Class OmegaRatioRTIndicator

java.lang.Object
com.wualabs.qtsurfer.engine.indicators.core.AbstractRTIndicator
com.wualabs.qtsurfer.engine.indicators.statistics.pro.ratios.OmegaRatioRTIndicator
All Implemented Interfaces:
Resettable, RTIndicator
public class OmegaRatioRTIndicator extends AbstractRTIndicator
Rolling Omega Ratio with O(1) per-tick updates.

The Omega Ratio is a probability-weighted ratio of gains versus losses relative to a threshold (default 0). Unlike the Sharpe Ratio, it captures the entire return distribution, not just the first two moments. 

  Omega = sumGains / sumLosses
where:
  • sumGains = Σ max(r_i - threshold, 0)
  • sumLosses = Σ max(threshold - r_i, 0)

Maintains two parallel WindowSeriesStore instances storing gain and loss contributions with separate accumulators (sumGains, sumLosses). The first tick establishes the initial price.

Returns 0 when there are no losses. An Omega > 1 indicates more probability-weighted gains than losses.

  • Constructor Details

    • OmegaRatioRTIndicator

      public OmegaRatioRTIndicator(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

    • withThreshold

      public OmegaRatioRTIndicator withThreshold(double threshold)
      Sets the threshold for gain/loss classification. Default is 0.

      Returns above this threshold count as gains; below as losses.

    • getSumGains

      public double getSumGains()
      Returns the sum of gains above the threshold in the current window.

    • getSumLosses

      public double getSumLosses()
      Returns the sum of losses below the threshold in 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