Struct TailRatio 

pub struct TailRatio { /* private fields */ }

Tail Ratio over a trailing window of period returns.

TailRatio = P95(returns) / |P5(returns)|

The Tail Ratio contrasts the magnitude of the best outcomes against the worst: the 95th percentile of the return distribution divided by the absolute value of the 5th percentile. A value above 1.0 means the right tail (upside surprises) is fatter than the left tail (downside surprises); below 1.0 means crashes are larger than rallies. It is a distribution-shape statistic, distinct from the average-based SharpeRatio: two series with the same mean and variance can have very different tail ratios.

Percentiles are computed by linear interpolation over the sorted window (the same rule NumPy uses by default). A window whose 5th percentile is exactly zero has no measurable left tail and the indicator 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, TailRatio};

let mut indicator = TailRatio::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 TailRatio

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

Construct a Tail Ratio over period returns.

Errors

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

pub const fn period(&self) -> usize

Configured window of returns.

Trait Implementations

impl Clone for TailRatio

fn clone(&self) -> TailRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TailRatio

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

Formats the value using the given formatter.

impl Indicator for TailRatio

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.