kingchenc
4e3c41ea80
* 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
434 lines
12 KiB
Rust
434 lines
12 KiB
Rust
//! Built-in indicators. Every indicator implements [`crate::Indicator`].
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//!
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//! Modules are organised internally by category (trend, momentum, volatility,
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//! volume) but every public name is also re-exported flat from this module and
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//! from the crate root for convenience.
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mod acceleration_bands;
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mod accelerator_oscillator;
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mod ad_oscillator;
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mod adaptive_cycle;
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mod adl;
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mod adx;
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mod adxr;
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mod alligator;
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mod alma;
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mod alpha;
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mod anchored_vwap;
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mod apo;
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mod aroon;
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mod aroon_oscillator;
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mod atr;
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mod atr_bands;
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mod atr_trailing_stop;
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mod autocorrelation;
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mod average_drawdown;
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mod awesome_oscillator;
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mod awesome_oscillator_histogram;
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mod balance_of_power;
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mod beta;
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mod bollinger;
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mod bollinger_bandwidth;
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mod calmar_ratio;
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mod camarilla_pivots;
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mod cci;
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mod center_of_gravity;
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mod cfo;
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mod chaikin_oscillator;
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mod chaikin_volatility;
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mod chande_kroll_stop;
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mod chandelier_exit;
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mod choppiness_index;
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mod classic_pivots;
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mod cmf;
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mod cmo;
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mod coefficient_of_variation;
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mod conditional_value_at_risk;
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mod connors_rsi;
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mod coppock;
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mod cybernetic_cycle;
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mod decycler;
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mod decycler_oscillator;
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mod dema;
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mod demand_index;
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mod demark_pivots;
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mod detrended_std_dev;
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mod doji;
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mod donchian;
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mod donchian_stop;
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mod double_bollinger;
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mod dpo;
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mod drawdown_duration;
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mod ease_of_movement;
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mod ehlers_stochastic;
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mod elder_impulse;
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mod ema;
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mod empirical_mode_decomposition;
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mod engulfing;
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mod evwma;
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mod fama;
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mod fibonacci_pivots;
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mod fisher_transform;
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mod force_index;
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mod fractal_chaos_bands;
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mod frama;
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mod gain_loss_ratio;
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mod garman_klass;
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mod hammer;
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mod hanging_man;
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mod harami;
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mod heikin_ashi;
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mod hilbert_dominant_cycle;
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mod hilo_activator;
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mod historical_volatility;
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mod hma;
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mod hurst_channel;
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mod hurst_exponent;
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mod ichimoku;
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mod inertia;
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mod information_ratio;
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mod initial_balance;
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mod instantaneous_trendline;
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mod inverse_fisher_transform;
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mod inverted_hammer;
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mod jma;
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mod kama;
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mod kelly_criterion;
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mod keltner;
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mod kst;
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mod kurtosis;
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mod kvo;
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mod laguerre_rsi;
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mod linreg;
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mod linreg_angle;
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mod linreg_channel;
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mod linreg_slope;
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mod ma_envelope;
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mod macd;
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mod mama;
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mod market_facilitation_index;
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mod marubozu;
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mod mass_index;
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mod max_drawdown;
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mod mcginley_dynamic;
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mod median_absolute_deviation;
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mod median_price;
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mod mfi;
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mod mom;
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mod morning_evening_star;
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mod natr;
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mod nvi;
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mod obv;
