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
Fuzzing Wickra
cargo-fuzz harnesses for
the parsing and stateful entry points of Wickra. Fuzzing requires a nightly
Rust toolchain.
Setup
cargo install cargo-fuzz
rustup toolchain install nightly
Targets
| Target | What it exercises |
|---|---|
csv_reader |
CandleReader over arbitrary bytes — headers, cells, BOM, binary noise. |
binance_envelope |
RawWsEnvelope deserialization from arbitrary strings. |
indicator_update |
Every scalar-input indicator (SMA / EMA / WMA / RSI / DEMA / TEMA / HMA / ROC / TRIX / SMMA / TRIMA / ZLEMA / KAMA / T3 / MOM / CMO / TSI / PMO / StochRSI / DPO / PPO / Coppock / StdDev / UlcerIndex / HistoricalVolatility / LinearRegression / LinRegSlope / LinRegAngle / VHF / ZScore / MACD / Bollinger) streamed + batched over arbitrary f64 sequences (NaN, ±inf, jumps). |
indicator_update_candle |
Every candle-input indicator (ATR, NATR, TrueRange, ChaikinVolatility, Keltner, Donchian, PSAR, SuperTrend, ChandelierExit, ChandeKrollStop, ATRTrailingStop, ADX, Aroon, AroonOscillator, Vortex, MassIndex, ChoppinessIndex, CCI, WilliamsR, AwesomeOscillator, AcceleratorOscillator, UltimateOscillator, BalanceOfPower, OBV, MFI, VWAP, RollingVWAP, VWMA, ADL, VPT, CMF, ChaikinOscillator, ForceIndex, EaseOfMovement, TypicalPrice, MedianPrice, WeightedClose, Stochastic) streamed + batched over fuzz-derived OHLCV candles. |
tick_aggregator |
TickAggregator over arbitrary (price, volume, timestamp) triples. |
Run
# From the repository root:
cargo +nightly fuzz run csv_reader
cargo +nightly fuzz run binance_envelope
cargo +nightly fuzz run indicator_update
cargo +nightly fuzz run indicator_update_candle
cargo +nightly fuzz run tick_aggregator
Each run continues until a crash is found or it is interrupted. A short time-boxed smoke run is useful in CI:
cargo +nightly fuzz run csv_reader -- -max_total_time=60
The expectation for every target is that it never panics: malformed or
adversarial input must surface as an Err, never a crash.