum counterpart to Anchored VWAP. Scalar f64 input, 0..=100 output; wired through core, Python, Node and WASM bindings, fuzz, benches, tests and docs. Indicator count 289 -> 290. |
||
|
kingchenc
|
124efb4432 |
feat: TA-Lib candlestick patterns — tasuki-gap/unique-three-river/marubozu-pair/concealing-baby-swallow (part 9 of 9) (#141)
The final batch of the TA-Lib candlestick roadmap. Adds five patterns, each a streaming `Indicator<Input = Candle, Output = f64>` emitting the family's uniform `±1.0 / 0.0` sign convention, fully wired across the Rust core, Python / Node / WASM bindings, fuzz target and reference tests. - **Tasuki Gap** (`CDLTASUKIGAP`) — a 3-bar continuation: two same-coloured candles gap in the trend direction, then an opposite candle opens within the second body and closes back into the gap without filling it; upside +1, downside -1. - **Unique Three River** (`CDLUNIQUE3RIVER`) — a 3-bar bullish reversal: a long black candle, a black candle probing a new low with its body inside the first, then a small white candle held below it; bullish +1. - **Closing Marubozu** (`CDLCLOSINGMARUBOZU`) — a single long-bodied candle with no shadow on the close end; +1 (white, closes at the high) or -1 (black, closes at the low). - **Opening Marubozu** — a single long-bodied candle with no shadow on the open end; +1 (white, opens at the low) or -1 (black, opens at the high). No direct TA-Lib equivalent — completes the pair with the closing marubozu. - **Concealing Baby Swallow** (`CDLCONCEALBABYSWALL`) — a rare 4-bar bullish capitulation: two black marubozu, a black candle gapping down with an upper shadow into the second, then a large black candle engulfing it entirely; bullish +1. Body and shadow thresholds follow the geometric house style (fixed fractions of the bar range) rather than TA-Lib's rolling averages. Counter 284 → 289 (mod-count == lib counted block; FAMILIES total 279 → 284). Stacked on #140 (`feat/cdl-gap-methods`); base retargets to `main` as the stack merges down. |
||
|
kingchenc
|
4d0bc08efd |
feat: TA-Lib candlestick patterns — gap-three-methods/stalled/stick-sandwich/takuri (part 8 of 9) (#140)
Adds five TA-Lib candlestick patterns, each a streaming `Indicator<Input = Candle, Output = f64>` emitting the family's uniform `±1.0 / 0.0` sign convention, fully wired across the Rust core, Python / Node / WASM bindings, fuzz target and reference tests. - **Upside Gap Three Methods** (`CDLXSIDEGAP3METHODS`) — a 3-bar bullish continuation: two white candles gap up, then a black candle opens within the second body and closes within the first; bullish +1. - **Downside Gap Three Methods** (`CDLXSIDEGAP3METHODS`) — the bearish mirror: two black candles gap down, then a white candle opens within the second body and closes within the first; bearish -1. - **Stalled Pattern** (`CDLSTALLEDPATTERN`) — a 3-bar bearish reversal warning: two long white candles then a small white candle riding the shoulder, signalling the rally is stalling; bearish -1. - **Stick Sandwich** (`CDLSTICKSANDWICH`) — a 3-bar bullish reversal: two black candles closing at the same level sandwich a white candle, marking a support floor; bullish +1. - **Takuri** (`CDLTAKURI`) — a single-bar bullish reversal, a strict Dragonfly Doji with a negligible upper shadow and very long lower shadow; bullish +1. Body and shadow thresholds follow the geometric house style (fixed fractions of the bar range) rather than TA-Lib's rolling averages. Upside / Downside Gap Three Methods share the `CDLXSIDEGAP3METHODS` code, so the second carries a manual CHANGELOG entry (as with Rising / Falling Three Methods). Counter 279 → 284 (mod-count == lib counted block; FAMILIES total 274 → 279). Stacked on #139 (`feat/cdl-lines`); base retargets to `main` once the predecessor merges. |
||
|
kingchenc
|
c2c85c7ecf |
feat: TA-Lib candlestick patterns — matching-low/lines/three-methods (part 7 of 9) (#139)
Adds five TA-Lib candlestick patterns, all `Input = Candle`, `Output = f64` (`+1.0` bullish / `-1.0` bearish / `0.0` no pattern), wired across core, Python/Node/WASM bindings, fuzz, and tests. - **Matching Low** (`CDLMATCHINGLOW`) — 2-bar bullish reversal: two black candles in a decline share the same close, signalling selling pressure is exhausting; bullish +1. - **Long Line** (`CDLLONGLINE`) — a candle whose range beats a rolling average of recent ranges with a body-dominated range; bullish +1 (white) / bearish -1 (black). - **Short Line** (`CDLSHORTLINE`) — a compact candle whose range falls below the rolling average with a body-dominated range; bullish +1 (white) / bearish -1 (black). - **Rising Three Methods** (`CDLRISEFALL3METHODS`) — 5-bar bullish continuation: a long white candle, three small bars holding within its range, then a white breakout to new highs; bullish +1. - **Falling Three Methods** (`CDLRISEFALL3METHODS`) — the bearish mirror: a long black candle, three small bars within its range, then a black breakdown to new lows; bearish -1. Counter 274 → 279 (mod-count == lib counted block; FAMILIES total 269 → 274). Stacked on #138 (part 6 of 9); base retargets to `main` as the chain merges. |
||
|
kingchenc
|
04ae145126 | feat: TA-Lib candlestick patterns — separating/kicking/ladder/mat-hold (part 6 of 9) (#138) | ||
|
kingchenc
|
e4ca9c3f8f |
feat: TA-Lib candlestick patterns — hikkake-mod/pigeon/neck-lines (part 5 of 9) (#137)
* feat: add hikkake-modified, homing-pigeon and neck-line candlestick patterns Five patterns, all `Input = Candle`, `Output = f64`: - Modified Hikkake (CDLHIKKAKEMOD) — a close-confirmed Hikkake: an inside bar then a breakout that closes back inside the inside-bar range; bullish +1, bearish -1. - Homing Pigeon (CDLHOMINGPIGEON) — two black candles, the second a small body inside the first, a bullish reversal; +1. - On-Neck (CDLONNECK) — long black bar then a white bar closing at its low (the neckline), a bearish continuation; -1. - In-Neck (CDLINNECK) — long black bar then a white bar closing just into its body, a bearish continuation; -1. - Thrusting (CDLTHRUSTING) — long black bar then a white bar closing well into but below the midpoint of its body, a bearish continuation; -1. Counter 264 -> 269 (mod-count == lib counted block; FAMILIES total 259 -> 264). * chore: sync indicator count to 269 --------- Co-authored-by: wickra-bot <wickra-bot@users.noreply.github.com> |
||
|
kingchenc
|
d43bc9ddf3 |
feat: TA-Lib candlestick patterns — doji-star/gap/high-wave/hikkake (part 4 of 9) (#135)
