Struct KRatio 

pub struct KRatio { /* private fields */ }

K-Ratio over a trailing window of period returns.

Lars Kestner’s K-Ratio measures the consistency of an equity curve, not just its return. It builds the cumulative-return curve over the window, fits an ordinary-least-squares trend line through it against time, and divides the fitted slope by the standard error of that slope:

equity_t = Σ_{i<=t} return_i           (cumulative curve, t = 1..period)
slope, intercept = OLS(equity_t ~ t)
SE(slope) = sqrt( (Σ residual² / (period − 2)) / Σ(t − t̄)² )
K-Ratio   = slope / SE(slope)

A high K-Ratio means the equity curve climbs steadily — a steep slope with little scatter around the trend. A strategy that earns the same total return in a few lucky jumps scores lower because its residual scatter inflates the standard error. This is the original 1996 form; later Kestner revisions scale by the number of periods (slope / (SE · period) in 2003, slope / (SE · √period) in 2013) — apply that scaling downstream if you need to compare across window lengths.

A perfectly straight window (e.g. constant returns) has zero residual scatter, so the slope’s standard error is zero and the K-Ratio is undefined; the indicator reports 0.0 in that degenerate case. The statistic therefore needs some dispersion in the returns to be meaningful.

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

Example

use wickra_core::{Indicator, KRatio};

let mut indicator = KRatio::new(30).unwrap();
let mut last = None;
for i in 0..60 {
    last = indicator.update(0.001 + (f64::from(i) * 0.3).sin() * 0.01);
}
assert!(last.is_some());

Implementations

impl KRatio

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

Construct a K-Ratio over period returns.

Errors

Returns Error::InvalidPeriod if period < 3 (the slope’s standard error divides by period − 2).

pub const fn period(&self) -> usize

Configured window of returns.

Trait Implementations

impl Clone for KRatio

fn clone(&self) -> KRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for KRatio

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

Formats the value using the given formatter.

impl Indicator for KRatio

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.