Struct InformationRatio 

pub struct InformationRatio { /* private fields */ }

Rolling Information Ratio.

Each update receives one (asset_return, benchmark_return) pair. Over the trailing window of period pairs:

active_t       = asset_t − benchmark_t
tracking_error = stddev(active over window)            (sample)
IR             = mean(active) / tracking_error

The Information Ratio quantifies skill in beating a benchmark per unit of active-return volatility. A high IR means consistent (low-noise) outperformance; a near-zero IR means the asset moves with the benchmark regardless of any small alpha.

If the tracking error is zero (asset perfectly tracks the benchmark over the window) the indicator returns 0.0 rather than NaN.

Each update is O(1).

Implementations

impl InformationRatio

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

Construct a new rolling Information Ratio.

Errors

Returns Error::InvalidPeriod if period < 2.

pub const fn period(&self) -> usize

Configured window length.

Trait Implementations

impl Clone for InformationRatio

fn clone(&self) -> InformationRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for InformationRatio

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

Formats the value using the given formatter.

impl Indicator for InformationRatio

type Input = (f64, 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, 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.