Struct VolatilityRegimeDetector 

pub struct VolatilityRegimeDetector { /* private fields */ }

Volatility regime: Bollinger Bands against a Keltner Channel.

Bollinger Bands over period closes at bb_mult population standard deviations (BollingerBands); a Keltner Channel with an EMA(period) basis and bands at kc_mult times the plain mean of the last 10 true ranges (KeltnerChannelEngine(period, 10, kc_mult)). Then

• squeeze (value = -1): both Bollinger bands inside the channel, bb_upper <= kc_upper and bb_lower >= kc_lower;
• otherwise expansion (value = 1): bb_width > 1.3 · kc_width;
• otherwise normal (value = 0).

Widths are upper - lower, the channel’s at least 1e-8; both are in extra (bb_width, kc_width), with extra["squeeze"] as 1 or 0. The two middles differ (SMA against EMA), so on a drifting series the bands can leave the channel on one side without the width test firing. First output once both have one: with bar max(period, 10).

Implementations

impl VolatilityRegimeDetector

pub fn new(period: usize, bb_mult: f64, kc_mult: f64) -> Self

pub fn with_defaults() -> Self

pub fn state(&self) -> VolatilityState

Trait Implementations

impl Clone for VolatilityRegimeDetector

fn clone(&self) -> VolatilityRegimeDetector

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for VolatilityRegimeDetector

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

Formats the value using the given formatter.

impl Indicator for VolatilityRegimeDetector

fn name(&self) -> &str

fn warmup_period(&self) -> usize

fn reset(&mut self)

fn on_bar(&mut self, bar: &Bar) -> Option<IndicatorOutput>

fn alerts(&self) -> Vec<IndicatorAlert>

fn on_checked_bar( &mut self, bar: &Bar, ) -> Result<Option<IndicatorOutput>, BarValidationError>

Validates a bar before forwarding it to Indicator::on_bar.