nautilus_analysis/statistics/
winner_avg.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::statistic::PortfolioStatistic;
17
18#[repr(C)]
19#[derive(Debug)]
20#[cfg_attr(
21    feature = "python",
22    pyo3::pyclass(module = "posei_trader.core.nautilus_pyo3.analysis")
23)]
24pub struct AvgWinner {}
25
26impl PortfolioStatistic for AvgWinner {
27    type Item = f64;
28
29    fn name(&self) -> String {
30        stringify!(AvgWinner).to_string()
31    }
32
33    fn calculate_from_realized_pnls(&self, realized_pnls: &[f64]) -> Option<Self::Item> {
34        if realized_pnls.is_empty() {
35            return Some(0.0);
36        }
37
38        let winners: Vec<f64> = realized_pnls
39            .iter()
40            .filter(|&&pnl| pnl > 0.0)
41            .copied()
42            .collect();
43
44        if winners.is_empty() {
45            return Some(0.0);
46        }
47
48        let sum: f64 = winners.iter().sum();
49        Some(sum / winners.len() as f64)
50    }
51}
52
53#[cfg(test)]
54mod tests {
55    use rstest::rstest;
56
57    use super::*;
58
59    #[rstest]
60    fn test_empty_pnls() {
61        let avg_winner = AvgWinner {};
62        let result = avg_winner.calculate_from_realized_pnls(&[]);
63        assert!(result.is_some());
64        assert_eq!(result.unwrap(), 0.0);
65    }
66
67    #[rstest]
68    fn test_no_winning_trades() {
69        let avg_winner = AvgWinner {};
70        let realized_pnls = vec![-100.0, -50.0, -200.0];
71        let result = avg_winner.calculate_from_realized_pnls(&realized_pnls);
72        assert!(result.is_some());
73        assert_eq!(result.unwrap(), 0.0);
74    }
75
76    #[rstest]
77    fn test_all_winning_trades() {
78        let avg_winner = AvgWinner {};
79        let realized_pnls = vec![100.0, 50.0, 200.0];
80        let result = avg_winner.calculate_from_realized_pnls(&realized_pnls);
81        assert!(result.is_some());
82        assert_eq!(result.unwrap(), 116.66666666666667);
83    }
84
85    #[rstest]
86    fn test_mixed_trades() {
87        let avg_winner = AvgWinner {};
88        let realized_pnls = vec![100.0, -50.0, 200.0, -100.0];
89        let result = avg_winner.calculate_from_realized_pnls(&realized_pnls);
90        assert!(result.is_some());
91        assert_eq!(result.unwrap(), 150.0);
92    }
93
94    #[rstest]
95    fn test_name() {
96        let avg_winner = AvgWinner {};
97        assert_eq!(avg_winner.name(), "AvgWinner");
98    }
99}
nautilus_analysis/statistics/winner_avg.rs

nautilus_analysis/statistics/
winner_avg.rs
