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
40 lines
1.3 KiB
Rust
40 lines
1.3 KiB
Rust
#![no_main]
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//! Fuzz two-input `Indicator<(f64, f64)>` implementations with arbitrary
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//! `(asset, benchmark)` return pairs.
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//!
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//! Each iteration consumes a byte stream and interprets it as a sequence of
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//! `(f64, f64)` pairs (8 bytes per `f64`), then drives every two-series
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//! indicator over the sequence both streaming and as a batch. No path may
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//! panic.
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use libfuzzer_sys::fuzz_target;
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use wickra_core::{Alpha, BatchExt, Indicator, InformationRatio, TreynorRatio};
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#[inline(never)]
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fn drive<I>(make: impl Fn() -> I, data: &[(f64, f64)])
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where
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I: Indicator<Input = (f64, 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: &[u8]| {
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// Pack two consecutive 8-byte chunks into one `(f64, f64)` pair.
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let pairs: Vec<(f64, f64)> = data
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.chunks_exact(16)
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.map(|c| {
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let a = f64::from_le_bytes(c[..8].try_into().expect("8 bytes"));
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let b = f64::from_le_bytes(c[8..].try_into().expect("8 bytes"));
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(a, b)
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})
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.collect();
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drive(|| TreynorRatio::new(10, 0.0).unwrap(), &pairs);
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drive(|| InformationRatio::new(10).unwrap(), &pairs);
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drive(|| Alpha::new(10, 0.0).unwrap(), &pairs);
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});
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