Struct Alpha 

pub struct Alpha { /* private fields */ }

Rolling Jensen’s Alpha.

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

Beta  = cov(asset, bench) / var(bench)
Alpha = mean(asset) − ( risk_free + Beta · (mean(bench) − risk_free) )

Alpha is the risk-adjusted excess return — the slice of the asset’s performance that cannot be explained by simple exposure to the benchmark. A positive alpha indicates outperformance net of the market premium implied by the asset’s beta; negative alpha is the opposite.

Population covariance and variance are used (matching common implementations in pandas-ta / quantstats); the rolling estimator stays unbiased in the steady state for fixed period.

If the benchmark is flat (var(bench) = 0) the indicator falls back to alpha = mean(asset) − risk_free — the asset’s mean excess return, with no market-risk adjustment, since the regression slope is undefined.

Each update is O(1).

Implementations

impl Alpha

pub fn new(period: usize, risk_free: f64) -> Result<Self>

Construct a new rolling Alpha.

Errors

Returns Error::InvalidPeriod if period < 2.

pub const fn period(&self) -> usize

Configured window length.

pub const fn risk_free(&self) -> f64

Configured per-period risk-free rate.

Trait Implementations

impl Clone for Alpha

fn clone(&self) -> Alpha

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Alpha

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

Formats the value using the given formatter.

impl Indicator for Alpha

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.