kingchenc
8aa74cb638
The 0.2.0 release left wickra@npm stuck at 0.1.4 and never created a GitHub Release entry because the brand-new `wickra-win32-arm64-msvc` sub-package name was caught by npm's spam-detection filter on its first publish attempt (same situation that affected `wickra-win32-x64-msvc` through 0.1.4 until npm Support unblocked it). A support ticket is open; until it is resolved, ship 0.2.1 for the five platforms whose sub-packages are already on npm and re-add Windows ARM64 in a follow-up release. Changes for this cycle: - bindings/node/package.json: remove "wickra-win32-arm64-msvc" from optionalDependencies and "aarch64-pc-windows-msvc" from napi.triples.additional. - bindings/node/npm/win32-arm64-msvc/: removed (will be restored fresh once the npm name is unblocked). - .github/workflows/release.yml: comment out the aarch64-pc-windows-msvc entry of the node-build matrix with a TODO/restore note. - Bump every workspace and binding version to 0.2.1 (Cargo.toml, pyproject.toml, bindings/node/package.json, five npm/<target> templates, the wiki version table). Cargo.lock regenerated. - CHANGELOG: new [0.2.1] block consolidating every fix that has landed on main since 0.2.0 (HV epsilon, examples CI step, fuzz cargo-fuzz install, MSRV 1.85 -> 1.86 / 1.77 -> 1.88, criterion 0.5 -> 0.8, tokio-tungstenite 0.24 -> 0.29, tick_aggregator gap-fill cap, every GitHub Action SHA-pin bump). Compare-link added. The arm64 loader branch in bindings/node/index.js is left untouched: a Windows ARM64 user installing 0.2.1 will get the standard `Cannot find module 'wickra-win32-arm64-msvc'` error from the loader, which is accurate. PyPI's win-arm64 wheel is unaffected. Verified locally: cargo fmt/clippy/test --workspace --all-features -> 630 passed / 0 failed cargo build -p wickra-examples --bins -> clean cargo build -p wickra-node -> clean
175 lines
17 KiB
Markdown
175 lines
17 KiB
Markdown
# Warmup Periods
|
||
|
||
Every Wickra indicator returns `None` (Rust), `None` (Python), or `null`
|
||
(Node) for its first few inputs while it gathers enough data to produce a
|
||
defined value. The number of inputs an indicator needs before it emits its
|
||
first non-empty value is its **warmup period**, surfaced everywhere as
|
||
`warmup_period()` / `warmupPeriod()`.
|
||
|
||
After the first emission, the indicator never goes back to a "no value yet"
|
||
state — it has rolled its state forward and will produce a steady value on
|
||
every subsequent `update()`. Calling `reset()` returns to the warming-up
|
||
state, equivalent to a freshly constructed instance.
|
||
|
||
## How to read the formula column
|
||
|
||
The formulas below are taken verbatim from the `warmup_period()` methods in
|
||
`crates/wickra-core/src/indicators/<name>.rs`. The "Inputs at first
|
||
emission" column says, in 1-indexed terms, which `update()` call returns the
|
||
first `Some`/non-`NaN` value. They are the same number; "first emission
|
||
index" in 0-indexed terms is `warmup_period − 1`.
|
||
|
||
## Single-output indicators
|
||
|
||
> The rows are keyed by **constructor**, not by indicator name. `Vwap`
|
||
> appears twice — once for the cumulative `Vwap::new()` and once for the
|
||
> finite-window `RollingVwap::new(period)` — because the two share the
|
||
> indicator name `Vwap` (see [Indicators-Overview.md](Indicators-Overview.md))
|
||
> but have different warmup periods. That is the only such pair; every other
|
||
> row is one canonical indicator.
