nautilus_analysis/python/statistics/
sharpe_ratio.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.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 std::collections::BTreeMap;
17
18use pyo3::prelude::*;
19
20use super::transform_returns;
21use crate::{statistic::PortfolioStatistic, statistics::sharpe_ratio::SharpeRatio};
22
23#[pymethods]
24impl SharpeRatio {
25    #[new]
26    #[pyo3(signature = (period=None))]
27    fn py_new(period: Option<usize>) -> Self {
28        Self::new(period)
29    }
30
31    fn __repr__(&self) -> String {
32        self.to_string()
33    }
34
35    #[getter]
36    #[pyo3(name = "name")]
37    fn py_name(&self) -> String {
38        self.name()
39    }
40
41    #[pyo3(name = "calculate_from_returns")]
42    fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
43        self.calculate_from_returns(&transform_returns(raw_returns))
44    }
45
46    #[pyo3(name = "calculate_from_realized_pnls")]
47    fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
48        None
49    }
50
51    #[pyo3(name = "calculate_from_positions")]
52    fn py_calculate_from_positions(&mut self, _positions: Vec<Py<PyAny>>) -> Option<f64> {
53        None
54    }
55}
nautilus_analysis/python/statistics/sharpe_ratio.rs

nautilus_analysis/python/statistics/
sharpe_ratio.rs
