Struct CalmarRatio 

pub struct CalmarRatio { /* private fields */ }

Rolling Calmar Ratio.

Input is treated as a single period return. Over the trailing window of period returns the indicator reconstructs the implied equity curve (cumulative-compounded), measures the worst peak-to-trough drawdown, and divides the mean return by that drawdown:

equity_t = ∏(1 + r_i) for i in window up to t
mdd      = max peak-to-trough decline of equity over window
Calmar   = mean(returns) / mdd

If the drawdown is zero (monotonically non-decreasing equity in the window) the indicator returns 0.0 rather than NaN / Inf.

The equity curve is recomputed inside the window each update, which keeps each call O(period) — acceptable for typical backtest windows (period ≤ 252).

Example

use wickra_core::{CalmarRatio, Indicator};

let mut cr = CalmarRatio::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    last = cr.update(0.001 + (f64::from(i) * 0.1).sin() * 0.005);
}
assert!(last.is_some());

Implementations

impl CalmarRatio

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

Construct a new rolling Calmar Ratio.

Errors

Returns Error::InvalidPeriod if period < 2.

pub const fn period(&self) -> usize

Configured window length.

Trait Implementations

impl Clone for CalmarRatio

fn clone(&self) -> CalmarRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CalmarRatio

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

Formats the value using the given formatter.

impl Indicator for CalmarRatio

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, input: 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.