Struct SharpeRatio 

pub struct SharpeRatio { /* private fields */ }

Rolling Sharpe Ratio over period period-returns.

The input is treated as a single period-return (e.g. one day’s percentage return). Over the trailing window of period returns the indicator computes:

Sharpe = (mean(returns) − risk_free_per_period) / stddev(returns)

stddev is the sample standard deviation with n − 1 in the denominator. risk_free_per_period is the per-period risk-free rate the caller supplies (e.g. 0.0 for excess-of-zero or a daily-equivalent rate to match the return frequency). Wickra does not annualise: feed already-annualised returns and supply an annual risk-free rate if you want an annualised Sharpe.

A flat window has zero standard deviation and Sharpe is undefined; the indicator returns 0.0 in that case rather than producing NaN.

Each update is O(1) — Welford-style running sums maintain Σr, Σr² as the window slides.

Example

use wickra_core::{Indicator, SharpeRatio};

let mut sr = SharpeRatio::new(20, 0.0).unwrap();
let mut last = None;
for i in 0..40 {
    last = sr.update(0.001 + (f64::from(i) * 0.1).sin() * 0.01);
}
assert!(last.is_some());

Implementations

impl SharpeRatio

pub fn new(period: usize, risk_free: f64) -> Result<Self>

Construct a new rolling Sharpe Ratio with the given window and per-period risk-free rate.

Errors

Returns Error::InvalidPeriod if period < 2 (sample standard deviation needs at least two observations).

pub const fn period(&self) -> usize

Configured window length.

pub const fn risk_free(&self) -> f64

Configured per-period risk-free rate.

Trait Implementations

impl Clone for SharpeRatio

fn clone(&self) -> SharpeRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SharpeRatio

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

Formats the value using the given formatter.

impl Indicator for SharpeRatio

type Input = 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) -> 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.