nautilus_analysis/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::fmt::Display;
17
18use nautilus_model::position::Position;
19
20use crate::{Returns, statistic::PortfolioStatistic};
21
22/// Calculates the Sharpe ratio for portfolio returns.
23///
24/// The Sharpe ratio measures risk-adjusted return and is calculated as:
25/// `(Mean Return - Risk-free Rate) / Standard Deviation of Returns * sqrt(period)`
26///
27/// This implementation assumes a risk-free rate of 0 and annualizes the ratio
28/// using the square root of the specified period (default: 252 trading days).
29///
30/// # References
31///
32/// - Sharpe, W. F. (1966). "Mutual Fund Performance". *Journal of Business*, 39(1), 119-138.
33/// - Sharpe, W. F. (1994). "The Sharpe Ratio". *Journal of Portfolio Management*, 21(1), 49-58.
34/// - CFA Institute Investment Foundations, 3rd Edition
35#[repr(C)]
36#[derive(Debug, Clone)]
37#[cfg_attr(
38    feature = "python",
39    pyo3::pyclass(module = "nautilus_trader.core.nautilus_pyo3.analysis")
40)]
41pub struct SharpeRatio {
42    /// The annualization period (default: 252 for daily data).
43    period: usize,
44}
45
46impl SharpeRatio {
47    /// Creates a new [`SharpeRatio`] instance.
48    #[must_use]
49    pub fn new(period: Option<usize>) -> Self {
50        Self {
51            period: period.unwrap_or(252),
52        }
53    }
54}
55
56impl Display for SharpeRatio {
57    fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
58        write!(f, "Sharpe Ratio ({} days)", self.period)
59    }
60}
61
62impl PortfolioStatistic for SharpeRatio {
63    type Item = f64;
64
65    fn name(&self) -> String {
66        self.to_string()
67    }
68
69    fn calculate_from_returns(&self, raw_returns: &Returns) -> Option<Self::Item> {
70        if !self.check_valid_returns(raw_returns) {
71            return Some(f64::NAN);
72        }
73
74        let returns = self.downsample_to_daily_bins(raw_returns);
75        let mean = returns.values().sum::<f64>() / returns.len() as f64;
76        let std = self.calculate_std(&returns);
77
78        if std < f64::EPSILON {
79            return Some(f64::NAN);
80        }
81
82        let annualized_ratio = (mean / std) * (self.period as f64).sqrt();
83
84        Some(annualized_ratio)
85    }
86    fn calculate_from_realized_pnls(&self, _realized_pnls: &[f64]) -> Option<Self::Item> {
87        None
88    }
89
90    fn calculate_from_positions(&self, _positions: &[Position]) -> Option<Self::Item> {
91        None
92    }
93}
94
95#[cfg(test)]
96mod tests {
97    use std::collections::BTreeMap;
98
99    use nautilus_core::{UnixNanos, approx_eq};
100    use rstest::rstest;
101
102    use super::*;
103
104    fn create_returns(values: Vec<f64>) -> BTreeMap<UnixNanos, f64> {
105        let mut new_return = BTreeMap::new();
106        let one_day_in_nanos = 86_400_000_000_000;
107        let start_time = 1_600_000_000_000_000_000;
108
109        for (i, &value) in values.iter().enumerate() {
110            let timestamp = start_time + i as u64 * one_day_in_nanos;
111            new_return.insert(UnixNanos::from(timestamp), value);
112        }
113
114        new_return
115    }
116
117    #[rstest]
118    fn test_empty_returns() {
119        let ratio = SharpeRatio::new(None);
120        let returns = create_returns(vec![]);
121        let result = ratio.calculate_from_returns(&returns);
122        assert!(result.is_some());
123        assert!(result.unwrap().is_nan());
124    }
125
126    #[rstest]
127    fn test_zero_std_dev() {
128        let ratio = SharpeRatio::new(None);
129        let returns = create_returns(vec![0.01; 10]);
130        let result = ratio.calculate_from_returns(&returns);
131        assert!(result.is_some());
132        assert!(result.unwrap().is_nan());
133    }
134
135    #[rstest]
136    fn test_valid_sharpe_ratio() {
137        let ratio = SharpeRatio::new(Some(252));
138        let returns = create_returns(vec![0.01, -0.02, 0.015, -0.005, 0.025]);
139        let result = ratio.calculate_from_returns(&returns);
140        assert!(result.is_some());
141        assert!(approx_eq!(
142            f64,
143            result.unwrap(),
144            4.48998886412873,
145            epsilon = 1e-9
146        ));
147    }
148
149    #[rstest]
150    fn test_name() {
151        let ratio = SharpeRatio::new(None);
152        assert_eq!(ratio.name(), "Sharpe Ratio (252 days)");
153    }
154}
nautilus_analysis/statistics/sharpe_ratio.rs

nautilus_analysis/statistics/
sharpe_ratio.rs
