nautilus_analysis/python/statistics/
returns_skewness.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_skewness::ReturnsSkewness};
23
24#[pymethods]
25#[pyo3_stub_gen::derive::gen_stub_pymethods]
26impl ReturnsSkewness {
27    /// Calculates the skewness of portfolio returns.
28    ///
29    /// Skewness measures the asymmetry of the return distribution about its mean. A
30    /// negative value indicates a longer left tail (downside outliers); a positive
31    /// value indicates a longer right tail.
32    ///
33    /// Uses the bias-corrected sample skewness (adjusted Fisher-Pearson), matching
34    /// `pandas.Series.skew` and Excel `SKEW`:
35    ///
36    /// `G1 = n / ((n - 1)(n - 2)) * sum(((x - mean) / s)^3)`
37    ///
38    /// where `s` is the sample standard deviation (Bessel's correction, ddof=1).
39    /// Returns `NaN` for fewer than three returns or zero dispersion.
40    ///
41    /// # References
42    ///
43    /// - Joanes, D. N., & Gill, C. A. (1998). Comparing measures of sample skewness
44    ///   and kurtosis. *Journal of the Royal Statistical Society: Series D*, 47(1), 183-189.
45    #[new]
46    fn py_new() -> Self {
47        Self::new()
48    }
49
50    fn __repr__(&self) -> String {
51        self.name()
52    }
53
54    #[getter]
55    #[pyo3(name = "name")]
56    fn py_name(&self) -> String {
57        self.name()
58    }
59
60    #[pyo3(name = "calculate_from_returns")]
61    #[expect(clippy::needless_pass_by_value)]
62    fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
63        self.calculate_from_returns(&transform_returns(&raw_returns))
64    }
65
66    #[pyo3(name = "calculate_from_realized_pnls")]
67    fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
68        None
69    }
70
71    #[pyo3(name = "calculate_from_positions")]
72    fn py_calculate_from_positions(&mut self, _positions: Vec<Position>) -> Option<f64> {
73        None
74    }
75}
nautilus_analysis/python/statistics/returns_skewness.rs

nautilus_analysis/python/statistics/
returns_skewness.rs
