Class CalmarRatioRTIndicator

java.lang.Object

com.wualabs.qtsurfer.engine.indicators.core.AbstractRTIndicator

com.wualabs.qtsurfer.engine.indicators.statistics.pro.ratios.CalmarRatioRTIndicator

All Implemented Interfaces:

Resettable, RTIndicator

public class CalmarRatioRTIndicator
extends AbstractRTIndicator

Rolling Calmar Ratio with O(1) per-tick updates.

Measures the risk-adjusted return relative to the maximum drawdown over the rolling window:

  Calmar = annualizedReturn / maxDrawdown

The annualized return is computed from the cumulative log return over the window: (sumR / n) * annualizationFactor. The max drawdown is tracked by maintaining a running peak over cumulative returns within the window.

Since max drawdown within a rolling window cannot be maintained incrementally (evicting the oldest value may remove the peak), this indicator stores log returns in a WindowSeriesStore and recomputes the window max drawdown in O(n) when the window rolls.

Returns 0 when max drawdown is zero (no decline in window).

Constructor Summary

Constructors

Constructor	Description
CalmarRatioRTIndicator(int periods)

Method Summary

Modifier and Type	Method	Description
double	getAnnualizedReturn()	Returns the annualized return over the current window.
double	getMaxDrawdown()	Returns the max drawdown within the current window.
int	getPeriods()
boolean	isReady()	Returns whether this indicator has received enough data to produce meaningful values.
void	reset()
double	update(double price)
CalmarRatioRTIndicator	withAnnualizationFactor(double factor)	Sets the annualization factor for the return component.

Methods inherited from class AbstractRTIndicator

equals, getDisplayHint, getMeta, getValue, hashCode, hide, isPoison, setValue, toString, toString, withDisplayHint, withMeta

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface RTIndicator

getId, isHidden, ro, update, update

Constructor Details

CalmarRatioRTIndicator

public CalmarRatioRTIndicator(int periods)

Method Details

getPeriods

public int getPeriods()

isReady

public boolean isReady()

Description copied from interface: RTIndicator

Returns whether this indicator has received enough data to produce meaningful values.

During the warmup period, RTIndicator.getValue() may return 0 or a partial estimate that should not be used for trading decisions. Once this method returns true, the indicator's output is statistically valid.

The default implementation returns true for backward compatibility. Indicators with warmup requirements should override this method.

For composite indicators (e.g. Bollinger Bands, MACD), readiness is determined by the slowest internal component.

Returns:

true if the indicator has completed its warmup period

withAnnualizationFactor

public CalmarRatioRTIndicator withAnnualizationFactor(double factor)

Sets the annualization factor for the return component. Default is 252 (daily bars → annual return).

The mean per-period return is multiplied by this factor.

getAnnualizedReturn

public double getAnnualizedReturn()

Returns the annualized return over the current window.

getMaxDrawdown

public double getMaxDrawdown()

Returns the max drawdown within the current window.

reset

public void reset()

Specified by:

reset in interface Resettable

Overrides:

reset in class AbstractRTIndicator

update

public double update(double price)

Specified by:

update in interface RTIndicator

Overrides:

update in class AbstractRTIndicator