kingchenc
2f3b5cc3be
Finalises the F1-F12 indicator expansion (25 -> 63 indicators). - Python `wickra/__init__.py`: import and re-export all 63 indicators, grouped by family, with a matching `__all__`. The package previously exposed only the original 25 even though the compiled module and the `.pyi` stubs already carried the rest. - Docs: `Home.md` and `README.md` indicator counts and family tables updated to 63; `Indicators-Overview.md` already restructured per family in F10-F12; `Warmup-Periods.md` gains all 38 new indicators across the single- and multi-output tables (and the stale two-arg `Psar::new` example is corrected to three args); `CHANGELOG.md` `[Unreleased]` lists every new indicator by family. - Tests: `bindings/node/__tests__/indicators.test.js` covers all 63 indicators (streaming==batch plus four new reference-value checks), 80/80 green; new `bindings/python/tests/test_new_indicators.py` covers the 38 additions (streaming==batch, shapes, reference values, lifecycle), Python suite 105/105 green. - `bindings/node/index.js` regenerated by `napi build`. cargo fmt + clippy (core/wickra/data/wasm/node) clean; 454 core tests, 25 data tests, 66 doctests, 80 Node tests and 105 Python tests green; `cargo check -p wickra-wasm --tests` green.
159 lines
15 KiB
Markdown
159 lines
15 KiB
Markdown
# Warmup Periods
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Every Wickra indicator returns `None` (Rust), `None` (Python), or `null`
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(Node) for its first few inputs while it gathers enough data to produce a
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defined value. The number of inputs an indicator needs before it emits its
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first non-empty value is its **warmup period**, surfaced everywhere as
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`warmup_period()` / `warmupPeriod()`.
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After the first emission, the indicator never goes back to a "no value yet"
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state — it has rolled its state forward and will produce a steady value on
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every subsequent `update()`. Calling `reset()` returns to the warming-up
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state, equivalent to a freshly constructed instance.
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## How to read the formula column
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The formulas below are taken verbatim from the `warmup_period()` methods in
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`crates/wickra-core/src/indicators/<name>.rs`. The "Inputs at first
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emission" column says, in 1-indexed terms, which `update()` call returns the
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first `Some`/non-`NaN` value. They are the same number; "first emission
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index" in 0-indexed terms is `warmup_period − 1`.
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## Single-output indicators
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| Indicator | Constructor | Formula | `warmup_period()` for shown args | Inputs at first emission |
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|-----------------|----------------------------------------------|----------------------------------|----------------------------------|--------------------------|
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| `Sma` | `Sma::new(14)` | `period` | 14 | 14th |
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| `Ema` | `Ema::new(14)` | `period` | 14 | 14th |
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| `Wma` | `Wma::new(14)` | `period` | 14 | 14th |
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| `Dema` | `Dema::new(14)` | `2 * period - 1` | 27 | 27th |
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| `Tema` | `Tema::new(14)` | `3 * period - 2` | 40 | 40th |
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| `Hma` | `Hma::new(14)` | `period + round(sqrt(period)).max(1) - 1` | 17 | 17th |
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| `Kama` | `Kama::new(10, 2, 30)` | `er_period + 1` | 11 | 11th |
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| `Rsi` | `Rsi::new(14)` | `period + 1` | 15 | 15th |
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| `Cci` | `Cci::new(20)` | `period` | 20 | 20th |
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| `Roc` | `Roc::new(12)` | `period + 1` | 13 | 13th |
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| `WilliamsR` | `WilliamsR::new(14)` | `period` | 14 | 14th |
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| `Mfi` | `Mfi::new(14)` | `period` | 14 | 14th |
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| `Trix` | `Trix::new(15)` | `3 * period - 1` | 44 | 44th |
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| `AwesomeOscillator` | `AwesomeOscillator::new(5, 34)` | `slow_period` | 34 | 34th |
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| `Atr` | `Atr::new(14)` | `period` | 14 | 14th |