* feat: add doji-star, gap, high-wave and hikkake candlestick patterns Five patterns, all `Input = Candle`, `Output = f64`: - Evening Doji Star (CDLEVENINGDOJISTAR) — bearish top reversal: long white bar, a doji gapping up, then a black bar closing deep into the first body; -1 (penetration configurable, default 0.3). - Morning Doji Star (CDLMORNINGDOJISTAR) — bullish bottom reversal mirror; +1. - Gap Side-by-Side White (CDLGAPSIDESIDEWHITE) — two similar white candles opening side by side after a gap, a continuation; gap up +1, gap down -1. - High-Wave (CDLHIGHWAVE) — a small body with very long shadows on both sides, an extreme indecision flag; +1 on detection. - Hikkake (CDLHIKKAKE) — an inside bar followed by a failed breakout (a trap); bullish +1, bearish -1. Counter 259 -> 264 (mod-count == lib counted block; FAMILIES total 254 -> 259). * chore: sync indicator count to 264 --------- Co-authored-by: wickra-bot <wickra-bot@users.noreply.github.com> |
||
|
kingchenc
|
244d754707 |
feat: TA-Lib candlestick patterns — Doji family (part 3 of 9) (#134)
* feat: add Doji-family candlestick patterns Five single-/two-bar Doji patterns, all `Input = Candle`, `Output = f64`: - Doji Star (CDLDOJISTAR) — a long body followed by a doji gapping away in the trend direction; bullish +1 (after a black bar), bearish -1 (after a white bar). - Dragonfly Doji (CDLDRAGONFLYDOJI) — a doji opening and closing at the high with a long lower shadow; bullish +1. - Gravestone Doji (CDLGRAVESTONEDOJI) — a doji opening and closing at the low with a long upper shadow; bearish -1. - Long-Legged Doji (CDLLONGLEGGEDDOJI) — a doji with long shadows on both sides; a non-directional indecision flag, +1 on detection. - Rickshaw Man (CDLRICKSHAWMAN) — a long-legged doji with the body centred in the range; a non-directional indecision flag, +1 on detection. Counter 254 -> 259 (mod-count == lib counted block; FAMILIES total 249 -> 254). * chore: sync indicator count to 259 --------- Co-authored-by: wickra-bot <wickra-bot@users.noreply.github.com> |
||
|
kingchenc
|
03ceac1f3b |
feat: TA-Lib candlestick patterns — abandoned/advance/belt/break/counter (part 2 of 9) (#132)
* feat: add Abandoned Baby candlestick pattern (CDLABANDONEDBABY) * feat: add Advance Block candlestick pattern (CDLADVANCEBLOCK) * feat: add Belt Hold candlestick pattern (CDLBELTHOLD) * feat: add Breakaway and Counterattack candlestick patterns (CDLBREAKAWAY, CDLCOUNTERATTACK) Breakaway is a 5-bar reversal: a trend gaps away on the second bar, drifts two more bars, then the fifth bar snaps back and closes inside the bar1/bar2 body gap (bullish +1, bearish -1). Counterattack is a 2-bar reversal where an opposite-coloured long second bar closes level with the first (the counterattack line; bullish +1, bearish -1). Also suppress libtest's spanless `large_stack_arrays` false positive in wickra-core test builds: the `#[test]` harness collects every test into a compiler-generated array of references that crosses clippy's 16 KB threshold once the suite passes ~2048 unit tests. The allow is scoped to `cfg(test)`, so library code is still linted for genuinely large stack arrays. * chore: sync indicator count to 254 --------- Co-authored-by: wickra-bot <wickra-bot@users.noreply.github.com> |
||
|
kingchenc
|
f09057aaf1 |
feat: TA-Lib candlestick patterns — crows & three-line (part 1 of 9) (#130)
* feat: add Two Crows candlestick pattern (CDL2CROWS) * feat: add Upside Gap Two Crows candlestick pattern (CDLUPSIDEGAP2CROWS) * feat: add Identical Three Crows candlestick pattern (CDLIDENTICAL3CROWS) * feat: add Three Line Strike candlestick pattern (CDL3LINESTRIKE) * feat: add Three Stars in the South candlestick pattern (CDL3STARSINSOUTH) |
||
|
kingchenc
|
2d140419bb |
feat: derivatives basis & calendar-spread indicators (part 3 of 3) (#128)
* feat(derivatives): TermStructureBasis indicator (core) * feat(derivatives): CalendarSpread indicator (core) * feat(derivatives): Python, Node and WASM bindings for basis & calendar-spread indicators * test(derivatives): Python and Node tests for basis & calendar-spread indicators * docs(derivatives): README row + counter 242->244, CHANGELOG part 3; fuzz basis indicators |
||
|
kingchenc
|
8e5bfd07ce |
feat: derivatives open-interest, flow & liquidation indicators (part 2 of 3) (#127)
* feat(derivatives): OIPriceDivergence indicator (core) * feat(derivatives): OIWeighted indicator (core) * feat(derivatives): LongShortRatio indicator (core) * feat(derivatives): TakerBuySellRatio indicator (core) * feat(derivatives): LiquidationFeatures multi-output indicator (core) * feat(derivatives): Python, Node and WASM bindings for OI, flow & liquidation indicators * test(derivatives): Python and Node tests for OI, flow & liquidation indicators * fuzz(derivatives): drive OI, flow & liquidation indicators in derivatives target * docs(derivatives): README row + counter 237->242, CHANGELOG part 2 |
||
|
kingchenc
|
5eb820a9c7 |
feat: derivatives funding & open-interest indicators (part 1 of 3) (#126)
* feat(derivatives): DerivativesTick input type + InvalidDerivatives error * feat(derivatives): FundingRate indicator (core) * feat(derivatives): FundingRateMean indicator (core) * feat(derivatives): FundingRateZScore indicator (core) * feat(derivatives): FundingBasis indicator (core) * feat(derivatives): OpenInterestDelta indicator (core) * feat(derivatives): Python, Node and WASM bindings for funding & OI-delta indicators * test(derivatives): Python and Node tests for funding & OI-delta indicators * bench(derivatives): synthetic-tick bench + derivatives fuzz target * docs(derivatives): README family row + counter 232->237, CHANGELOG entry |
||
|
kingchenc
|
3dd7010129 | feat: footprint microstructure indicator (part 4 of 4) (#123) | ||
|
kingchenc
|
4f11df0e33 |
feat: microstructure price-impact & depth indicators (part 3 of 4) (#122)
* feat: effective spread microstructure indicator (part 3 of 4) * feat: realized spread microstructure indicator (part 3 of 4) * feat: kyle's lambda microstructure indicator (part 3 of 4) * feat: depth slope microstructure indicator (part 3 of 4) |
||
|
kingchenc
|
5867f71450 |
feat: trade-flow microstructure indicators (part 2 of 4) (#113)
* feat(core): add 3 trade-flow microstructure indicators SignedVolume (per-trade size signed by aggressor), CumulativeVolumeDelta (running signed-volume total), and TradeImbalance (rolling buy/sell volume imbalance over a trade window). All consume the Trade type, with full unit coverage. Extends the Microstructure family. * feat(bindings): expose trade-flow microstructure indicators Python, Node and WASM bindings for SignedVolume, CumulativeVolumeDelta and TradeImbalance. Each takes a trade via update(price, size, is_buy); Python and Node expose a batch over three parallel arrays, WASM exposes per-trade update. Regenerates node index.d.ts/.js. * test(bindings,fuzz,bench): cover trade-flow microstructure indicators Python and Node: reference values, streaming-vs-batch, lifecycle/repr and input validation (zero window, negative size, non-positive price, mismatched batch lengths). New indicator_update_trade fuzz target. Synthetic trade-tape benches (signed_volume cheapest, trade_imbalance windowed/expensive). * docs: add trade-flow indicators + bump counter to 227 README Microstructure family row gains signed volume / CVD / trade imbalance and the counter goes 224 -> 227; CHANGELOG records the trade-flow indicators. |
