Struct SortinoRatio 

pub struct SortinoRatio { /* private fields */ }

Rolling Sortino Ratio.

Like the Sharpe Ratio but only penalises downside volatility — returns below the minimum acceptable return (mar). The numerator is excess return over mar; the denominator is the downside deviation:

downside_dev = sqrt( mean( min(0, r − mar)² over period ) )
Sortino      = (mean(r) − mar) / downside_dev

Downside variance uses the population formula (n in the denominator) since the negative-shortfall samples are treated as the full population. If every return in the window is ≥ mar the downside deviation is 0 and the indicator returns 0.0 rather than NaN.

Each update is O(1).

Example

use wickra_core::{Indicator, SortinoRatio};

let mut sr = SortinoRatio::new(20, 0.0).unwrap();
let mut last = None;
for i in 0..40 {
    last = sr.update((f64::from(i) * 0.1).sin() * 0.01);
}
assert!(last.is_some());

Implementations

impl SortinoRatio

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

Construct a new rolling Sortino Ratio.

Errors

Returns Error::InvalidPeriod if period < 2.

pub const fn period(&self) -> usize

Configured window length.

pub const fn mar(&self) -> f64

Configured minimum-acceptable return.

Trait Implementations

impl Clone for SortinoRatio

fn clone(&self) -> SortinoRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SortinoRatio

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

Formats the value using the given formatter.

impl Indicator for SortinoRatio

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.