Struct VolatilityRatio 

pub struct VolatilityRatio { /* private fields */ }

Schwager’s Volatility Ratio — the current bar’s true range divided by the exponential moving average of the prior true ranges.

TR_t = true range of bar t
VR_t = TR_t / EMA_n(TR through bar t−1)

Jack Schwager’s volatility ratio measures how today’s range compares to its recent typical level: a reading above 2.0 marks a wide-ranging day — today’s true range is more than twice the smoothed average — which often precedes or accompanies a reversal. The denominator is the exponential moving average of true range excluding the current bar, seeded with the simple average of the first period true ranges, so a single large bar stands out instead of inflating its own benchmark.

True range is max(high − low, |high − prev_close|, |low − prev_close|), identical to the Atr building block, but here it is compared to a standard EMA (smoothing 2 / (period + 1)) rather than Wilder smoothing, which keeps the ratio distinct from TR / ATR. Each update is O(1).

A flat market drives every true range — and the EMA — to 0; the ratio is then 0.0 rather than an undefined 0 / 0. Candle::new rejects non-finite fields, so no in-method finiteness guard is needed.

Example

use wickra_core::{Candle, Indicator, VolatilityRatio};

let mut indicator = VolatilityRatio::new(14).unwrap();
let mut last = None;
for i in 0..40 {
    let base = 100.0 + f64::from(i);
    let candle = Candle::new(base, base + 2.0, base - 1.0, base + 0.5, 1_000.0, 0).unwrap();
    last = indicator.update(candle);
}
assert!(last.is_some());

Implementations

impl VolatilityRatio

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

Construct a new volatility-ratio indicator.

period is the number of true ranges that seed and smooth the denominator EMA.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured period.

pub const fn value(&self) -> Option<f64>

Current value if available.

Trait Implementations

impl Clone for VolatilityRatio

fn clone(&self) -> VolatilityRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for VolatilityRatio

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

Formats the value using the given formatter.

impl Indicator for VolatilityRatio

type Input = Candle

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, candle: Candle) -> 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.