||
|
kingchenc
|
2be21df803 |
feat: order-book microstructure indicators (part 1 of 4) (#112)
* feat(core): add microstructure input types (OrderBook, Trade, TradeQuote) New non-OHLCV value types for the order-book / trade-flow indicator family: Level, OrderBook (sorted, uncrossed depth snapshot), Side, Trade (with aggressor side), and TradeQuote (trade paired with prevailing mid). Each has a validating constructor plus a new_unchecked hot-path constructor, with full unit coverage. Adds InvalidOrderBook / InvalidTrade error variants. * feat(core): add 5 order-book microstructure indicators OrderBookImbalanceTop1/TopN/Full (signed depth imbalance), Microprice (size-weighted fair value), and QuotedSpread (top-of-book spread in bps). All consume the OrderBook snapshot type, emit f64, are stateless and ready after the first snapshot, with full unit coverage. Registers a new Microstructure family in the taxonomy. * feat(bindings): expose order-book microstructure indicators Python, Node, and WASM bindings for OrderBookImbalanceTop1/TopN/Full, Microprice and QuotedSpread. Each takes a depth snapshot via four equal-length (bid_px, bid_sz, ask_px, ask_sz) arrays. Python and Node expose a batch over a list of snapshots; WASM exposes per-snapshot update (the streaming model that fits a browser book feed). Regenerates node index.d.ts/.js and registers the new InvalidOrderBook/InvalidTrade arms in the Python error mapping. * test(bindings,fuzz): cover order-book microstructure indicators Python: smoke, reference values, streaming-vs-batch, lifecycle/repr and input validation (mismatched lengths, crossed book, misordered levels, zero levels) for all five order-book indicators. Node: reference values, streaming-vs-batch, and rejection cases. Adds an indicator_update_orderbook fuzz target driving every order-book indicator over arbitrary (incl. degenerate) snapshots. * bench(microstructure): synthetic order-book benchmarks Add a bench_orderbook_input harness and synthesise a five-level book around each candle close (no order-book dataset ships with the repo). Benches the cheapest (top-of-book imbalance) and most-expensive (full-depth imbalance) plus microprice, matching the curated cheapest/expensive-per-family approach. * docs: add Microstructure family + bump indicator counter to 224 README gains the Microstructure family row (order-book imbalance, microprice, quoted spread) and the indicator counter goes 219 -> 224 across seventeen families; CHANGELOG records the new order-book indicators and value types. |
||
|
kingchenc
|
0479191b66 |
feat: signed candlestick directional ±1 encoding (Doji signed mode) (#111)
* feat(core): add signed dragonfly/gravestone encoding to Doji Doji gains an opt-in `.signed()` mode that classifies a detected Doji by the position of its body within the bar range: dragonfly (long lower shadow) emits +1.0 (bullish), gravestone (long upper shadow) emits -1.0 (bearish), and a long-legged/standard Doji emits 0.0. The default detection-flag behaviour (+1.0/0.0) is unchanged, so existing callers are unaffected. The other 14 candlestick patterns already emit the uniform +1 bull / -1 bear / 0 none convention; document that explicitly with a "Signed +-1 encoding" section on each so the whole family is a consistent drop-in ML feature. * feat(bindings): expose Doji signed mode in python, node, wasm Hand-write the Doji binding in all three language bindings (instead of the shared candle-pattern macro) so it accepts an opt-in `signed` flag and exposes an `is_signed`/`isSigned` accessor: - Python: `Doji(signed=False)` keyword argument - Node: `new Doji(signed?)` optional constructor argument (index.d.ts/.js regenerated via napi build) - WASM: `new Doji(signed?)` optional constructor argument The default construction is unchanged, so existing callers keep the direction-less +1/0 detection flag. * test(bindings,fuzz): cover Doji signed dragonfly/gravestone encoding - python: dragonfly(+1)/gravestone(-1)/neutral(0) and default-flag cases in test_known_values - node: equivalent signed/default assertions in indicators.test.js - fuzz: drive a signed Doji alongside the default in indicator_update_candle * docs: document signed candlestick convention and Doji signed mode README gains a candlestick sign-convention note; CHANGELOG records the new opt-in Doji signed dragonfly/gravestone encoding under [Unreleased]. |
||
|
kingchenc
|
0b85142ad1 |
feat: cross-asset / pairwise indicators (5 new) (#109)
* feat(core): add PairwiseBeta cross-asset indicator
Rolling OLS slope of one asset's log-returns on another's. Unlike Beta,
which regresses the raw inputs it is fed, PairwiseBeta differences
consecutive prices into log-returns internally -- the conventional way to
measure cross-asset beta, where a beta on price levels would be dominated
by the shared trend.
Two-series Indicator<Input = (f64, f64)>, exposed in Rust, Python, Node
and WASM, with unit/known-value/streaming tests and a pair fuzz target.
* feat(core): add PairSpreadZScore cross-asset indicator
Standardised log-spread ln(a) - beta*ln(b) of a pair, where beta is a
rolling-OLS hedge ratio and the spread is z-scored over its own look-back.
The canonical mean-reversion / statistical-arbitrage entry signal, with
independent beta_period and z_period windows.
Two-series Indicator<Input = (f64, f64)>, exposed in Rust, Python, Node
and WASM, with sign/known-value/streaming tests and a pair fuzz target.
* feat(core): add LeadLagCrossCorrelation cross-asset indicator
Reports the integer offset k in [-max_lag, max_lag] that maximises
|corr(a[t], b[t+k])|, answering which of two assets leads the other and by
how many bars. A positive lag means a leads b. Fully causal: a's window is
held centred while b's window slides across the buffered history, so every
lag is evaluated only against data already seen.
Struct output { lag, correlation }, exposed in Rust, Python, Node and WASM
with lead-detection/streaming tests and a pair fuzz driver.
* feat(core): add Cointegration (Engle-Granger + ADF) indicator
Rolling pairs-trading screen: an OLS hedge ratio of a on b, the spread
(residual) a - (alpha + beta*b), and an augmented Dickey-Fuller t-statistic
on the spread with configurable lags. A strongly negative statistic flags a
mean-reverting, tradeable spread. Includes a small Gaussian-elimination
solver for the augmented regression.
Struct output { hedge_ratio, spread, adf_stat }, exposed in Rust, Python,
Node and WASM with stationarity/hedge-ratio/streaming tests and a pair fuzz
driver.
* feat(core): add RelativeStrengthAB cross-asset indicator
Comparative relative strength of two assets: the ratio line a/b together
with its moving average and its RSI, the classic asset-vs-asset /
asset-vs-index rotation screen. Composes the existing Sma and Rsi over the
ratio; a zero denominator or non-finite price is skipped.
