Struct TreynorRatio 

pub struct TreynorRatio { /* private fields */ }

Rolling Treynor Ratio.

Each update receives one (asset_return, benchmark_return) pair. Over the trailing window of period pairs:

cov_ab = (1/n) · Σ a·b − ā·b̄
var_b  = (1/n) · Σ b² − b̄²
Beta   = cov_ab / var_b
Treynor = (mean(asset) − risk_free) / Beta

Treynor is Sharpe’s market-risk cousin: it divides excess return by the asset’s sensitivity to the benchmark (Beta) rather than by the asset’s own volatility. Useful for diversified portfolios where idiosyncratic volatility has been mostly diversified away and the dominant remaining risk is systematic / market exposure.

A flat benchmark window has zero variance and the indicator returns 0.0 rather than NaN. A near-zero Beta makes the ratio explode by construction; callers should treat extreme values with the usual care.

Each update is O(1) — running sums maintain Σa, Σb, Σb², Σa·b as the window slides.

Implementations

impl TreynorRatio

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

Construct a new rolling Treynor Ratio.

Errors

Returns Error::InvalidPeriod if period < 2.

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 TreynorRatio

fn clone(&self) -> TreynorRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TreynorRatio

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

Formats the value using the given formatter.

impl Indicator for TreynorRatio

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.