kingchencandGitHub
0b85142ad1
* 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.
92 lines
5.4 KiB
Rust
92 lines
5.4 KiB
Rust
//! `wickra-core`: streaming-first technical indicators.
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//!
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//! The core engine of Wickra. Every indicator is implemented as a state machine
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//! that consumes inputs one at a time via [`Indicator::update`] in constant time.
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//! Batch evaluation is provided as a blanket extension trait so the same code
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//! path serves both online (tick-by-tick) and offline (historical) workloads.
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//!
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//! # Design
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//!
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//! - **Streaming-first.** State is held by the indicator instance, so a new value
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//! only re-computes deltas, not the whole series.
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//! - **Batch is free.** [`BatchExt::batch`] is a blanket implementation that
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//! simply replays `update` over a slice. Writing one implementation gives both
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//! APIs.
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//! - **Composable.** Indicators implement [`Indicator<Input = f64, Output = f64>`]
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//! wherever they conceptually take a price, so they can be chained via
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//! [`Chain`].
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//! - **No `unsafe`.** The crate forbids `unsafe_code` in the workspace lints.
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//!
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//! # Quick start
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//!
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//! ```
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//! use wickra_core::{BatchExt, Indicator, Sma};
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//!
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//! // Streaming:
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//! let mut sma = Sma::new(3).unwrap();
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//! assert_eq!(sma.update(1.0), None);
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//! assert_eq!(sma.update(2.0), None);
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//! assert_eq!(sma.update(3.0), Some(2.0));
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//!
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//! // Batch (replays `update` internally):
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//! let mut sma = Sma::new(3).unwrap();
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//! let out = sma.batch(&[1.0, 2.0, 3.0, 4.0]);
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//! assert_eq!(out, vec![None, None, Some(2.0), Some(3.0)]);
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//! ```
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#![cfg_attr(docsrs, feature(doc_cfg))]
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mod error;
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mod ohlcv;
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mod traits;
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pub mod indicators;
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pub use error::{Error, Result};
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pub use indicators::{
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AccelerationBands, AccelerationBandsOutput, AcceleratorOscillator, AdOscillator, AdaptiveCycle,
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Adl, Adx, AdxOutput, Adxr, Alligator, AlligatorOutput, Alma, Alpha, AnchoredVwap, Apo, Aroon,
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AroonOscillator, AroonOutput, Atr, AtrBands, AtrBandsOutput, AtrTrailingStop, Autocorrelation,
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AverageDrawdown, AwesomeOscillator, AwesomeOscillatorHistogram, BalanceOfPower, Beta,
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BollingerBands, BollingerBandwidth, BollingerOutput, CalmarRatio, Camarilla,
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CamarillaPivotsOutput, Cci, CenterOfGravity, Cfo, ChaikinMoneyFlow, ChaikinOscillator,
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ChaikinVolatility, ChandeKrollStop, ChandeKrollStopOutput, ChandelierExit,
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ChandelierExitOutput, ChoppinessIndex, ClassicPivots, ClassicPivotsOutput, Cmo,
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CoefficientOfVariation, Cointegration, CointegrationOutput, ConditionalValueAtRisk, ConnorsRsi,
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Coppock, CyberneticCycle, Decycler, DecyclerOscillator, Dema, DemandIndex, DemarkPivots,
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DemarkPivotsOutput, DetrendedStdDev, Doji, Donchian, DonchianOutput, DonchianStop,
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DonchianStopOutput, DoubleBollinger, DoubleBollingerOutput, Dpo, DrawdownDuration,
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EaseOfMovement, EhlersStochastic, ElderImpulse, Ema, EmpiricalModeDecomposition, Engulfing,
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Evwma, Fama, FibonacciPivots, FibonacciPivotsOutput, FisherTransform, ForceIndex,
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FractalChaosBands, FractalChaosBandsOutput, Frama, GainLossRatio, GarmanKlassVolatility,
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Hammer, HangingMan, Harami, HeikinAshi, HeikinAshiOutput, HiLoActivator, HilbertDominantCycle,
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HistoricalVolatility, Hma, HurstChannel, HurstChannelOutput, HurstExponent, Ichimoku,
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IchimokuOutput, Inertia, InformationRatio, InitialBalance, InitialBalanceOutput,
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InstantaneousTrendline, InverseFisherTransform, InvertedHammer, Jma, Kama, KellyCriterion,
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Keltner, KeltnerOutput, Kst, KstOutput, Kurtosis, Kvo, LaguerreRsi, LeadLagCrossCorrelation,
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LeadLagCrossCorrelationOutput, LinRegAngle, LinRegChannel, LinRegChannelOutput, LinRegSlope,
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LinearRegression, MaEnvelope, MaEnvelopeOutput, MacdIndicator, MacdOutput, Mama, MamaOutput,
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MarketFacilitationIndex, Marubozu, MassIndex, MaxDrawdown, McGinleyDynamic,
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MedianAbsoluteDeviation, MedianPrice, Mfi, Mom, MorningEveningStar, Natr, Nvi, Obv, OmegaRatio,
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OpeningRange, OpeningRangeOutput, PainIndex, PairSpreadZScore, PairwiseBeta,
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ParkinsonVolatility, PearsonCorrelation, PercentB, PercentageTrailingStop, Pgo,
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PiercingDarkCloud, Pmo, Ppo, ProfitFactor, Psar, Pvi, RSquared, RecoveryFactor,
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RelativeStrengthAB, RelativeStrengthOutput, RenkoTrailingStop, Roc, RogersSatchellVolatility,
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RollingVwap, RoofingFilter, Rsi, Rvi, RviVolatility, Rwi, RwiOutput, SharpeRatio, ShootingStar,
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SineWave, Skewness, Sma, Smi, Smma, SortinoRatio, SpearmanCorrelation, SpinningTop,
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StandardError, StandardErrorBands, StandardErrorBandsOutput, StarcBands, StarcBandsOutput, Stc,
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StdDev, StepTrailingStop, StochRsi, Stochastic, StochasticOutput, SuperSmoother, SuperTrend,
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SuperTrendOutput, TdCombo, TdCountdown, TdDeMarker, TdDifferential, TdLines, TdLinesOutput,
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TdOpen, TdPressure, TdRangeProjection, TdRangeProjectionOutput, TdRei, TdRiskLevel,
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TdRiskLevelOutput, TdSequential, TdSequentialOutput, TdSetup, Tema, ThreeInside, ThreeOutside,
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ThreeSoldiersOrCrows, Tii, TreynorRatio, Trima, Trix, TrueRange, Tsi, Tsv, TtmSqueeze,
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TtmSqueezeOutput, Tweezer, TypicalPrice, UlcerIndex, UltimateOscillator, ValueArea,
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ValueAreaOutput, ValueAtRisk, Variance, VerticalHorizontalFilter, Vidya, VoltyStop,
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VolumeOscillator, VolumePriceTrend, Vortex, VortexOutput, Vwap, VwapStdDevBands,
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VwapStdDevBandsOutput, Vwma, Vzo, WaveTrend, WaveTrendOutput, WeightedClose, WilliamsFractals,
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WilliamsFractalsOutput, WilliamsR, Wma, WoodiePivots, WoodiePivotsOutput, YangZhangVolatility,
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YoyoExit, ZScore, ZeroLagMacd, ZeroLagMacdOutput, ZigZag, ZigZagOutput, Zlema, FAMILIES, T3,
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};
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pub use ohlcv::{Candle, Tick};
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pub use traits::{BatchExt, Chain, Indicator};
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