Struct OmegaRatio 

pub struct OmegaRatio { /* private fields */ }

Rolling Omega Ratio.

Over the trailing window of period returns and a target threshold:

gains  = Σ max(0, r − threshold)
losses = Σ max(0, threshold − r)
Omega  = gains / losses

Omega expresses how many units of “above-threshold” return the strategy produces per unit of “below-threshold” shortfall. By construction Omega ≥ 0. The Sharpe Ratio collapses risk into a single second-moment number; Omega keeps the full shape of the loss tail.

Unbounded output

A window where every return clears the threshold has zero shortfall, and the indicator returns f64::INFINITY, in keeping with the standard definition. This is not an edge case to be discovered in production: any period-bar window that stays above the threshold produces it. The value is correct – the ratio really is unbounded – but it propagates, and inf - inf is NaN, so a caller feeding this into further arithmetic should test for it. f64::is_finite is the guard.

The threshold decides what “flat” means here, and the two ends differ: with threshold = 0.0 a window of zero returns has neither gains nor shortfall, which is break-even and yields 1.0, while with a negative threshold every zero return clears it, so the same flat window yields f64::INFINITY.

Each update is O(period) because the partial sums are recomputed across the window — adequate for typical backtest windows (period ≤ 252).

Example

use wickra_core::{Indicator, OmegaRatio};

let mut o = OmegaRatio::new(20, 0.0).unwrap();
let mut last = None;
for i in 0..40 {
    last = o.update((f64::from(i) * 0.2).sin() * 0.01);
}
assert!(last.is_some());

Implementations

impl OmegaRatio

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

Construct a new rolling Omega Ratio.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured window length.

pub const fn threshold(&self) -> f64

Configured threshold (per-period).

Trait Implementations

impl Clone for OmegaRatio

fn clone(&self) -> OmegaRatio

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OmegaRatio

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

Formats the value using the given formatter.

impl Indicator for OmegaRatio

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, input: 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.