nautilus_analysis/statistics/
sortino_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 crate::{statistic::PortfolioStatistic, Returns};
17
18#[repr(C)]
19#[derive(Debug)]
20#[cfg_attr(
21    feature = "python",
22    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.analysis")
23)]
24pub struct SortinoRatio {
25    period: usize,
26}
27
28impl SortinoRatio {
29    /// Creates a new [`SortinoRatio`] instance.
30    #[must_use]
31    pub fn new(period: Option<usize>) -> Self {
32        Self {
33            period: period.unwrap_or(252),
34        }
35    }
36}
37
38impl PortfolioStatistic for SortinoRatio {
39    type Item = f64;
40
41    fn name(&self) -> String {
42        stringify!(SortinoRatio).to_string()
43    }
44
45    fn calculate_from_returns(&self, raw_returns: &Returns) -> Option<Self::Item> {
46        if !self.check_valid_returns(raw_returns) {
47            return Some(f64::NAN);
48        }
49
50        let returns = self.downsample_to_daily_bins(raw_returns);
51        let total_n = returns.len() as f64;
52        let mean = returns.values().sum::<f64>() / total_n;
53
54        let downside = (returns
55            .values()
56            .filter(|&&x| x < 0.0)
57            .map(|x| x.powi(2))
58            .sum::<f64>()
59            / total_n)
60            .sqrt();
61
62        if downside < f64::EPSILON {
63            return Some(f64::NAN);
64        }
65
66        let annualized_ratio = (mean / downside) * (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
78    use super::*;
79
80    fn create_returns(values: Vec<f64>) -> BTreeMap<UnixNanos, f64> {
81        let mut new_return = BTreeMap::new();
82        let one_day_in_nanos = 86_400_000_000_000;
83        let start_time = 1_600_000_000_000_000_000;
84
85        for (i, &value) in values.iter().enumerate() {
86            let timestamp = start_time + i as u64 * one_day_in_nanos;
87            new_return.insert(UnixNanos::from(timestamp), value);
88        }
89
90        new_return
91    }
92
93    #[test]
94    fn test_empty_returns() {
95        let ratio = SortinoRatio::new(None);
96        let returns = create_returns(vec![]);
97        let result = ratio.calculate_from_returns(&returns);
98        assert!(result.is_some());
99        assert!(result.unwrap().is_nan());
100    }
101
102    #[test]
103    fn test_zero_downside_deviation() {
104        let ratio = SortinoRatio::new(None);
105        let returns = create_returns(vec![0.02, 0.03, 0.01]);
106        let result = ratio.calculate_from_returns(&returns);
107        assert!(result.is_some());
108        assert!(result.unwrap().is_nan());
109    }
110
111    #[test]
112    fn test_valid_sortino_ratio() {
113        let ratio = SortinoRatio::new(Some(252));
114        let returns = create_returns(vec![-0.01, 0.02, -0.015, 0.005, -0.02]);
115        let result = ratio.calculate_from_returns(&returns);
116        assert!(result.is_some());
117        assert_eq!(result.unwrap(), -5.273224492824493);
118    }
119
120    #[test]
121    fn test_name() {
122        let ratio = SortinoRatio::new(None);
123        assert_eq!(ratio.name(), "SortinoRatio");
124    }
125}
nautilus_analysis/statistics/sortino_ratio.rs

nautilus_analysis/statistics/
sortino_ratio.rs
