Struct MartinRatio 

pub struct MartinRatio { /* private fields */ }

Martin Ratio — also called the Ulcer Performance Index (UPI) — over a trailing window of period returns.

equity_t = Π_{i<=t} (1 + return_i)               (compounded curve)
peak_t   = max_{s<=t} equity_s
dd_t%    = 100 · (peak_t − equity_t) / peak_t      (percentage drawdown)
UlcerIdx = sqrt( mean( dd_t%² ) )
Martin   = mean(returns) / UlcerIdx

The Martin Ratio divides the average per-period return by the Ulcer Index — the root-mean-square of the percentage drawdowns. The Ulcer Index, by construction, measures the depth and duration of the time spent under water: a long shallow slump and a short deep one can score the same. Compared to Wickra’s other drawdown ratios, Martin uses the RMS (not the average as in the SterlingRatio, nor the un-normalised sum-norm as in the BurkeRatio) and expresses drawdowns in percent, so its denominator is on a 0..100 scale and its output is numerically smaller than the fractional-drawdown ratios. A window that never draws down has an Ulcer Index of zero and the indicator reports 0.0.

The first value lands after period returns; each update rebuilds the equity curve over the window (O(period)), which is O(1) in the length of the overall series.

Example

use wickra_core::{Indicator, MartinRatio};

let mut indicator = MartinRatio::new(14).unwrap();
let mut last = None;
for i in 0..28 {
    last = indicator.update((f64::from(i) * 0.5).sin() * 0.05);
}
assert!(last.is_some());

Implementations

impl MartinRatio

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

Construct a Martin Ratio over period returns.

Errors

Returns Error::InvalidPeriod if period < 2.

pub const fn period(&self) -> usize

Configured window of returns.

Trait Implementations

impl Clone for MartinRatio

fn clone(&self) -> MartinRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for MartinRatio

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

Formats the value using the given formatter.

impl Indicator for MartinRatio

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.