Struct CalmarRatio 

pub struct CalmarRatio { /* private fields */ }

Rolling Calmar Ratio.

Input is treated as a single period return. Over the trailing window of period returns the indicator reconstructs the implied equity curve (cumulative-compounded), measures the worst peak-to-trough drawdown, and divides the mean return by that drawdown:

equity_t = ∏(1 + r_i) for i in window up to t
mdd      = max peak-to-trough decline of equity over window
Calmar   = mean(returns) / mdd

If the drawdown is zero (monotonically non-decreasing equity in the window) the indicator returns 0.0 rather than NaN / Inf.

The equity curve is recomputed inside the window each update, which keeps each call O(period) — acceptable for typical backtest windows (period ≤ 252).

Example

use wickra_core::{CalmarRatio, Indicator};

let mut cr = CalmarRatio::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    last = cr.update(0.001 + (f64::from(i) * 0.1).sin() * 0.005);
}
assert!(last.is_some());

Implementations

impl CalmarRatio

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

Construct a new rolling Calmar Ratio.

Errors

Returns Error::InvalidPeriod if period < 2.

pub const fn period(&self) -> usize

Configured window length.

Trait Implementations

impl Clone for CalmarRatio

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 CalmarRatio

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

Formats the value using the given formatter.

impl Indicator for CalmarRatio

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.

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.