Struct ParkinsonVolatility 

pub struct ParkinsonVolatility { /* private fields */ }

Parkinson Volatility — a high-low realised-volatility estimator.

Michael Parkinson (1980) noted that the extreme range of a bar carries more variance information than the closing price alone: a wide bar that closes near its open is far more “volatile” than a narrow bar that happens to close at the same level. The estimator is

sigma² = (1 / (4n · ln 2)) · Σ_{i=1..n} (ln(H_i / L_i))²
sigma  = √sigma²
out    = sigma · √trading_periods · 100

The output is annualised to a percent in the same style as HistoricalVolatility — trading_periods of 252 for daily bars, 52 for weekly, 12 for monthly. Pass trading_periods = 1 for the raw per-bar sigma · 100 figure.

Under a driftless Geometric-Brownian-Motion assumption, Parkinson’s estimator has roughly 1/5 the variance of the close-to-close estimator — i.e. five close-to-close samples give the same statistical efficiency as one Parkinson sample.

Example

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

let mut indicator = ParkinsonVolatility::new(20, 252).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 - 2.0, base + 1.0, 1.0, i64::from(i))
        .unwrap();
    last = indicator.update(candle);
}
assert!(last.is_some());

Implementations

impl ParkinsonVolatility

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

Construct a Parkinson Volatility estimator.

period is the rolling window of bars; trading_periods is the annualisation factor (252 daily, 52 weekly, 12 monthly, or 1 for raw per-bar volatility).

Errors

Returns Error::PeriodZero if either parameter is 0.

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

Configured (period, trading_periods).

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

Current value if available.

Trait Implementations

impl Clone for ParkinsonVolatility

fn clone(&self) -> ParkinsonVolatility

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ParkinsonVolatility

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

Formats the value using the given formatter.

impl Indicator for ParkinsonVolatility

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.