Struct output { ratio, ratio_ma, ratio_rsi }, exposed in Rust, Python, Node
and WASM with flat/rising-ratio/streaming tests and a pair fuzz driver.
* test(cointegration): cover ADF guard branches
The ADF helper's short-series and degrees-of-freedom guards and the
zero-dispersion (perfect AR) path are unreachable through the public
Cointegration API (period >= 2*adf_lags + 4), so exercise them with direct
unit tests on adf_no_constant. The second linear solve cannot be singular
once the coefficient solve on the same matrix has succeeded, so it now uses
expect() instead of a dead error branch.
|
||
|
kingchenc
|
4e3c41ea80 |
feat(family-15): add 17 risk/performance metrics (#54)
* feat(family-15): add 17 risk/performance metrics Implements Family 15 pragmatically as standard `Indicator`s instead of a separate `wickra-metrics` crate. Input is scalar `f64` per bar — period return, equity sample, or per-trade P&L depending on the metric. Scalar `Indicator<f64>` (14): - SharpeRatio(period, risk_free) - SortinoRatio(period, mar) - CalmarRatio(period) - OmegaRatio(period, threshold) - MaxDrawdown(period) — rolling, peak-to-trough - AverageDrawdown(period) - DrawdownDuration — cumulative, bars under water (u32 output) - PainIndex(period) - ValueAtRisk(period, confidence) - ConditionalValueAtRisk(period, confidence) - ProfitFactor(period) - GainLossRatio(period) - RecoveryFactor — cumulative, net return / max drawdown - KellyCriterion(period) Two-series `Indicator<(f64, f64)>` for (asset, benchmark) returns (3): - TreynorRatio(period, risk_free) - InformationRatio(period) - Alpha(period, risk_free) — Jensen / CAPM Touchpoints: - 17 new files under `crates/wickra-core/src/indicators/`. - `mod.rs` + `lib.rs` re-exports. - Python bindings (`bindings/python/src/lib.rs`, `__init__.py`). - Node bindings (`bindings/node/src/lib.rs`, `index.js`). - WASM bindings (`bindings/wasm/src/lib.rs`). - Fuzz: scalar metrics appended to `indicator_update.rs`; new `indicator_update_pair.rs` fuzz target for `(f64, f64)` indicators. - Python tests: SCALAR + new PAIR parameter lists in `test_new_indicators.py`, reference-value cases in `test_known_values.py`. - Node tests: scalar factories + new pair-factory block in `bindings/node/__tests__/indicators.test.js`. - Benches: 5 Family-15 benches added in `crates/wickra/benches/indicators.rs`. - Docs: README family-table row + counter (71 -> 88), CHANGELOG entry under [Unreleased]. Note: Family 12 (statistik-regression, PR #51) introduces `node_pair_indicator!` and `wasm_pair_indicator!` macros for Pearson / Beta / Spearman. Family 15 needs the same pair-input pattern but Family 12 is not yet in main, so the three pair wrappers below are written by hand in this PR. When PR #51 lands, the trivial merge-conflict is resolved by keeping the macros from Family 12 and re-using them for Treynor / IR / Alpha (drop the three handwritten wrappers). cargo check --workspace --all-features: green. * fix(family-15): satisfy clippy doc_markdown / if_not_else / digit_grouping * fix(family-15): unused TreynorRatio import, duplicate pairFactories, _eq_nan inf handling * fix(family-15): node eq() handles matching infinities for ratio indicators * test(family-15): cover cold paths flagged by codecov patch |
||
|
kingchenc
|
55284a3042 |
feat(family-14): add 15 candlestick patterns (#53)
* feat(family-14): add 15 candlestick patterns Introduces the Candlestick Patterns family (block A of the family-14 spec) as scalar f64 indicators on Candle inputs. Each detector emits +1.0 for a bullish reading, -1.0 for a bearish reading, and 0.0 when no pattern is present. Doji is direction-less and emits +1.0 / 0.0 only. New indicators (15): - Doji - Hammer - InvertedHammer - HangingMan - ShootingStar - Engulfing - Harami - MorningEveningStar (signed: +1.0 morning star, -1.0 evening star) - ThreeSoldiersOrCrows (signed: +1.0 soldiers, -1.0 crows) - PiercingDarkCloud (signed: +1.0 piercing, -1.0 dark cloud) - Marubozu (signed: +1.0 bullish, -1.0 bearish, 5 percent shadow tolerance default) - Tweezer (signed: +1.0 bottom, -1.0 top, 10 bps relative tolerance default) - SpinningTop (direction-signed indecision) - ThreeInside (confirmed Harami) - ThreeOutside (confirmed Engulfing) MVP scope notes: - Pattern-shape check only, no trend filter applied. Caller combines with a trend indicator for actionable signals. Documented in every doc comment. - Block B (Harmonic patterns) and block C (Chart patterns) remain out-of-scope and will follow when the pattern-detection framework (pivot detector, multi-bar state machines) lands. Touched across all bindings: Python, Node, WASM. Fuzz target, Python tests (streaming-vs-batch + reference values), Node tests (streaming-vs-batch + reference values), and a representative bench subset (1-, 2- and 3-bar patterns) added. README family table + indicator counter (71 -> 86, eight -> nine families) and CHANGELOG [Unreleased] updated. * fix(family-14): unpack MULTI values with *_ to handle 3-element tuples * cov(family-14): cover Default impl cold paths and MorningEveningStar guard branches |
||
|
kingchenc
|
9b8e1346ed |
feat(family-16): add ValueArea + InitialBalance + OpeningRange (#52)
* feat(family-16): add ValueArea + InitialBalance + OpeningRange Opens family #16 (Market Profile) with the three OHLCV-compatible scalar / multi-output indicators: - ValueArea(period, bin_count, value_area_pct) -> {poc, vah, val}. Rolling bin-approximation volume profile over the last `period` candles. Each candle's volume is spread uniformly across [low, high]; POC is the bin with highest cumulative volume; the value area expands symmetrically from POC and always absorbs the higher-volume neighbour next, until `value_area_pct` (default 0.70) of total volume is enclosed. Defaults (20, 50, 0.70). - InitialBalance(period) -> {high, low}. Tracks session-opening high and low over the first `period` bars, then locks. Default period = 12 (one-hour IB on 5-minute bars for US equities). Callers MUST invoke reset() at every session boundary, otherwise IB stays fixed for the lifetime of the instance. - OpeningRange(period) -> {high, low, breakout_distance}. Same lock-after-N-bars semantics as IB with a shorter default period (6 = 30 min on 5-minute bars) and a third output that tracks close - or_mid (positive above the range mid, negative below). Histogram-output Market Profile variants (Volume Profile, VPVR, Composite Profile) are deferred because they need a new histogram output API layer rather than fixed-arity scalars. Tick-data-only variants (TPO Profile, Single Print, Order Flow Delta, Cumulative Delta, Volume-Weighted Open) are out of scope because `wickra-data` does not currently expose tick / L2 data. All four bindings (Rust core, Python, Node, WASM) ship the new indicators with parity tests; benches added; fuzz target extended. Counter 71 -> 74 across 8 -> 9 families. cargo check --workspace --all-features green. * fix(family-16): cover cold paths in InitialBalance + ValueArea InitialBalance::value() public getter had no test covering the post-update Some(...) branch — extended accessors_and_metadata to call value() after one update. ValueArea single-print bar path (c.high == c.low) was unreachable in existing tests since the only single-print test used a uniform 100-price window which exits early via the span == 0 guard; added a mixed-window test that triggers the c.high <= c.low branch directly. The (None, None) arm of the expansion match was by-construction unreachable (the loop condition already requires at least one neighbour) and has been folded into an if/else. |
