Struct KellyCriterion 

pub struct KellyCriterion { /* private fields */ }

Rolling Kelly Criterion fraction.

Input is treated as a per-period (or per-trade) return. Over the trailing window the indicator estimates the optimal capital fraction to allocate using the even-money Kelly formula generalised by the payoff ratio:

win_rate     = P(r > 0)                          over window
avg_win      = mean(r for r > 0)
avg_loss     = mean(−r for r < 0)
payoff_ratio = avg_win / avg_loss
Kelly        = win_rate − (1 − win_rate) / payoff_ratio

The output is the recommended fraction of capital to bet (typically (0, 1); can go negative if the estimated edge is negative, in which case the position should be reversed or sized to zero). Most practitioners use a “half-Kelly” or “quarter-Kelly” multiplier in practice to reduce variance — Wickra reports raw Kelly and leaves the scaling to the caller.

Edge cases:

• No winners and no losers ⇒ 0.0 (no information).
• No losers (payoff_ratio = ∞) ⇒ Kelly collapses to the win rate.
• No winners but losers present ⇒ Kelly = −(1 − 0) / payoff = …, which is negative — bet nothing (or short).

Each update is O(period).

Implementations

impl KellyCriterion

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

Construct a new rolling Kelly Criterion.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured window length.

Trait Implementations

impl Clone for KellyCriterion

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 KellyCriterion

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

Formats the value using the given formatter.

impl Indicator for KellyCriterion

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.