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
531 lines
20 KiB
JavaScript
531 lines
20 KiB
JavaScript
/* tslint:disable */
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try {
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nativeBinding = require('./wickra.linux-arm64-gnu.node')
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if (localFileExisted) {
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nativeBinding = require('./wickra.linux-arm-gnueabihf.node')
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nativeBinding = require('./wickra.linux-riscv64-gnu.node')
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join(__dirname, 'wickra.linux-s390x-gnu.node')
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)
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try {
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loadError = e
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break
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default:
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throw new Error(`Unsupported architecture on Linux: ${arch}`)
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break
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throw new Error(`Unsupported OS: ${platform}, architecture: ${arch}`)
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if (!nativeBinding) {
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throw new Error(`Failed to load native binding`)
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const { version, SMA, EMA, WMA, RSI, DEMA, TEMA, HMA, ROC, TRIX, SMMA, TRIMA, ZLEMA, MOM, CMO, DPO, StdDev, UlcerIndex, VerticalHorizontalFilter, ZScore, MACD, BollingerBands, ATR, Stochastic, OBV, ADX, ADXR, CCI, WilliamsR, MFI, PSAR, Keltner, Donchian, VWAP, RollingVWAP, AwesomeOscillator, Aroon, KAMA, RVI, PGO, KST, SMI, LaguerreRSI, ConnorsRSI, Inertia, ALMA, McGinleyDynamic, FRAMA, VIDYA, JMA, Alligator, EVWMA, APO, AwesomeOscillatorHistogram, CFO, ZeroLagMACD, ElderImpulse, STC, T3, TSI, PMO, TII, ADL, VolumePriceTrend, ChaikinMoneyFlow, ChaikinOscillator, ForceIndex, EaseOfMovement, KVO, VolumeOscillator, NVI, PVI, WilliamsAD, AnchoredVWAP, DemandIndex, TSV, VZO, MarketFacilitationIndex, SuperTrend, ChandelierExit, ChandeKrollStop, AtrTrailingStop, HiLoActivator, VoltyStop, YoyoExit, DonchianStop, PercentageTrailingStop, StepTrailingStop, RenkoTrailingStop, TypicalPrice, MedianPrice, WeightedClose, LinearRegression, LinRegSlope, AcceleratorOscillator, BalanceOfPower, ChoppinessIndex, TrueRange, ChaikinVolatility, LinRegAngle, BollingerBandwidth, PercentB, NATR, HistoricalVolatility, AroonOscillator, Vortex, RWI, WaveTrend, MassIndex, StochRSI, UltimateOscillator, PPO, Coppock, VWMA, RVIVolatility, ParkinsonVolatility, GarmanKlassVolatility, RogersSatchellVolatility, YangZhangVolatility, MaEnvelope, AccelerationBands, StarcBands, AtrBands, HurstChannel, LinRegChannel, StandardErrorBands, DoubleBollinger, TtmSqueeze, FractalChaosBands, VwapStdDevBands, ClassicPivots, FibonacciPivots, Camarilla, WoodiePivots, DemarkPivots, WilliamsFractals, ZigZag, TDSetup, TDSequential, TDDeMarker, TDREI, TDPressure, TDCombo, TDCountdown, TDLines, TDRangeProjection, TDDifferential, TDOpen, TDRiskLevel, SuperSmoother, FisherTransform, InverseFisherTransform, Decycler, DecyclerOscillator, RoofingFilter, CenterOfGravity, CyberneticCycle, InstantaneousTrendline, EhlersStochastic, EmpiricalModeDecomposition, HilbertDominantCycle, AdaptiveCycle, SineWave, MAMA, FAMA, Ichimoku, HeikinAshi, Variance, CoefficientOfVariation, Skewness, Kurtosis, StandardError, DetrendedStdDev, RSquared, MedianAbsoluteDeviation, Autocorrelation, HurstExponent, PearsonCorrelation, Beta, SpearmanCorrelation, ValueArea, InitialBalance, OpeningRange, Doji, Hammer, InvertedHammer, HangingMan, ShootingStar, Engulfing, Harami, MorningEveningStar, ThreeSoldiersOrCrows, PiercingDarkCloud, Marubozu, Tweezer, SpinningTop, ThreeInside, ThreeOutside, SharpeRatio, SortinoRatio, CalmarRatio, OmegaRatio, MaxDrawdown, AverageDrawdown, DrawdownDuration, PainIndex, ValueAtRisk, ConditionalValueAtRisk, ProfitFactor, GainLossRatio, RecoveryFactor, KellyCriterion, TreynorRatio, InformationRatio, Alpha } = nativeBinding
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module.exports.version = version
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module.exports.SMA = SMA
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module.exports.EMA = EMA
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module.exports.WMA = WMA
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module.exports.RSI = RSI
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module.exports.DEMA = DEMA
