Struct StandardError 

pub struct StandardError { /* private fields */ }

Standard Error of the regression line fit over the last period inputs.

Over the trailing window indexed x = 0, 1, …, period − 1 the OLS line y = a + b·x is fitted, then:

slope     = (n·Σxy − Σx·Σy) / (n·Σxx − (Σx)²)
SS_total  = Σy² − n·ȳ²                            // total sum of squares
RSS       = SS_total − slope² · S_xx              // residual sum of squares
StdErr    = √( RSS / (n − 2) )                    // n − 2 residual d.o.f.

where S_xx = (n·Σxx − (Σx)²) / n is the centred sum of squares of the design.

This is the textbook standard error of estimate of OLS: it measures the typical distance between the observed prices and the fitted line, using the residual degrees of freedom n − 2. It is the spread that drives crate::BollingerBands-style bands around a regression instead of around an SMA — when the price hugs its trend, StdErr is small.

Each update is O(period): the Σx and Σxx terms depend only on period and are precomputed once, but the residuals are summed directly over the window rather than reconstructed from rolling sums.

That is a deliberate trade. The residual sum of squares can be written as Σ(y − ȳ)² − slope²·S_xx, which slides in constant time, and this indicator did exactly that. But the two terms converge as the fit improves, so the subtraction cancels precisely when the answer is smallest: on a line carrying a wobble of 1e-4 around a price of 100 the constant-time form was 6.2e-08 out, and at a wobble of 1e-8 it was off by 215% — for the case the indicator is most likely to be asked about, a market hugging its trend. Summing the residuals costs one further pass over a window the indicator already holds, and is what the sibling crate::StandardErrorBands and crate::LinRegChannel have always done.

Example

use wickra_core::{Indicator, StandardError};

let mut indicator = StandardError::new(14).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update(100.0 + f64::from(i) + (f64::from(i) * 0.5).sin());
}
assert!(last.is_some());

Implementations

impl StandardError

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

Construct a new rolling standard error of regression.

Errors

Returns Error::InvalidPeriod if period < 3 — the residual degrees of freedom n − 2 would be non-positive.

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for StandardError

fn clone(&self) -> StandardError

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for StandardError

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

Formats the value using the given formatter.

impl Indicator for StandardError

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, value: f64) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if there is no value for this input.

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.