Struct RollingCorrelation 

pub struct RollingCorrelation { /* private fields */ }

Rolling correlation of the returns of two synchronised series.

Where crate::PearsonCorrelation correlates the raw levels (x, y), this indicator first differences each channel into a one-step return and correlates those returns over the trailing window:

rxₜ = xₜ − xₜ₋₁          ryₜ = yₜ − yₜ₋₁
corr = cov(rx, ry) / √(var(rx) · var(ry))

Return correlation is the quantity that matters for hedging and portfolio risk: two assets can trend together (high level correlation) while their day-to-day moves are nearly independent (low return correlation). The output is in [−1, +1]; a flat return channel makes the ratio undefined and the indicator reports 0 rather than NaN. The value is clamped to [−1, +1] to absorb tiny floating-point overshoots near the boundaries.

Each update is O(1): the five running sums (Σrx, Σry, Σrx², Σry², Σrxry) are maintained as the window of returns slides. The first level in each channel produces no return, so a period-pair correlation needs period + 1 updates of warmup.

Example

use wickra_core::{Indicator, RollingCorrelation};

let mut rc = RollingCorrelation::new(10).unwrap();
let mut last = None;
for i in 0..40 {
    // A varying path where y always moves with x ⇒ return correlation +1.
    let x = (f64::from(i) * 0.5).sin() * 10.0;
    last = rc.update((x, 2.0 * x));
}
assert!((last.unwrap() - 1.0).abs() < 1e-9);

Implementations

impl RollingCorrelation

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

Construct a new rolling return-correlation.

Errors

Returns Error::InvalidPeriod if period < 2 — correlation is undefined for fewer than two return pairs.

pub const fn period(&self) -> usize

Configured window of returns.

Trait Implementations

impl Clone for RollingCorrelation

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RollingCorrelation

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

Formats the value using the given formatter.

impl Indicator for RollingCorrelation

type Input = (f64, 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, 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.

fn batch_nan_into(&mut self, inputs: &[Self::Input], out: &mut [f64])

where Self::Input: Copy, Self::Output: Into<f64>,

Run the indicator over inputs, writing one output per input into the caller-owned out buffer (NaN where update returns None). It exists for every indicator whose output converts to an f64; the batch pipelines use it for the scalar f64 -> f64 ones.

fn batch_fast_into(&mut self, inputs: &[Self::Input], out: &mut [f64])

where Self::Input: Copy, Self::Output: Into<f64>,

Opt-in fast batch: like batch_nan_into, but an indicator with a vectorised kernel may reassociate its arithmetic to run it in SIMD lanes. Each value then agrees with the exact batch to within the tolerance the indicator documents (a few units in the last place), not bit for bit; warmup positions, NaN placement and the output length are identical. The kernels are deterministic: the same input produces the same bits on every platform, with or without SIMD hardware.