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module.exports.TEMA = TEMA
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module.exports.HMA = HMA
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module.exports.ROC = ROC
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module.exports.TRIX = TRIX
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module.exports.SMMA = SMMA
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module.exports.TRIMA = TRIMA
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module.exports.ZLEMA = ZLEMA
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module.exports.MOM = MOM
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module.exports.CMO = CMO
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module.exports.DPO = DPO
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module.exports.StdDev = StdDev
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module.exports.UlcerIndex = UlcerIndex
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module.exports.VerticalHorizontalFilter = VerticalHorizontalFilter
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module.exports.ZScore = ZScore
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module.exports.MACD = MACD
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module.exports.BollingerBands = BollingerBands
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module.exports.ATR = ATR
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module.exports.Stochastic = Stochastic
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module.exports.OBV = OBV
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module.exports.ADX = ADX
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module.exports.ADXR = ADXR
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module.exports.CCI = CCI
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module.exports.WilliamsR = WilliamsR
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module.exports.MFI = MFI
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module.exports.PSAR = PSAR
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module.exports.Keltner = Keltner
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module.exports.Donchian = Donchian
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module.exports.VWAP = VWAP
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module.exports.RollingVWAP = RollingVWAP
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module.exports.AwesomeOscillator = AwesomeOscillator
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module.exports.Aroon = Aroon
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module.exports.KAMA = KAMA
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module.exports.RVI = RVI
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module.exports.PGO = PGO
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module.exports.KST = KST
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module.exports.SMI = SMI
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module.exports.LaguerreRSI = LaguerreRSI
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module.exports.ConnorsRSI = ConnorsRSI
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module.exports.Inertia = Inertia
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module.exports.ALMA = ALMA
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module.exports.McGinleyDynamic = McGinleyDynamic
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module.exports.FRAMA = FRAMA
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module.exports.VIDYA = VIDYA
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module.exports.JMA = JMA
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module.exports.Alligator = Alligator
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module.exports.EVWMA = EVWMA
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module.exports.APO = APO
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module.exports.AwesomeOscillatorHistogram = AwesomeOscillatorHistogram
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module.exports.CFO = CFO
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module.exports.ZeroLagMACD = ZeroLagMACD
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module.exports.ElderImpulse = ElderImpulse
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module.exports.STC = STC
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module.exports.T3 = T3
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module.exports.TSI = TSI
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module.exports.PMO = PMO
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module.exports.TII = TII
