Module lfest::account_tracker

Provides trait and implementations to track accounts performance

Structs

• FullAccountTracker
  Keep track of many possible Account performance statistics This can be quite memory intensive, easily reaching beyond 10GB if using tick-by-tick data due to the storage of many returns
• NoAccountTracker
  Performs no tracking of account performance
• StatisticalMoments
  The statistical moments of a distribution

Enums

• ReturnsSource
  Defines the possible sources of returns to use

Traits

• AccountTracker
  Something that tracks the performance of the Account. This allows for greated flexibility over using the FullAccountTracker which can easily use more than 10GB of RAM due to storage of tick-by-tick returns

Functions

• d_ratio
  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
• statistical_moments
  Compute the four statistical moments: mean, std_dev, skew and kurtosis