kingchenc
d2f99efd78
The original taxonomy was four classical families plus a statistics group, with the F1-F12 expansion slotted in as sub-categories. This regroups the whole 71-indicator catalogue into eight top-level families, each with at least five members: Moving Averages (12), Momentum Oscillators (13), Trend & Directional (9), Price Oscillators (5), Volatility & Bands (12), Trailing Stops (5), Volume (9), Price Statistics (7). - Wiki: docs/wiki/indicators/ reorganised into eight family folders; all 71 indicator pages moved with `git mv`. Every internal cross-link is normalised to `../<family>/Indicator-X.md`, each page's `Family` field is set to its new family, and two pre-existing `../Indicator-Chaining.md` links (should have been `../../`) are corrected. A link check confirms every relative wiki link resolves. - Indicators-Overview.md fully rewritten around the eight families; Home.md indicator reference and the README family table follow suit. - Warmup-Periods.md gains the eight F13 indicators; CHANGELOG records the 46-indicator expansion (25 -> 71) and the eight-family taxonomy. - Tests: Node indicators.test.js and Python test_new_indicators.py cover all eight new indicators (Node 91/91, Python 117/117 green). cargo fmt + clippy (core/wickra/data/wasm/node) clean; 508 core tests, 25 data tests and 74 doctests green.
187 lines
5.5 KiB
Markdown
187 lines
5.5 KiB
Markdown
# TRIX
|
||
|
||
> Triple-EMA percent rate of change — applies three EMAs in sequence to
|
||
> smooth out short-term noise, then reports the one-bar percent change
|
||
> of the resulting series.
|
||
|
||
## Quick reference
|
||
|
||
| Field | Value |
|
||
|-------|-------|
|
||
| Family | Trend & Directional |
|
||
| Input type | `f64` (close) |
|
||
| Output type | `f64` |
|
||
| Output range | unbounded (typically a few percent, centred on 0) |
|
||
| Default parameters | none — `period` is required in every binding |
|
||
| Warmup period | `3 · period − 1` (44 for `period = 15`) |
|
||
| Interpretation | zero-line crossings as trend-change cues; magnitude as momentum |
|
||
|
||
## Formula
|
||
|
||
Let `EMA_n(·)` denote Wickra's EMA over `n` periods (seeded from the
|
||
simple mean of the first `n` inputs, then recursive with `α = 2/(n+1)`).
|
||
For each input close, build a triple-smoothed series:
|
||
|
||
```
|
||
TR_t = EMA_period( EMA_period( EMA_period( close ) ) )_t
|
||
```
|
||
|
||
Then TRIX is the one-bar percent rate of change of `TR`:
|
||
|
||
```
|
||
TRIX_t = 100 · (TR_t − TR_{t-1}) / TR_{t-1}
|
||
```
|
||
|
||
When `TR_{t-1} == 0` exactly, the implementation returns `0.0` rather
|
||
than dividing by zero.
|
||
|
||
## Parameters
|
||
|
||
| Name | Type | Default | Valid range | Description |
|
||
|------|------|---------|-------------|-------------|
|
||
| `period` | `usize` | required | `>= 1` | Period shared by all three EMAs. |
|
||
|
||
`Trix::new(0)` returns `Error::PeriodZero` (via the inner `Ema::new`).
|
||
The Python and Node bindings expose no default for `period`; you must
|
||
pass it explicitly.
|
||
|
||
## Inputs / Outputs
|
||
|
||
From `impl Indicator for Trix`:
|
||
|
||
```rust
|
||
type Input = f64;
|
||
type Output = f64;
|
||
fn update(&mut self, input: f64) -> Option<f64>;
|
||
```
|
||
|
||
Python's `TRIX.batch(prices)` returns a 1-D `float64` `np.ndarray`
|
||
(warmup → `NaN`). Node's `TRIX.batch(prices)` returns a flat
|
||
`number[]` (warmup → `NaN`). Both also expose streaming `update(price)`.
|
||
|
||
## Warmup
|
||
|
||
`warmup_period()` returns `3 · period − 1`. Three stacked EMAs of the
|
||
same period seed at input `3 · period − 2`; once `TR` exists, TRIX
|
||
itself needs one more input to form the `TR_t − TR_{t-1}` difference,
|
||
which lands at input `3 · period − 1`. For `period = 15` this is
|
||
`3 · 15 − 1 = 44`, verified above.
|
||
|
||
## Edge cases
|
||
|
||
- **Constant input.** All three EMAs converge to the constant value, so
|
||
`TR_t − TR_{t-1} == 0` and TRIX returns `0` (test
|
||
`constant_series_yields_zero_trix`).
