Struct Cointegration 

pub struct Cointegration { /* private fields */ }

Rolling cointegration test for a pair of assets (Engle–Granger two-step).

Each update receives one (a, b) pair (price levels, or log-levels if you prefer). Over the trailing window of period pairs the indicator:

1. fits the hedge ratio β (and intercept α) by ordinary least squares of a on b, and forms the spread eₜ = aₜ − (α + β·bₜ);
2. runs an augmented Dickey–Fuller test (no constant, no trend, with adf_lags lagged differences) on the spread series and reports its t-statistic.

A strongly negative ADF statistic means the spread reverts to its mean — the pair is cointegrated and the spread is tradeable. A statistic near zero means the spread wanders like a random walk (no cointegration). This is the classic pairs-trading screen: β tells you the hedge size, the spread is what you trade, and the ADF statistic tells you whether it is worth trading.

Each update is O(period + adf_lags³): the hedge ratio is maintained from running sums, while the spread series and the small ADF regression are recomputed over the window — both bounded by the fixed parameters, not the series length.

Example

use wickra_core::{Cointegration, Indicator};

let mut c = Cointegration::new(30, 1).unwrap();
let mut last = None;
for t in 0..60 {
    let b = 100.0 + f64::from(t);
    // `a` tracks 2·b with a small mean-reverting wobble ⇒ cointegrated.
    let a = 2.0 * b + 5.0 + 0.5 * (f64::from(t) * 0.7).sin();
    last = c.update((a, b));
}
let out = last.unwrap();
assert!((out.hedge_ratio - 2.0).abs() < 0.1);
assert!(out.adf_stat < 0.0); // mean-reverting spread

Implementations

impl Cointegration

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

Construct a new rolling cointegration test.

period is the look-back window; adf_lags is the number of lagged differences in the augmented Dickey–Fuller regression (0 is the plain Dickey–Fuller test).

Errors

Returns Error::InvalidPeriod if period < 2·adf_lags + 4, which is the smallest window that leaves the ADF regression at least one degree of freedom.

pub const fn period(&self) -> usize

Look-back window length.

pub const fn adf_lags(&self) -> usize

Number of lagged differences in the ADF regression.

Trait Implementations

impl Clone for Cointegration

fn clone(&self) -> Cointegration

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Cointegration

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

Formats the value using the given formatter.

impl Indicator for Cointegration

type Input = (f64, f64)

(a, b) price pair.

type Output = CointegrationOutput

Type of one output value.

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

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.