Struct M2Measure 

pub struct M2Measure { /* private fields */ }

M² (Modigliani–Modigliani) measure over a trailing window of period returns.

Sharpe = (mean(returns) − risk_free) / stddev(returns)
M²     = risk_free + Sharpe · benchmark_stddev

The SharpeRatio is dimensionless, which makes it hard to communicate: “0.8” means little to a client. M² rescales the Sharpe ratio back into return units by levering (or de-levering) the portfolio to the benchmark’s volatility. The result answers a concrete question: “if this strategy had run at the market’s risk level, what return would it have produced?” Two portfolios can then be ranked on the same risk-adjusted scale, and M² preserves the Sharpe ordering while being quoted as a percentage.

stddev is the sample standard deviation (Bessel’s n − 1). risk_free is the per-period risk-free rate and benchmark_stddev the per-period volatility of the benchmark, both supplied by the caller at the return frequency. A flat window has zero volatility and the Sharpe ratio is undefined; the indicator returns 0.0 in that case rather than producing NaN.

Each update is O(1) — running sums maintain Σr and Σr² as the window slides.

Example

use wickra_core::{Indicator, M2Measure};

let mut indicator = M2Measure::new(20, 0.0, 0.02).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update(0.001 + (f64::from(i) * 0.1).sin() * 0.01);
}
assert!(last.is_some());

Implementations

impl M2Measure

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

Construct an M² measure over period returns with the given per-period risk-free rate and benchmark standard deviation.

Errors

Returns Error::InvalidPeriod if period < 2, or Error::InvalidParameter if risk_free is not finite or benchmark_stddev is negative or not finite.

pub const fn period(&self) -> usize

Configured window of returns.

pub const fn risk_free(&self) -> f64

Configured per-period risk-free rate.

pub const fn benchmark_stddev(&self) -> f64

Configured per-period benchmark standard deviation.

Trait Implementations

impl Clone for M2Measure

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 M2Measure

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

Formats the value using the given formatter.

impl Indicator for M2Measure

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.