|
||
|
||
| Indicator | Constructor | Formula | `warmup_period()` for shown args | Inputs at first emission |
|
||
|-----------------|----------------------------------------------|----------------------------------|----------------------------------|--------------------------|
|
||
| `Sma` | `Sma::new(14)` | `period` | 14 | 14th |
|
||
| `Ema` | `Ema::new(14)` | `period` | 14 | 14th |
|
||
| `Wma` | `Wma::new(14)` | `period` | 14 | 14th |
|
||
| `Dema` | `Dema::new(14)` | `2 * period - 1` | 27 | 27th |
|
||
| `Tema` | `Tema::new(14)` | `3 * period - 2` | 40 | 40th |
|
||
| `Hma` | `Hma::new(14)` | `period + round(sqrt(period)).max(1) - 1` | 17 | 17th |
|
||
| `Kama` | `Kama::new(10, 2, 30)` | `er_period + 1` | 11 | 11th |
|
||
| `Rsi` | `Rsi::new(14)` | `period + 1` | 15 | 15th |
|
||
| `Cci` | `Cci::new(20)` | `period` | 20 | 20th |
|
||
| `Roc` | `Roc::new(12)` | `period + 1` | 13 | 13th |
|
||
| `WilliamsR` | `WilliamsR::new(14)` | `period` | 14 | 14th |
|
||
| `Mfi` | `Mfi::new(14)` | `period` | 14 | 14th |
|
||
| `Trix` | `Trix::new(15)` | `3 * period - 1` | 44 | 44th |
|
||
| `AwesomeOscillator` | `AwesomeOscillator::new(5, 34)` | `slow_period` | 34 | 34th |
|
||
| `Atr` | `Atr::new(14)` | `period` | 14 | 14th |
|
||
| `Psar` | `Psar::new(0.02, 0.02, 0.20)` | constant `2` | 2 | 2nd |
|
||
| `Obv` | `Obv::new()` | constant `1` | 1 | 1st |
|
||
| `Vwap` | `Vwap::new()` | constant `1` | 1 | 1st |
|
||
| `RollingVwap` | `RollingVwap::new(20)` | `period` | 20 | 20th |
|
||
| `Smma` | `Smma::new(14)` | `period` | 14 | 14th |
|
||
| `Trima` | `Trima::new(20)` | `period` | 20 | 20th |
|
||
| `Zlema` | `Zlema::new(14)` | `lag + period` (`lag = (period − 1) / 2`) | 20 | 20th |
|
||
| `T3` | `T3::new(5, 0.7)` | `6 * period - 5` | 25 | 25th |
|
||
| `Vwma` | `Vwma::new(20)` | `period` | 20 | 20th |
|
||
| `Mom` | `Mom::new(10)` | `period + 1` | 11 | 11th |
|
||
| `Cmo` | `Cmo::new(14)` | `period + 1` | 15 | 15th |
|
||
| `Tsi` | `Tsi::new(25, 13)` | `long + short` | 38 | 38th |
|
||
| `Pmo` | `Pmo::new(35, 20)` | constant `2` | 2 | 2nd |
|
||
| `StochRsi` | `StochRsi::new(14, 14)` | `rsi_period + stoch_period` | 28 | 28th |
|
||
| `UltimateOscillator` | `UltimateOscillator::new(7, 14, 28)` | `max(short, mid, long) + 1` | 29 | 29th |
|
||
| `Ppo` | `Ppo::new(12, 26)` | `slow` | 26 | 26th |
|
||
| `Dpo` | `Dpo::new(20)` | `max(period, period / 2 + 2)` | 20 | 20th |
|
||
| `Coppock` | `Coppock::new(14, 11, 10)` | `max(roc_long, roc_short) + wma_period` | 24 | 24th |
|
||
