Struct SpreadHurst 

pub struct SpreadHurst { /* private fields */ }

Hurst exponent of the spread a − b over a rolling window.

Each update takes one (a, b) price pair and forms the spread sₜ = aₜ − bₜ. Over the trailing window of period spreads the indicator estimates the Hurst exponent H from how the variance of τ-lagged differences grows with the lag τ:

V(τ) = mean_t (s_{t+τ} − s_t)²   ∝   τ^(2H)
H    = slope of log V(τ) on log τ, divided by two

H classifies the spread’s regime:

• H < 0.5 — mean-reverting (anti-persistent): the spread snaps back, the regime pairs traders want.
• H ≈ 0.5 — a random walk: no exploitable structure.
• H > 0.5 — trending (persistent): the spread keeps diverging.

The fit uses lags 1..=period/4 (at least two). When the spread is flat — every lagged difference is zero, so the log-regression has fewer than two usable points — the indicator returns the neutral 0.5. The output is clamped to [0, 1].

Each update is O(period · period/4), bounded by the fixed window.

Example

use wickra_core::{Indicator, SpreadHurst};

let mut h = SpreadHurst::new(60).unwrap();
let mut last = None;
for t in 0..200 {
    let b = 100.0 + f64::from(t);
    // A tight oscillating spread is anti-persistent ⇒ H < 0.5.
    let a = b + 3.0 * (f64::from(t) * 0.8).sin();
    last = h.update((a, b));
}
assert!(last.unwrap() < 0.5);

Implementations

impl SpreadHurst

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

Construct a new spread Hurst estimator.

Errors

Returns Error::InvalidPeriod if period < 8 — fewer than eight spreads cannot support a two-lag log–log regression.

pub const fn period(&self) -> usize

Configured look-back window of spreads.

Trait Implementations

impl Clone for SpreadHurst

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 SpreadHurst

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

Formats the value using the given formatter.

impl Indicator for SpreadHurst

type Input = (f64, 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, 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.