Module risk 

Standalone risk analytics.

Requires the risk feature flag (which implies indicators).

Provides Value at Risk, Sharpe/Sortino/Calmar ratios, beta, and max drawdown as standalone metrics — independent of the backtesting engine.

Quick Start

use finance_query::{Ticker, Interval, TimeRange};

let ticker = Ticker::new("AAPL").await?;
let summary = ticker.risk(Interval::OneDay, TimeRange::OneYear, None).await?;

println!("VaR (95%):      {:.2}%", summary.var_95 * 100.0);
println!("Max drawdown:   {:.2}%", summary.max_drawdown * 100.0);
if let Some(sharpe) = summary.sharpe {
    println!("Sharpe ratio:   {sharpe:.2}");
}

Structs

RiskSummary

Comprehensive risk summary for a symbol.

Functions

beta

Compute the beta of an asset relative to a benchmark.

calmar_ratio

Compute the Calmar Ratio: annualised return divided by maximum drawdown.

historical_var

Compute historical VaR at the given confidence level.

max_drawdown

Compute the maximum drawdown from a return series.

parametric_var

Compute parametric (variance-covariance) VaR assuming normally distributed returns.

sharpe_ratio

Compute the annualised Sharpe Ratio.

sortino_ratio

Compute the annualised Sortino Ratio (penalises only downside volatility).