Struct SharpeRatio

#[repr(C)]
pub struct SharpeRatio { /* private fields */ }

Calculates the Sharpe ratio for portfolio returns.

The Sharpe ratio measures risk-adjusted return and is calculated as: (Mean Return - Risk-free Rate) / Standard Deviation of Returns

This implementation assumes a risk-free rate of 0 and annualizes the ratio using the square root of the specified period.

Implementations

impl SharpeRatio

pub fn new(period: Option<usize>) -> Self

Creates a new SharpeRatio instance.

Trait Implementations

impl Debug for SharpeRatio

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

Formats the value using the given formatter.

impl<'py> IntoPyObject<'py> for SharpeRatio

type Target = SharpeRatio

The Python output type

type Output = Bound<'py, <SharpeRatio as IntoPyObject<'py>>::Target>

The smart pointer type to use.

type Error = PyErr

The type returned in the event of a conversion error.

fn into_pyobject( self, py: Python<'py>, ) -> Result<<Self as IntoPyObject<'_>>::Output, <Self as IntoPyObject<'_>>::Error>

Performs the conversion.

impl PortfolioStatistic for SharpeRatio

type Item = f64

fn name(&self) -> String

Returns the name of this statistic for display and identification purposes.

fn calculate_from_returns(&self, raw_returns: &Returns) -> Option<Self::Item>

Calculates the statistic from time-indexed returns data.

fn calculate_from_realized_pnls( &self, realized_pnls: &[f64], ) -> Option<Self::Item>

Calculates the statistic from realized profit and loss values.

fn calculate_from_orders( &self, orders: Vec<Box<dyn Order>>, ) -> Option<Self::Item>

Calculates the statistic from order data.

fn calculate_from_positions(&self, positions: &[Position]) -> Option<Self::Item>

Calculates the statistic from position data.

fn check_valid_returns(&self, returns: &Returns) -> bool

Validates that returns data is not empty.

fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns

Downsamples high-frequency returns to daily bins for daily statistics calculation.

fn calculate_std(&self, returns: &Returns) -> f64

Calculates the standard deviation of returns with Bessel’s correction.

impl PyClass for SharpeRatio

type Frozen = False

Whether the pyclass is frozen.

impl PyClassImpl for SharpeRatio

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

const IS_IMMUTABLE_TYPE: bool = false

#[pyclass(immutable_type)]

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<SharpeRatio>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::MutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn doc(py: Python<'_>) -> PyResult<&'static CStr>

Rendered class doc

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<isize>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature<SharpeRatio> for PyClassImplCollector<SharpeRatio>

fn new_text_signature(self) -> Option<&'static str>

impl<'a, 'py> PyFunctionArgument<'a, 'py, false> for &'a SharpeRatio

type Holder = Option<PyRef<'py, SharpeRatio>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl<'a, 'py> PyFunctionArgument<'a, 'py, false> for &'a mut SharpeRatio

type Holder = Option<PyRefMut<'py, SharpeRatio>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl PyMethods<SharpeRatio> for PyClassImplCollector<SharpeRatio>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for SharpeRatio

const NAME: &'static str = "SharpeRatio"

Class name.

const MODULE: Option<&'static str>

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.

impl DerefToPyAny for SharpeRatio