| `AroonOscillator` | `AroonOscillator::new(14)` | `period + 1` | 15 | 15th |
|
||
| `MassIndex` | `MassIndex::new(9, 25)` | `2 * ema_period + sum_period - 2` | 41 | 41st |
|
||
| `Natr` | `Natr::new(14)` | `period` | 14 | 14th |
|
||
| `StdDev` | `StdDev::new(20)` | `period` | 20 | 20th |
|
||
| `UlcerIndex` | `UlcerIndex::new(14)` | `2 * period - 1` | 27 | 27th |
|
||
| `HistoricalVolatility` | `HistoricalVolatility::new(20, 252)` | `period + 1` | 21 | 21st |
|
||
| `BollingerBandwidth` | `BollingerBandwidth::new(20, 2.0)` | `period` | 20 | 20th |
|
||
| `PercentB` | `PercentB::new(20, 2.0)` | `period` | 20 | 20th |
|
||
| `AtrTrailingStop` | `AtrTrailingStop::new(14, 3.0)` | `atr_period` | 14 | 14th |
|
||
| `Adl` | `Adl::new()` | constant `1` | 1 | 1st |
|
||
| `VolumePriceTrend` | `VolumePriceTrend::new()` | constant `1` | 1 | 1st |
|
||
| `ChaikinMoneyFlow` | `ChaikinMoneyFlow::new(20)` | `period` | 20 | 20th |
|
||
| `ChaikinOscillator` | `ChaikinOscillator::new(3, 10)` | `slow` | 10 | 10th |
|
||
| `ForceIndex` | `ForceIndex::new(13)` | `period + 1` | 14 | 14th |
|
||
| `EaseOfMovement` | `EaseOfMovement::new(14)` | `period + 1` | 15 | 15th |
|
||
| `TypicalPrice` | `TypicalPrice::new()` | constant `1` | 1 | 1st |
|
||
| `MedianPrice` | `MedianPrice::new()` | constant `1` | 1 | 1st |
|
||
| `WeightedClose` | `WeightedClose::new()` | constant `1` | 1 | 1st |
|
||
| `LinearRegression` | `LinearRegression::new(14)` | `period` | 14 | 14th |
|
||
| `LinRegSlope` | `LinRegSlope::new(14)` | `period` | 14 | 14th |
|
||
| `AcceleratorOscillator` | `AcceleratorOscillator::classic()` | `ao_slow + signal_period - 1` | 38 | 38th |
|
||
| `BalanceOfPower` | `BalanceOfPower::new()` | constant `1` | 1 | 1st |
|
||
| `ChoppinessIndex` | `ChoppinessIndex::new(14)` | `period` | 14 | 14th |
|
||
| `VerticalHorizontalFilter` | `VerticalHorizontalFilter::new(28)` | `period + 1` | 29 | 29th |
|
||
| `TrueRange` | `TrueRange::new()` | constant `1` | 1 | 1st |
|
||
| `ChaikinVolatility` | `ChaikinVolatility::new(10, 10)` | `ema_period + roc_period` | 20 | 20th |
|
||
| `ZScore` | `ZScore::new(20)` | `period` | 20 | 20th |
|
||
| `LinRegAngle` | `LinRegAngle::new(14)` | `period` | 14 | 14th |
|
||
|
||
## Multi-output indicators
|
||
|
||
These indicators emit several values at once (a struct in Rust, a tuple in
|
||
Python, an object in Node) and every column / field transitions from "not
|
||
ready" to "ready" together — there are no rows that have a `signal` but no
|
||
`macd`, for example.