||
|
kingchenc
|
05fcdd9a5e |
feat(family-12): add 13 Statistik/Regression indicators (#51)
* feat(family-12): add 13 Statistik/Regression indicators Brings the Price Statistics family to 20 indicators (7 → 20) and the total catalogue to 84 (71 → 84). Every indicator ships in the Rust core plus Python, Node, and WASM bindings with full streaming ↔ batch parity, fuzz coverage, and benches. Scalar (f64 → f64): - Variance, CoefficientOfVariation: rolling population variance and its dimensionless ratio with the mean. O(1) updates. - Skewness, Kurtosis: rolling Pearson skewness and excess kurtosis, derived from running sums of x, x², x³, x⁴ via the binomial identities — also O(1) per bar. - StandardError, DetrendedStdDev: standard error of estimate (n − 2) and population StdDev (n) of OLS residuals, sharing the LinReg O(1) sliding sums. - RSquared: coefficient of determination of the rolling OLS fit; the trend-quality filter, clamped to [0, 1]. - MedianAbsoluteDeviation: robust dispersion estimator; O(period log period) per emission via two in-place sorts of a reusable scratch buffer. - Autocorrelation(period, lag): rolling lag-k Pearson autocorrelation. - HurstExponent(period, chunks): R/S-analysis trend-persistence estimator clamped to [0, 1]. Pair indicators (Input = (f64, f64)): - PearsonCorrelation: rolling cross-series Pearson, O(1). - Beta: rolling OLS slope of asset vs. benchmark (CAPM). - SpearmanCorrelation: rolling rank correlation with mid-rank tie handling; O(period log period). Touchpoints: - crates/wickra-core: 13 new indicator modules + mod.rs / lib.rs re-exports. - bindings/python: pyclasses + add_class registration + __init__.py import & __all__ updates. The pair indicators expose update(x, y) and batch(x, y) over two equally-sized numpy arrays. - bindings/node: scalar indicators via node_scalar_indicator! macro; pair indicators via new node_pair_indicator! macro; explicit structs for Autocorrelation and HurstExponent (two-arg ctors). index.js extended with the new exports. - bindings/wasm: scalar wrappers via wasm_scalar_indicator!; pair wrappers via new wasm_pair_indicator! macro. - fuzz: every scalar drove through the generic helper; pair indicators stress-tested by pairing adjacent samples of the fuzz input. - Python tests (test_new_indicators.py): added to SCALAR parametrisation, plus algebraic reference values (variance of [2,4,6] = 8/3, MAD ignoring outlier = 0, monotone non-linear Spearman = 1, two-to-one Beta = 2, etc.) and a streaming-vs-batch test for the pair indicators. - Node tests (indicators.test.js): extended the scalar factories map and added a pair-indicator section with the same algebraic reference values. - crates/wickra/benches: bench_scalar entries for all 10 single- input new indicators. - README: counter 71 → 84; Price Statistics family-table row expanded with the 13 new indicators. - CHANGELOG: Unreleased section documents the family addition. Wiki drafts (ghost-ignored, manual sync to wickra.wiki at release time): indicator-ideas/families/wiki/family-12-statistik-regression/ contains 13 deep-dive pages plus _Sidebar / Indicators-Overview / Warmup-Periods / Home fragments for the curator merge. cargo check --workspace --all-features: clean. * fix(family-12): remove unreachable defensive guards in hurst_exponent The three guards (m < 2 continue, end > buf.len() break, denom == 0.0 return) are by-construction unreachable given the constructor invariant period >= 2 * chunks: m = period / k for k in 1..=chunks always satisfies m >= 2 and end = (c+1) * m <= k * m <= period = buf.len(), and m_1 = period and m_2 = period / 2 are always distinct so the slope denominator is strictly positive. Removing them brings codecov/patch back to 100%. |
||
|
kingchenc
|
5aa0949bce |
feat(family-13): add Ichimoku + Heikin-Ashi (#50)
Two new indicators in a brand-new "Ichimoku & alternative charts" family: - `Ichimoku` (Ichimoku Kinko Hyo): the full five-line cloud system (Tenkan-sen, Kijun-sen, Senkou Span A/B, Chikou Span). Classic (9, 26, 52, 26) defaults; configurable. Forward displacement is handled in an O(1) ring buffer so the visible Senkou A/B at bar n are the values computed at bar n-displacement. - `HeikinAshi`: recursive candle smoothing transform emitting a four-field synthetic candle. Seeds ha_open from (open+close)/2 on the first bar. Touchpoints: core + unit tests, mod.rs/lib.rs re-exports, Python + Node + WASM bindings (multi-output via PyArray2 / interleaved Vec<f64> / Object+Float64Array), Python tests across smoke/new-indicators/ input-validation, Node parity tests, fuzz target (Candle), benches, README family table + counter (71 -> 73, 8 -> 9 families), CHANGELOG. Note: Renko, Kagi, and Point & Figure from the family-13 ideas list are intentionally skipped. They are bar generators (the bar boundary is defined by price moves, not by a fixed time interval) rather than indicators that consume a candle stream, and belong in wickra-data as candle/tick transforms alongside the existing tick-to-candle aggregator and resampler. |
||
|
kingchenc
|
7a18a26daf |
feat(family-10): add 16 Ehlers / Cycle (DSP) indicators (#49)
Implements Family 10 (Ehlers / Cycle) end-to-end across Rust core,
Python / Node / WASM bindings, fuzz, tests, benches and docs. This
is an entirely new family covering John Ehlers' digital-signal-
processing school of cycle analytics — a strong differentiator
versus TA-Lib and pandas-ta, which ship only fragments.
Indicators:
- MAMA (Mesa Adaptive MA) — multi-output { mama, fama }
- FAMA (Following Adaptive MA) — scalar wrapper around MAMA's slow line
- Fisher Transform — Gaussian-normalising price transform
- Inverse Fisher Transform — bounded oscillator (tanh-based)
- SuperSmoother — 2-pole Butterworth lowpass
- Roofing Filter — high-pass + SuperSmoother bandpass
- Decycler — price minus 2-pole high-pass (lag-free trend)
- Decycler Oscillator — fast / slow Decycler difference (MACD-like)
- Hilbert Dominant Cycle — phase-derived period estimator [6, 50]
- Sine Wave Indicator — sin(phase) with 45° lead companion
- Adaptive Cycle Indicator — half-period driver for adaptive oscillators
- Center of Gravity Oscillator — weighted-mass momentum
- Cybernetic Cycle Component — EasyLanguage classic
- Empirical Mode Decomposition — bandpass + envelope mean
- Ehlers Stochastic — Stochastic on Roofing Filter input, [-1, +1]
- Instantaneous Trendline — Ehlers 2-pole lag-free trend
Indicator count rises 71 -> 87 across nine families (was eight).
