Struct UpsidePotentialRatio 

pub struct UpsidePotentialRatio { /* private fields */ }

Upside Potential Ratio over a trailing window of period returns, measured relative to a minimal acceptable return (mar).

upside     = mean( max(r − mar, 0) )            over the window
downside   = sqrt( mean( min(r − mar, 0)² ) )   over the window
UPR        = upside / downside

Where the SharpeRatio divides excess return by total volatility (penalising upside and downside symmetrically), the Upside Potential Ratio rewards only the average outperformance above the threshold while penalising solely the downside deviation below it. It is the purest expression of the Sortino philosophy: investors do not dislike upside variance, only shortfall risk.

mar (minimal acceptable return) is the per-period hurdle the caller supplies (e.g. 0.0 for break-even, or a target rate matching the return frequency). A window that never breaches the threshold has zero downside deviation; the indicator then reports 0.0 rather than dividing by zero.

Each update is O(1) — running sums maintain the upside total and the downside sum-of-squares as the window slides.

Example

use wickra_core::{Indicator, UpsidePotentialRatio};

let mut indicator = UpsidePotentialRatio::new(20, 0.0).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 UpsidePotentialRatio

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

Construct an Upside Potential Ratio over period returns with minimal acceptable return mar.

Errors

Returns Error::InvalidPeriod if period < 2, or Error::InvalidParameter if mar is not finite.

pub const fn period(&self) -> usize

Configured window of returns.

pub const fn mar(&self) -> f64

Configured minimal acceptable return.

Trait Implementations

impl Clone for UpsidePotentialRatio

fn clone(&self) -> UpsidePotentialRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for UpsidePotentialRatio

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

Formats the value using the given formatter.

impl Indicator for UpsidePotentialRatio

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.