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