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module.exports.ADL = ADL
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module.exports.VolumePriceTrend = VolumePriceTrend
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module.exports.ChaikinMoneyFlow = ChaikinMoneyFlow
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module.exports.ChaikinOscillator = ChaikinOscillator
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module.exports.ForceIndex = ForceIndex
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module.exports.EaseOfMovement = EaseOfMovement
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module.exports.KVO = KVO
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module.exports.VolumeOscillator = VolumeOscillator
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module.exports.NVI = NVI
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module.exports.PVI = PVI
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module.exports.WilliamsAD = WilliamsAD
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module.exports.AnchoredVWAP = AnchoredVWAP
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module.exports.DemandIndex = DemandIndex
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module.exports.TSV = TSV
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module.exports.VZO = VZO
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module.exports.MarketFacilitationIndex = MarketFacilitationIndex
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module.exports.SuperTrend = SuperTrend
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module.exports.ChandelierExit = ChandelierExit
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module.exports.ChandeKrollStop = ChandeKrollStop
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module.exports.AtrTrailingStop = AtrTrailingStop
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module.exports.HiLoActivator = HiLoActivator
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module.exports.VoltyStop = VoltyStop
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module.exports.YoyoExit = YoyoExit
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module.exports.DonchianStop = DonchianStop
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module.exports.PercentageTrailingStop = PercentageTrailingStop
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module.exports.StepTrailingStop = StepTrailingStop
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module.exports.RenkoTrailingStop = RenkoTrailingStop
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module.exports.TypicalPrice = TypicalPrice
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module.exports.MedianPrice = MedianPrice
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module.exports.WeightedClose = WeightedClose
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module.exports.LinearRegression = LinearRegression
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module.exports.LinRegSlope = LinRegSlope
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module.exports.AcceleratorOscillator = AcceleratorOscillator
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module.exports.BalanceOfPower = BalanceOfPower
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module.exports.ChoppinessIndex = ChoppinessIndex
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module.exports.TrueRange = TrueRange
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module.exports.ChaikinVolatility = ChaikinVolatility
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module.exports.LinRegAngle = LinRegAngle
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module.exports.BollingerBandwidth = BollingerBandwidth
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module.exports.PercentB = PercentB
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module.exports.NATR = NATR
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module.exports.HistoricalVolatility = HistoricalVolatility
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module.exports.AroonOscillator = AroonOscillator
|
|
module.exports.Vortex = Vortex
|
|
module.exports.RWI = RWI
|
|
module.exports.WaveTrend = WaveTrend
|
|
module.exports.MassIndex = MassIndex
|
|
module.exports.StochRSI = StochRSI
|
|
module.exports.UltimateOscillator = UltimateOscillator
|
|
module.exports.PPO = PPO
|
|
module.exports.Coppock = Coppock
|
|
module.exports.VWMA = VWMA
|
|
module.exports.RVIVolatility = RVIVolatility
|
|
module.exports.ParkinsonVolatility = ParkinsonVolatility
|
|
module.exports.GarmanKlassVolatility = GarmanKlassVolatility
|
|
