nautilus_analysis/python/statistics/
sharpe_ratio.rs

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// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

use std::collections::BTreeMap;

use pyo3::prelude::*;

use super::transform_returns;
use crate::{statistic::PortfolioStatistic, statistics::sharpe_ratio::SharpeRatio};

#[pymethods]
impl SharpeRatio {
    #[new]
    #[pyo3(signature = (period=None))]
    fn py_new(period: Option<usize>) -> Self {
        Self::new(period)
    }

    fn __repr__(&self) -> String {
        format!("SharpeRatio({})", self.name(),)
    }

    #[getter]
    #[pyo3(name = "name")]
    fn py_name(&self) -> String {
        self.name()
    }

    #[pyo3(name = "calculate_from_returns")]
    fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
        self.calculate_from_returns(&transform_returns(raw_returns))
    }
}