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BacktestMetrics

fin_primitives::backtest::engine

Struct BacktestMetrics

pub struct BacktestMetrics {
    pub total_return: f64,
    pub annualized_return: f64,
    pub sharpe: f64,
    pub sortino: f64,
    pub max_drawdown: f64,
    pub calmar: f64,
    pub win_rate: f64,
    pub profit_factor: f64,
    pub avg_trade_return: f64,
    pub num_trades: usize,
}

Expand description

Summary performance metrics for a completed backtest.

Fields§

§total_return: f64

Total return over the period: (final - initial) / initial.

§annualized_return: f64

Annualised return (assuming 252 trading days).

§sharpe: f64

Annualised Sharpe ratio (risk-free = 0).

§sortino: f64

Annualised Sortino ratio (downside deviation only).

§max_drawdown: f64

Maximum peak-to-trough drawdown as a fraction.

§calmar: f64

Calmar ratio: annualised return / max drawdown.

§win_rate: f64

Fraction of trades that were profitable.

§profit_factor: f64

Gross profit / gross loss.

§avg_trade_return: f64

Mean P&L per trade as a fraction of notional.

§num_trades: usize

Total number of completed round-trip trades.

Trait Implementations§

impl Clone for BacktestMetrics

fn clone(&self) -> Self

Returns a duplicate of the value. Read more

1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more

impl Debug for BacktestMetrics

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for BacktestMetrics

impl RefUnwindSafe for BacktestMetrics

impl Send for BacktestMetrics

impl Sync for BacktestMetrics

impl Unpin for BacktestMetrics

impl UnsafeUnpin for BacktestMetrics

impl UnwindSafe for BacktestMetrics

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T> ToOwned for T
where T: Clone,

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = !

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, !>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.