nautilus_analysis/statistics/
loser_avg.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;
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 AvgLoser {}
25
26impl PortfolioStatistic for AvgLoser {
27    type Item = f64;
28
29    fn name(&self) -> String {
30        stringify!(AvgLoser).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 losers: Vec<f64> = realized_pnls
39            .iter()
40            .filter(|&&pnl| pnl <= 0.0)
41            .copied()
42            .collect();
43
44        if losers.is_empty() {
45            return Some(0.0);
46        }
47
48        let sum: f64 = losers.iter().sum();
49        Some(sum / losers.len() as f64)
50    }
51}
52
53#[cfg(test)]
54mod tests {
55    use nautilus_core::approx_eq;
56    use rstest::rstest;
57
58    use super::*;
59
60    #[rstest]
61    fn test_empty_pnls() {
62        let avg_loser = AvgLoser {};
63        let result = avg_loser.calculate_from_realized_pnls(&[]);
64        assert!(result.is_some());
65        assert!(approx_eq!(f64, result.unwrap(), 0.0, epsilon = 1e-9));
66    }
67
68    #[rstest]
69    fn test_no_losers() {
70        let avg_loser = AvgLoser {};
71        let pnls = vec![10.0, 20.0, 30.0];
72        let result = avg_loser.calculate_from_realized_pnls(&pnls);
73        assert!(result.is_some());
74        assert!(approx_eq!(f64, result.unwrap(), 0.0, epsilon = 1e-9));
75    }
76
77    #[rstest]
78    fn test_only_losers() {
79        let avg_loser = AvgLoser {};
80        let pnls = vec![-10.0, -20.0, -30.0];
81        let result = avg_loser.calculate_from_realized_pnls(&pnls);
82        assert!(result.is_some());
83        assert!(approx_eq!(f64, result.unwrap(), -20.0, epsilon = 1e-9));
84    }
85
86    #[rstest]
87    fn test_mixed_pnls() {
88        let avg_loser = AvgLoser {};
89        let pnls = vec![10.0, -20.0, 30.0, -40.0];
90        let result = avg_loser.calculate_from_realized_pnls(&pnls);
91        assert!(result.is_some());
92        assert!(approx_eq!(f64, result.unwrap(), -30.0, epsilon = 1e-9));
93    }
94
95    #[rstest]
96    fn test_zero_included() {
97        let avg_loser = AvgLoser {};
98        let pnls = vec![10.0, 0.0, -20.0, -30.0];
99        let result = avg_loser.calculate_from_realized_pnls(&pnls);
100        assert!(result.is_some());
101        // Average of [0.0, -20.0, -30.0]
102        assert!(approx_eq!(
103            f64,
104            result.unwrap(),
105            -16.666666666666668,
106            epsilon = 1e-9
107        ));
108    }
109
110    #[rstest]
111    fn test_single_loser() {
112        let avg_loser = AvgLoser {};
113        let pnls = vec![-10.0];
114        let result = avg_loser.calculate_from_realized_pnls(&pnls);
115        assert!(result.is_some());
116        assert!(approx_eq!(f64, result.unwrap(), -10.0, epsilon = 1e-9));
117    }
118
119    #[rstest]
120    fn test_name() {
121        let avg_loser = AvgLoser {};
122        assert_eq!(avg_loser.name(), "AvgLoser");
123    }
124}
nautilus_analysis/statistics/loser_avg.rs

nautilus_analysis/statistics/
loser_avg.rs
