Struct RegimeConfig 

pub struct RegimeConfig {
    pub hurst_trending: f64,
    pub hurst_mean_reverting: f64,
    pub vol_high_multiplier: f64,
    pub vol_low_multiplier: f64,
    pub adx_trend_threshold: f64,
    pub bb_width_quiet: f64,
    pub crisis_correlation_threshold: f64,
    pub crisis_pair_fraction: f64,
    pub garch_alpha: f64,
    pub garch_beta: f64,
    pub garch_omega: f64,
    pub garch_vol_multiplier: f64,
}

Configuration thresholds for RegimeDetector.

All thresholds are adjustable at construction; defaults reflect common quant-research conventions.

Fields

hurst_trending: f64

Hurst exponent above which the market is Trending. Default: 0.6.

hurst_mean_reverting: f64

Hurst exponent below which the market is MeanReverting. Default: 0.4.

vol_high_multiplier: f64

Realized vol multiplier above which regime is HighVolatility. Default: 2.0.

vol_low_multiplier: f64

Realized vol multiplier below which regime is LowVolatility. Default: 0.5.

adx_trend_threshold: f64

ADX value above which trending classification is reinforced. Default: 25.0.

bb_width_quiet: f64

Bollinger Band width below which low-volatility compression is confirmed. Default: 0.02.

crisis_correlation_threshold: f64

Pearson correlation threshold; drop below this triggers Crisis. Default: 0.3.

crisis_pair_fraction: f64

Fraction of asset pairs that must fall below crisis_correlation_threshold in the same window to declare Crisis. Default: 0.6.

garch_alpha: f64

GARCH(1,1) alpha (innovation weight). Default: 0.1.

garch_beta: f64

GARCH(1,1) beta (persistence weight). Default: 0.85.

garch_omega: f64

GARCH(1,1) omega (long-run variance floor). Default: 1e-6.

garch_vol_multiplier: f64

Multiplier applied to GARCH variance to flag persistent high-vol. Default: 1.5.

Trait Implementations

impl Clone for RegimeConfig

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for RegimeConfig

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for RegimeConfig

fn default() -> Self

Returns the “default value” for a type.