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mod omega_ratio;
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mod opening_range;
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mod pain_index;
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mod parkinson;
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mod pearson_correlation;
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mod percent_b;
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mod percentage_trailing_stop;
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mod pgo;
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mod piercing_dark_cloud;
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mod pmo;
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mod ppo;
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mod profit_factor;
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mod psar;
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mod pvi;
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mod r_squared;
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mod recovery_factor;
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mod renko_trailing_stop;
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mod roc;
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mod rogers_satchell;
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mod roofing_filter;
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mod rsi;
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mod rvi;
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mod rvi_volatility;
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mod rwi;
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mod sharpe_ratio;
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mod shooting_star;
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mod sine_wave;
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mod skewness;
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mod sma;
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mod smi;
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mod smma;
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mod sortino_ratio;
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mod spearman_correlation;
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mod spinning_top;
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mod standard_error;
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mod standard_error_bands;
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mod starc_bands;
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mod stc;
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mod std_dev;
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mod step_trailing_stop;
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mod stoch_rsi;
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mod stochastic;
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mod super_smoother;
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mod super_trend;
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mod t3;
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mod td_combo;
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mod td_countdown;
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mod td_demarker;
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mod td_differential;
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mod td_lines;
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mod td_open;
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mod td_pressure;
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mod td_range_projection;
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mod td_rei;
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mod td_risk_level;
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mod td_sequential;
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mod td_setup;
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mod tema;
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mod three_inside;
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mod three_outside;
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mod three_soldiers_or_crows;
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mod tii;
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mod treynor_ratio;
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mod trima;
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mod trix;
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mod true_range;
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mod tsi;
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mod tsv;
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mod ttm_squeeze;
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mod tweezer;
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mod typical_price;
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mod ulcer_index;
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mod ultimate_oscillator;
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mod value_area;
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mod value_at_risk;
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mod variance;
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mod vertical_horizontal_filter;
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mod vidya;
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mod volty_stop;
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mod volume_oscillator;
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mod vortex;
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mod vpt;
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mod vwap;
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mod vwap_stddev_bands;
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mod vwma;
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mod vzo;
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mod wave_trend;
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mod weighted_close;
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mod williams_fractals;
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mod williams_r;
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mod wma;
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mod woodie_pivots;
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mod yang_zhang;
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mod yoyo_exit;
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mod z_score;
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mod zero_lag_macd;
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mod zig_zag;
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mod zlema;
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pub use acceleration_bands::{AccelerationBands, AccelerationBandsOutput};
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pub use accelerator_oscillator::AcceleratorOscillator;
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pub use ad_oscillator::AdOscillator;
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pub use adaptive_cycle::AdaptiveCycle;
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pub use adl::Adl;
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pub use adx::{Adx, AdxOutput};
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pub use adxr::Adxr;
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pub use alligator::{Alligator, AlligatorOutput};
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pub use alma::Alma;
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pub use alpha::Alpha;
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pub use anchored_vwap::AnchoredVwap;
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pub use apo::Apo;
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pub use aroon::{Aroon, AroonOutput};
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pub use aroon_oscillator::AroonOscillator;
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pub use atr::Atr;
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pub use atr_bands::{AtrBands, AtrBandsOutput};
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pub use atr_trailing_stop::AtrTrailingStop;
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pub use autocorrelation::Autocorrelation;
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pub use average_drawdown::AverageDrawdown;
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pub use awesome_oscillator::AwesomeOscillator;
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pub use awesome_oscillator_histogram::AwesomeOscillatorHistogram;
