Struct CommonSenseRatio 

pub struct CommonSenseRatio { /* private fields */ }

Common Sense Ratio over a trailing window of period returns.

ProfitFactor = Σ gains / Σ |losses|              over the window
TailRatio    = P95(returns) / |P5(returns)|      over the window
CSR          = ProfitFactor · TailRatio

The Common Sense Ratio fuses two views of a return series into one number. The profit factor captures the body of the distribution — how much you make per unit you lose on the average bar. The TailRatio captures the extremes — whether the largest gains outweigh the largest losses. Multiplying them produces a ratio that is only comfortably above 1.0 when a strategy wins on both fronts: a respectable profit factor can still hide catastrophic left-tail risk, and a fat right tail means little if the body bleeds. Above 1.0 the strategy is sound on a common-sense basis; below 1.0 something — body or tail — is working against it.

Percentiles use linear interpolation over the sorted window. A window with no losses (zero profit-factor denominator) or no left tail (zero P5) reports 0.0 rather than dividing by zero.

The first value lands after period returns; each update re-sorts the window (O(period log period)), which is O(1) in the length of the overall series.

Example

use wickra_core::{Indicator, CommonSenseRatio};

let mut indicator = CommonSenseRatio::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update((f64::from(i) * 0.3).sin() * 0.02);
}
assert!(last.is_some());

Implementations

impl CommonSenseRatio

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

Construct a Common Sense Ratio over period returns.

Errors

Returns Error::InvalidPeriod if period < 2 (percentiles need at least two observations).

pub const fn period(&self) -> usize

Configured window of returns.

Trait Implementations

impl Clone for CommonSenseRatio

fn clone(&self) -> CommonSenseRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CommonSenseRatio

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

Formats the value using the given formatter.

impl Indicator for CommonSenseRatio

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, ret: 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.