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
61 lines
1.1 KiB
TOML
61 lines
1.1 KiB
TOML
[package]
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name = "wickra-fuzz"
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version = "0.0.0"
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publish = false
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edition = "2021"
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[package.metadata]
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cargo-fuzz = true
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[dependencies]
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libfuzzer-sys = "0.4"
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serde_json = "1"
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wickra-core = { path = "../crates/wickra-core" }
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wickra-data = { path = "../crates/wickra-data", features = ["live-binance"] }
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# Detach this crate from the parent workspace — cargo-fuzz builds it on its
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# own with sanitizer flags.
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[workspace]
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[[bin]]
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name = "csv_reader"
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path = "fuzz_targets/csv_reader.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "binance_envelope"
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path = "fuzz_targets/binance_envelope.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update"
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path = "fuzz_targets/indicator_update.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update_candle"
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path = "fuzz_targets/indicator_update_candle.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "indicator_update_pair"
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path = "fuzz_targets/indicator_update_pair.rs"
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test = false
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doc = false
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bench = false
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[[bin]]
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name = "tick_aggregator"
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path = "fuzz_targets/tick_aggregator.rs"
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test = false
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doc = false
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bench = false
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