Struct RogersSatchellVolatility 

pub struct RogersSatchellVolatility { /* private fields */ }

Rogers-Satchell Volatility — a drift-free OHLC realised-volatility estimator.

Rogers, Satchell & Yoon (1994) extended the Garman-Klass framework to handle non-zero drift between bars without introducing the bias the Garman-Klass estimator picks up in trending markets. The per-bar sample is

s_t = ln(H_t / C_t) · ln(H_t / O_t) + ln(L_t / C_t) · ln(L_t / O_t)

and the indicator returns the annualised square root of the rolling mean of s_t:

out = sqrt(max(mean(s_t over `period`), 0)) · sqrt(trading_periods) · 100

The estimator is exact under a Brownian Motion with arbitrary drift — the drift component cancels out algebraically. Each per-bar sample is also guaranteed non-negative (both products contribute non-negative terms by construction: H >= O,C and L <= O,C), so the rolling mean cannot drift below zero except through FP cancellation.

Example

use wickra_core::{Candle, Indicator, RogersSatchellVolatility};

let mut indicator = RogersSatchellVolatility::new(20, 252).unwrap();
let mut last = None;
for i in 0..40 {
    let base = 100.0 + f64::from(i);
    let candle = Candle::new(base, base + 2.0, base - 2.0, base + 0.5, 1.0, i64::from(i))
        .unwrap();
    last = indicator.update(candle);
}
assert!(last.is_some());

Implementations

impl RogersSatchellVolatility

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

Construct a Rogers-Satchell Volatility estimator.

period is the rolling window of bars; trading_periods is the annualisation factor (252 daily, 52 weekly, 12 monthly, or 1 for raw per-bar volatility).

Errors

Returns Error::PeriodZero if either parameter is 0.

pub const fn periods(&self) -> (usize, usize)

Configured (period, trading_periods).

pub const fn value(&self) -> Option<f64>

Current value if available.

Trait Implementations

impl Clone for RogersSatchellVolatility

fn clone(&self) -> RogersSatchellVolatility

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RogersSatchellVolatility

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

Formats the value using the given formatter.

impl Indicator for RogersSatchellVolatility

type Input = Candle

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, candle: Candle) -> 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.