Struct OmegaRatio 

pub struct OmegaRatio { /* private fields */ }

Rolling Omega Ratio.

Over the trailing window of period returns and a target threshold:

gains  = Σ max(0, r − threshold)
losses = Σ max(0, threshold − r)
Omega  = gains / losses

Omega expresses how many units of “above-threshold” return the strategy produces per unit of “below-threshold” shortfall. By construction Omega ≥ 0. The Sharpe Ratio collapses risk into a single second-moment number; Omega keeps the full shape of the loss tail.

Unbounded output

A window where every return clears the threshold has zero shortfall, and the indicator returns f64::INFINITY, in keeping with the standard definition. This is not an edge case to be discovered in production: any period-bar window that stays above the threshold produces it. The value is correct – the ratio really is unbounded – but it propagates, and inf - inf is NaN, so a caller feeding this into further arithmetic should test for it. f64::is_finite is the guard.

The threshold decides what “flat” means here, and the two ends differ: with threshold = 0.0 a window of zero returns has neither gains nor shortfall, which is break-even and yields 1.0, while with a negative threshold every zero return clears it, so the same flat window yields f64::INFINITY.

Each update is O(period) because the partial sums are recomputed across the window — adequate for typical backtest windows (period ≤ 252).

Example

use wickra_core::{Indicator, OmegaRatio};

let mut o = OmegaRatio::new(20, 0.0).unwrap();
let mut last = None;
for i in 0..40 {
    last = o.update((f64::from(i) * 0.2).sin() * 0.01);
}
assert!(last.is_some());

Implementations

impl OmegaRatio

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

Construct a new rolling Omega Ratio.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured window length.

pub const fn threshold(&self) -> f64

Configured threshold (per-period).

Trait Implementations

impl Clone for OmegaRatio

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 OmegaRatio

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

Formats the value using the given formatter.

impl Indicator for OmegaRatio

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.