v 0.20.0

Changelog

All notable changes to ta.go.

v2.0.0 — git tag v0.20.0

Major refactor. ~52 new functions, formula and convention fixes on
existing ones, no-mutation guarantees, a goroutine Monte Carlo
subpackage, and performance rewrites that make ta.go competitive with
or faster than markcheno/go-talib and cinar/indicator at 100 k
bars.

Version = "2.0.0" is exported from the root ta package; the Git
tag itself is v0.20.0 so the existing github.com/Bitvested/ta.go
import path keeps working without Go's /v2 module-path rule.

Layout

• The single ta.go file is gone. Implementations now live under
  category subpackages:
  • src/moving_averages (movingaverages)
  • src/indicators
  • src/oscillators
  • src/bands
  • src/statistics
  • src/chart_types (charttypes)
  • src/experimental
  • src/random (new package)
  • src/misc
• New top-level multi/ subpackage for goroutine Monte Carlo.
• New top-level bench/ Go module (separate go.mod) for
  cross-library comparative benchmarks — does not pollute the
  consumer go.sum.
• New internal/testutil with tu.Slice, tu.Slice2D,
  tu.Scalar — float-tolerant comparators (rel/abs tolerance
  1e-12, NaN-aware).

Formula fixes

• indicators.Psar — downtrend extreme now tracks the bar's
  low (data[i][1]); previous code mistakenly tracked the high.
• statistics.Kmeans — value-copies old, resets means per
  loop, recomputes by cluster index, and resets changed.
• indicators.Ichimoku — Senkou Span B's lows window now uses
  length3; the per-window max/min loops were replaced with
  rolling-extremum scans.
• movingaverages.Smma — Wilder recurrence with SMA seed of
  the first N values; output length is N − l + 1.
• indicators.Alligator / oscillators.Gator — fixtures
  regenerated against the canonical Williams formulas (cascades
  from the Smma fix).
• oscillators.MomOsc — Chande CMO formula on first
  differences (positive vs absolute negative deltas).
• indicators.Fractals — returns [][]bool; the broken
  price-mode shape was replaced with a separate
  indicators.FractalsPrice that pads two leading and two
  trailing [-1, -1] rows.
• indicators.ZigZag — fixed the state-transition tracker
  (the scalar branch was resetting the wrong extreme). Both
  scalar and OHLC branches share consistent semantics.

Convention changes (breaking)

• indicators.Rsi — Wilder smoothing (TA-Lib convention) is
  the new default. The legacy simple-average behaviour is exposed
  as Wrsi for back-compat callers.
• indicators.Roc — returns percent (×100). Cop and Kst
  fixtures regenerate as a linear cascade.
• indicators.Mfi — input is [][]float64 of [H, L, C, V]
  bars (was pre-computed positive/negative flow).
• statistics.Median — even windows return the average of the
  two middle values (was lower-median). Mad cascades.
• indicators.Atr — output length is N − l + 1 (was N); TR
  uses absolute values for |H − Cprev| and |L − Cprev|. Keltner,
  Supertrend, Halftrend lose their compensating splice.
• oscillators.Fisher — output length is N − l + 1 (drop
  trailing slice).

No-mutation guarantees

The following functions no longer mutate caller inputs:
statistics.Std, indicators.Cross (now also returns
[]CrossSignal{Index, Cross}), indicators.Divergence,
statistics.Percentile, experimental.Support / Resistance.

NaN handling standardised

Rsi, Roc, Dif, Mom (percent mode), MomOsc, Mfi,
Fisher, Pr, Stoch now return math.NaN() on flat-window /
divide-by-zero edges instead of silent 0/1.0 coercions.
statistics.Kelly no longer coerces NaN → 1.0;
indicators.ChaikinOsc no longer coerces → 0.

New functions (~52)

Moving averages (6)

Dema, Tema, T3, Trima, Vidya, Zlema.

Indicators (26)

Adl, Adx, Adxr, Apo, Cci, Cmf, Cross, Dpo, Dx,
Emv, Kdj, Mass, Mdi, Mdm, Natr, Nvi, Pdi, Pdm,
Ppo, Pvi, StochRsi, Trix, Ulcer, Vortex, plus the
Macd split: MacdSignal, MacdBars.

Oscillators (2)

Kvo, Ult.

Statistics (9)

Covariance, ExpectedTrails, LrSlope, LrIntercept,
LrAngle, Tsf, StdSeries, ReturnPositive, ReturnNegative.
(Ssd already existed.)

Random (5, new package)

Prng (deterministic mulberry32 closure), Pick, Range,
Float, Order. Sampling helpers accept an optional rng with
math/rand fallback when nil.

Experimental (1)

DivergenceState.

While porting DivergenceState, two latent bugs in
experimental.Support were fixed: the in-package minf/maxf
helpers sorted the caller's slice in place (now copy first), and
the anchor-advance branch set findex = true instead of false
(so the outer do-while exited after one iteration). Resistance
was already correct on the second point.

Performance rewrites

Captured per-rewrite in bench/results-phase4.txt. Headline
speedups at 100 k bars:

Function	Before	After	Speedup
Sma	30 ms	154 µs	≈195×
Variance	110 ms	182 µs	≈600×
Bands	22 ms	524 µs	≈42×
Ema	960 µs	320 µs	≈3×
Wma	800 µs	230 µs	≈3.5× (10 k)
Rsi	935 µs	520 µs	≈1.8×

Plus drop-per-window-copies/sort in AroonUp/AroonDown/
Elderray/Don/Fisher (≈13–50× at 10 k).

Multi-thread Monte Carlo

New multi/ subpackage:

• multi.Sim(data, length, sims, perc) []float64 — fans
  min(sims, runtime.NumCPU()) worker goroutines reading from a
  job channel; returns data followed by the per-bar perc-rank
  quantile of the ensemble.
• multi.SimSeeded(data, length, sims, perc, seed) []float64 —
  deterministic variant. All uniform draws are pre-generated in a
  single goroutine before fan-out, so output depends only on
  (data, length, sims, perc, seed).

Cross-library benchmarks

New bench/ separate Go module compares ta.go against
github.com/markcheno/go-talib and github.com/cinar/indicator
for SMA, EMA, RSI, MACD, Bollinger Bands, and ATR at 1 k / 10 k /
100 k bars. ta.go ties or wins at 100 k on every benched
indicator. See bench/BENCHMARKS.md.

Tests

Test count grew from 99/100 (one pre-existing float-drift
failure) to 165/165 passing. Float-tolerant comparator at
internal/testutil/close.go underpins fp-sensitive fixtures.

Full Changelog: 0.0.14...v0.20.0