Struct CommonSenseRatio 

pub struct CommonSenseRatio { /* private fields */ }

Common Sense Ratio over a trailing window of period returns.

ProfitFactor = Σ gains / Σ |losses|              over the window
TailRatio    = P95(returns) / |P5(returns)|      over the window
CSR          = ProfitFactor · TailRatio

The Common Sense Ratio fuses two views of a return series into one number. The profit factor captures the body of the distribution — how much you make per unit you lose on the average bar. The TailRatio captures the extremes — whether the largest gains outweigh the largest losses. Multiplying them produces a ratio that is only comfortably above 1.0 when a strategy wins on both fronts: a respectable profit factor can still hide catastrophic left-tail risk, and a fat right tail means little if the body bleeds. Above 1.0 the strategy is sound on a common-sense basis; below 1.0 something — body or tail — is working against it.

Percentiles use linear interpolation over the sorted window. A window with no losses (zero profit-factor denominator) or no left tail (zero P5) reports 0.0 rather than dividing by zero.

The first value lands after period returns; each update re-sorts the window (O(period log period)), which is O(1) in the length of the overall series.

Example

use wickra_core::{Indicator, CommonSenseRatio};

let mut indicator = CommonSenseRatio::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update((f64::from(i) * 0.3).sin() * 0.02);
}
assert!(last.is_some());

Implementations

impl CommonSenseRatio

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

Construct a Common Sense Ratio over period returns.

Errors

Returns Error::InvalidPeriod if period < 2 (percentiles need at least two observations).

pub const fn period(&self) -> usize

Configured window of returns.

Trait Implementations

impl Clone for CommonSenseRatio

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 CommonSenseRatio

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

Formats the value using the given formatter.

impl Indicator for CommonSenseRatio

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, ret: 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.