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| `Psar` | `Psar::new(0.02, 0.02, 0.20)` | constant `2` | 2 | 2nd |
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| `Obv` | `Obv::new()` | constant `1` | 1 | 1st |
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| `Vwap` | `Vwap::new()` | constant `1` | 1 | 1st |
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| `RollingVwap` | `RollingVwap::new(20)` | `period` | 20 | 20th |
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| `Smma` | `Smma::new(14)` | `period` | 14 | 14th |
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| `Trima` | `Trima::new(20)` | `period` | 20 | 20th |
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| `Zlema` | `Zlema::new(14)` | `lag + period` (`lag = (period − 1) / 2`) | 20 | 20th |
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| `T3` | `T3::new(5, 0.7)` | `6 * period - 5` | 25 | 25th |
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| `Vwma` | `Vwma::new(20)` | `period` | 20 | 20th |
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| `Mom` | `Mom::new(10)` | `period + 1` | 11 | 11th |
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| `Cmo` | `Cmo::new(14)` | `period + 1` | 15 | 15th |
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| `Tsi` | `Tsi::new(25, 13)` | `long + short` | 38 | 38th |
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| `Pmo` | `Pmo::new(35, 20)` | constant `2` | 2 | 2nd |
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| `StochRsi` | `StochRsi::new(14, 14)` | `rsi_period + stoch_period` | 28 | 28th |
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| `UltimateOscillator` | `UltimateOscillator::new(7, 14, 28)` | `max(short, mid, long) + 1` | 29 | 29th |
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| `Ppo` | `Ppo::new(12, 26)` | `slow` | 26 | 26th |
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| `Dpo` | `Dpo::new(20)` | `max(period, period / 2 + 2)` | 20 | 20th |
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| `Coppock` | `Coppock::new(14, 11, 10)` | `max(roc_long, roc_short) + wma_period` | 24 | 24th |
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| `AroonOscillator` | `AroonOscillator::new(14)` | `period + 1` | 15 | 15th |
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| `MassIndex` | `MassIndex::new(9, 25)` | `2 * ema_period + sum_period - 2` | 41 | 41st |
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| `Natr` | `Natr::new(14)` | `period` | 14 | 14th |
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| `StdDev` | `StdDev::new(20)` | `period` | 20 | 20th |
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| `UlcerIndex` | `UlcerIndex::new(14)` | `2 * period - 1` | 27 | 27th |
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| `HistoricalVolatility` | `HistoricalVolatility::new(20, 252)` | `period + 1` | 21 | 21st |
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| `BollingerBandwidth` | `BollingerBandwidth::new(20, 2.0)` | `period` | 20 | 20th |
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| `PercentB` | `PercentB::new(20, 2.0)` | `period` | 20 | 20th |
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| `AtrTrailingStop` | `AtrTrailingStop::new(14, 3.0)` | `atr_period` | 14 | 14th |
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| `Adl` | `Adl::new()` | constant `1` | 1 | 1st |
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| `VolumePriceTrend` | `VolumePriceTrend::new()` | constant `1` | 1 | 1st |
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| `ChaikinMoneyFlow` | `ChaikinMoneyFlow::new(20)` | `period` | 20 | 20th |
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| `ChaikinOscillator` | `ChaikinOscillator::new(3, 10)` | `slow` | 10 | 10th |
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| `ForceIndex` | `ForceIndex::new(13)` | `period + 1` | 14 | 14th |
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| `EaseOfMovement` | `EaseOfMovement::new(14)` | `period + 1` | 15 | 15th |
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| `TypicalPrice` | `TypicalPrice::new()` | constant `1` | 1 | 1st |
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| `MedianPrice` | `MedianPrice::new()` | constant `1` | 1 | 1st |
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| `WeightedClose` | `WeightedClose::new()` | constant `1` | 1 | 1st |
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| `LinearRegression` | `LinearRegression::new(14)` | `period` | 14 | 14th |
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| `LinRegSlope` | `LinRegSlope::new(14)` | `period` | 14 | 14th |
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## Multi-output indicators
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These indicators emit several values at once (a struct in Rust, a tuple in
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Python, an object in Node) and every column / field transitions from "not
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ready" to "ready" together — there are no rows that have a `signal` but no
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`macd`, for example.
