pub trait PortfolioStatistic: Debug {
type Item;
// Required method
fn name(&self) -> String;
// Provided methods
fn calculate_from_returns(&self, returns: &Returns) -> Option<Self::Item> { ... }
fn calculate_from_realized_pnls(
&self,
realized_pnls: &[f64],
) -> Option<Self::Item> { ... }
fn calculate_from_orders(
&self,
orders: Vec<Box<dyn Order>>,
) -> Option<Self::Item> { ... }
fn calculate_from_positions(
&self,
positions: &[Position],
) -> Option<Self::Item> { ... }
fn check_valid_returns(&self, returns: &Returns) -> bool { ... }
fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns { ... }
fn calculate_std(&self, returns: &Returns) -> f64 { ... }
}Expand description
Trait for portfolio performance statistics that can be calculated from different data sources.
This trait provides a flexible framework for implementing various financial performance metrics that can operate on returns, realized PnLs, orders, or positions data. Each statistic implementation should override the relevant calculation methods.
Required Associated Types§
Required Methods§
Provided Methods§
Sourcefn calculate_from_returns(&self, returns: &Returns) -> Option<Self::Item>
fn calculate_from_returns(&self, returns: &Returns) -> Option<Self::Item>
Calculates the statistic from time-indexed returns data.
§Panics
Panics if this method is not implemented for the specific statistic.
Sourcefn calculate_from_realized_pnls(
&self,
realized_pnls: &[f64],
) -> Option<Self::Item>
fn calculate_from_realized_pnls( &self, realized_pnls: &[f64], ) -> Option<Self::Item>
Calculates the statistic from realized profit and loss values.
§Panics
Panics if this method is not implemented for the specific statistic.
Sourcefn calculate_from_orders(
&self,
orders: Vec<Box<dyn Order>>,
) -> Option<Self::Item>
fn calculate_from_orders( &self, orders: Vec<Box<dyn Order>>, ) -> Option<Self::Item>
Calculates the statistic from order data.
§Panics
Panics if this method is not implemented for the specific statistic.
Sourcefn calculate_from_positions(&self, positions: &[Position]) -> Option<Self::Item>
fn calculate_from_positions(&self, positions: &[Position]) -> Option<Self::Item>
Calculates the statistic from position data.
§Panics
Panics if this method is not implemented for the specific statistic.
Sourcefn check_valid_returns(&self, returns: &Returns) -> bool
fn check_valid_returns(&self, returns: &Returns) -> bool
Validates that returns data is not empty.
Sourcefn downsample_to_daily_bins(&self, returns: &Returns) -> Returns
fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns
Downsamples high-frequency returns to daily bins for daily statistics calculation.
Sourcefn calculate_std(&self, returns: &Returns) -> f64
fn calculate_std(&self, returns: &Returns) -> f64
Calculates the standard deviation of returns with Bessel’s correction.