Struct OuHalfLife 

pub struct OuHalfLife { /* private fields */ }

Half-life of mean reversion of the spread a − b, from an Ornstein–Uhlenbeck fit.

Each update takes one (a, b) price pair and forms the spread sₜ = aₜ − bₜ. Over the trailing window of period spreads the indicator fits the discrete Ornstein–Uhlenbeck (mean-reverting AR(1)) model by ordinary least squares of the change on the level:

Δsₜ = λ · sₜ₋₁ + c + εₜ
half_life = −ln(2) / λ        (only when λ < 0)

λ is the speed of mean reversion: a more negative λ pulls the spread back to its mean faster. The half-life is the number of bars for a deviation to decay by half — the single most useful number for sizing a pairs trade’s holding period and look-back. When the spread is not mean-reverting (λ ≥ 0, a random walk or a trend) or the regression is degenerate (a flat spread), the indicator returns 0, meaning “no finite half-life”.

Each update is O(period): the OLS slope is recomputed from the window’s running geometry. Output is in bars and is always ≥ 0.

Example

use wickra_core::{Indicator, OuHalfLife};

let mut hl = OuHalfLife::new(40).unwrap();
let mut last = None;
for t in 0..120 {
    let b = 100.0 + f64::from(t);
    // `a` hugs `b` with a fast mean-reverting wobble ⇒ short half-life.
    let a = b + 2.0 * (f64::from(t) * 0.9).sin();
    last = hl.update((a, b));
}
let half_life = last.unwrap();
assert!(half_life > 0.0 && half_life < 40.0);

Implementations

impl OuHalfLife

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

Construct a new Ornstein–Uhlenbeck half-life estimator.

Errors

Returns Error::InvalidPeriod if period < 3 — the AR(1) regression needs at least two observations (a slope and an intercept).

pub const fn period(&self) -> usize

Configured look-back window of spreads.

Trait Implementations

impl Clone for OuHalfLife

fn clone(&self) -> OuHalfLife

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OuHalfLife

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

Formats the value using the given formatter.

impl Indicator for OuHalfLife

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.