Struct SpreadBollingerBands 

pub struct SpreadBollingerBands { /* private fields */ }

Bollinger bands on the spread a − b of two series.

Each update takes one (a, b) price pair and forms the spread sₜ = aₜ − bₜ. Over the trailing window of period spreads it builds a classic Bollinger envelope:

middle = mean(s)        σ = stddev(s)
upper  = middle + num_std · σ
lower  = middle − num_std · σ
%b     = (s_now − lower) / (upper − lower)

Applied to a spread rather than a price, the bands are a ready-made pairs mean-reversion signal: the spread riding the upper band is stretched rich (a short-the-spread setup), the lower band stretched cheap, and a return to the middle is the exit. %b compresses the location into one number for thresholding. The spread is the raw difference a − b, so feed already-comparable legs (e.g. a hedged pair, two yields, or log prices); pair this with crate::BetaNeutralSpread when the legs need a hedge ratio first.

A flat spread yields a zero-width band; %b is then reported as the neutral 0.5. Each update is O(1): the mean and variance come from two running sums maintained as the window slides.

Example

use wickra_core::{Indicator, SpreadBollingerBands};

let mut bb = SpreadBollingerBands::new(20, 2.0).unwrap();
let mut last = None;
for t in 0..60 {
    let b = 100.0 + f64::from(t);
    let a = b + 2.0 * (f64::from(t) * 0.5).sin();
    last = bb.update((a, b));
}
let out = last.unwrap();
assert!(out.lower <= out.middle && out.middle <= out.upper);

Implementations

impl SpreadBollingerBands

pub fn new(period: usize, num_std: f64) -> Result<SpreadBollingerBands, Error>

Construct new spread Bollinger bands.

period is the look-back window; num_std is the band width in standard deviations.

Errors

Returns Error::InvalidPeriod if period < 2, or Error::InvalidParameter if num_std is not strictly positive (and finite).

pub const fn period(&self) -> usize

Configured look-back window.

pub const fn num_std(&self) -> f64

Configured band width in standard deviations.

Trait Implementations

impl Clone for SpreadBollingerBands

fn clone(&self) -> SpreadBollingerBands

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for SpreadBollingerBands

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

Formats the value using the given formatter.

impl Indicator for SpreadBollingerBands

type Input = (f64, f64)

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = SpreadBollingerBandsOutput

Type of one output value.

fn update(&mut self, input: (f64, f64)) -> Option<SpreadBollingerBandsOutput>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

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.