Struct SpearmanCorrelation 

pub struct SpearmanCorrelation { /* private fields */ }

Rolling Spearman rank correlation between two synchronised series.

Each update receives one (x, y) pair. Over the trailing window of period pairs, the values in each channel are replaced by their ranks (mid-ranks for ties), and the Pearson correlation of those ranks is reported:

rx = rank(x_i)  with mid-rank tie handling
ry = rank(y_i)  with mid-rank tie handling
Spearman = Pearson( rx, ry )

Spearman is the non-linear, monotone analogue of crate::PearsonCorrelation: +1 means the two series move in the same direction (any monotone relationship, not just linear); −1 means they move in opposite directions; 0 means no monotone relationship. Because ranks throw away magnitude, Spearman is robust to outliers and to non-linear (but monotone) transformations — the canonical example is two assets that move together but with very different volatility profiles.

Each update is O(period²) in the naïve implementation; Wickra uses an O(period log period) sort-and-pair approach: the window is copied into a scratch buffer, sorted twice (once per channel) to derive the ranks, then Pearson is computed on the rank arrays via the same O(n) rolling sums as crate::PearsonCorrelation.

A window in which one channel is constant has no rank dispersion and the correlation is undefined; the indicator returns 0 rather than NaN. The output is clamped to [−1, +1] to absorb tiny floating-point overshoots.

Example

use wickra_core::{Indicator, SpearmanCorrelation};

let mut indicator = SpearmanCorrelation::new(10).unwrap();
let mut last = None;
for i in 1..20 {
    // Strictly monotone — Spearman should be +1.
    last = indicator.update((f64::from(i), (f64::from(i)).powi(3)));
}
assert!((last.unwrap() - 1.0).abs() < 1e-9);

Implementations

impl SpearmanCorrelation

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

Construct a new rolling Spearman correlation.

Errors

Returns Error::InvalidPeriod if period < 2.

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for SpearmanCorrelation

fn clone(&self) -> SpearmanCorrelation

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SpearmanCorrelation

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

Formats the value using the given formatter.

impl Indicator for SpearmanCorrelation

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.