module.exports.RogersSatchellVolatility = RogersSatchellVolatility
|
|
module.exports.YangZhangVolatility = YangZhangVolatility
|
|
module.exports.MaEnvelope = MaEnvelope
|
|
module.exports.AccelerationBands = AccelerationBands
|
|
module.exports.StarcBands = StarcBands
|
|
module.exports.AtrBands = AtrBands
|
|
module.exports.HurstChannel = HurstChannel
|
|
module.exports.LinRegChannel = LinRegChannel
|
|
module.exports.StandardErrorBands = StandardErrorBands
|
|
module.exports.DoubleBollinger = DoubleBollinger
|
|
module.exports.TtmSqueeze = TtmSqueeze
|
|
module.exports.FractalChaosBands = FractalChaosBands
|
|
module.exports.VwapStdDevBands = VwapStdDevBands
|
|
module.exports.ClassicPivots = ClassicPivots
|
|
module.exports.FibonacciPivots = FibonacciPivots
|
|
module.exports.Camarilla = Camarilla
|
|
module.exports.WoodiePivots = WoodiePivots
|
|
module.exports.DemarkPivots = DemarkPivots
|
|
module.exports.WilliamsFractals = WilliamsFractals
|
|
module.exports.ZigZag = ZigZag
|
|
module.exports.TDSetup = TDSetup
|
|
module.exports.TDSequential = TDSequential
|
|
module.exports.TDDeMarker = TDDeMarker
|
|
module.exports.TDREI = TDREI
|
|
module.exports.TDPressure = TDPressure
|
|
module.exports.TDCombo = TDCombo
|
|
module.exports.TDCountdown = TDCountdown
|
|
module.exports.TDLines = TDLines
|
|
module.exports.TDRangeProjection = TDRangeProjection
|
|
module.exports.TDDifferential = TDDifferential
|
|
module.exports.TDOpen = TDOpen
|
|
module.exports.TDRiskLevel = TDRiskLevel
|
|
module.exports.SuperSmoother = SuperSmoother
|
|
module.exports.FisherTransform = FisherTransform
|
|
module.exports.InverseFisherTransform = InverseFisherTransform
|
|
module.exports.Decycler = Decycler
|
|
module.exports.DecyclerOscillator = DecyclerOscillator
|
|
module.exports.RoofingFilter = RoofingFilter
|
|
module.exports.CenterOfGravity = CenterOfGravity
|
|
module.exports.CyberneticCycle = CyberneticCycle
|
|
module.exports.InstantaneousTrendline = InstantaneousTrendline
|
|
module.exports.EhlersStochastic = EhlersStochastic
|
|
module.exports.EmpiricalModeDecomposition = EmpiricalModeDecomposition
|
|
module.exports.HilbertDominantCycle = HilbertDominantCycle
|
|
module.exports.AdaptiveCycle = AdaptiveCycle
|
|
module.exports.SineWave = SineWave
|
|
module.exports.MAMA = MAMA
|
|
module.exports.FAMA = FAMA
|
|
module.exports.Ichimoku = Ichimoku
|
|
module.exports.HeikinAshi = HeikinAshi
|
|
module.exports.Variance = Variance
|
|
module.exports.CoefficientOfVariation = CoefficientOfVariation
|
|
module.exports.Skewness = Skewness
|
|
module.exports.Kurtosis = Kurtosis
|
|
module.exports.StandardError = StandardError
|
|
module.exports.DetrendedStdDev = DetrendedStdDev
|
|
module.exports.RSquared = RSquared
|
|
module.exports.MedianAbsoluteDeviation = MedianAbsoluteDeviation
|
|
module.exports.Autocorrelation = Autocorrelation
|
|
module.exports.HurstExponent = HurstExponent
|
|
module.exports.PearsonCorrelation = PearsonCorrelation
|
|
module.exports.Beta = Beta
|
|
module.exports.SpearmanCorrelation = SpearmanCorrelation
|
|
module.exports.ValueArea = ValueArea
|
|
module.exports.InitialBalance = InitialBalance
|
|
module.exports.OpeningRange = OpeningRange
|
|
module.exports.Doji = Doji
|
|
module.exports.Hammer = Hammer
|
|
module.exports.InvertedHammer = InvertedHammer
|
|
module.exports.HangingMan = HangingMan
|
|
module.exports.ShootingStar = ShootingStar
|
|
module.exports.Engulfing = Engulfing
|
|
module.exports.Harami = Harami
|
|
module.exports.MorningEveningStar = MorningEveningStar
|
|
module.exports.ThreeSoldiersOrCrows = ThreeSoldiersOrCrows
|
|
module.exports.PiercingDarkCloud = PiercingDarkCloud
|
|
module.exports.Marubozu = Marubozu
|
|
module.exports.Tweezer = Tweezer
|
|
module.exports.SpinningTop = SpinningTop
|
|
module.exports.ThreeInside = ThreeInside
|
|
module.exports.ThreeOutside = ThreeOutside
|
|
// Family 15: Risk / Performance metrics
|
|
module.exports.SharpeRatio = SharpeRatio
|
|
module.exports.SortinoRatio = SortinoRatio
|
|
module.exports.CalmarRatio = CalmarRatio
|
|
module.exports.OmegaRatio = OmegaRatio
|
|
module.exports.MaxDrawdown = MaxDrawdown
|
|
module.exports.AverageDrawdown = AverageDrawdown
|
|
module.exports.DrawdownDuration = DrawdownDuration
|
|
module.exports.PainIndex = PainIndex
|
|
module.exports.ValueAtRisk = ValueAtRisk
|
|
module.exports.ConditionalValueAtRisk = ConditionalValueAtRisk
|
|
module.exports.ProfitFactor = ProfitFactor
|
|
module.exports.GainLossRatio = GainLossRatio
|
|
module.exports.RecoveryFactor = RecoveryFactor
|
|
module.exports.KellyCriterion = KellyCriterion
|
|
module.exports.TreynorRatio = TreynorRatio
|
|
module.exports.InformationRatio = InformationRatio
|
|
module.exports.Alpha = Alpha
|