kingchenc
7728151c87
Completes the F3 family (Momentum) end to end: - Rust core: mom.rs (raw price-difference momentum), cmo.rs (Chande Momentum Oscillator — unsmoothed gain/loss sum, bounded [-100,100]), tsi.rs (True Strength Index — double-EMA-smoothed momentum ratio), pmo.rs (DecisionPoint Price Momentum Oscillator — doubly-smoothed ROC with the 2/period custom smoothing). Each with a full Indicator impl, runnable doctest and reference-value / saturation / warmup / reset / batch==streaming / non-finite tests. - Python: PyMom / PyCmo / PyTsi / PyPmo PyO3 classes + module registration + .pyi stubs (defaults MOM=10, CMO=14, TSI=(25,13), PMO=(35,20)). - Node: MomNode / CmoNode via the scalar macro, explicit TsiNode and PmoNode; index.d.ts and index.js updated. - WASM: WasmMom / WasmCmo / WasmTsi / WasmPmo via the scalar macro. - Wiki: Indicator-Mom/Cmo/Tsi/Pmo.md plus rows in Indicators-Overview.md and entries in Home.md. cargo fmt + clippy (core/wickra/data/wasm/node) clean; 262 core tests, 25 data tests and 37 doctests green.
161 lines
5.0 KiB
Markdown
161 lines
5.0 KiB
Markdown
# TSI
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> True Strength Index — a double-smoothed momentum oscillator that strips
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> noise while keeping a clean, zero-centred read on trend pressure.
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## Quick reference
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| Field | Value |
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|-------|-------|
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| Family | Momentum |
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| Sub-category | Unbounded oscillators |
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| Input type | `f64` (single close) |
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| Output type | `f64` |
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| Output range | roughly `[−100, 100]`, centred on zero |
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| Default parameters | `(long = 25, short = 13)` (Python) |
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| Warmup period | `long + short` |
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| Interpretation | Positive = net upward pressure, negative = net downward. |
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## Formula
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```
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momentum_t = price_t − price_{t−1}
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TSI = 100 · EMA_short(EMA_long(momentum)) / EMA_short(EMA_long(|momentum|))
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```
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The 1-bar momentum and its absolute value are each smoothed twice — first
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with an EMA of length `long`, then with an EMA of length `short`. The
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ratio of the two double-smoothed series normalises the result: when every
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recent move is up, numerator and denominator are equal and TSI saturates
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at `+100`; when every move is down, at `−100`.
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## Parameters
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| Name | Type | Default | Valid range | Description |
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|---------|---------|---------------|-------------|-------------|
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| `long` | `usize` | `25` (Python) | `>= 1` | First (slow) smoothing length. `0` errors with `Error::PeriodZero`. |
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| `short` | `usize` | `13` (Python) | `>= 1` | Second (fast) smoothing length. `0` errors with `Error::PeriodZero`. |
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The Python binding defaults the pair to `(25, 13)` via
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`#[pyo3(signature = (long=25, short=13))]`. Node and WASM take both
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explicitly. The `periods` property returns `(long, short)`.
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## Inputs / Outputs
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From `crates/wickra-core/src/indicators/tsi.rs`:
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```rust
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impl Indicator for Tsi {
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type Input = f64;
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type Output = f64;
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// update(&mut self, input: f64) -> Option<f64>
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}
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```
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A single `f64` close in, an `Option<f64>` out. Python maps this to
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`float | None` / `numpy.ndarray` (NaN warmup); Node to `number | null` /
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`Array<number>` (NaN warmup).
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## Warmup
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`Tsi::new(long, short).warmup_period() == long + short`. The momentum
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series starts on input 2; the SMA-seeded `long` EMA seeds at input
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`long + 1`, and the `short` EMA stacked on top seeds `short − 1` inputs
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later, so the first non-`None` output lands on input `long + short`.
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## Edge cases
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- **Pure trend.** A monotone rising series saturates at `+100`, a falling
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one at `−100` — `|momentum|` equals `momentum` (or its negative), so the
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ratio is `±1` (`pure_uptrend_saturates_at_plus_100` /
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`pure_downtrend_saturates_at_minus_100` pin this).
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- **Constant series.** Every momentum is `0`; the `0 / 0` is guarded and
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the output is `0.0` (`constant_series_yields_zero` pins this).
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- **NaN / infinity inputs.** Non-finite inputs are silently dropped; the
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smoothing chains are not advanced.
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- **Reset.** `tsi.reset()` clears the previous price and all four EMAs.
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## Examples
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### Rust
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```rust
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use wickra::{BatchExt, Indicator, Tsi};
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fn main() -> Result<(), Box<dyn std::error::Error>> {
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let prices: Vec<f64> = (1..=40).map(f64::from).collect();
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let mut tsi = Tsi::new(5, 3)?;
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let out = tsi.batch(&prices);
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println!("warmup_period = {}", tsi.warmup_period());
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println!("last = {:?}", out.last().unwrap());
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Ok(())
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}
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```
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Output:
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```
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warmup_period = 8
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last = Some(100.0)
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```
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A pure ramp has a constant `+1` momentum, so the double-smoothed ratio is
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exactly `1` and TSI saturates at `+100`. This matches the
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`pure_uptrend_saturates_at_plus_100` test in
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`crates/wickra-core/src/indicators/tsi.rs`.
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### Python
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```python
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import numpy as np
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import wickra as ta
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tsi = ta.TSI() # (long=25, short=13)
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prices = np.linspace(100.0, 80.0, 60) # steady downtrend
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out = tsi.batch(prices)
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print("last =", out[-1])
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```
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Output:
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```
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last = -100.0
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```
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### Node
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```javascript
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const ta = require('wickra');
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const tsi = new ta.TSI(25, 13);
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const prices = Array.from({ length: 60 }, (_, i) => 100 + i);
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console.log('last:', tsi.batch(prices).at(-1));
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```
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## Interpretation
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`Tsi` is a low-noise momentum oscillator. The standard signals are the
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zero-line cross (momentum changing sign), overbought/oversold extremes
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near `±25` for the default settings, and a signal-line cross — many
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traders overlay an EMA of TSI and trade the crossover. The double
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smoothing makes divergences unusually clean compared with raw momentum.
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## Common pitfalls
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- **Reading it as a `[0, 100]` oscillator.** TSI is centred on zero and
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signed; `+25` is "strong up", not "mid-range".
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- **Under-budgeting warmup.** Warmup is `long + short` — for the default
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`(25, 13)` that is 38 bars.
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## References
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William Blau, "True Strength Index", *Technical Analysis of Stocks &
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Commodities* (1991), and *Momentum, Direction, and Divergence* (1995).
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The double-EMA-of-momentum definition here follows Blau's original.
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## See also
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- [Indicator-Mom.md](Indicator-Mom.md) — the raw momentum TSI smooths.
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- [Indicator-MacdIndicator.md](Indicator-MacdIndicator.md) — another
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EMA-difference momentum oscillator with a signal line.
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- [Indicators-Overview.md](../../Indicators-Overview.md) — the full taxonomy.
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