Files
wickra/fuzz/fuzz_targets/indicator_update.rs
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kingchencandGitHub 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.
2026-05-25 19:00:13 +02:00

156 lines
6.3 KiB
Rust

#![no_main]
//! Fuzz scalar-input indicator updates with arbitrary `f64` sequences.
//!
//! Every scalar indicator must tolerate any finite-or-not input stream — NaN,
//! ±inf, subnormals, abrupt jumps — without panicking. Each fuzz iteration
//! runs the **same** input sequence through every scalar indicator twice:
//! once as a streaming `update` loop and once as a full `batch` call. Neither
//! path may panic; `batch` is also expected to agree with the streaming path
//! (the `BatchExt` blanket implementation replays `update` internally, so the
//! agreement is structural — but exercising both paths surfaces any
//! state-mutation bugs in `update` that would only manifest mid-batch).
//!
//! Audit finding R9: the previous version covered only `Rsi(14)` and
//! `Ema(20)`. This target now covers every scalar indicator in the catalogue.
use libfuzzer_sys::fuzz_target;
use wickra_core::{
Alma, Apo, BatchExt, BollingerBands, Cfo, Cmo, ConnorsRsi, Coppock, Dema, DoubleBollinger, Dpo,
ElderImpulse, Ema, Frama, HistoricalVolatility, Hma, Indicator, Jma, Kama, Kst, LaguerreRsi,
LinRegAngle, LinRegChannel, LinRegSlope, LinearRegression, MaEnvelope, MacdIndicator,
McGinleyDynamic, Mom, Pmo, Ppo, Roc, Rsi, RviVolatility, Sma, Smma, StandardErrorBands, Stc,
StdDev, StochRsi, T3, Tema, Tii, Trima, Trix, Tsi, UlcerIndex, VerticalHorizontalFilter, Vidya,
Wma, ZScore, ZeroLagMacd, Zlema,
};
/// Drive a single streaming + batch run through one scalar indicator. Marked
/// `#[inline(never)]` so a panic backtrace pin-points the specific indicator.
#[inline(never)]
fn drive<I>(make: impl Fn() -> I, data: &[f64])
where
I: Indicator<Input = f64, Output = f64> + BatchExt,
{
let mut streaming = make();
for &x in data {
let _ = streaming.update(x);
}
let _ = make().batch(data);
}
fuzz_target!(|data: Vec<f64>| {
// Bounded periods keep each iteration cheap and bias the fuzzer toward
// adversarial input patterns rather than enormous windows. The constants
// mirror the README's "common defaults" so we cover the parameterisations
// most users actually instantiate.
drive(|| Sma::new(14).unwrap(), &data);
drive(|| Ema::new(20).unwrap(), &data);
drive(|| Wma::new(14).unwrap(), &data);
drive(|| Rsi::new(14).unwrap(), &data);
drive(|| Dema::new(14).unwrap(), &data);
drive(|| Tema::new(14).unwrap(), &data);
drive(|| Hma::new(14).unwrap(), &data);
drive(|| Roc::new(14).unwrap(), &data);
drive(|| Trix::new(14).unwrap(), &data);
drive(|| Smma::new(14).unwrap(), &data);
drive(|| Trima::new(14).unwrap(), &data);
drive(|| Zlema::new(14).unwrap(), &data);
drive(|| Kama::new(10, 2, 30).unwrap(), &data);
drive(|| Alma::new(9, 0.85, 6.0).unwrap(), &data);
drive(|| McGinleyDynamic::new(10).unwrap(), &data);
drive(|| Frama::new(16).unwrap(), &data);
drive(|| Vidya::new(14, 9).unwrap(), &data);
drive(|| Jma::new(14, 0.0, 2).unwrap(), &data);
drive(|| T3::new(14, 0.7).unwrap(), &data);
drive(|| Mom::new(14).unwrap(), &data);
drive(|| Cmo::new(14).unwrap(), &data);
drive(|| Tsi::new(25, 13).unwrap(), &data);
drive(|| Pmo::new(35, 20).unwrap(), &data);
drive(|| Tii::new(60, 30).unwrap(), &data);
drive(|| StochRsi::new(14, 14).unwrap(), &data);
drive(|| Dpo::new(14).unwrap(), &data);
drive(|| Ppo::new(12, 26).unwrap(), &data);
drive(|| Apo::new(12, 26).unwrap(), &data);
drive(|| Cfo::new(14).unwrap(), &data);
drive(|| ElderImpulse::classic(), &data);
drive(|| Stc::classic(), &data);
drive(|| Coppock::new(14, 11, 10).unwrap(), &data);
drive(|| StdDev::new(14).unwrap(), &data);
drive(|| UlcerIndex::new(14).unwrap(), &data);
drive(|| HistoricalVolatility::new(14, 252).unwrap(), &data);
drive(|| LinearRegression::new(14).unwrap(), &data);
drive(|| LinRegSlope::new(14).unwrap(), &data);
drive(|| LinRegAngle::new(14).unwrap(), &data);
drive(|| VerticalHorizontalFilter::new(14).unwrap(), &data);
drive(|| ZScore::new(14).unwrap(), &data);
drive(|| RviVolatility::new(10).unwrap(), &data);
drive(|| LaguerreRsi::new(0.5).unwrap(), &data);
drive(|| ConnorsRsi::classic(), &data);
// KST is scalar-input but emits `KstOutput`, so it bypasses the generic
// `drive` helper. Streaming + batch are still both exercised.
{
let mut kst = Kst::classic();
for &x in &data {
let _ = kst.update(x);
}
let _ = Kst::classic().batch(&data);
}
// Zero-Lag MACD shares MACD's multi-output topology, so it gets the
// same hand-rolled streaming + batch drive as classic MACD below.
{
let mut z = ZeroLagMacd::classic();
for &x in &data {
let _ = z.update(x);
}
let _ = ZeroLagMacd::classic().batch(&data);
}
// MACD and Bollinger Bands have non-`f64` outputs, so they cannot use the
// generic `drive` helper above. Streaming + batch are still both exercised.
{
let mut macd = MacdIndicator::new(12, 26, 9).unwrap();
for &x in &data {
let _ = macd.update(x);
}
let _ = MacdIndicator::new(12, 26, 9).unwrap().batch(&data);
}
{
let mut bb = BollingerBands::new(20, 2.0).unwrap();
for &x in &data {
let _ = bb.update(x);
}
let _ = BollingerBands::new(20, 2.0).unwrap().batch(&data);
}
// --- Family 05: scalar-input band/channel indicators (multi-output) ---
{
let mut env = MaEnvelope::new(20, 0.025).unwrap();
for &x in &data {
let _ = env.update(x);
}
let _ = MaEnvelope::new(20, 0.025).unwrap().batch(&data);
}
{
let mut ch = LinRegChannel::new(20, 2.0).unwrap();
for &x in &data {
let _ = ch.update(x);
}
let _ = LinRegChannel::new(20, 2.0).unwrap().batch(&data);
}
{
let mut seb = StandardErrorBands::new(21, 2.0).unwrap();
for &x in &data {
let _ = seb.update(x);
}
let _ = StandardErrorBands::new(21, 2.0).unwrap().batch(&data);
}
{
let mut db = DoubleBollinger::new(20, 1.0, 2.0).unwrap();
for &x in &data {
let _ = db.update(x);
}
let _ = DoubleBollinger::new(20, 1.0, 2.0).unwrap().batch(&data);
}
});