All sixteen pass batch == streaming equivalence, expose the standard
Indicator surface (update / batch / reset / is_ready / warmup_period
/ name), are fuzz-tested, benchmarked against the checked-in BTCUSDT
1-minute dataset and reach across all four bindings.
Wiki deep-dive drafts for every indicator + Sidebar / Overview /
Home / Warmup updates are staged under indicator-ideas/families/
wiki/family-10-ehlers-cycle/ in the main repo (ghost-ignored) for
the maintainer to publish to the wiki repo manually.
|
||
|
kingchenc
|
4f9ed34884 |
feat(family-11): add DeMark suite (TD Setup, Sequential, DeMarker, REI, Pressure) (#48)
* feat(family-11): add DeMark suite (TD Setup, Sequential, DeMarker, REI, Pressure)
Family 11 (DeMark) was previously empty; this PR adds five
streaming-first DeMark indicators in one batch.
- **TD Setup** (`TdSetup`): parameterised buy/sell setup counter.
Counts consecutive bars whose close is less-than (buy) or
greater-than (sell) the close `lookback` bars earlier, saturating
at `target`. Emits a signed `f64` so callers read direction from
the sign and run length from the magnitude. Classic config:
`lookback = 4`, `target = 9`.
- **TD Sequential** (`TdSequential`): the canonical Setup + Countdown
exhaustion pattern. Output struct `{ setup, countdown, direction }`
exposes both phase counts as signed numbers plus the active
countdown direction (+1 buy / -1 sell / 0 none). Countdown
activates when a setup completes and tracks the close-vs-high/low
comparison `countdown_lookback` bars back, capped at
`countdown_target`. Classic: 4/9/2/13.
- **TD DeMarker** (`TdDeMarker`): bounded [0, 1] oscillator from the
rolling average of upward high expansion (DeMax) and downward low
expansion (DeMin). Falls back to the neutral 0.5 on a flat market
(denominator zero).
- **TD REI** (`TdRei`): Range Expansion Index, bounded [-100, 100].
Per-bar numerator gated on a range-overlap condition vs the bars
5 and 6 back, normalised by a `period`-bar sum of absolute moves.
Classic period = 5. Saturates at +100 in a slow steady uptrend
and at -100 in the mirror downtrend; emits 0 on a flat market.
- **TD Pressure** (`TdPressure`): volume-weighted buying / selling
pressure normalised to [-100, 100]. Per-bar pressure is the
intra-bar close-vs-open ratio scaled by volume; the output is the
rolling mean divided by the rolling mean volume. Zero-range bars
contribute zero (avoid the undefined ratio) and a flat zero-volume
window falls back to 0.
Bindings: all five exposed in Python (`ta.TDSetup`, `ta.TDSequential`,
`ta.TDDeMarker`, `ta.TDREI`, `ta.TDPressure`), Node (`wickra.TDSetup`
etc.), and WASM. Multi-output classes (`TDSequential`) return either
a struct `{ setup, countdown, direction }` per bar (streaming) or a
flat interleaved Float64Array of length `3 * n` (batch).
Tests: 47 unit tests across the five new core files (pure-trend
saturation, flat-market neutral fallback, batch-equals-streaming,
zero-parameter rejection, reset semantics, accessors). Python
test_new_indicators.py picks up all five plus a multi-output TD
Sequential block. Node indicators.test.js picks up all five.
Reference values added to test_known_values.py.
Fuzz: candle fuzz target sweeps all five DeMark indicators with the
existing `Vec<f64>` -> `Vec<Candle>` driver.
Benches: BTCUSDT 1-minute dataset benches for each DeMark indicator
in `crates/wickra/benches/indicators.rs`.
Docs: README family table gains a "DeMark" row; indicator counter
bumped 71 -> 76. CHANGELOG entry added under [Unreleased]. Wiki
drafts (deep-dive pages + Sidebar / Overview / Warmup-Periods / Home
deltas) live under `indicator-ideas/families/wiki/family-11-demark/`
for manual merge into the wiki repo.
* feat(family-11): add 7 missing DeMark indicators
Complete the DeMark suite (family 11) with the seven indicators not
covered by the first commit: TD Combo, TD Countdown, TD Lines (TDST),
TD Range Projection, TD Differential, TD Open, and TD Risk Level.
- TdCombo: aggressive countdown variant with three strictness rules
on top of the classic close-vs-low/high lookback rule (monotone
low/high, monotone close vs prior bar).
- TdCountdown: standalone 13-bar countdown packaging only the signed
countdown count (the setup machine runs internally).
- TdLines: TDST horizontal support/resistance levels from the
highest-high / lowest-low bars of the most-recently-completed
setup, exposed as a multi-output struct.
- TdRangeProjection: DeMark X-projection of the next bar's high and
low from the current bar's OHLC via an open-vs-close-weighted
pivot (three branches: close<open, close>open, close==open).
- TdDifferential: two-bar buying-pressure vs selling-pressure
reversal pattern emitting +1/-1/0.
- TdOpen: gap-and-fade reversal pattern (open outside prior range
with subsequent recovery into it) emitting +1/-1/0.
- TdRiskLevel: protective stop levels derived from the setup
extreme bar +/- its true range.
All seven are wired through Rust core, Python, Node and WASM
bindings, registered in the candle-stream fuzz target, given
benchmark entries on the BTCUSDT 1-minute dataset, and covered by
streaming-vs-batch equivalence, reference-value, lifecycle and
input-validation tests on the Python and Node sides. README counter
moves 76 -> 83 and the CHANGELOG "family 11" entry is extended to
list all twelve indicators.
* fix(td_risk_level tests): check first emission at idx 12, not last bar
TdRiskLevel re-ratchets the sell-risk level on each subsequent setup
completion, so a strictly rising series produces 22.0 at idx 19 (latest
setup) rather than 15.0 (first setup). The test comment already named
idx 12 as the reference; switch the assertion from out[-1] to out[12]
to match the reference computation.
* test(family-11): cover buy-direction branches in TD indicators
Add downtrend tests to TdSequential, TdCombo and TdCountdown so the
buy-side countdown/combo increment branches are exercised; remove an
empty `if buy_countdown == target {}` block in TdSequential whose
behavior is already enforced by the outer strict `<` guard.
Closes codecov/patch gaps reported on PR #48 (10 missed lines across
the three files).
|
||
|
kingchenc
|
7e1e988596 |
feat(family-08): Pivots & Support/Resistance (7 indicators) (#47)
* feat(family-08): add Classic, Fibonacci, Camarilla, Woodie and DeMark pivots + Williams Fractals + ZigZag
Seven new indicators land the previously empty Pivots & S/R family
(family 08), each implemented in wickra-core with the full Indicator
trait surface (update / reset / warmup_period / is_ready / name),
exposed across Python (PyO3), Node (napi-rs) and WASM (wasm-bindgen)
with the standard streaming + batch APIs, and covered by Rust unit
tests, Python streaming-vs-batch + reference-value tests, Node
streaming-vs-batch tests, the candle-input fuzz target and Rust
microbenchmarks.
