Struct RunningDrawdown 

pub struct RunningDrawdown { /* private fields */ }

Since-inception maximum drawdown, with the current drawdown and running peak.

The input is treated as an equity-curve sample (or any non-negative value series). Unlike MaxDrawdown, which looks at a trailing period-bar window, this indicator never forgets: it folds every value since construction (or the last reset) into three numbers and keeps them in O(1) memory:

peak_t        = max(input over [0..=t])
current_t     = (peak_t − input_t) / peak_t     (0 while peak_t ≤ 0)
max_t         = max(current over [0..=t])

update returns the maximum drawdown so far as a non-negative fraction (0.20 = 20 % drop from peak), the same convention as MaxDrawdown. A monotonically rising equity curve has a maximum drawdown of 0. The result equals MaxDrawdown with a period at least as long as the stream.

There are no parameters and no warmup: a value is emitted from the first finite input on, and each update is O(1).

Example

use wickra_core::{Indicator, RunningDrawdown};

let mut dd = RunningDrawdown::new();
assert_eq!(dd.update(100.0), Some(0.0));
// Equity peaks at 110 then drops to 88 — a 20% drawdown.
assert_eq!(dd.update(110.0), Some(0.0));
assert!((dd.update(88.0).unwrap() - 0.20).abs() < 1e-9);
// Recovering shrinks the current drawdown but not the maximum.
dd.update(99.0);
assert!((dd.max_drawdown().unwrap() - 0.20).abs() < 1e-9);
assert!((dd.current_drawdown().unwrap() - 0.10).abs() < 1e-9);
assert_eq!(dd.peak(), Some(110.0));

Implementations

impl RunningDrawdown

pub const fn new() -> Self

Construct a new Running Drawdown.

pub const fn max_drawdown(&self) -> Option<f64>

Maximum drawdown since the first value, as a non-negative fraction.

pub const fn current_drawdown(&self) -> Option<f64>

Drawdown of the latest value from the running peak, as a non-negative fraction (0 at a new peak).

pub const fn peak(&self) -> Option<f64>

Highest value seen since the first value.

Trait Implementations

impl Clone for RunningDrawdown

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 RunningDrawdown

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

Formats the value using the given formatter.

impl Default for RunningDrawdown

fn default() -> Self

Returns the “default value” for a type.

impl Indicator for RunningDrawdown

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.