Struct JumpIndicator 

pub struct JumpIndicator { /* private fields */ }

Jump Indicator — a discrete {−1, 0, +1} flag for whether the current log return is an outlier relative to the trailing volatility of returns.

rₜ   = ln(priceₜ / priceₜ₋₁)
μ, σ = sample mean and stddev of the `period` returns *before* rₜ (trailing)
flag = +1 if rₜ − μ >  threshold · σ
       −1 if rₜ − μ < −threshold · σ
        0 otherwise

The baseline is the trailing return distribution and excludes the current return, so a genuine jump cannot inflate the band it is tested against. Measuring the deviation from the trailing mean μ (not the raw return) means a steady drift is not flagged — only moves that are large relative to the recent return distribution count. +1 marks an up jump, −1 a down jump, and 0 an ordinary move. When the trailing window has zero dispersion (σ = 0, e.g. a perfectly constant drift) there is no defined baseline and the indicator returns 0 rather than flagging every move.

This is the generic, threshold-tunable detector; downstream models keep any regime-specific sensitivity by choosing threshold. Non-finite and non-positive prices are ignored (the log return is undefined): the tick is dropped and the last value returned.

Example

use wickra_core::{Indicator, JumpIndicator};

let mut indicator = JumpIndicator::new(20, 3.0).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update(100.0 + (f64::from(i) * 0.5).sin());
}
// A calm sinusoid produces no jumps.
assert_eq!(last, Some(0.0));

Implementations

impl JumpIndicator

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

Construct a new Jump Indicator.

threshold is the number of trailing standard deviations a return must exceed to be flagged.

Errors

Returns Error::InvalidPeriod if period < 2 (the sample standard deviation needs at least two returns), or Error::InvalidParameter if threshold is not finite and positive.

pub const fn params(&self) -> (usize, f64)

Configured (period, threshold).

Trait Implementations

impl Clone for JumpIndicator

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 JumpIndicator

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

Formats the value using the given formatter.

impl Indicator for JumpIndicator

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.