Struct Autocorrelation 

pub struct Autocorrelation { /* private fields */ }

Rolling lag-lag autocorrelation of the last period inputs.

Over the trailing window the Pearson correlation between the series and itself shifted by lag is computed:

y_i  for i = 0..period − 1
ACF(lag) = Σ ( (y_i − ȳ) · (y_{i + lag} − ȳ) ) / Σ ( y_i − ȳ )²

+1 means a perfectly repeating pattern at the given lag; −1 means a perfect alternation. Values near 0 mean the series at t and t − lag carry no linear relationship — a clean white-noise proxy. The classic application is detecting periodicity (a peak in |ACF(lag)| flags a cycle of that length) or testing whether returns are uncorrelated (a key efficient-markets diagnostic).

period must be strictly greater than lag so that at least two (y, y_lagged) pairs exist. A flat window has zero variance; the indicator returns 0 rather than dividing by zero.

Example

use wickra_core::{Autocorrelation, Indicator};

let mut indicator = Autocorrelation::new(20, 1).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update(f64::from(i));
}
assert!(last.is_some());

Implementations

impl Autocorrelation

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

Construct a new rolling lag-lag autocorrelation over period inputs.

Errors

Returns Error::InvalidPeriod if lag == 0 or lag >= period.

pub const fn period(&self) -> usize

Configured window period.

pub const fn lag(&self) -> usize

Configured lag.

Trait Implementations

impl Clone for Autocorrelation

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 Autocorrelation

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

Formats the value using the given formatter.

impl Indicator for Autocorrelation

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.

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.