Struct VolatilityCone 

pub struct VolatilityCone { /* private fields */ }

Volatility Cone — the current realized volatility positioned within the historical range (“cone”) of realized volatilities over a lookback window.

r_t     = ln(close_t / close_{t−1})
vol_t   = stddev_sample(r over window)            (rolling realized volatility)
cone    = { min, median, max, percentile } of vol over the last `lookback`

A volatility cone (Burghardt & Lane 1990) shows whether current volatility is high or low relative to its own history, rather than as an absolute number. This streaming form tracks one horizon: it maintains the rolling realized volatility of log returns over window, then reports the latest reading (current) alongside the min, median, max and percentile rank of that volatility series over the trailing lookback. current always lies within [min, max] because it is itself the newest member of the lookback set.

Only the candle’s close is used (the log-return series); the high and low are ignored. The volatility is per-period (sample stddev of log returns, not annualised) — multiply by √trading_periods for an annual figure. Each update is O(lookback log lookback) from sorting the envelope.

Non-positive closes are ignored (the log return would be undefined): the tick is dropped, state is left untouched, and the last value is returned.

Example

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

let mut indicator = VolatilityCone::new(20, 60).unwrap();
let mut last = None;
for i in 0..120 {
    let c = 100.0 + (f64::from(i) * 0.3).sin() * 5.0;
    let candle = Candle::new(c, c + 1.0, c - 1.0, c, 1_000.0, 0).unwrap();
    last = indicator.update(candle);
}
assert!(last.is_some());

Implementations

impl VolatilityCone

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

Construct a new volatility-cone indicator.

window is the realized-volatility estimation window; lookback is the number of volatility readings forming the historical cone.

Errors

Returns Error::PeriodZero if either argument is 0, or Error::InvalidPeriod if window < 2 (a sample stddev needs two returns) or lookback < 2 (an envelope needs at least two readings).

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

Configured (window, lookback).

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

Current value if available.

Trait Implementations

impl Clone for VolatilityCone

fn clone(&self) -> VolatilityCone

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for VolatilityCone

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

Formats the value using the given formatter.

impl Indicator for VolatilityCone

type Input = Candle

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = VolatilityConeOutput

Type of one output value.

fn update(&mut self, candle: Candle) -> Option<VolatilityConeOutput>

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.