Struct RollingCorrelation 

pub struct RollingCorrelation { /* private fields */ }

Rolling correlation of the returns of two synchronised series.

Where crate::PearsonCorrelation correlates the raw levels (x, y), this indicator first differences each channel into a one-step return and correlates those returns over the trailing window:

rxₜ = xₜ − xₜ₋₁          ryₜ = yₜ − yₜ₋₁
corr = cov(rx, ry) / √(var(rx) · var(ry))

Return correlation is the quantity that matters for hedging and portfolio risk: two assets can trend together (high level correlation) while their day-to-day moves are nearly independent (low return correlation). The output is in [−1, +1]; a flat return channel makes the ratio undefined and the indicator reports 0 rather than NaN. The value is clamped to [−1, +1] to absorb tiny floating-point overshoots near the boundaries.

Each update is O(1): the five running sums (Σrx, Σry, Σrx², Σry², Σrxry) are maintained as the window of returns slides. The first level in each channel produces no return, so a period-pair correlation needs period + 1 updates of warmup.

Example

use wickra_core::{Indicator, RollingCorrelation};

let mut rc = RollingCorrelation::new(10).unwrap();
let mut last = None;
for i in 0..40 {
    // A varying path where y always moves with x ⇒ return correlation +1.
    let x = (f64::from(i) * 0.5).sin() * 10.0;
    last = rc.update((x, 2.0 * x));
}
assert!((last.unwrap() - 1.0).abs() < 1e-9);

Implementations

impl RollingCorrelation

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

Construct a new rolling return-correlation.

Errors

Returns Error::InvalidPeriod if period < 2 — correlation is undefined for fewer than two return pairs.

pub const fn period(&self) -> usize

Configured window of returns.

Trait Implementations

impl Clone for RollingCorrelation

fn clone(&self) -> RollingCorrelation

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RollingCorrelation

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

Formats the value using the given formatter.

impl Indicator for RollingCorrelation

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.