- ClassicPivots (7 levels): PP = (H+L+C)/3, three R/S tiers per the
floor-trader formulas.
- FibonacciPivots (7 levels): PP plus R/S spaced by 0.382 / 0.618 /
1.000 of the prior range.
- Camarilla (9 levels): Nick Stott's four-tier `C +/- (H - L) * 1.1 /
{12, 6, 4, 2}` levels.
- WoodiePivots (5 levels): close-weighted PP = (H + L + 2*C) / 4 plus
two R/S tiers.
- DemarkPivots (3 levels): conditional X sum based on the previous
bar's open-vs-close relationship.
- WilliamsFractals: five-bar swing detector emitting optional up/down
fractal prices at the centre of each window.
- ZigZag: percent-threshold swing tracker, non-repainting; emits the
just-completed extreme and direction on confirmed reversals only.
README family table updated to nine families / 78 indicators;
CHANGELOG records the family-08 addition under [Unreleased].
* fix(family-08 tests): unify MULTI dict to 3-tuple (factory, batch_call, k)
The HEAD-side family-08 test parametrised MULTI[name] as
`(factory, batch_call, output_arity)` so that pivots with arity 3/5/7/9
fit the same harness. Main's entries arrived as 2-tuples; convert them
all to the 3-tuple shape so `make, batch_call, k = MULTI[name]` unpacks
cleanly. Lifecycle test now indexes the tuple instead of destructuring.
* test(zig_zag): tighten flat-oscillation test (drop dead counter branch)
The previous version of `small_oscillations_yield_no_swings` counted
emitted swings, but the assertion proves the counter never increments
so codecov flagged `emitted += 1` as uncovered. Switch to a per-bar
`assert!(...is_none())` — same coverage of the no-swing path, no dead
branch.
|
||
|
kingchenc
|
f10b8c2e2d |
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).
|
||
|
kingchenc
|
880a0e7430 |
feat: Family 07 Volume - 6 new volume-flow indicators (#45)
* feat(kvo): add Klinger Volume Oscillator
Stephen J. Klinger's trend-aware volume-force MACD. Each bar produces a 'volume force' (vf) signed by the local trend (+1 / -1 / carry) and scaled by the ratio of the current accumulation horizon to its previous trend. KVO = EMA(vf, fast) - EMA(vf, slow), classic (34, 55).
Rust core (Kvo) with 7 unit tests (rejects zero / fast>=slow, accessors, constant series collapses to 0, warmup lands at slow+1, batch == streaming, reset clears state), plus Python (PyKvo + KVO export), Node (KvoNode), and WASM (WasmKvo) bindings. Fuzz target adds Kvo to the candle-input sweep, bench adds the candle-input KVO benchmark, README counter 71 -> 72 + family table row, CHANGELOG [Unreleased].
* feat(volume-oscillator): add Volume Oscillator (VO)
Percent difference between a fast and a slow SMA of the bar volume: 100 * (SMA(vol, fast) - SMA(vol, slow)) / SMA(vol, slow). Default (14, 28). The line stays near zero in stable conditions; positive readings show rising short-term participation, negative readings show waning interest.
Rust core (VolumeOscillator) with 8 unit tests (period validation, accessors, constant volume == 0, zero-volume window defensive branch, two reference values verified algebraically, batch == streaming, reset), plus Python (PyVolumeOscillator + VolumeOscillator export), Node (VolumeOscillatorNode), and WASM (WasmVolumeOscillator) bindings. Fuzz target adds VolumeOscillator to the candle-input sweep, bench adds the volume_oscillator benchmark, README counter 72 -> 73 + family table row, CHANGELOG [Unreleased].
* feat(nvi-pvi): add Negative & Positive Volume Index
Paul Dysart's cumulative volume-flow indices, popularised by Norman Fosback in 'Stock Market Logic'. Both run from a 1000.0 baseline and only update on a specific direction of volume change:
- NVI updates on volume-contraction bars (volume_t < volume_{t-1}), absorbing the percent close change. Tracks the 'smart money' leg per Fosback.
- PVI updates on volume-expansion bars (volume_t > volume_{t-1}). Tracks the 'crowd' leg.
Both expose with_baseline(f64) for custom starting indexes. The NVI/PVI pair is listed as a single line in indicator-ideas/families/07-volume.md and shares the same lifecycle/test/binding surface, so they ship as one commit.
Rust core (Nvi, Pvi) with 9 unit tests each (accessors, baseline seed, volume direction branches, zero-prev-close guard, custom baseline, batch == streaming, reset), plus Python (PyNvi/PyPvi + NVI/PVI exports), Node (NviNode/PviNode), and WASM (WasmNvi/WasmPvi) bindings. Fuzz target adds Nvi+Pvi to the candle-input sweep, bench adds nvi+pvi entries, README counter 73 -> 75 + family table row, CHANGELOG [Unreleased].
* feat(family-07): add Williams A/D, Anchored VWAP, Demand Index, TSV, VZO, Market Facilitation Index
Finishes the volume-flow family with the remaining (new) entries from
indicator-ideas/families/07-volume.md.
Indicators added:
- Williams A/D (`WilliamsAD`): Larry Williams' volume-less cumulative
accumulation/distribution line. Anchors each bar's contribution to
the previous close via true-high/true-low (gap-aware).
- Anchored VWAP (`AnchoredVwap`): cumulative VWAP whose accumulation
starts at a user-chosen anchor bar. Exposes `set_anchor()` (queued
to the next `update`) for click-to-anchor workflows. Reset clears
both state and pending-anchor flag.
- Demand Index (`DemandIndex`): James Sibbet's smoothed buying-vs-
selling pressure, in the streaming-friendly textbook form
`EMA(volume * close-return * (1 + range/close), period)`.
- Time Segmented Volume (`Tsv`): Don Worden's rolling window-sum of
`(close_t - close_{t-1}) * volume_t`. Default `period = 18`.
- Volume Zone Oscillator (`Vzo`): Walid Khalil's normalised volume-flow
oscillator bounded in `[-100, +100]`, defined as
`100 * EMA(signed_volume) / EMA(volume)`.
- Market Facilitation Index (`MarketFacilitationIndex`): Bill Williams'
per-bar `(high - low) / volume`. Returns `None` on zero-volume bars.
All six indicators ship with unit tests (`rejects_zero_period` where
applicable, `accessors_and_metadata`, constant-series behaviour,
batch == streaming equivalence, reset semantics, and reference-value
or saturation-extreme tests), Python / Node / WASM bindings, fuzz
coverage in `indicator_update_candle`, a `bench_candle_input` line per
indicator, README + CHANGELOG entries, and Python reference-value
tests in `test_new_indicators.py`.
The README indicator counter advances 75 -> 81.
* test(family-07): cover defensive cold paths + Default impls
- ad_oscillator: exercise `value()` after first emission.
- kvo: cover the `cm == 0.0` zero-OHLC defensive branch.
