Struct MartinRatio 

pub struct MartinRatio { /* private fields */ }

Martin Ratio — also called the Ulcer Performance Index (UPI) — over a trailing window of period returns.

equity_t = Π_{i<=t} (1 + return_i)               (compounded curve)
peak_t   = max_{s<=t} equity_s
dd_t%    = 100 · (peak_t − equity_t) / peak_t      (percentage drawdown)
UlcerIdx = sqrt( mean( dd_t%² ) )
Martin   = mean(returns) / UlcerIdx

The Martin Ratio divides the average per-period return by the Ulcer Index — the root-mean-square of the percentage drawdowns. The Ulcer Index, by construction, measures the depth and duration of the time spent under water: a long shallow slump and a short deep one can score the same. Compared to Wickra’s other drawdown ratios, Martin uses the RMS (not the average as in the SterlingRatio, nor the un-normalised sum-norm as in the BurkeRatio) and expresses drawdowns in percent, so its denominator is on a 0..100 scale and its output is numerically smaller than the fractional-drawdown ratios. A window that never draws down has an Ulcer Index of zero and the indicator reports 0.0.

The first value lands after period returns; each update rebuilds the equity curve over the window (O(period)), which is O(1) in the length of the overall series.

Example

use wickra_core::{Indicator, MartinRatio};

let mut indicator = MartinRatio::new(14).unwrap();
let mut last = None;
for i in 0..28 {
    last = indicator.update((f64::from(i) * 0.5).sin() * 0.05);
}
assert!(last.is_some());

Implementations

impl MartinRatio

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

Construct a Martin Ratio over period returns.

Errors

Returns Error::InvalidPeriod if period < 2.

pub const fn period(&self) -> usize

Configured window of returns.

Trait Implementations

impl Clone for MartinRatio

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 MartinRatio

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

Formats the value using the given formatter.

impl Indicator for MartinRatio

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.