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pub use balance_of_power::BalanceOfPower;
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pub use beta::Beta;
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pub use bollinger::{BollingerBands, BollingerOutput};
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pub use bollinger_bandwidth::BollingerBandwidth;
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pub use calmar_ratio::CalmarRatio;
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pub use camarilla_pivots::{Camarilla, CamarillaPivotsOutput};
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pub use cci::Cci;
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pub use center_of_gravity::CenterOfGravity;
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pub use cfo::Cfo;
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pub use chaikin_oscillator::ChaikinOscillator;
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pub use chaikin_volatility::ChaikinVolatility;
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pub use chande_kroll_stop::{ChandeKrollStop, ChandeKrollStopOutput};
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pub use chandelier_exit::{ChandelierExit, ChandelierExitOutput};
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pub use choppiness_index::ChoppinessIndex;
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pub use classic_pivots::{ClassicPivots, ClassicPivotsOutput};
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pub use cmf::ChaikinMoneyFlow;
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pub use cmo::Cmo;
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pub use coefficient_of_variation::CoefficientOfVariation;
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pub use conditional_value_at_risk::ConditionalValueAtRisk;
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pub use connors_rsi::ConnorsRsi;
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pub use coppock::Coppock;
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pub use cybernetic_cycle::CyberneticCycle;
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pub use decycler::Decycler;
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pub use decycler_oscillator::DecyclerOscillator;
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pub use dema::Dema;
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pub use demand_index::DemandIndex;
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pub use demark_pivots::{DemarkPivots, DemarkPivotsOutput};
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pub use detrended_std_dev::DetrendedStdDev;
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pub use doji::Doji;
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pub use donchian::{Donchian, DonchianOutput};
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pub use donchian_stop::{DonchianStop, DonchianStopOutput};
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pub use double_bollinger::{DoubleBollinger, DoubleBollingerOutput};
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pub use dpo::Dpo;
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pub use drawdown_duration::DrawdownDuration;
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pub use ease_of_movement::EaseOfMovement;
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pub use ehlers_stochastic::EhlersStochastic;
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pub use elder_impulse::ElderImpulse;
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pub use ema::Ema;
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pub use empirical_mode_decomposition::EmpiricalModeDecomposition;
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pub use engulfing::Engulfing;
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pub use evwma::Evwma;
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pub use fama::Fama;
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pub use fibonacci_pivots::{FibonacciPivots, FibonacciPivotsOutput};
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pub use fisher_transform::FisherTransform;
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pub use force_index::ForceIndex;
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pub use fractal_chaos_bands::{FractalChaosBands, FractalChaosBandsOutput};
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pub use frama::Frama;
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pub use gain_loss_ratio::GainLossRatio;
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pub use garman_klass::GarmanKlassVolatility;
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pub use hammer::Hammer;
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pub use hanging_man::HangingMan;
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pub use harami::Harami;
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pub use heikin_ashi::{HeikinAshi, HeikinAshiOutput};
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pub use hilbert_dominant_cycle::HilbertDominantCycle;
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pub use hilo_activator::HiLoActivator;
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pub use historical_volatility::HistoricalVolatility;
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pub use hma::Hma;
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pub use hurst_channel::{HurstChannel, HurstChannelOutput};
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pub use hurst_exponent::HurstExponent;
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pub use ichimoku::{Ichimoku, IchimokuOutput};
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pub use inertia::Inertia;
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pub use information_ratio::InformationRatio;
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pub use initial_balance::{InitialBalance, InitialBalanceOutput};
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pub use instantaneous_trendline::InstantaneousTrendline;
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pub use inverse_fisher_transform::InverseFisherTransform;
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pub use inverted_hammer::InvertedHammer;
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pub use jma::Jma;
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pub use kama::Kama;
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pub use kelly_criterion::KellyCriterion;
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pub use keltner::{Keltner, KeltnerOutput};
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pub use kst::{Kst, KstOutput};
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pub use kurtosis::Kurtosis;
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pub use kvo::Kvo;
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pub use laguerre_rsi::LaguerreRsi;
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pub use linreg::LinearRegression;
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pub use linreg_angle::LinRegAngle;
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pub use linreg_channel::{LinRegChannel, LinRegChannelOutput};
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pub use linreg_slope::LinRegSlope;
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pub use ma_envelope::{MaEnvelope, MaEnvelopeOutput};
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pub use macd::{MacdIndicator, MacdOutput};
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pub use mama::{Mama, MamaOutput};
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pub use market_facilitation_index::MarketFacilitationIndex;
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pub use marubozu::Marubozu;
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pub use mass_index::MassIndex;
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pub use max_drawdown::MaxDrawdown;
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pub use mcginley_dynamic::McGinleyDynamic;
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pub use median_absolute_deviation::MedianAbsoluteDeviation;
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pub use median_price::MedianPrice;
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pub use mfi::Mfi;
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pub use mom::Mom;
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pub use morning_evening_star::MorningEveningStar;
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pub use natr::Natr;
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pub use nvi::Nvi;
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pub use obv::Obv;