- nvi / pvi: exercise the Default impls.
|
||
|
kingchenc
|
6287bd48c1 |
feat: Family 06 Trend-Strength - 5 new directional/random-walk indicators (#44)
* feat(adxr): add Wilder Average Directional Movement Index Rating
ADXR is the trend-strength smoother Wilder published alongside ADX in
*New Concepts in Technical Trading Systems* (1978):
ADXR_t = (ADX_t + ADX_{t - (period - 1)}) / 2
The lookback length is the same period that feeds the underlying ADX.
Because the older ADX is period - 1 bars stale, ADXR responds more
slowly than ADX and is the canonical metric for comparing
trend-strength across instruments.
Implementation reuses the existing wickra_core::Adx engine plus a
period-length ring of past ADX values; warmup is 3 * period - 1
(41 for period = 14). Bindings: Python PyAdxr (PyArray1 batch),
Node AdxrNode (number scalar), WASM WasmAdxr. Fuzz target covers
the candle-input path. Python + Node streaming-vs-batch tests
parametrised, plus a pure-uptrend reference value (ADXR == 100
when ADX saturates at 100). Criterion bench added under crates/
wickra/benches/indicators.rs.
README family table and indicator counter updated (71 -> 72).
* feat(rwi): add Mike Poulos Random Walk Index
RWI compares actual price displacement to what a random walk would
produce over the same horizon: for each lookback i in [2, period],
RWI_High_t(i) = (high_t - low_{t-i+1}) / (ATR_i(t) * sqrt(i))
RWI_Low_t(i) = (high_{t-i+1} - low_t) / (ATR_i(t) * sqrt(i))
Per-bar output is the maximum across lookbacks for each direction;
a reading > 1 means the trend beats random-walk noise, > 2 is the
typical strong-trend threshold. Multi-output (high, low). period
must be >= 2 (the shortest meaningful lookback); period < 2 returns
InvalidPeriod. Warmup = period (e.g. 14 for the standard default).
Bindings: Python PyRwi (PyArray2 shape (n, 2)), Node RwiNode +
RwiValue struct, WASM WasmRwi (Object/Reflect for update,
Float64Array interleaved for batch). Fuzz target adds the candle
input case. Python parametric streaming-vs-batch test and pure
uptrend reference test (RWI_High dominates RWI_Low and exceeds 1).
Node parametric streaming-vs-interleaved-batch test. Criterion
bench under crates/wickra/benches/indicators.rs.
README family table and indicator counter updated (72 -> 73).
* feat(tii): add M.H. Pee Trend Intensity Index
TII is a [0, 100] oscillator that asks 'what fraction of the recent
SMA deviations are positive?'. The construction is
dev_t = close_t - SMA(close, sma_period)_t
SD_pos = sum of positive dev_t over the last dev_period bars
SD_neg = sum of |negative dev_t| over the last dev_period bars
TII = 100 * SD_pos / (SD_pos + SD_neg)
Saturates at 100 on a pure uptrend (every close above the lagging
SMA), at 0 on a pure downtrend, and returns the neutral mid-point 50
on a perfectly flat window. The output is clamped to [0, 100] as
the rolling-sum subtraction loop can accumulate a few ULP of error
on long histories. Canonical Pee parameters (sma_period=60,
dev_period=30) wired as Python defaults; warmup is
sma_period + dev_period - 1 (89 for the defaults).
Bindings: Python PyTii (PyArray1 batch), Node TiiNode (scalar
update + batch), WASM WasmTii via the two-arg wasm_scalar_indicator!
macro. Fuzz target adds the scalar path. Python parametric
streaming-vs-batch test plus pure-uptrend (TII == 100) and
flat-market (TII == 50) reference tests. Node parametric
streaming-vs-batch test. Criterion bench under crates/wickra/
benches/indicators.rs.
README family table and indicator counter updated (73 -> 74).
* feat(kst): add Pring Know Sure Thing oscillator
KST is Martin Pring's long-horizon momentum gauge: four smoothed
rate-of-change components combined with fixed weights (1, 2, 3, 4),
plus an SMA signal line.
RCMA_i = SMA(ROC(close, roc_i), sma_i) for i in 1..=4
KST = 1*RCMA_1 + 2*RCMA_2 + 3*RCMA_3 + 4*RCMA_4
Signal = SMA(KST, signal_period)
Kst::classic() exposes Pring's recommended parameter set
(roc = (10, 15, 20, 30), sma = (10, 10, 10, 15), signal = 9);
warmup = max(roc_i + sma_i) + signal_period - 1 (53 for the classic
parameters). All four parallel branches are fed unconditionally so
they warm in lock-step.
Bindings: Python PyKst (PyArray2 shape (n, 2)) with a KST.classic()
staticmethod, Node KstNode + KstValue with a KST.classic() factory,
WASM WasmKst with both new(...) and classic() constructors plus
Object/Reflect for update and Float64Array for batch. Fuzz target
adds the scalar multi-output path. Python tests gain a new
MULTI_SCALAR section parametric over scalar-input/multi-output
indicators, plus a classic-on-constant-series reference test. Node
tests gain a KST entry in the multi-output section. Criterion
benchmark added under crates/wickra/benches/indicators.rs.
README family table and indicator counter updated (74 -> 75).
* feat(wave-trend): add LazyBear Wave Trend Oscillator
Two-line mean-reverting momentum gauge built from the typical price
and three cascaded EMAs:
ap = (high + low + close) / 3
esa = EMA(ap, channel_period)
d = EMA(|ap - esa|, channel_period)
ci = (ap - esa) / (0.015 * d)
wt1 = EMA(ci, average_period)
wt2 = SMA(wt1, signal_period)
WaveTrend::classic() exposes LazyBear's defaults
(channel = 10, average = 21, signal = 4); warmup is
2 * channel_period + average_period + signal_period - 3 (42 for the
classic defaults). On a perfectly flat market the SMA-seeded EMA
introduces a single-ULP drift between ap and esa, which on a tiny d
would make the ratio explode to -1/0.015 = -66.67; a price-scaled
flat-tolerance guard (d <= 16 * EPSILON * max(|esa|, 1)) collapses
the channel index to 0 in that regime so both lines remain at zero.
Bindings: Python PyWaveTrend (PyArray2 shape (n, 2)) with a
WaveTrend.classic() staticmethod, Node WaveTrendNode + WaveTrendValue
with a WaveTrend.classic() factory, WASM WasmWaveTrend with both
new(...) and classic() constructors. Fuzz target adds the candle
multi-output path (sorted alphabetically). Python parametric
streaming-vs-batch test plus a flat-market reference test. Node
parametric streaming-vs-interleaved-batch test. Criterion bench
under crates/wickra/benches/indicators.rs.
README family table and indicator counter updated (75 -> 76).
* fix(family-06): re-add KST::classic() factory + drop dup fuzz block
Family-06 PR's tests call ta.KST.classic() / wickra.KST.classic() — main's
KST binding shipped without the static factory. Add classic() in Python
(staticmethod) and Node (napi factory); WASM already had it. Also drop the
duplicate Kst::classic().unwrap() block in fuzz/indicator_update.rs that
the merge left behind (main's API no longer returns Result).
* test(rwi): drop dead count==0 guard
The loop `for i in 2..=period` makes `count = tr_end - tr_start = i - 1`
which is always >= 1, so the `if count == 0 { continue; }` branch was
unreachable defensive code that codecov flagged on the family-06 PR.
|