Struct Sd2Model 

pub struct Sd2Model {
    pub horizon: usize,
    pub magnitude: Ridge,
    pub intensity_lo: f64,
    pub intensity_hi: f64,
    pub calibration: Vec<f64>,
    pub iv_proxy: [f64; 3],
    pub feature_names: Vec<String>,
    pub fitted_on: String,
    pub side: Option<Logistic>,
}

The frozen, fitted pieces SD v2 needs at run time. Produced by sd_backtest fit and embedded in the binary from sd2_model.json.

Fields

horizon: usize

Horizon, in bars, that magnitude was trained for.

magnitude: Ridge

Predicts |move| / (σ·√h) from MAGNITUDE_NAMES inputs.

intensity_lo: f64

Expected-move values (σ units) at the 10th and 90th percentile of the training data; intensity maps this range onto [0, 1].

intensity_hi: f64

calibration: Vec<f64>

Observed share of up moves by SD bucket (0.0-0.1, …, 0.9-1.0) on the training data. This is the honest probability to show a person.

iv_proxy: [f64; 3]

Implied-volatility proxy for symbols without a listed vol index: ln IV = a + b·ln RV20 + c·ln RV126 (annualized), fitted on SPY, QQQ, DIA, GLD and USO against their Cboe indices.

feature_names: Vec<String>

fitted_on: String

side: Option<Logistic>

Which side of 0.5 SD sits on: P(close higher in horizon bars) from the market’s weather (SPY trend, momentum, vol ratio, 5- and 21-bar return; see direction.rs). Written by sd_direction --ship.

Implementations

impl Sd2Model

pub fn embedded() -> Self

The model shipped with this crate.

pub fn intensity(&self, expected_sigma: f64) -> f64

pub fn p_up(&self, weather: Option<&[f64]>) -> f64

P(up) from market weather; without weather, the average day’s answer.

pub fn calibrated_up(&self, sd: f64) -> f64

pub fn iv_proxy(&self, vol20_daily: f64, vol126_daily: f64) -> f64

Implied-volatility proxy (annualized) from daily realized vols.

Trait Implementations

impl Clone for Sd2Model

fn clone(&self) -> Sd2Model

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Sd2Model

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for Sd2Model

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for Sd2Model

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.