Struct Autocorrelation 

pub struct Autocorrelation { /* private fields */ }

Rolling lag-lag autocorrelation of the last period inputs.

Over the trailing window the Pearson correlation between the series and itself shifted by lag is computed:

y_i  for i = 0..period − 1
ACF(lag) = Σ ( (y_i − ȳ) · (y_{i + lag} − ȳ) ) / Σ ( y_i − ȳ )²

+1 means a perfectly repeating pattern at the given lag; −1 means a perfect alternation. Values near 0 mean the series at t and t − lag carry no linear relationship — a clean white-noise proxy. The classic application is detecting periodicity (a peak in |ACF(lag)| flags a cycle of that length) or testing whether returns are uncorrelated (a key efficient-markets diagnostic).

period must be strictly greater than lag so that at least two (y, y_lagged) pairs exist. A flat window has zero variance; the indicator returns 0 rather than dividing by zero.

Example

use wickra_core::{Autocorrelation, Indicator};

let mut indicator = Autocorrelation::new(20, 1).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update(f64::from(i));
}
assert!(last.is_some());

Implementations

impl Autocorrelation

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

Construct a new rolling lag-lag autocorrelation over period inputs.

Errors

Returns Error::InvalidPeriod if lag == 0 or lag >= period.

pub const fn period(&self) -> usize

Configured window period.

pub const fn lag(&self) -> usize

Configured lag.

Trait Implementations

impl Clone for Autocorrelation

fn clone(&self) -> Autocorrelation

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Autocorrelation

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

Formats the value using the given formatter.

impl Indicator for Autocorrelation

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, value: 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.