Struct M2Measure 

pub struct M2Measure { /* private fields */ }

M² (Modigliani–Modigliani) measure over a trailing window of period returns.

Sharpe = (mean(returns) − risk_free) / stddev(returns)
M²     = risk_free + Sharpe · benchmark_stddev

The SharpeRatio is dimensionless, which makes it hard to communicate: “0.8” means little to a client. M² rescales the Sharpe ratio back into return units by levering (or de-levering) the portfolio to the benchmark’s volatility. The result answers a concrete question: “if this strategy had run at the market’s risk level, what return would it have produced?” Two portfolios can then be ranked on the same risk-adjusted scale, and M² preserves the Sharpe ordering while being quoted as a percentage.

stddev is the sample standard deviation (Bessel’s n − 1). risk_free is the per-period risk-free rate and benchmark_stddev the per-period volatility of the benchmark, both supplied by the caller at the return frequency. A flat window has zero volatility and the Sharpe ratio is undefined; the indicator returns 0.0 in that case rather than producing NaN.

Each update is O(1) — running sums maintain Σr and Σr² as the window slides.

Example

use wickra_core::{Indicator, M2Measure};

let mut indicator = M2Measure::new(20, 0.0, 0.02).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update(0.001 + (f64::from(i) * 0.1).sin() * 0.01);
}
assert!(last.is_some());

Implementations

impl M2Measure

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

Construct an M² measure over period returns with the given per-period risk-free rate and benchmark standard deviation.

Errors

Returns Error::InvalidPeriod if period < 2, or Error::InvalidParameter if risk_free is not finite or benchmark_stddev is negative or not finite.

pub const fn period(&self) -> usize

Configured window of returns.

pub const fn risk_free(&self) -> f64

Configured per-period risk-free rate.

pub const fn benchmark_stddev(&self) -> f64

Configured per-period benchmark standard deviation.

Trait Implementations

impl Clone for M2Measure

fn clone(&self) -> M2Measure

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for M2Measure

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

Formats the value using the given formatter.

impl Indicator for M2Measure

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.