Struct VarianceRatio 

pub struct VarianceRatio { /* private fields */ }

Lo–MacKinlay variance ratio of the spread a − b at horizon q.

Each update takes one (a, b) price pair and forms the spread sₜ = aₜ − bₜ. Over the trailing window of period spreads the indicator compares the variance of q-step changes against q times the variance of one-step changes:

rₜ   = sₜ − sₜ₋₁                                  (one-step changes)
VR(q) = Var(Σ of q consecutive r) / (q · Var(r))

Under a random walk the variance of returns grows linearly with the horizon, so VR(q) = 1. Departures reveal autocorrelation structure:

• VR(q) < 1 — mean reversion (negatively autocorrelated changes): the spread’s moves partly cancel, the regime pairs traders exploit.
• VR(q) ≈ 1 — a random walk: no exploitable structure.
• VR(q) > 1 — momentum / trending (positively autocorrelated changes).

The estimator uses overlapping q-step windows. When the one-step changes have zero variance (a flat spread) the ratio is undefined and the indicator returns the null value 1. The output is always ≥ 0.

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

Example

use wickra_core::{Indicator, VarianceRatio};

let mut vr = VarianceRatio::new(60, 2).unwrap();
let mut last = None;
for t in 0..200 {
    let b = 100.0 + f64::from(t);
    // A fast, choppy spread mean-reverts (negatively autocorrelated
    // changes) ⇒ VR(2) < 1.
    let a = b + 2.0 * (f64::from(t) * 2.5).sin();
    last = vr.update((a, b));
}
assert!(last.unwrap() < 1.0);

Implementations

impl VarianceRatio

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

Construct a new variance-ratio test.

period is the look-back window of spreads; q is the aggregation horizon (number of one-step changes summed per long-horizon change).

Errors

Returns Error::InvalidPeriod if q < 2 or if period < q + 2 (which would leave fewer than two long-horizon observations).

pub const fn period(&self) -> usize

Configured look-back window of spreads.

pub const fn q(&self) -> usize

Configured aggregation horizon q.

Trait Implementations

impl Clone for VarianceRatio

fn clone(&self) -> VarianceRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for VarianceRatio

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

Formats the value using the given formatter.

impl Indicator for VarianceRatio

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.