|
||
- **`TR_{t-1} == 0`.** The implementation returns `0` rather than
|
||
producing `NaN` / `±∞`. This is the `Some(_)` branch with `prev !=
|
||
0.0`-failed in `Trix::update`.
|
||
- **Reset.** `reset()` resets all three EMAs and clears `prev_tr`.
|
||
|
||
## Examples
|
||
|
||
### Rust
|
||
|
||
```rust
|
||
use wickra::{BatchExt, Indicator, Trix};
|
||
|
||
let prices: Vec<f64> = (1..=50).map(|i| i as f64).collect();
|
||
let mut trix = Trix::new(15)?;
|
||
let out = trix.batch(&prices);
|
||
println!("row 43 = {}", out[43].unwrap());
|
||
println!("row 49 = {}", out[49].unwrap());
|
||
# Ok::<(), wickra::Error>(())
|
||
```
|
||
|
||
Verified output:
|
||
|
||
```
|
||
row 43 = 4.545454545454546
|
||
row 49 = 3.5714285714285716
|
||
```
|
||
|
||
(The series decays toward zero as a ramp gets longer because the
|
||
percent change of an arithmetic ramp shrinks as the level grows.)
|
||
|
||
### Python
|
||
|
||
```python
|
||
import wickra as ta
|
||
|
||
trix = ta.TRIX(15)
|
||
print('warmup:', trix.warmup_period())
|
||
vals = []
|
||
for i in range(1, 51):
|
||
vals.append(trix.update(float(i)))
|
||
print('vals[43]:', vals[43])
|
||
print('vals[49]:', vals[49])
|
||
```
|
||
|
||
Verified output:
|
||
|
||
```
|
||
warmup: 44
|
||
vals[43]: 4.545454545454546
|
||
vals[49]: 3.5714285714285716
|
||
```
|
||
|
||
### Node
|
||
|
||
```javascript
|
||
const wickra = require('wickra');
|
||
|
||
const trix = new wickra.TRIX(15);
|
||
console.log('warmup:', trix.warmupPeriod());
|
||
const vals = [];
|
||
for (let i = 1; i <= 50; i++) vals.push(trix.update(i));
|
||
console.log('vals[43]:', vals[43]);
|
||
console.log('vals[49]:', vals[49]);
|
||
```
|
||
|
||
Verified output:
|
||
|
||
```
|
||
warmup: 44
|
||
vals[43]: 4.545454545454546
|
||
vals[49]: 3.5714285714285716
|
||
```
|
||
|
||
## Interpretation
|
||
|
||
- **Zero-line cross.** TRIX crossing above zero suggests the
|
||
triple-smoothed trend is turning up; crossing below, turning down.
|
||
Because of the triple smoothing, these crosses are deliberately
|
||
late and deliberately stable.
|
||
- **Magnitude.** A larger absolute TRIX value means the smoothed series
|
||
is changing faster per bar. There is no canonical "overbought" band
|
||
— TRIX is interpreted by its sign and slope, not by threshold.
|
||
- **Compare to MACD.** Both are EMA-based momentum oscillators on a
|
||
zero-centred scale. MACD reacts faster (two EMAs, one diff); TRIX
|
||
reacts slower (three EMAs, one rate of change), making it a
|
||
cleaner long-horizon trend filter.
|
||
|
||
## Common pitfalls
|
||
|
||
- **Long warmup.** `3 · period − 1` is one of the largest warmups in
|
||
the library (44 for the canonical `period = 15`). Sizing your input
|
||
buffer to `period` and expecting values immediately will hand you
|
||
`None` / `NaN` for a full 44 bars.
|
||
- **Triple smoothing kills small wiggles.** TRIX deliberately ignores
|
||
short-term noise. Do not use it for entry-timing inside a fast
|
||
oscillator strategy; use it as a long-term trend filter on top of a
|
||
faster signal.
|
||
|
||
## References
|
||
|
||
- Jack Hutson, "Good TRIX", *Technical Analysis of Stocks &
|
||
Commodities*, July 1983 — the original publication popularising the
|
||
triple-EMA rate-of-change oscillator.
|
||
|
||
## See also
|
||
|
||
- [Indicator: MacdIndicator](../trend-directional/Indicator-MacdIndicator.md) — faster
|
||
EMA-based momentum oscillator, useful as a confirmation against
|
||
TRIX zero-line crosses.
|
||
- [Indicator: Roc](../momentum-oscillators/Indicator-Roc.md) — the raw, one-stage rate of
|
||
change TRIX is built on top of.
|
||
- [Warmup Periods](../../Warmup-Periods.md) — `3 · period − 1` entry.
|