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pub use omega_ratio::OmegaRatio;
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pub use opening_range::{OpeningRange, OpeningRangeOutput};
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pub use pain_index::PainIndex;
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pub use parkinson::ParkinsonVolatility;
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pub use pearson_correlation::PearsonCorrelation;
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pub use percent_b::PercentB;
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pub use percentage_trailing_stop::PercentageTrailingStop;
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pub use pgo::Pgo;
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pub use piercing_dark_cloud::PiercingDarkCloud;
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pub use pmo::Pmo;
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pub use ppo::Ppo;
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pub use profit_factor::ProfitFactor;
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pub use psar::Psar;
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pub use pvi::Pvi;
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pub use r_squared::RSquared;
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pub use recovery_factor::RecoveryFactor;
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pub use renko_trailing_stop::RenkoTrailingStop;
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pub use roc::Roc;
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pub use rogers_satchell::RogersSatchellVolatility;
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pub use roofing_filter::RoofingFilter;
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pub use rsi::Rsi;
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pub use rvi::Rvi;
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pub use rvi_volatility::RviVolatility;
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pub use rwi::{Rwi, RwiOutput};
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pub use sharpe_ratio::SharpeRatio;
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pub use shooting_star::ShootingStar;
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pub use sine_wave::SineWave;
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pub use skewness::Skewness;
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pub use sma::Sma;
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pub use smi::Smi;
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pub use smma::Smma;
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pub use sortino_ratio::SortinoRatio;
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pub use spearman_correlation::SpearmanCorrelation;
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pub use spinning_top::SpinningTop;
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pub use standard_error::StandardError;
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pub use standard_error_bands::{StandardErrorBands, StandardErrorBandsOutput};
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pub use starc_bands::{StarcBands, StarcBandsOutput};
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pub use stc::Stc;
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pub use std_dev::StdDev;
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pub use step_trailing_stop::StepTrailingStop;
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pub use stoch_rsi::StochRsi;
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pub use stochastic::{Stochastic, StochasticOutput};
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pub use super_smoother::SuperSmoother;
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pub use super_trend::{SuperTrend, SuperTrendOutput};
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pub use t3::T3;
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pub use td_combo::TdCombo;
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pub use td_countdown::TdCountdown;
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pub use td_demarker::TdDeMarker;
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pub use td_differential::TdDifferential;
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pub use td_lines::{TdLines, TdLinesOutput};
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pub use td_open::TdOpen;
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pub use td_pressure::TdPressure;
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pub use td_range_projection::{TdRangeProjection, TdRangeProjectionOutput};
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pub use td_rei::TdRei;
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pub use td_risk_level::{TdRiskLevel, TdRiskLevelOutput};
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pub use td_sequential::{TdSequential, TdSequentialOutput};
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pub use td_setup::TdSetup;
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pub use tema::Tema;
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pub use three_inside::ThreeInside;
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pub use three_outside::ThreeOutside;
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pub use three_soldiers_or_crows::ThreeSoldiersOrCrows;
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pub use tii::Tii;
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pub use treynor_ratio::TreynorRatio;
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pub use trima::Trima;
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pub use trix::Trix;
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pub use true_range::TrueRange;
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pub use tsi::Tsi;
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pub use tsv::Tsv;
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pub use ttm_squeeze::{TtmSqueeze, TtmSqueezeOutput};
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pub use tweezer::Tweezer;
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pub use typical_price::TypicalPrice;
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pub use ulcer_index::UlcerIndex;
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pub use ultimate_oscillator::UltimateOscillator;
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pub use value_area::{ValueArea, ValueAreaOutput};
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pub use value_at_risk::ValueAtRisk;
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pub use variance::Variance;
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pub use vertical_horizontal_filter::VerticalHorizontalFilter;
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pub use vidya::Vidya;
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pub use volty_stop::VoltyStop;
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pub use volume_oscillator::VolumeOscillator;
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pub use vortex::{Vortex, VortexOutput};
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pub use vpt::VolumePriceTrend;
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pub use vwap::{RollingVwap, Vwap};
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pub use vwap_stddev_bands::{VwapStdDevBands, VwapStdDevBandsOutput};
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pub use vwma::Vwma;
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pub use vzo::Vzo;
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pub use wave_trend::{WaveTrend, WaveTrendOutput};
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pub use weighted_close::WeightedClose;
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pub use williams_fractals::{WilliamsFractals, WilliamsFractalsOutput};
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pub use williams_r::WilliamsR;
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pub use wma::Wma;
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pub use woodie_pivots::{WoodiePivots, WoodiePivotsOutput};
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pub use yang_zhang::YangZhangVolatility;
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pub use yoyo_exit::YoyoExit;
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pub use z_score::ZScore;
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pub use zero_lag_macd::{ZeroLagMacd, ZeroLagMacdOutput};
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pub use zig_zag::{ZigZag, ZigZagOutput};
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pub use zlema::Zlema;
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