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PerformanceMetrics

finance_query::backtesting

Struct PerformanceMetrics 

Source 
#[non_exhaustive]
pub struct PerformanceMetrics {
Show 25 fields
    pub total_return_pct: f64,
    pub annualized_return_pct: f64,
    pub sharpe_ratio: f64,
    pub sortino_ratio: f64,
    pub max_drawdown_pct: f64,
    pub max_drawdown_duration: i64,
    pub win_rate: f64,
    pub profit_factor: f64,
    pub avg_trade_return_pct: f64,
    pub avg_win_pct: f64,
    pub avg_loss_pct: f64,
    pub avg_trade_duration: f64,
    pub total_trades: usize,
    pub winning_trades: usize,
    pub losing_trades: usize,
    pub largest_win: f64,
    pub largest_loss: f64,
    pub max_consecutive_wins: usize,
    pub max_consecutive_losses: usize,
    pub calmar_ratio: f64,
    pub total_commission: f64,
    pub long_trades: usize,
    pub short_trades: usize,
    pub total_signals: usize,
    pub executed_signals: usize,

}
Expand description

Performance metrics summary

Fields (Non-exhaustive)§

This struct is marked as non-exhaustive
Non-exhaustive structs could have additional fields added in future. Therefore, non-exhaustive structs cannot be constructed in external crates using the traditional Struct { .. } syntax; cannot be matched against without a wildcard ..; and struct update syntax will not work.
§total_return_pct: f64

Total return percentage

§annualized_return_pct: f64

Annualized return percentage (assumes 252 trading days)

§sharpe_ratio: f64

Sharpe ratio (risk-free rate = 0)

§sortino_ratio: f64

Sortino ratio (downside deviation)

§max_drawdown_pct: f64

Maximum drawdown percentage (0.0-1.0)

§max_drawdown_duration: i64

Maximum drawdown duration in bars

§win_rate: f64

Win rate (profitable trades / total trades)

§profit_factor: f64

Profit factor (gross profit / gross loss)

§avg_trade_return_pct: f64

Average trade return percentage

§avg_win_pct: f64

Average winning trade return percentage

§avg_loss_pct: f64

Average losing trade return percentage

§avg_trade_duration: f64

Average trade duration in bars

§total_trades: usize

Total number of trades

§winning_trades: usize

Number of winning trades

§losing_trades: usize

Number of losing trades

§largest_win: f64

Largest winning trade P&L

§largest_loss: f64

Largest losing trade P&L

§max_consecutive_wins: usize

Maximum consecutive wins

§max_consecutive_losses: usize

Maximum consecutive losses

§calmar_ratio: f64

Calmar ratio (annualized return / max drawdown)

§total_commission: f64

Total commission paid

§long_trades: usize

Number of long trades

§short_trades: usize

Number of short trades

§total_signals: usize

Total signals generated

§executed_signals: usize

Signals that were executed

Implementations§

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impl PerformanceMetrics

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pub fn calculate( trades: &[Trade], equity_curve: &[EquityPoint], initial_capital: f64, total_signals: usize, executed_signals: usize, ) -> Self

Calculate performance metrics from trades and equity curve

Trait Implementations§

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impl Clone for PerformanceMetrics

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fn clone(&self) -> PerformanceMetrics

Returns a duplicate of the value. Read more
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fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for PerformanceMetrics

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more
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impl<'de> Deserialize<'de> for PerformanceMetrics

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fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more
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impl Serialize for PerformanceMetrics

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fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>
where __S: Serializer,

Serialize this value into the given Serde serializer. Read more

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