Struct PearsonCorrelation 

pub struct PearsonCorrelation { /* private fields */ }

Rolling Pearson correlation between two synchronised series.

Each update receives one (x, y) pair (e.g. the latest close of the asset and of the benchmark). Over the trailing window of period pairs:

cov_xy   = (1/n) · Σ x·y − x̄·ȳ
var_x    = (1/n) · Σ x² − x̄²
var_y    = (1/n) · Σ y² − ȳ²
Pearson  = cov_xy / √(var_x · var_y)

Output is in [−1, +1]. +1 means a perfect positive linear relationship; −1 is a perfect inverse one; 0 means no linear relationship. It is the same statistic SciPy / NumPy report as pearsonr and the standardised relative of crate::Beta — Beta scales Pearson by the ratio of standard deviations.

Each update is O(1): five running sums (Σx, Σy, Σx², Σy², Σxy) are maintained as the window slides. A flat series in either channel gives an undefined ratio; the indicator returns 0 in that case rather than producing NaN. The output is clamped to [−1, +1] to absorb tiny floating-point overshoots near the boundaries.

Example

use wickra_core::{Indicator, PearsonCorrelation};

let mut indicator = PearsonCorrelation::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update((f64::from(i), 2.0 * f64::from(i) + 1.0));
}
// A perfectly linear pair → +1.
assert!((last.unwrap() - 1.0).abs() < 1e-9);

Implementations

impl PearsonCorrelation

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

Construct a new rolling Pearson correlation.

Errors

Returns Error::InvalidPeriod if period < 2 — correlation is undefined for fewer than two pairs.

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for PearsonCorrelation

fn clone(&self) -> PearsonCorrelation

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for PearsonCorrelation

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

Formats the value using the given formatter.

impl Indicator for PearsonCorrelation

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.