Struct lfest::AccTracker

pub struct AccTracker { /* fields omitted */ }

Used for keeping track of account statistics

Implementations

impl AccTracker

pub fn absolute_returns(&self, source: &ReturnsSource) -> &Vec<f64>

Vector of absolute returns the account has generated, including unrealized pnl

Parameters

source: the sampling interval of pnl snapshots

pub fn ln_returns(&self, source: &ReturnsSource) -> &Vec<f64>

Vector of natural logarithmic returns the account has generated, including unrealized pnl

Parameters

source: the sampling interval of pnl snapshots

pub fn profit_loss_ratio(&self) -> f64

Ratio of cumulative trade profit over cumulative trade loss

pub fn cumulative_fees(&self) -> f64

Cumulative fees paid to the exchange

pub fn buy_and_hold_return(&self) -> f64

Would be return of buy and hold strategy

pub fn sell_and_hold_return(&self) -> f64

Would be return of sell and hold strategy

pub fn sharpe(
    &self,
    returns_source: &ReturnsSource,
    risk_free_is_buy_and_hold: bool
) -> f64

Return the sharpe ratio using the selected returns as source

Parameters:

returns_source: the sampling interval of pnl snapshots risk_free_is_buy_and_hold: if true, it will use the market returns as the risk-free comparison else risk-free rate is zero

pub fn sortino(
    &self,
    returns_source: &ReturnsSource,
    risk_free_is_buy_and_hold: bool
) -> f64

Return the Sortino ratio based on daily returns data

Parameters:

returns_source: the sampling interval of pnl snapshots risk_free_is_buy_and_hold: if true, it will use the market returns as the risk-free comparison else risk-free rate is zero

pub fn historical_value_at_risk(
    &self,
    returns_source: &ReturnsSource,
    percentile: f64
) -> f64

Calculate the value at risk using the percentile method on daily returns multiplied by starting wallet balance The time horizon N is assumed to be 1 The literature says if you want a larger N, just multiply by N.sqrt(), which assumes standard normal distribution

Arguments

returns_source: the sampling interval of pnl snapshots percentile: value between [0.0, 1.0], smaller value will return more worst case results

pub fn cornish_fisher_value_at_risk(
    &self,
    returns_source: &ReturnsSource,
    percentile: f64
) -> f64

Calculate the cornish fisher value at risk based on daily returns of the account

Arguments

returns_source: the sampling interval of pnl snapshots percentile: in range [0.0, 1.0], usually something like 0.01 or 0.05

pub fn num_trading_days(&self) -> u64

Return the number of trading days

pub fn d_ratio(&self, returns_source: &ReturnsSource) -> f64

Also called discriminant-ratio, which focuses on the added value of the algorithm It uses the Cornish-Fish Value at Risk (CF-VaR) It better captures the risk of the asset as it is not limited by the assumption of a gaussian distribution It it time-insensitive from: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3927058

Parameters

returns_source: the sampling interval of pnl snapshots

pub fn annualized_roi(&self) -> f64

Annualized return on investment as a factor, e.g.: 100% -> 2x

pub fn max_drawdown_wallet_balance(&self) -> f64

Maximum drawdown of the wallet balance

pub fn max_drawdown_total(&self) -> f64

Maximum drawdown of the wallet balance including unrealized profit and loss

pub fn num_trades(&self) -> i64

Return the number of trades the account made

pub fn trade_percentage(&self) -> f64

Return the ratio of executed trades vs total trading opportunities Higher values means a more active trading agent

pub fn buy_ratio(&self) -> f64

Return the ratio of buy trades vs total number of trades

pub fn turnover(&self) -> f64

Return the cumulative turnover denoted in margin currency

pub fn total_rpnl(&self) -> f64

Return the total realized profit and loss of the account

pub fn upnl(&self) -> f64

Return the current unrealized profit and loss

pub fn win_ratio(&self) -> f64

Return the ratio of winning trades vs all trades

pub fn limit_order_fill_ratio(&self) -> f64

Return the ratio of filled limit orders vs number of submitted limit orders

pub fn limit_order_cancellation_ratio(&self) -> f64

Return the ratio of limit order cancellations vs number of submitted limit orders

Trait Implementations

impl Clone for AccTracker

fn clone(&self) -> AccTracker

Returns a copy of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for AccTracker

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

Formats the value using the given formatter.