Struct RegimeLabel 

pub struct RegimeLabel { /* private fields */ }

Regime Label — a discrete {−1, 0, +1} classification of the current volatility regime by where the latest rolling volatility falls within its own recent distribution.

σₜ    = sample stddev of the last `vol_period` log returns
q1,q3 = 25th / 75th percentile of the last `lookback` σ readings
label = −1 if σₜ < q1   (calm regime)
        +1 if σₜ > q3   (stressed regime)
         0 otherwise    (normal regime)

This is the canonical rolling-volatility-quantile regime split: rather than thresholding absolute volatility (which is not comparable across instruments or epochs), it asks whether today’s volatility is unusually low or high relative to its own recent history. −1 is a calm regime, +1 a stressed / high-volatility regime, 0 the normal middle. Because the latest reading is included in its own reference window, a freshly elevated volatility prints +1 until the window catches up to the new level — it flags the transition, not just the absolute level. When the recent volatilities are all equal (q1 == q3, e.g. a constant drift) there is no spread to classify against and the label is 0.

Each update is O(vol_period + lookback log lookback). Non-finite and non-positive prices are ignored.

Example

use wickra_core::{Indicator, RegimeLabel};

let mut indicator = RegimeLabel::new(5, 20).unwrap();
let mut last = None;
for i in 0..60 {
    last = indicator.update(100.0 + (f64::from(i) * 0.5).sin());
}
assert!(last.is_some());

Implementations

impl RegimeLabel

pub fn new(vol_period: usize, lookback: usize) -> Result<Self>

Construct a new Regime Label classifier.

vol_period is the window for the rolling volatility; lookback is the window of volatility readings whose quartiles set the regime bands.

Errors

Returns Error::InvalidPeriod if vol_period < 2 (the sample standard deviation needs at least two returns) or if lookback < 2 (the quartile split needs at least two readings).

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

Configured (vol_period, lookback).

Trait Implementations

impl Clone for RegimeLabel

fn clone(&self) -> RegimeLabel

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RegimeLabel

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

Formats the value using the given formatter.

impl Indicator for RegimeLabel

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.