Struct KellyCriterion 

pub struct KellyCriterion { /* private fields */ }

Rolling Kelly Criterion fraction.

Input is treated as a per-period (or per-trade) return. Over the trailing window the indicator estimates the optimal capital fraction to allocate using the even-money Kelly formula generalised by the payoff ratio:

win_rate     = P(r > 0)                          over window
avg_win      = mean(r for r > 0)
avg_loss     = mean(−r for r < 0)
payoff_ratio = avg_win / avg_loss
Kelly        = win_rate − (1 − win_rate) / payoff_ratio

The output is the recommended fraction of capital to bet (typically (0, 1); can go negative if the estimated edge is negative, in which case the position should be reversed or sized to zero). Most practitioners use a “half-Kelly” or “quarter-Kelly” multiplier in practice to reduce variance — Wickra reports raw Kelly and leaves the scaling to the caller.

Edge cases:

• No winners and no losers ⇒ 0.0 (no information).
• No losers (payoff_ratio = ∞) ⇒ Kelly collapses to the win rate.
• No winners but losers present ⇒ Kelly = −(1 − 0) / payoff = …, which is negative — bet nothing (or short).

Each update is O(period).

Implementations

impl KellyCriterion

pub fn new(period: usize) -> Result<Self>

Construct a new rolling Kelly Criterion.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured window length.

Trait Implementations

impl Clone for KellyCriterion

fn clone(&self) -> KellyCriterion

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for KellyCriterion

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

Formats the value using the given formatter.

impl Indicator for KellyCriterion

type Input = f64

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, input: f64) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.