nautilus_analysis/python/statistics/
returns_avg.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2026 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 nautilus_model::position::Position;
19use pyo3::prelude::*;
20
21use super::transform_returns;
22use crate::{statistic::PortfolioStatistic, statistics::returns_avg::ReturnsAverage};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl ReturnsAverage {
27    /// Calculates the arithmetic mean of portfolio returns.
28    ///
29    /// All returns are included, so zero returns count toward the average.
30    /// Returns `NaN` for an empty series.
31    #[new]
32    fn py_new() -> Self {
33        Self {}
34    }
35
36    fn __repr__(&self) -> String {
37        self.to_string()
38    }
39
40    #[getter]
41    #[pyo3(name = "name")]
42    fn py_name(&self) -> String {
43        self.name()
44    }
45
46    #[pyo3(name = "calculate_from_returns")]
47    #[expect(clippy::needless_pass_by_value)]
48    fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
49        self.calculate_from_returns(&transform_returns(&raw_returns))
50    }
51
52    #[pyo3(name = "calculate_from_realized_pnls")]
53    fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
54        None
55    }
56
57    #[pyo3(name = "calculate_from_positions")]
58    fn py_calculate_from_positions(&mut self, _positions: Vec<Position>) -> Option<f64> {
59        None
60    }
61}
nautilus_analysis/python/statistics/returns_avg.rs

nautilus_analysis/python/statistics/
returns_avg.rs
