nautilus_analysis/statistics/
sharpe_ratio.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Posei Systems Pty Ltd. All rights reserved.
3//  https://poseitrader.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use crate::{Returns, statistic::PortfolioStatistic};
17
18/// Calculates the Sharpe ratio for portfolio returns.
19///
20/// The Sharpe ratio measures risk-adjusted return and is calculated as:
21/// (Mean Return - Risk-free Rate) / Standard Deviation of Returns
22///
23/// This implementation assumes a risk-free rate of 0 and annualizes the ratio
24/// using the square root of the specified period.
25#[repr(C)]
26#[derive(Debug)]
27#[cfg_attr(
28    feature = "python",
29    pyo3::pyclass(module = "posei_trader.core.nautilus_pyo3.analysis")
30)]
31pub struct SharpeRatio {
32    /// The annualization period (default: 252 for daily data).
33    period: usize,
34}
35
36impl SharpeRatio {
37    /// Creates a new [`SharpeRatio`] instance.
38    #[must_use]
39    pub fn new(period: Option<usize>) -> Self {
40        Self {
41            period: period.unwrap_or(252),
42        }
43    }
44}
45
46impl PortfolioStatistic for SharpeRatio {
47    type Item = f64;
48
49    fn name(&self) -> String {
50        stringify!(SharpeRatio).to_string()
51    }
52
53    fn calculate_from_returns(&self, raw_returns: &Returns) -> Option<Self::Item> {
54        if !self.check_valid_returns(raw_returns) {
55            return Some(f64::NAN);
56        }
57
58        let returns = self.downsample_to_daily_bins(raw_returns);
59        let mean = returns.values().sum::<f64>() / returns.len() as f64;
60        let std = self.calculate_std(&returns);
61
62        if std < f64::EPSILON {
63            return Some(f64::NAN);
64        }
65
66        let annualized_ratio = (mean / std) * (self.period as f64).sqrt();
67
68        Some(annualized_ratio)
69    }
70}
71
72#[cfg(test)]
73mod tests {
74    use std::collections::BTreeMap;
75
76    use nautilus_core::UnixNanos;
77    use rstest::rstest;
78
79    use super::*;
80
81    fn create_returns(values: Vec<f64>) -> BTreeMap<UnixNanos, f64> {
82        let mut new_return = BTreeMap::new();
83        let one_day_in_nanos = 86_400_000_000_000;
84        let start_time = 1_600_000_000_000_000_000;
85
86        for (i, &value) in values.iter().enumerate() {
87            let timestamp = start_time + i as u64 * one_day_in_nanos;
88            new_return.insert(UnixNanos::from(timestamp), value);
89        }
90
91        new_return
92    }
93
94    #[rstest]
95    fn test_empty_returns() {
96        let ratio = SharpeRatio::new(None);
97        let returns = create_returns(vec![]);
98        let result = ratio.calculate_from_returns(&returns);
99        assert!(result.is_some());
100        assert!(result.unwrap().is_nan());
101    }
102
103    #[rstest]
104    fn test_zero_std_dev() {
105        let ratio = SharpeRatio::new(None);
106        let returns = create_returns(vec![0.01; 10]);
107        let result = ratio.calculate_from_returns(&returns);
108        assert!(result.is_some());
109        assert!(result.unwrap().is_nan());
110    }
111
112    #[rstest]
113    fn test_valid_sharpe_ratio() {
114        let ratio = SharpeRatio::new(Some(252));
115        let returns = create_returns(vec![0.01, -0.02, 0.015, -0.005, 0.025]);
116        let result = ratio.calculate_from_returns(&returns);
117        assert!(result.is_some());
118        assert_eq!(result.unwrap(), 4.48998886412873);
119    }
120
121    #[rstest]
122    fn test_name() {
123        let ratio = SharpeRatio::new(None);
124        assert_eq!(ratio.name(), "SharpeRatio");
125    }
126}
nautilus_analysis/statistics/sharpe_ratio.rs

nautilus_analysis/statistics/
sharpe_ratio.rs
