Struct MedianAbsoluteDeviation 

pub struct MedianAbsoluteDeviation { /* private fields */ }

Median Absolute Deviation of the last period values.

med   = median(window)
MAD   = median( |x_i − med|  for x_i in window )

MAD is the median analogue of the standard deviation: it is a robust dispersion measure that ignores extreme outliers (a single huge spike barely moves the result) and is widely used as a sturdier alternative to StdDev for risk reporting on heavy-tailed return distributions. Multiplying MAD by 1.4826 produces a consistent estimator of the underlying Gaussian standard deviation (the “robust σ”); Wickra returns the raw MAD so the caller chooses whether to scale.

Each update is O(period log period): the window is kept as a deque and copied into a small scratch buffer that is sorted twice (once to pick the median, once to pick the median of absolute deviations). The rolling structure makes the constant factor low; for the typical period range (10–100) this is dwarfed by the streaming overhead.

Example

use wickra_core::{Indicator, MedianAbsoluteDeviation};

let mut indicator = MedianAbsoluteDeviation::new(20).unwrap();
let mut last = None;
for i in 0..40 {
    last = indicator.update(100.0 + f64::from(i));
}
assert!(last.is_some());

Implementations

impl MedianAbsoluteDeviation

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

Construct a new rolling MAD with the given period.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured period.

Trait Implementations

impl Clone for MedianAbsoluteDeviation

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 MedianAbsoluteDeviation

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

Formats the value using the given formatter.

impl Indicator for MedianAbsoluteDeviation

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, value: 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.