Struct JumpIndicator 

pub struct JumpIndicator { /* private fields */ }

Jump Indicator — a discrete {−1, 0, +1} flag for whether the current log return is an outlier relative to the trailing volatility of returns.

rₜ   = ln(priceₜ / priceₜ₋₁)
μ, σ = sample mean and stddev of the `period` returns *before* rₜ (trailing)
flag = +1 if rₜ − μ >  threshold · σ
       −1 if rₜ − μ < −threshold · σ
        0 otherwise

The baseline is the trailing return distribution and excludes the current return, so a genuine jump cannot inflate the band it is tested against. Measuring the deviation from the trailing mean μ (not the raw return) means a steady drift is not flagged — only moves that are large relative to the recent return distribution count. +1 marks an up jump, −1 a down jump, and 0 an ordinary move. When the trailing window has zero dispersion (σ = 0, e.g. a perfectly constant drift) there is no defined baseline and the indicator returns 0 rather than flagging every move.

This is the generic, threshold-tunable detector; downstream models keep any regime-specific sensitivity by choosing threshold. Non-finite and non-positive prices are ignored (the log return is undefined): the tick is dropped and the last value returned.

Example

use wickra_core::{Indicator, JumpIndicator};

let mut indicator = JumpIndicator::new(20, 3.0).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update(100.0 + (f64::from(i) * 0.5).sin());
}
// A calm sinusoid produces no jumps.
assert_eq!(last, Some(0.0));

Implementations

impl JumpIndicator

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

Construct a new Jump Indicator.

threshold is the number of trailing standard deviations a return must exceed to be flagged.

Errors

Returns Error::InvalidPeriod if period < 2 (the sample standard deviation needs at least two returns), or Error::InvalidParameter if threshold is not finite and positive.

pub const fn params(&self) -> (usize, f64)

Configured (period, threshold).

Trait Implementations

impl Clone for JumpIndicator

fn clone(&self) -> JumpIndicator

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for JumpIndicator

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

Formats the value using the given formatter.

impl Indicator for JumpIndicator

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.