|
||
|
||
| Indicator | Constructor | Formula | `warmup_period()` for shown args | Inputs at first emission | Outputs |
|
||
|-------------------|--------------------------------------|------------------------------------------|----------------------------------|--------------------------|--------------------------------------------------------|
|
||
| `MacdIndicator` | `MacdIndicator::new(12, 26, 9)` | `slow + signal - 1` | 34 | 34th | `macd`, `signal`, `histogram` |
|
||
| `BollingerBands` | `BollingerBands::new(20, 2.0)` | `period` | 20 | 20th | `upper`, `middle`, `lower`, `stddev` |
|
||
| `Stochastic` | `Stochastic::new(14, 3)` | `k_period + d_period - 1` | 16 | 16th | `k`, `d` |
|
||
| `Adx` | `Adx::new(14)` | `2 * period` | 28 | 28th | `plus_di`, `minus_di`, `adx` |
|
||
| `Aroon` | `Aroon::new(14)` | `period + 1` | 15 | 15th | `up`, `down` |
|
||
| `Keltner` | `Keltner::new(20, 10, 2.0)` | `ema_period.max(atr_period)` | 20 | 20th | `upper`, `middle`, `lower` |
|
||
| `Donchian` | `Donchian::new(20)` | `period` | 20 | 20th | `upper`, `middle`, `lower` |
|
||
| `Vortex` | `Vortex::new(14)` | `period + 1` | 15 | 15th | `plus`, `minus` |
|
||
| `SuperTrend` | `SuperTrend::new(10, 3.0)` | `atr_period` | 10 | 10th | `value`, `direction` |
|
||
| `ChandelierExit` | `ChandelierExit::new(22, 3.0)` | `period` | 22 | 22nd | `long_stop`, `short_stop` |
|
||
| `ChandeKrollStop` | `ChandeKrollStop::new(10, 1.0, 9)` | `atr_period + stop_period - 1` | 18 | 18th | `stop_long`, `stop_short` |
|
||
|
||
## "Off-by-one" cases worth memorising
|
||
|
||
A few indicators look like they should warm up at `period` but in fact need
|
||
`period + 1` inputs. The reason is always the same — they consume *diffs*
|
||
or *previous-close* differences, not the prices themselves, and the very
|
||
first input has nothing to diff against.
|
||
|
||
- **`Rsi::new(period)` warmup is `period + 1`.** RSI is based on Wilder's
|
||
smoothing over per-tick gains and losses. With 14 prices you only have 13
|
||
diffs; you need 15 prices to compute 14 diffs and seed `avg_gain` /
|
||
`avg_loss`. The Rust unit test that pins this is
|
||
`warmup_period_is_period_plus_one`:
|
||
```rust
|
||
let rsi = Rsi::new(14).unwrap();
|
||
assert_eq!(rsi.warmup_period(), 15);
|
||
```
|
||
- **`Roc::new(period)` warmup is `period + 1`.** ROC compares the current
|
||
price to the price `period` bars ago; that comparison only makes sense
|
||
starting at input `period + 1`.
|
||
- **`Aroon::new(period)` warmup is `period + 1`.** Aroon scans a `period + 1`-bar
|
||
window to find the bars-since-high and bars-since-low.
|
||
- **`Kama::new(er_period, ...)` warmup is `er_period + 1`.** Kaufman's
|
||
efficiency ratio needs `er_period` differences, which costs one extra
|
||
bar.
|
||
|
||
## Cross-checking from your own code
|
||
|
||
The cleanest way to verify any of these from your application code is the
|
||
indicator's own `warmup_period()`:
|
||
|
||
```rust
|
||
use wickra::{Indicator, MacdIndicator};
|
||
let macd = MacdIndicator::classic(); // (12, 26, 9)
|
||
assert_eq!(macd.warmup_period(), 34);
|
||
```
|
||
|
||
```python
|
||
import wickra as ta
|
||
assert ta.MACD(12, 26, 9).warmup_period() == 34
|
||
```
|
||
|
||
```javascript
|
||
const wickra = require('wickra');
|
||
const sma = new wickra.SMA(20);
|
||
console.log(sma.warmupPeriod()); // -> 20
|
||
```
|
||
|
||
(Since `wickra@0.2.1`, `warmupPeriod()` is exposed on every Node and
|
||
WASM class — single- and multi-output — alongside `update()`, `reset()`
|
||
and `isReady()`. Consult `bindings/node/index.d.ts` for the
|
||
authoritative TypeScript surface.)
|
||
|
||
## See also
|
||
|
||
- [Streaming vs Batch](Streaming-vs-Batch.md) — the `is_ready()` gate, and
|
||
why a `len(prices) > warmup_period` check is the wrong abstraction.
|
||
- [Indicator Chaining](Indicator-Chaining.md) — how warmups stack inside a
|
||
`Chain`.
|
||
- Source: <https://github.com/kingchenc/wickra>
|