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FeatureFrame

portfolio_analyzer::sd2::features

Struct FeatureFrame

pub struct FeatureFrame {Show 18 fields
    pub n: usize,
    pub close: Vec<f64>,
    pub atr: Vec<f64>,
    pub vol20: Vec<f64>,
    pub vol_robust: Vec<f64>,
    pub vol126: Vec<f64>,
    pub q21: Vec<f64>,
    pub q10: Vec<f64>,
    pub comp: Vec<u8>,
    pub clock: ClockSeries,
    pub energy: Vec<f64>,
    pub width_pct: Vec<f64>,
    pub mom: Vec<[f64; 8]>,
    pub blend: Vec<f64>,
    pub agree: Vec<f64>,
    pub decay: Vec<f64>,
    pub stretch: Vec<f64>,
    pub semi: Vec<f64>,
}

Expand description

All measurements for one symbol, one entry per bar.

Fields§

§n: usize§close: Vec<f64>§atr: Vec<f64>§vol20: Vec<f64>

Daily volatility of log returns (20-bar), used to put moves in σ units.

§vol_robust: Vec<f64>

Noise-robust daily volatility: variance of overlapping 5-bar returns over 60 bars, ÷ 5. A bad print adds the same error to a 1-bar and a 5-bar return, but the 5-bar return carries 5× the real variance, so the noise share drops ~5×.

§vol126: Vec<f64>

Six-month volatility: the level short-term volatility drifts back to.

§q21: Vec<f64>§q10: Vec<f64>§comp: Vec<u8>§clock: ClockSeries§energy: Vec<f64>

Integrated squeeze depth over the current lifecycle (held after firing).

§width_pct: Vec<f64>

0..1 percentile of 21-bar bandwidth within the last 252 bars (low = coiled).

§mom: Vec<[f64; 8]>

Momentum panel, squashed, [bar][component].

§blend: Vec<f64>§agree: Vec<f64>§decay: Vec<f64>

Time-decay strength of the current fire, 0..1.

§stretch: Vec<f64>§semi: Vec<f64>

Implementations§

impl FeatureFrame

pub const WARMUP: usize = 260

Bars before this index have unreliable warm-up values.

pub fn compute(bars: &[OHLCV], cfg: FeatureConfig) -> Self

pub fn fire_alive(&self, i: usize) -> bool

Is a fired squeeze still alive on bar i?

pub fn row(&self, i: usize) -> Vec<f64>

The model input row for bar i, in FEATURE_NAMES order.

pub fn row_is_valid(&self, i: usize) -> bool

Auto Trait Implementations§

impl Freeze for FeatureFrame

impl RefUnwindSafe for FeatureFrame

impl Send for FeatureFrame

impl Sync for FeatureFrame

impl Unpin for FeatureFrame

impl UnsafeUnpin for FeatureFrame

impl UnwindSafe for FeatureFrame

Blanket Implementations§

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where T: 'static + ?Sized,

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Returns the argument unchanged.

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