Struct SpreadHurst 

pub struct SpreadHurst { /* private fields */ }

Hurst exponent of the spread a − b over a rolling window.

Each update takes one (a, b) price pair and forms the spread sₜ = aₜ − bₜ. Over the trailing window of period spreads the indicator estimates the Hurst exponent H from how the variance of τ-lagged differences grows with the lag τ:

V(τ) = mean_t (s_{t+τ} − s_t)²   ∝   τ^(2H)
H    = slope of log V(τ) on log τ, divided by two

H classifies the spread’s regime:

• H < 0.5 — mean-reverting (anti-persistent): the spread snaps back, the regime pairs traders want.
• H ≈ 0.5 — a random walk: no exploitable structure.
• H > 0.5 — trending (persistent): the spread keeps diverging.

The fit uses lags 1..=period/4 (at least two). When the spread is flat — every lagged difference is zero, so the log-regression has fewer than two usable points — the indicator returns the neutral 0.5. The output is clamped to [0, 1].

Each update is O(period · period/4), bounded by the fixed window.

Example

use wickra_core::{Indicator, SpreadHurst};

let mut h = SpreadHurst::new(60).unwrap();
let mut last = None;
for t in 0..200 {
    let b = 100.0 + f64::from(t);
    // A tight oscillating spread is anti-persistent ⇒ H < 0.5.
    let a = b + 3.0 * (f64::from(t) * 0.8).sin();
    last = h.update((a, b));
}
assert!(last.unwrap() < 0.5);

Implementations

impl SpreadHurst

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

Construct a new spread Hurst estimator.

Errors

Returns Error::InvalidPeriod if period < 8 — fewer than eight spreads cannot support a two-lag log–log regression.

pub const fn period(&self) -> usize

Configured look-back window of spreads.

Trait Implementations

impl Clone for SpreadHurst

fn clone(&self) -> SpreadHurst

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SpreadHurst

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

Formats the value using the given formatter.

impl Indicator for SpreadHurst

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.