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// -------------------------------------------------------------------------------------------------
// Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
// https://nautechsystems.io
//
// Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
// You may not use this file except in compliance with the License.
// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
// -------------------------------------------------------------------------------------------------
use std::collections::BTreeMap;
use pyo3::prelude::*;
use super::transform_returns;
use crate::{statistic::PortfolioStatistic, statistics::ulcer_index::UlcerIndex};
#[pymethods]
#[pyo3_stub_gen::derive::gen_stub_pymethods]
impl UlcerIndex {
/// Calculates the Ulcer Index of portfolio returns.
///
/// The Ulcer Index measures downside risk as the root-mean-square of the
/// percentage drawdowns of the cumulative-return equity curve. Unlike volatility
/// it only penalizes downside deviations, and unlike maximum drawdown it accounts
/// for both the depth and the duration of drawdowns.
///
/// The equity curve compounds returns from a starting value of `1.0`, and each
/// drawdown is measured against the running peak (matching the convention used by
/// `MaxDrawdown`):
///
/// `UI = sqrt( mean( D_i^2 ) )`, where `D_i = (peak_i - equity_i) / peak_i`
///
/// Drawdowns are expressed as fractions (`0.05` = 5%), so the result is on the
/// same scale as `MaxDrawdown` (the original definition uses percentage points).
/// Returns `0.0` for an empty series.
///
/// # References
///
/// - Martin, P. G., & McCann, B. B. (1989). *The Investor's Guide to Fidelity Funds*. Wiley.
/// - Peter Martin's Ulcer Index page (<https://www.tangotools.com/ui/ui.htm>).
#[expect(
clippy::doc_markdown,
reason = "citation contains proper nouns with intra-word capitals"
)]
#[new]
fn py_new() -> Self {
Self::new()
}
fn __repr__(&self) -> String {
self.name()
}
#[getter]
#[pyo3(name = "name")]
fn py_name(&self) -> String {
self.name()
}
#[pyo3(name = "calculate_from_returns")]
#[expect(clippy::needless_pass_by_value)]
fn py_calculate_from_returns(&mut self, raw_returns: BTreeMap<u64, f64>) -> Option<f64> {
self.calculate_from_returns(&transform_returns(&raw_returns))
}
#[pyo3(name = "calculate_from_realized_pnls")]
fn py_calculate_from_realized_pnls(&mut self, _realized_pnls: Vec<f64>) -> Option<f64> {
None
}
#[pyo3(name = "calculate_from_positions")]
fn py_calculate_from_positions(&mut self, _positions: Vec<Py<PyAny>>) -> Option<f64> {
None
}
}