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| Indicator | Constructor | Formula | `warmup_period()` for shown args | Inputs at first emission | Outputs |
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|-------------------|--------------------------------------|------------------------------------------|----------------------------------|--------------------------|--------------------------------------------------------|
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| `MacdIndicator` | `MacdIndicator::new(12, 26, 9)` | `slow + signal - 1` | 34 | 34th | `macd`, `signal`, `histogram` |
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| `BollingerBands` | `BollingerBands::new(20, 2.0)` | `period` | 20 | 20th | `upper`, `middle`, `lower`, `stddev` |
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| `Stochastic` | `Stochastic::new(14, 3)` | `k_period + d_period - 1` | 16 | 16th | `k`, `d` |
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| `Adx` | `Adx::new(14)` | `2 * period` | 28 | 28th | `plus_di`, `minus_di`, `adx` |
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| `Aroon` | `Aroon::new(14)` | `period + 1` | 15 | 15th | `up`, `down` |
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| `Keltner` | `Keltner::new(20, 10, 2.0)` | `ema_period.max(atr_period)` | 20 | 20th | `upper`, `middle`, `lower` |
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| `Donchian` | `Donchian::new(20)` | `period` | 20 | 20th | `upper`, `middle`, `lower` |
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| `Vortex` | `Vortex::new(14)` | `period + 1` | 15 | 15th | `plus`, `minus` |
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| `SuperTrend` | `SuperTrend::new(10, 3.0)` | `atr_period` | 10 | 10th | `value`, `direction` |
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| `ChandelierExit` | `ChandelierExit::new(22, 3.0)` | `period` | 22 | 22nd | `long_stop`, `short_stop` |
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| `ChandeKrollStop` | `ChandeKrollStop::new(10, 1.0, 9)` | `atr_period + stop_period - 1` | 18 | 18th | `stop_long`, `stop_short` |
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## "Off-by-one" cases worth memorising
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A few indicators look like they should warm up at `period` but in fact need
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`period + 1` inputs. The reason is always the same — they consume *diffs*
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or *previous-close* differences, not the prices themselves, and the very
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first input has nothing to diff against.
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- **`Rsi::new(period)` warmup is `period + 1`.** RSI is based on Wilder's
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smoothing over per-tick gains and losses. With 14 prices you only have 13
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diffs; you need 15 prices to compute 14 diffs and seed `avg_gain` /
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`avg_loss`. The Rust unit test that pins this is
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`warmup_period_is_period_plus_one`:
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```rust
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let rsi = Rsi::new(14).unwrap();
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assert_eq!(rsi.warmup_period(), 15);
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```
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- **`Roc::new(period)` warmup is `period + 1`.** ROC compares the current
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price to the price `period` bars ago; that comparison only makes sense
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starting at input `period + 1`.
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- **`Aroon::new(period)` warmup is `period + 1`.** Aroon scans a `period + 1`-bar
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window to find the bars-since-high and bars-since-low.
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- **`Kama::new(er_period, ...)` warmup is `er_period + 1`.** Kaufman's
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efficiency ratio needs `er_period` differences, which costs one extra
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bar.
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## Cross-checking from your own code
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The cleanest way to verify any of these from your application code is the
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indicator's own `warmup_period()`:
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```rust
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use wickra::{Indicator, MacdIndicator};
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let macd = MacdIndicator::classic(); // (12, 26, 9)
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assert_eq!(macd.warmup_period(), 34);
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```
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```python
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import wickra as ta
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assert ta.MACD(12, 26, 9).warmup_period() == 34
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```
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```javascript
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const wickra = require('wickra');
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const sma = new wickra.SMA(20);
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console.log(sma.warmupPeriod()); // -> 20
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```
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(Note: as of `wickra@0.1.4`, `warmupPeriod()` is exposed on the Node
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single-output classes but not on every multi-output class — consult
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`bindings/node/index.d.ts` for the authoritative surface.)
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## See also
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- [Streaming vs Batch](Streaming-vs-Batch.md) — the `is_ready()` gate, and
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why a `len(prices) > warmup_period` check is the wrong abstraction.
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- [Indicator Chaining](Indicator-Chaining.md) — how warmups stack inside a
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`Chain`.
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- Source: <https://github.com/kingchenc/wickra>
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