Struct AdaptiveLaguerreFilter 

pub struct AdaptiveLaguerreFilter { /* private fields */ }

John Ehlers’ Adaptive Laguerre Filter — a four-stage Laguerre polynomial smoother whose damping factor gamma is recomputed every bar from how well the filter is currently tracking price.

The Laguerre cascade is the same one used by LaguerreRsi, but instead of a fixed gamma the filter adapts: it measures the recent absolute error |price − filter|, normalises those errors across a window of period bars to [0, 1], and takes their median as gamma. When price is tracking smoothly the errors are small and uniform (low gamma, fast response); when price jumps, the spread of errors widens and gamma rises, slowing the filter to reject the noise.

diff_t  = |price_t − filter_{t-1}|
over the last `period` diffs:
  HH = max(diff),  LL = min(diff)
  norm_i = (diff_i − LL) / (HH − LL)      (0 if HH == LL)
  gamma  = median(norm)
alpha   = 1 − gamma
L0_t = alpha·price_t + gamma·L0_{t-1}
L1_t = −gamma·L0_t + L0_{t-1} + gamma·L1_{t-1}
L2_t = −gamma·L1_t + L1_{t-1} + gamma·L2_{t-1}
L3_t = −gamma·L2_t + L2_{t-1} + gamma·L3_{t-1}
filter_t = (L0_t + 2·L1_t + 2·L2_t + L3_t) / 6

The output is a smoothed price on the same scale as the input. The first emission lands once the error window holds period values.

Reference: John F. Ehlers, “Adaptive Laguerre Filter”, Technical Analysis of Stocks & Commodities, 2007.

Example

use wickra_core::{Indicator, AdaptiveLaguerreFilter};

let mut indicator = AdaptiveLaguerreFilter::new(13).unwrap();
let mut last = None;
for i in 0..80 {
    last = indicator.update(100.0 + f64::from(i));
}
assert!(last.is_some());

Implementations

impl AdaptiveLaguerreFilter

pub fn new(period: usize) -> Result<AdaptiveLaguerreFilter, Error>

Construct a new adaptive Laguerre filter with the given error-window length.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured error-window length.

pub fn value(&self) -> Option<f64>

Current value if the error window is full.

Trait Implementations

impl Clone for AdaptiveLaguerreFilter

fn clone(&self) -> AdaptiveLaguerreFilter

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for AdaptiveLaguerreFilter

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

Formats the value using the given formatter.

impl Indicator for AdaptiveLaguerreFilter

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, price: f64) -> Option<f64>

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.