kingchenc
3be267cb03
A multi-language technical analysis library: 25 indicators across trend,
momentum, volatility, and volume families, every one a state machine with
O(1) per-tick updates. Batch evaluation is provided by a blanket extension
trait over the streaming primitive, so live trading bots and historical
backtests run the same code path.
What ships in this initial drop:
crates/wickra-core - 25 indicators, Indicator/BatchExt/Chain traits,
OHLCV types with validation; 171 unit tests,
property tests, Wilder/Bollinger textbook tests.
crates/wickra - top-level facade + criterion benches for every
indicator at 1K/10K/100K series sizes.
crates/wickra-data - streaming CSV reader, tick-to-candle aggregator,
multi-timeframe resampler, Binance Spot kline
WebSocket adapter behind feature live-binance;
11 unit + 1 doctest.
bindings/python - PyO3 + maturin, NumPy I/O, type stubs (.pyi),
56 pytest tests including streaming==batch
equivalence, Wilder reference values, lifecycle.
bindings/node - napi-rs native module, TypeScript .d.ts
auto-generated, 7 node --test cases.
bindings/wasm - wasm-bindgen ES module for browser/bundler/Node;
interactive HTML demo at examples/index.html.
examples/ - Python and Rust scripts: backtest, live trading,
parallel multi-asset, multi-timeframe, Binance.
benchmarks/ - cross-library comparison against TA-Lib,
pandas-ta, finta, talipp; Wickra wins every
category by 11-1030x (batch) and 17x+ streaming.
.github/workflows/ - CI matrix (Rust + Python + Node + WASM on
Linux/macOS/Windows), release pipeline for
PyPI wheels and npm.
Indicators (25):
Trend SMA EMA WMA DEMA TEMA HMA KAMA
Momentum RSI MACD Stochastic CCI ROC WilliamsR ADX MFI TRIX
AwesomeOscillator Aroon
Volatility BollingerBands ATR Keltner Donchian PSAR
Volume OBV VWAP (cumulative + rolling)
cargo clippy --workspace --all-targets -D warnings is clean. License: Apache-2.0.
96 lines
2.8 KiB
Rust
96 lines
2.8 KiB
Rust
//! Rust example: backtest a basket of indicators against a CSV file.
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//!
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//! Build with:
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//! ```text
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//! cargo run --release --example backtest -- path/to/ohlcv.csv
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//! ```
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use std::env;
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use wickra::{Adx, Atr, BatchExt, BollingerBands, Ema, Indicator, MacdIndicator, Obv, Rsi};
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use wickra_data::csv::CandleReader;
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fn main() -> Result<(), Box<dyn std::error::Error>> {
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let args: Vec<String> = env::args().collect();
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let path = args.get(1).ok_or("usage: backtest <ohlcv.csv>")?;
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let mut reader = CandleReader::open(path)?;
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let candles = reader.read_all()?;
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if candles.is_empty() {
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return Err("CSV is empty".into());
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}
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let n = candles.len();
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let closes: Vec<f64> = candles.iter().map(|c| c.close).collect();
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let rsi = Rsi::new(14)?.batch(&closes);
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let ema = Ema::new(20)?.batch(&closes);
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let bb = BollingerBands::classic().batch(&closes);
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let macd = MacdIndicator::classic().batch(&closes);
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let mut atr = Atr::new(14)?;
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let atr_series: Vec<_> = candles.iter().map(|c| atr.update(*c)).collect();
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let mut adx = Adx::new(14)?;
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let adx_series: Vec<_> = candles.iter().map(|c| adx.update(*c)).collect();
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let mut obv = Obv::new();
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let obv_series: Vec<_> = candles.iter().map(|c| obv.update(*c)).collect();
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let last_rsi = rsi
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.iter()
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.rev()
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.flatten()
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.next()
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.copied()
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.unwrap_or(f64::NAN);
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let last_ema = ema
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.iter()
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.rev()
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.flatten()
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.next()
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.copied()
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.unwrap_or(f64::NAN);
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let last_bb = bb.iter().rev().flatten().next().copied();
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let last_macd = macd.iter().rev().flatten().next().copied();
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let last_atr = atr_series
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.iter()
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.rev()
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.flatten()
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.next()
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.copied()
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.unwrap_or(f64::NAN);
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let last_adx = adx_series.iter().rev().flatten().next().copied();
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let last_obv = obv_series
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.iter()
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.rev()
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.flatten()
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.next()
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.copied()
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.unwrap_or(f64::NAN);
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println!("backtest summary for {path} ({n} bars)");
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println!(" RSI(14) = {last_rsi:>9.4}");
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println!(" EMA(20) = {last_ema:>9.4}");
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if let Some(bb) = last_bb {
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println!(
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" BB(20,2) upper={:>9.4} middle={:>9.4} lower={:>9.4} sd={:>8.4}",
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bb.upper, bb.middle, bb.lower, bb.stddev
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);
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}
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if let Some(m) = last_macd {
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println!(
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" MACD macd={:>9.4} signal={:>9.4} hist={:>9.4}",
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m.macd, m.signal, m.histogram
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);
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}
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println!(" ATR(14) = {last_atr:>9.4}");
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if let Some(a) = last_adx {
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println!(
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" ADX(14) +DI={:>6.2} -DI={:>6.2} ADX={:>6.2}",
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a.plus_di, a.minus_di, a.adx
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);
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}
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println!(" OBV = {last_obv:>14.2}");
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Ok(())
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}
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